Investment Summary/Performance February 29, 2024 (Unaudited)

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NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Current 7-Day Yields

Fidelity® Series Government Money Market Fund	5.38%

Yield refers to the income paid by the Fund over a given period. Yield for money market funds is usually for seven-day periods, as it is here, though it is expressed as an annual percentage rate. Past performance is no guarantee of future results. Yield will vary and it's possible to lose money investing in the Fund.

Effective Maturity Diversification (% of Fund's Investments)
Days
1 - 7	66.0
8 - 30	8.1
31 - 60	11.3
61 - 90	6.7
91 - 180	4.0
> 180	3.9
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.

Asset Allocation (% of Fund's net assets)

Net Other Assets (Liabilities) - (5.8)%

Schedule of Investments February 29, 2024 (Unaudited)

Showing Percentage of Net Assets

U.S. Treasury Debt - 28.3%
	Yield (%)(a)	Principal Amount (b)	Value ($)
U.S. Treasury Obligations - 28.3%
U.S. Treasury Bills
3/5/24 to 8/29/24	5.18 to 5.45	793,800,000	788,373,862
U.S. Treasury Notes
4/30/24 to 1/15/25 (c)	4.88 to 5.47	65,000,000	64,900,721

TOTAL U.S. TREASURY DEBT (Cost $853,274,583)			853,274,583

U.S. Government Agency Debt - 35.7%
	Yield (%)(a)	Principal Amount (b)	Value ($)
Federal Agencies - 35.7%
Federal Farm Credit Bank
3/13/24 to 1/30/26 (c)(d)	5.33 to 5.51	182,727,000	182,730,568
Federal Home Loan Bank
3/6/24 to 1/2/26 (c)	4.79 to 5.54	892,804,623	892,163,445

TOTAL U.S. GOVERNMENT AGENCY DEBT (Cost $1,074,894,013)			1,074,894,013

U.S. Government Agency Repurchase Agreement - 16.4%
	Maturity Amount ($)	Value ($)
In a joint trading account at 5.31% dated 2/29/24 due 3/1/24 (Collateralized by (U.S. Government Obligations)) #	235,232,685	235,198,000
With:
ABN AMRO Bank NV at 5.31%, dated 2/29/24 due 3/1/24 (Collateralized by U.S. Government Obligations valued at $5,100,752, 3.00% - 6.50%, 7/1/51 - 2/1/54)	5,000,738	5,000,000
Bank of America NA at 5.41%, dated 1/5/24 due 5/6/24 (Collateralized by U.S. Government Obligations valued at $3,085,752, 3.50%, 7/1/42)	3,055,002	3,000,000
BMO Harris Bank NA at 5.34%, dated 2/1/24 due 3/7/24 (Collateralized by U.S. Government Obligations valued at $4,097,551, 3.50%, 8/20/47)	4,035,600	4,000,000
BNP Paribas, SA at:
5.32%, dated 1/17/24 due 3/7/24 (Collateralized by U.S. Treasury Obligations valued at $5,145,744, 0.00% - 5.55%, 12/31/24 - 2/15/54)	5,067,239	5,000,000
5.33%, dated:
1/10/24 due 3/7/24 (Collateralized by U.S. Government Obligations valued at $5,139,745, 0.00% - 7.00%, 7/31/24 - 10/1/53)	5,045,157	5,000,000
1/11/24 due 3/7/24 (Collateralized by U.S. Treasury Obligations valued at $8,300,870, 0.00% - 6.50%, 1/15/31 - 2/1/54)	8,071,067	8,000,000
5.4%, dated:
12/1/23 due 3/1/24 (Collateralized by U.S. Treasury Obligations valued at $13,475,201, 0.00% - 6.50%, 8/15/27 - 8/1/53)	13,177,450	13,000,000
12/13/23 due 3/13/24 (Collateralized by U.S. Treasury Obligations valued at $6,252,634, 0.00% - 7.00%, 2/20/26 - 2/15/51)	6,081,900	6,000,000
BNY Mellon Capital Markets Corp. at 5.35%, dated 2/1/24 due 3/21/24 (Collateralized by U.S. Treasury Obligations valued at $9,219,640, 0.00% - 5.50%, 4/16/24 - 2/1/54)	9,065,538	9,000,000
BofA Securities, Inc. at:
5.34%, dated 2/1/24 due 3/7/24 (Collateralized by U.S. Government Obligations valued at $5,121,939, 4.00% - 6.50%, 2/1/46 - 1/1/54)	5,044,500	5,000,000
5.36%, dated 1/25/24 due 4/25/24 (Collateralized by U.S. Government Obligations valued at $3,076,402, 2.50% - 6.50%, 7/20/36 - 10/20/53)	3,040,647	3,000,000
5.37%, dated 1/26/24 due 4/26/24 (Collateralized by U.S. Government Obligations valued at $3,075,976, 4.50% - 6.00%, 9/1/43 - 8/1/53) (c)(d)(e)	3,040,723	3,000,000
5.38%, dated:
1/2/24 due 4/2/24 (Collateralized by U.S. Government Obligations valued at $23,667,054, 2.50% - 5.00%, 2/1/26 - 5/1/53) (c)(d)(e)	23,312,787	23,000,000
1/18/24 due 4/18/24 (Collateralized by Mortgage Loan Obligations valued at $10,265,547, 4.39% - 5.39%, 12/1/28 - 1/1/31) (c)(d)(e)	10,135,994	10,000,000
CIBC Bank U.S.A. at 5.32%, dated 2/13/24 due 3/7/24 (Collateralized by U.S. Government Obligations valued at $11,248,187, 2.00% - 6.50%, 4/1/33 - 4/1/59)	11,047,141	11,000,000
Citigroup Global Capital Markets, Inc. at 5.34%, dated 2/1/24 due 3/4/24 (Collateralized by U.S. Government Obligations valued at $8,196,717, 4.00% - 6.00%, 9/27/24 - 3/1/53)	8,037,973	8,000,000
FICC State Street GC (Gov. Repo) at 5.32%, dated 2/29/24 due 3/1/24 (Collateralized by U.S. Government Obligations valued at $7,446,277, 1.50% - 6.50%, 10/31/30 - 8/1/53)	7,001,034	7,000,000
Goldman Sachs & Co. at 5.32%, dated 2/26/24 due 3/4/24 (Collateralized by U.S. Treasury Obligations valued at $10,206,100, 0.75%, 5/31/26)	10,010,344	10,000,000
ING Financial Markets LLC at 5.36%, dated:
2/1/24 due 3/21/24 (Collateralized by U.S. Government Obligations valued at $8,195,233, 6.00%, 9/1/53)	8,058,364	8,000,000
2/2/24 due 3/22/24 (Collateralized by U.S. Government Obligations valued at $4,097,009, 6.00%, 9/1/53)	4,029,182	4,000,000
Mitsubishi UFJ Securities (U.S.A.), Inc. at 5.36%, dated 2/1/24 due 4/22/24 (Collateralized by U.S. Government Obligations valued at $23,561,295, 2.00% - 6.50%, 5/1/25 - 4/1/53)	23,277,380	23,000,000
MUFG Securities (Canada), Ltd. at 5.36%, dated 2/1/24 due 4/22/24 (Collateralized by U.S. Treasury Obligations valued at $5,154,350, 0.38% - 6.00%, 7/15/25 - 6/1/53)	5,060,300	5,000,000
RBC Financial Group at 5.34%, dated 2/1/24 due 3/7/24 (Collateralized by U.S. Government Obligations valued at $55,354,956, 0.63% - 8.00%, 1/15/26 - 3/1/54)	54,392,490	54,000,000
TD Securities (U.S.A.) at 5.31%, dated 2/29/24 due 3/1/24 (Collateralized by U.S. Government Obligations valued at $6,120,903, 2.50%, 5/20/51)	6,000,885	6,000,000
Wells Fargo Securities, LLC at:
5.4%, dated 1/16/24 due 3/15/24 (Collateralized by U.S. Government Obligations valued at $7,188,196, 5.00%, 10/1/52)	7,061,950	7,000,000
5.43%, dated 12/19/23 due 3/21/24 (Collateralized by U.S. Government Obligations valued at $13,406,004, 5.50%, 2/1/54)	13,182,358	13,000,000
TOTAL U.S. GOVERNMENT AGENCY REPURCHASE AGREEMENT (Cost $493,198,000)		493,198,000

U.S. Treasury Repurchase Agreement - 25.4%
	Maturity Amount ($)	Value ($)
With:
ABN AMRO Bank NV at 5.3%, dated 2/29/24 due 3/1/24 (Collateralized by U.S. Treasury Obligations valued at $6,120,949, 0.38% - 0.75%, 9/30/27 - 1/31/28)	6,000,883	6,000,000
Barclays Bank PLC at:
5.31%, dated 2/29/24 due 3/1/24 (Collateralized by U.S. Treasury Obligations valued at $21,423,175, 3.13%, 8/15/25)	21,003,098	21,000,000
5.33%, dated 2/2/24 due 3/7/24 (Collateralized by U.S. Treasury Obligations valued at $16,387,656, 3.13%, 8/15/25)	16,113,707	16,000,000
BNP Paribas, SA at:
5.32%, dated:
1/8/24 due 3/7/24 (Collateralized by U.S. Treasury Obligations valued at $7,196,007, 1.13% - 5.36%, 7/31/24 - 8/15/53)	7,062,067	7,000,000
1/9/24 due 3/7/24 (Collateralized by U.S. Treasury Obligations valued at $7,194,937, 1.13% - 4.13%, 7/31/27 - 8/15/53)	7,064,136	7,000,000
1/10/24 due 3/7/24 (Collateralized by U.S. Treasury Obligations valued at $19,527,195, 1.38% - 4.75%, 7/31/29 - 11/15/53)	19,171,274	19,000,000
1/11/24 due 3/7/24 (Collateralized by U.S. Treasury Obligations valued at $7,192,803, 0.00% - 5.45%, 4/4/24 - 8/15/52)	7,062,067	7,000,000
5.35%, dated 2/14/24 due 3/7/24 (Collateralized by U.S. Treasury Obligations valued at $33,740,064, 0.63% - 5.36%, 7/31/24 - 2/15/54) (c)(d)(e)	33,593,404	33,000,000
5.39%, dated 12/1/23 due 3/1/24 (Collateralized by U.S. Treasury Obligations valued at $6,203,400, 1.13% - 5.50%, 7/31/25 - 11/15/53)	6,081,748	6,000,000
BofA Securities, Inc. at:
5.33%, dated 2/5/24 due 3/7/24 (Collateralized by U.S. Treasury Obligations valued at $2,047,582, 2.75% - 3.88%, 8/15/33 - 8/15/42)	2,026,946	2,000,000
5.34%, dated 1/16/24 due 3/7/24 (Collateralized by U.S. Treasury Obligations valued at $2,053,659, 2.75% - 3.88%, 8/15/33 - 8/15/42) (c)(d)(e)	2,019,283	2,000,000
5.35%, dated 1/25/24 due 4/25/24 (Collateralized by U.S. Treasury Obligations valued at $3,076,379, 2.75% - 3.88%, 8/15/33 - 8/15/42) (c)(d)(e)	3,040,571	3,000,000
CIBC Bank U.S.A. at:
5.31%, dated 2/15/24 due 3/7/24 (Collateralized by U.S. Treasury Obligations valued at $2,044,570, 3.25% - 3.88%, 5/15/42 - 2/15/43)	2,010,325	2,000,000
5.32%, dated:
1/30/24 due 3/7/24 (Collateralized by U.S. Treasury Obligations valued at $2,049,386, 0.88% - 4.38%, 9/15/25 - 8/15/53)	2,015,073	2,000,000
2/2/24 due 3/7/24 (Collateralized by U.S. Treasury Obligations valued at $3,072,838, 0.38% - 4.13%, 12/31/25 - 8/15/53)	3,021,280	3,000,000
5.33%, dated 1/29/24 due 3/7/24 (Collateralized by U.S. Treasury Obligations valued at $5,125,355, 1.13% - 4.13%, 2/15/26 - 8/15/53)	5,042,936	5,000,000
Federal Reserve Bank of New York at 5.3%, dated 2/29/24 due 3/1/24 (Collateralized by U.S. Treasury Obligations valued at $90,013,280, 0.25% - 2.38%, 5/15/24 - 2/15/32)	90,013,250	90,000,000
FICC ACAFB Repo Program at 5.31%, dated 2/29/24 due 3/1/24 (Collateralized by U.S. Treasury Obligations valued at $3,101,114, 2.88%, 5/15/52)	3,000,443	3,000,000
Ficc Nomura Gc Repo (GOV REPO) at 5.31%, dated 2/29/24 due 3/1/24 (Collateralized by U.S. Treasury Obligations valued at $15,302,331, 0.00%, 10/31/24)	15,002,213	15,000,000
Fixed Income Clearing Corp. - BNP at 5.31%, dated 2/29/24 due 3/1/24 (Collateralized by U.S. Treasury Obligations valued at $19,382,879, 1.13% - 5.57%, 7/31/24 - 11/15/53)	19,002,803	19,000,000
Fixed Income Clearing Corp. - BNYM at 5.31%, dated 2/29/24 due 3/1/24 (Collateralized by U.S. Treasury Obligations valued at $109,140,013, 0.75%, 3/31/26)	107,015,783	107,000,000
Fixed Income Clearing Corp. - SSB at 5.31%, dated 2/29/24 due 3/1/24 (Collateralized by U.S. Treasury Obligations valued at $76,518,450, 3.50%, 1/31/28)	75,011,063	75,000,000
Fixed Income Clearing Corp.- Morgan Stanley & CO LLC at 5.31%, dated 2/29/24 due 3/1/24 (Collateralized by U.S. Treasury Obligations valued at $4,081,350, 3.50%, 4/30/28)	4,000,590	4,000,000
Goldman Sachs & Co. at 5.31%, dated 2/29/24 due 3/1/24 (Collateralized by U.S. Treasury Obligations valued at $5,100,757, 1.25%, 9/30/28)	5,000,738	5,000,000
ING Financial Markets LLC at:
5.31%, dated 2/29/24 due 3/1/24 (Collateralized by U.S. Treasury Obligations valued at $1,023,425, 4.00%, 2/28/30)	1,000,148	1,000,000
5.35%, dated:
1/31/24 due 3/21/24:
(Collateralized by U.S. Treasury Obligations valued at $3,073,671, 1.13% - 3.88%, 4/30/25 - 8/15/43)	3,022,292	3,000,000
(Collateralized by U.S. Treasury Obligations valued at $3,073,668, 0.50% - 4.13%, 10/31/27 - 8/15/42)	3,022,292	3,000,000
2/1/24 due 3/21/24:
(Collateralized by U.S. Treasury Obligations valued at $3,073,243, 1.38% - 4.25%, 5/15/25 - 2/28/29)	3,021,846	3,000,000
(Collateralized by U.S. Treasury Obligations valued at $3,073,198, 0.25% - 4.38%, 7/31/25 - 8/15/43)	3,021,846	3,000,000
J.P. Morgan Securities, LLC at 5.33%, dated:
2/6/24 due 3/7/24 (Collateralized by U.S. Treasury Obligations valued at $20,472,488, 0.00% - 5.38%, 8/8/24 - 2/15/31) (c)(d)(e)	20,130,289	20,000,000
2/8/24 due 3/7/24 (Collateralized by U.S. Treasury Obligations valued at $12,279,861, 1.75% - 7.63%, 12/31/24 - 12/31/28) (c)(d)(e)	12,074,620	12,000,000
Lloyds Bank Corp. Markets PLC at:
5.33%, dated 3/1/24 due 3/8/24 (Collateralized by U.S. Treasury Obligations valued at $2,039,139, 4.38%, 12/15/26)	2,002,073	2,000,000
5.39%, dated 1/5/24 due 3/5/24 (Collateralized by U.S. Treasury Obligations valued at $2,060,014, 1.38% - 4.63%, 9/15/26 - 10/31/28)	2,017,967	2,000,000
Lloyds Bank PLC at 5.49%, dated 12/20/23 due 3/20/24 (Collateralized by U.S. Treasury Obligations valued at $4,123,786, 0.38% - 2.50%, 1/31/25 - 2/15/27)	4,055,510	4,000,000
Mitsubishi UFJ Securities (U.S.A.), Inc. at 5.34%, dated 2/1/24 due 4/22/24 (Collateralized by U.S. Treasury Obligations valued at $6,146,327, 0.00% - 4.63%, 4/2/24 - 8/15/50)	6,072,090	6,000,000
Mizuho Bank, Ltd. at 5.31%, dated 2/29/24 due 3/1/24 (Collateralized by U.S. Treasury Obligations valued at $7,188,802, 1.63%, 5/15/31)	7,001,033	7,000,000
MUFG Securities (Canada), Ltd. at:
5.33%, dated 2/1/24 due 3/7/24 (Collateralized by U.S. Treasury Obligations valued at $2,049,498, 1.75% - 4.38%, 8/15/26 - 11/15/51)	2,014,509	2,000,000
5.34%, dated 2/1/24 due 4/22/24 (Collateralized by U.S. Treasury Obligations valued at $4,097,580, 1.13% - 6.00%, 2/28/25 - 11/15/51)	4,048,060	4,000,000
MUFG Securities EMEA PLC at 5.31%, dated 2/29/24 due 3/1/24 (Collateralized by U.S. Treasury Obligations valued at $8,164,019, 3.50%, 2/15/33)	8,001,180	8,000,000
Natixis SA at:
5.31%, dated 2/29/24 due 3/1/24 (Collateralized by U.S. Treasury Obligations valued at $1,020,203, 0.75% - 5.50%, 1/31/26 - 6/30/30)	1,000,148	1,000,000
5.33%, dated 2/1/24 due 3/7/24 (Collateralized by U.S. Treasury Obligations valued at $9,219,436, 0.00% - 4.38%, 5/23/24 - 2/15/49)	9,065,293	9,000,000
NatWest Markets Securities, Inc. at 5.31%, dated 2/29/24 due 3/1/24 (Collateralized by U.S. Treasury Obligations valued at $1,020,187, 2.88%, 5/15/43)	1,000,148	1,000,000
RBC Dominion Securities at 5.33%, dated 2/1/24 due 3/7/24 (Collateralized by U.S. Treasury Obligations valued at $5,122,089, 1.75% - 4.75%, 6/15/26 - 2/15/54)	5,036,274	5,000,000
SMBC Nikko Securities America, Inc. at 5.31%, dated 2/29/24 due 3/1/24 (Collateralized by U.S. Treasury Obligations valued at $216,271,943, 0.00% - 7.50%, 5/30/24 - 8/15/43)	212,031,270	212,000,000
TOTAL U.S. TREASURY REPURCHASE AGREEMENT (Cost $767,000,000)		767,000,000

TOTAL INVESTMENT IN SECURITIES - 105.8% (Cost $3,188,366,596)	3,188,366,596
NET OTHER ASSETS (LIABILITIES) - (5.8)%	(175,634,581)
NET ASSETS - 100.0%	3,012,732,015

The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets.

Legend

(a)	Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(b)	Amount is stated in United States dollars unless otherwise noted.

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

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

(e)	The maturity amount is based on the rate at period end.

Investment Valuation

All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in these securities. For more information on valuation inputs, refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

Other Information
# Additional information on each counterparty to the repurchase agreement is as follows:
Repurchase Agreement / Counterparty	Value ($)
$235,198,000 due 3/01/24 at 5.31%
BNY Mellon Capital Markets LLC	4,092,000
Bank of America, N.A.	11,789,000
Bank of Nova Scotia	3,538,000
BofA Securities, Inc.	206,000
Citigroup Global Markets, Inc.	10,845,000
Credit Agricole CIB New York Branch	21,075,000
HSBC Securities (USA), Inc.	16,215,000
ING Financial Markets LLC	3,734,000
JP Morgan Securities LLC	14,363,000
Mitsubishi UFJ Securities Holdings Ltd	7,531,000
Mizuho Securities USA, Inc.	4,911,000
Nomura Securities International	16,356,000
RBC Dominion Securities, Inc.	42,596,000
Royal Bank of Canada	2,362,000
Sumitomo Mitsui Banking Corp.	59,622,000
Sumitomo Mitsui Banking Corp. NY	7,087,000
Wells Fargo Bank National Asso	2,326,000
Wells Fargo Securities LLC	6,550,000
	235,198,000

Financial Statements (Unaudited)

Statement of Assets and Liabilities
				February 29, 2024 (Unaudited)

Assets
Investment in securities, at value (including repurchase agreements of $1,260,198,000) - See accompanying schedule Unaffiliated issuers (cost $3,188,366,596):			$	3,188,366,596
Cash				28,000,480
Receivable for fund shares sold				32,710,821
Interest receivable				10,855,282
Total assets				3,259,933,179
Liabilities
Payable for investments purchased	$	2,000,000
Payable for fund shares redeemed		245,184,214
Other payables and accrued expenses		16,950
Total Liabilities				247,201,164
Net Assets			$	3,012,732,015
Net Assets consist of:
Paid in capital			$	3,012,703,198
Total accumulated earnings (loss)				28,817
Net Assets			$	3,012,732,015
Net Asset Value, offering price and redemption price per share ($3,012,732,015 ÷ 3,012,712,252 shares)			$	1.00

Statement of Operations
				Six months ended February 29, 2024 (Unaudited)
Investment Income
Interest			$	126,141,511
Expenses
Custodian fees and expenses	$	29,989
Independent trustees' fees and expenses		7,877
Miscellaneous		2
Total Expenses				37,868
Net Investment income (loss)				126,103,643
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment Securities:
Unaffiliated issuers		13,072
Total net realized gain (loss)				13,072
Net increase in net assets resulting from operations			$	126,116,715

Statement of Changes in Net Assets

		Six months ended February 29, 2024 (Unaudited)		Year ended August 31, 2023
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	126,103,643	$	187,036,655
Net realized gain (loss)		13,072		(77,719)
Net increase in net assets resulting from operations		126,116,715		186,958,936
Distributions to shareholders		(126,102,075)		(187,148,956)

Share transactions
Proceeds from sales of shares		910,688,862		5,147,361,735
Reinvestment of distributions		126,058,743		185,138,909
Cost of shares redeemed		(3,074,680,998)		(2,654,426,557)

Net increase (decrease) in net assets and shares resulting from share transactions		(2,037,933,393)		2,678,074,087
Total increase (decrease) in net assets		(2,037,918,753)		2,677,884,067

Net Assets
Beginning of period		5,050,650,768		2,372,766,701
End of period	$	3,012,732,015	$	5,050,650,768

Other Information
Shares
Sold		910,688,862		5,147,361,735
Issued in reinvestment of distributions		126,058,743		185,138,909
Redeemed		(3,074,680,998)		(2,654,426,557)
Net increase (decrease)		(2,037,933,393)		2,678,074,087

Financial Highlights

Fidelity® Series Government Money Market Fund

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	1.00	$	1.00	$	1.00	$	1.00	$	1.00	$	1.00
Income from Investment Operations
Net investment income (loss) A		.027		.046		.003		.001		.010		.024
Net realized and unrealized gain (loss)		- B		(.002)		.002		- B		.001		- B
Total from investment operations		.027		.044		.005		.001		.011		.024
Distributions from net investment income		(.027)		(.044)		(.005)		(.001)		(.011)		(.024)
Total distributions		(.027)		(.044)		(.005)		(.001)		(.011)		(.024)
Net asset value, end of period	$	1.00	$	1.00	$	1.00	$	1.00	$	1.00	$	1.00
Total Return C,D		2.73%		4.54%		.53%		.10%		1.08%		2.38%
Ratios to Average Net Assets A,E,F
Expenses before reductions G		-% H,I		-%		-%		-%		-%		-%
Expenses net of fee waivers, if any G		-% H,I		-%		-%		-%		-%		-%
Expenses net of all reductions G		-% H,I		-%		-%		-%		-%		-%
Net investment income (loss)		5.42% H,I		4.59%		.31%		.10%		.98%		2.35%
Supplemental Data
Net assets, end of period (000 omitted)	$	3,012,732	$	5,050,651	$	2,372,767	$	9,692,737	$	9,500,272	$	6,572,472

ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.

BAmount represents less than $.0005 per share.

CTotal returns for periods of less than one year are not annualized.

DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

EFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.

FExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.

GAmount represents less than .005%.

HProxy expenses are not annualized.

IAnnualized.

Notes to Financial Statements (Unaudited)

For the period ended February 29, 2024

1. Organization.

Fidelity Series Government Money Market Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Shares are offered only to certain other Fidelity funds, Fidelity managed 529 plans, and Fidelity managed collective investment trusts.

2. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

Investment Valuation. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

As permitted by compliance with certain conditions under Rule 2a-7 of the 1940 Act, securities are valued at amortized cost, which approximates fair value. The amortized cost of an instrument is determined by valuing it at its original cost and thereafter amortizing any discount or premium from its face value at a constant rate until maturity. Securities held by a money market fund are generally high quality and liquid; however, they are reflected as Level 2 because the inputs used to determine fair value are not quoted prices in an active market.

Investment Transactions and Income. The net asset value per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to capital loss carryforwards and losses deferred due to wash sales.

As of period end, the cost and unrealized appreciation (depreciation) in securities for federal income tax purposes were as follows:

Gross unrealized appreciation	$-
Gross unrealized depreciation	-
Net unrealized appreciation (depreciation)	$-
Tax cost	$3,188,366,596

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

Short-term	$-
Long-term	(80,258)
Total capital loss carryforward	$(80,258)

Repurchase Agreements. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, funds and other registered investment companies having management contracts with Fidelity Management and Research Company LLC, or its affiliates are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. Funds may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by cash or government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The collateral balance is monitored on a daily basis to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

3. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund does not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Fund, except custody fees, fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

Subsequent Event - Sub-Advisory Arrangements. Effective March 1, 2024, the Fund's sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Hong Kong) Limited, and Fidelity Management & Research (Japan) Limited will be amended to provide that the investment adviser will pay each sub-adviser monthly fees equal to 110% of the sub-adviser's costs for providing sub-advisory services.

4. Other.

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

At the end of the period, mutual funds and accounts managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.

5. Risk and Uncertainties.

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2023 to February 29, 2024).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Annualized Expense Ratio- A	Beginning Account Value September 1, 2023	Ending Account Value February 29, 2024	Expenses Paid During Period- C September 1, 2023 to February 29, 2024

Fidelity® Series Government Money Market Fund	-%-D
Actual		$ 1,000	$ 1,027.30	$-E
Hypothetical-B		$ 1,000	$ 1,024.86	$-E

A Annualized expense ratio reflects expenses net of applicable fee waivers.

B 5% return per year before expenses

C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.

D Amount represents less than .005%.

E Amount represents less than $.005.

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Series Government Money Market Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board's Operations Committee, of which all the Independent Trustees are members, meets regularly throughout the year and requests, receives and considers, among other matters, information related to the annual consideration of the renewal of the fund's Advisory Contracts before making its recommendation to the Board. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet from time to time with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2023 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In considering whether to renew the Advisory Contracts for the fund, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable in light of all of the surrounding circumstances.

Nature, Extent, and Quality of Services Provided. The Board considered staffing as it relates to the fund, including the backgrounds and experience of investment personnel of the Investment Advisers, and also considered the Investment Advisers' implementation of the fund's investment program. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping; (ii) the nature and extent of Fidelity's supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted by Fidelity to, and the record of compliance with, the fund's compliance policies and procedures.

Investment Performance. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. In this regard, the Board noted that the fund is designed to offer an investment option for other investment companies, collective investment trusts, and 529 plans managed by Fidelity and ultimately to enhance the performance of those investment companies, collective investment trusts, and 529 plans.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio. The Board considered that the fund does not pay FMR a management fee for investment advisory services, but that FMR receives fees for providing services to funds, collective investment trusts, and 529 plans that invest in the fund. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except transfer agent fees, 12b-1 fees, Independent Trustee fees and expenses, custodian fees and expenses, proxy and shareholder meeting expenses, interest, taxes, and extraordinary expenses (such as litigation expenses). The Board further noted that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable.

The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.003% through December 31, 2025.

Based on its review, the Board considered that the fund does not pay a management fee and concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.

The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.

Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contracts.

Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and Fidelity's views regarding portfolio manager investment in the Fidelity funds that they manage; (iii) hiring, training, and retaining personnel; (iv) the arrangements with and compensation paid to certain fund sub-advisers and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of the funds' various management fee structures, including the basic group fee and the terms of Fidelity's voluntary expense limitation arrangements; (vi) Fidelity's transfer agent, pricing and bookkeeping fees, expense and service structures for different funds and classes relative to competitive trends and market conditions; (vii) the impact on fund profitability of recent industry trends, such as the growth in passively managed funds and the changes in flows for different types of funds; (viii) the types of management fee and total expense comparisons provided, and the challenges and limitations associated with such information; (ix) explanations regarding the relative total expense ratios and management fees of certain funds and classes, total expense and management fee competitive trends, and methodologies for total expense and management fee competitive comparisons; (x) information concerning expense limitations applicable to certain funds; and (xi) matters related to money market funds, exchange-traded funds, and target date funds.

Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board, including the Independent Trustees, concluded that the advisory and sub-advisory fee arrangements are fair and reasonable in light of all of the surrounding circumstances and that the fund's Advisory Contracts should be renewed through September 30, 2024.

Board Approval of Investment Advisory Contracts

Fidelity Series Government Money Market Fund

At its January 2024 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), approved amended and restated sub-advisory agreements (the Sub-Advisory Contracts) for the fund, including the fund's sub-advisory agreements with FMR Investment Management (UK) Limited (FMR UK), Fidelity Management & Research (Hong Kong) Limited (FMR H.K.), and Fidelity Management & Research (Japan) Limited (FMR Japan). The Sub-Advisory Contracts will be effective March 1, 2024. The Board will consider the annual renewal of the fund's Sub-Advisory Contracts in September 2024, following its review of additional materials provided by FMR.

The Board considered the Sub-Advisory Contracts, which changed the arrangements for fees paid by FMR to the sub-advisers under the agreements. The Board noted that the agreements with FMR UK, FMR H.K., and FMR Japan were amended to provide that FMR will compensate each sub-adviser at a fee equal to 110% of the sub-adviser's costs incurred in providing services under the agreement. The Board considered that, under the Sub-Advisory Contracts, FMR, and not the fund, will continue to pay the sub-advisory fees to each applicable sub-adviser, and that the management fee paid by the fund under the management contract with FMR will remain unchanged.

The Board considered that the approval of the fund's Sub-Advisory Contracts will not result in any changes in the investment process or strategies employed in the management of the fund's assets or the day-to-day management of the fund or the persons primarily responsible for such management. Further, the Board considered that the Sub-Advisory Contracts would not change the obligations and services of FMR and its affiliates on behalf of the fund, and, in particular, there would be no change in the nature and level of services provided to the fund by FMR and its affiliates.

In connection with its consideration of future renewals of the fund's advisory contracts, the Board will consider: (i) the nature, extent and quality of services provided to the funds, including shareholder and administrative services and investment performance; (ii) the competitiveness of the management fee and total expenses for the fund; (iii) the costs of the services and profitability, including the revenues earned and the expenses incurred in conducting the business of developing, marketing, distributing, managing, administering, and servicing the fund and its shareholders, to the extent applicable; and (iv) whether there have been economies of scale in respect of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is the potential for realization of any further economies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the fund's management fee structure is fair and reasonable, and that the fund's Sub-Advisory Contracts should be approved.

A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
Proposal 1
To elect a Board of Trustees.
	# of Votes	% of Votes
Abigail P. Johnson
Affirmative	378,729,502,260.01	97.58
Withheld	9,407,876,478.96	2.42
TOTAL	388,137,378,738.97	100.00
Jennifer Toolin McAuliffe
Affirmative	378,454,868,010.95	97.51
Withheld	9,682,510,728.02	2.49
TOTAL	388,137,378,738.97	100.00
Christine J. Thompson
Affirmative	378,837,121,274.52	97.60
Withheld	9,300,257,464.45	2.40
TOTAL	388,137,378,738.97	100.00
Elizabeth S. Acton
Affirmative	378,262,110,794.85	97.46
Withheld	9,875,267,944.12	2.54
TOTAL	388,137,378,738.97	100.00
Laura M. Bishop
Affirmative	380,482,113,171.06	98.03
Withheld	7,655,265,567.91	1.97
TOTAL	388,137,378,738.97	100.00
Ann E. Dunwoody
Affirmative	380,016,034,008.12	97.91
Withheld	8,121,344,730.85	2.09
TOTAL	388,137,378,738.97	100.00
John Engler
Affirmative	379,432,488,394.20	97.76
Withheld	8,704,890,344.77	2.24
TOTAL	388,137,378,738.97	100.00
Robert F. Gartland
Affirmative	378,741,819,600.60	97.58
Withheld	9,395,559,138.37	2.42
TOTAL	388,137,378,738.97	100.00
Robert W. Helm
Affirmative	380,389,324,755.07	98.00
Withheld	7,748,053,983.90	2.00
TOTAL	388,137,378,738.97	100.00
Arthur E. Johnson
Affirmative	378,427,694,151.67	97.50
Withheld	9,709,684,587.30	2.50
TOTAL	388,137,378,738.97	100.00
Michael E. Kenneally
Affirmative	377,842,228,145.18	97.35
Withheld	10,295,150,593.79	2.65
TOTAL	388,137,378,738.97	100.00
Mark A. Murray
Affirmative	380,158,432,703.37	97.94
Withheld	7,978,946,035.60	2.06
TOTAL	388,137,378,738.97	100.00
Carol J. Zierhoffer
Affirmative	380,522,113,360.24	98.04
Withheld	7,615,265,378.73	1.96
TOTAL	388,137,378,738.97	100.00

Proposal 1 reflects trust wide proposal and voting results.

1.9878696.107

GVM-SANN-0424

Fidelity® Investment Grade Bond Fund

Semi-Annual Report

February 29, 2024

Includes Fidelity and Fidelity Advisor share classes

Contents

You may also call 1-800-544-8544 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Schedule of Investments February 29, 2024 (Unaudited)

The information in the following tables is based on the combined Investments of the Fund and its pro-rata share of investments in Fidelity's Central Funds, other than the Money Market Central Funds.

Quality Diversification (% of Fund's net assets)

Short-Term Investments and Net Other Assets (Liabilities) - (1.2)%

We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.

Securities rated BB or below were rated investment grade at the time of acquisition.

Asset Allocation (% of Fund's net assets)

Short-Term Investments and Net Other Assets (Liabilities) - (1.2)%

Written options - (0.3)%

Futures and Swaps - (0.7)%

Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.

An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional. fidelity.com, as applicable.

Geographic Diversification (% of Fund's net assets)

* Includes Short-Term investments and Net Other Assets (Liabilities).

Percentages are adjusted for the effect of derivatives, if applicable.

Showing Percentage of Net Assets

Nonconvertible Bonds - 27.3%
	Principal Amount (a) (000s)	Value ($) (000s)
COMMUNICATION SERVICES - 2.5%
Diversified Telecommunication Services - 0.6%
AT&T, Inc.:
2.55% 12/1/33	1,806	1,424
4.3% 2/15/30	34,036	32,460
Verizon Communications, Inc.:
2.987% 10/30/56	869	540
4.5% 8/10/33	3,429	3,236
4.862% 8/21/46	14,251	13,062
		50,722
Media - 1.6%
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
2.8% 4/1/31	25,400	20,526
3.7% 4/1/51	15,400	9,348
3.85% 4/1/61	4,000	2,323
3.9% 6/1/52	7,000	4,401
4.8% 3/1/50	12,000	8,683
5.375% 5/1/47	22,326	17,631
5.75% 4/1/48	11,014	9,169
6.834% 10/23/55	7,000	6,633
Comcast Corp. 3.75% 4/1/40	622	509
Discovery Communications LLC:
3.625% 5/15/30	4,063	3,571
4.65% 5/15/50	10,998	8,340
Fox Corp.:
5.476% 1/25/39	1,366	1,276
5.576% 1/25/49	906	829
Time Warner Cable LLC:
4.5% 9/15/42	544	398
5.5% 9/1/41	966	796
5.875% 11/15/40	7,077	6,104
6.55% 5/1/37	3,601	3,392
6.75% 6/15/39	6,233	5,881
7.3% 7/1/38	2,390	2,383
Warnermedia Holdings, Inc.:
3.755% 3/15/27	5,285	5,001
4.054% 3/15/29	1,832	1,697
4.279% 3/15/32	5,334	4,706
5.05% 3/15/42	2,865	2,409
5.141% 3/15/52	27,262	22,153
		148,159
Wireless Telecommunication Services - 0.3%
T-Mobile U.S.A., Inc.:
3.75% 4/15/27	6,800	6,518
3.875% 4/15/30	20,000	18,564
		25,082
TOTAL COMMUNICATION SERVICES		223,963
CONSUMER DISCRETIONARY - 1.3%
Automobiles - 0.0%
General Motors Financial Co., Inc. 5.85% 4/6/30	3,042	3,082
Broadline Retail - 0.2%
Alibaba Group Holding Ltd.:
2.125% 2/9/31	3,090	2,551
2.7% 2/9/41	16,100	11,059
		13,610
Household Durables - 0.3%
Lennar Corp.:
4.75% 11/29/27	15,563	15,315
5% 6/15/27	8,419	8,349
Toll Brothers Finance Corp. 4.35% 2/15/28	2,908	2,795
		26,459
Specialty Retail - 0.4%
AutoNation, Inc. 4.75% 6/1/30	909	865
AutoZone, Inc. 4% 4/15/30	21,631	20,360
Lowe's Companies, Inc.:
3.75% 4/1/32	2,515	2,285
4.25% 4/1/52	10,263	8,246
4.45% 4/1/62	10,550	8,423
		40,179
Textiles, Apparel & Luxury Goods - 0.4%
Tapestry, Inc.:
3.05% 3/15/32	20,094	16,282
7% 11/27/26	3,083	3,166
7.05% 11/27/25	1,143	1,164
7.35% 11/27/28	4,784	5,004
7.7% 11/27/30	4,784	5,073
7.85% 11/27/33	4,784	5,175
		35,864
TOTAL CONSUMER DISCRETIONARY		119,194
CONSUMER STAPLES - 1.1%
Beverages - 0.1%
Anheuser-Busch InBev Finance, Inc. 4.7% 2/1/36	1,032	988
Anheuser-Busch InBev Worldwide, Inc. 5.8% 1/23/59 (Reg. S)	8,567	9,094
		10,082
Food Products - 1.0%
JBS U.S.A. Lux SA/JBS Food Co./JBS U.S.A. Finance, Inc.:
2.5% 1/15/27	14,165	12,996
3% 5/15/32	14,250	11,409
3.625% 1/15/32	1,330	1,118
5.125% 2/1/28	4,285	4,198
5.5% 1/15/30	39,620	38,615
5.75% 4/1/33	8,830	8,563
Kraft Heinz Foods Co. 7.125% 8/1/39 (b)	5,618	6,394
		83,293
TOTAL CONSUMER STAPLES		93,375
ENERGY - 2.4%
Oil, Gas & Consumable Fuels - 2.4%
Columbia Pipelines Operating Co. LLC:
5.927% 8/15/30 (b)	1,258	1,281
6.036% 11/15/33 (b)	3,393	3,484
6.497% 8/15/43 (b)	1,014	1,073
6.544% 11/15/53 (b)	1,826	1,945
6.714% 8/15/63 (b)	1,093	1,184
DCP Midstream Operating LP 5.6% 4/1/44	1,707	1,626
Energy Transfer LP:
3.75% 5/15/30	2,274	2,074
4.95% 6/15/28	2,591	2,552
5% 5/15/50	18,683	16,106
5.25% 4/15/29	1,549	1,543
5.4% 10/1/47	1,426	1,293
5.8% 6/15/38	1,445	1,429
6% 6/15/48	1,441	1,412
6.125% 12/15/45	400	397
6.25% 4/15/49	1,064	1,074
Hess Corp.:
5.6% 2/15/41	22,554	22,711
7.125% 3/15/33	839	941
7.3% 8/15/31	1,023	1,151
7.875% 10/1/29	2,921	3,273
Kinder Morgan, Inc. 3.6% 2/15/51	18,000	12,354
MPLX LP:
4.8% 2/15/29	816	799
4.95% 9/1/32	7,989	7,652
5.5% 2/15/49	2,450	2,294
Occidental Petroleum Corp.:
6.45% 9/15/36	2,750	2,895
6.6% 3/15/46	3,032	3,221
7.5% 5/1/31	3,937	4,348
Ovintiv, Inc.:
5.15% 11/15/41	2,000	1,704
8.125% 9/15/30	3,357	3,762
Petroleos Mexicanos:
5.95% 1/28/31	2,610	2,026
6.49% 1/23/27	1,757	1,642
6.5% 3/13/27	5,805	5,414
6.75% 9/21/47	14,189	9,010
6.84% 1/23/30	5,979	5,111
6.95% 1/28/60	4,247	2,694
7.69% 1/23/50	70,161	48,330
Plains All American Pipeline LP/PAA Finance Corp. 3.55% 12/15/29	1,242	1,127
Sabine Pass Liquefaction LLC 4.5% 5/15/30	9,286	8,886
The Williams Companies, Inc.:
3.5% 11/15/30	9,960	8,988
4.65% 8/15/32	8,326	7,921
5.3% 8/15/52	1,888	1,767
Western Gas Partners LP:
4.65% 7/1/26	1,129	1,105
4.75% 8/15/28	781	754
5.25% 2/1/50	7,720	6,830
		217,183
FINANCIALS - 12.9%
Banks - 7.3%
Bank of America Corp.:
1.922% 10/24/31 (c)	20,000	16,139
2.299% 7/21/32 (c)	25,000	20,235
2.884% 10/22/30 (c)	50,000	44,033
4.183% 11/25/27	4,363	4,218
4.25% 10/22/26	23,937	23,421
5.015% 7/22/33 (c)	13,700	13,354
Barclays PLC:
2.852% 5/7/26 (c)	9,444	9,130
4.375% 1/12/26	2,821	2,764
4.836% 5/9/28	3,683	3,549
5.088% 6/20/30 (c)	11,424	10,822
5.2% 5/12/26	26,475	26,178
BNP Paribas SA 2.219% 6/9/26 (b)(c)	9,008	8,623
BPCE SA 4.875% 4/1/26 (b)	4,662	4,559
Citigroup, Inc.:
2.976% 11/5/30 (c)	50,000	44,065
4.075% 4/23/29 (c)	16,389	15,642
4.125% 7/25/28	4,363	4,150
4.3% 11/20/26	1,115	1,086
4.412% 3/31/31 (c)	21,454	20,266
4.45% 9/29/27	55,258	53,526
4.6% 3/9/26	5,613	5,521
5.3% 5/6/44	6,000	5,730
Citizens Financial Group, Inc. 2.638% 9/30/32	4,614	3,503
Commonwealth Bank of Australia 3.61% 9/12/34 (b)(c)	2,250	2,002
HSBC Holdings PLC:
4.25% 3/14/24	905	904
4.95% 3/31/30	1,541	1,509
5.25% 3/14/44	656	625
Intesa Sanpaolo SpA:
5.017% 6/26/24 (b)	836	831
5.71% 1/15/26 (b)	37,209	36,869
JPMorgan Chase & Co.:
2.956% 5/13/31 (c)	5,034	4,372
4.493% 3/24/31 (c)	17,000	16,328
5.717% 9/14/33 (c)	65,747	66,571
NatWest Group PLC:
3.073% 5/22/28 (c)	5,536	5,137
4.8% 4/5/26	12,145	11,995
5.125% 5/28/24	13,736	13,690
Rabobank Nederland 4.375% 8/4/25	3,024	2,966
Societe Generale:
1.038% 6/18/25 (b)(c)	50,000	49,222
1.488% 12/14/26 (b)(c)	13,930	12,847
4.25% 4/14/25 (b)	4,491	4,394
Wells Fargo & Co.:
3.196% 6/17/27 (c)	40,441	38,504
3.526% 3/24/28 (c)	11,202	10,621
4.3% 7/22/27	16,184	15,711
4.478% 4/4/31 (c)	15,500	14,739
Westpac Banking Corp. 4.11% 7/24/34 (c)	3,103	2,834
		653,185
Capital Markets - 2.6%
Ares Capital Corp.:
3.25% 7/15/25	42,008	40,349
3.875% 1/15/26	16,340	15,676
Athene Global Funding:
5.339% 1/15/27 (b)	12,500	12,431
5.583% 1/9/29 (b)	6,252	6,229
Blackstone Private Credit Fund 7.05% 9/29/25	10,049	10,181
Deutsche Bank AG 4.5% 4/1/25	8,603	8,438
Deutsche Bank AG New York Branch:
3.729% 1/14/32 (c)	8,509	6,970
4.1% 1/13/26	5,262	5,133
Goldman Sachs Group, Inc.:
2.383% 7/21/32 (c)	12,267	9,983
4.25% 10/21/25	7,670	7,534
6.75% 10/1/37	24,081	26,175
Morgan Stanley:
3.622% 4/1/31 (c)	35,865	32,582
5% 11/24/25	2,037	2,025
UBS Group AG:
1.494% 8/10/27 (b)(c)	7,599	6,884
2.593% 9/11/25 (b)(c)	9,092	8,936
3.75% 3/26/25	6,137	6,010
4.194% 4/1/31 (b)(c)	30,399	27,958
		233,494
Consumer Finance - 1.9%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
1.75% 1/30/26	10,220	9,495
2.45% 10/29/26	5,268	4,859
3% 10/29/28	5,518	4,958
3.3% 1/30/32	5,903	4,992
4.45% 4/3/26	2,472	2,422
6.5% 7/15/25	4,349	4,390
Ally Financial, Inc.:
4.625% 3/30/25	2,237	2,212
5.8% 5/1/25	19,772	19,741
7.1% 11/15/27	9,050	9,423
8% 11/1/31	3,172	3,482
Capital One Financial Corp.:
3.65% 5/11/27	15,715	14,968
3.8% 1/31/28	6,614	6,255
4.985% 7/24/26 (c)	8,087	8,013
5.247% 7/26/30 (c)	10,430	10,170
7.624% 10/30/31 (c)	7,729	8,458
Discover Financial Services:
3.95% 11/6/24	1,184	1,169
4.1% 2/9/27	8,206	7,870
4.5% 1/30/26	3,562	3,505
6.7% 11/29/32	1,995	2,088
Ford Motor Credit Co. LLC:
4.063% 11/1/24	18,137	17,887
5.584% 3/18/24	4,908	4,907
Synchrony Financial:
3.95% 12/1/27	5,215	4,831
4.25% 8/15/24	7,369	7,301
4.375% 3/19/24	5,520	5,516
5.15% 3/19/29	6,486	6,187
		175,099
Financial Services - 0.5%
Brixmor Operating Partnership LP:
4.05% 7/1/30	6,803	6,260
4.125% 6/15/26	3,253	3,135
4.125% 5/15/29	12,222	11,428
Corebridge Financial, Inc.:
3.9% 4/5/32	4,093	3,602
4.35% 4/5/42	931	768
4.4% 4/5/52	2,754	2,210
Jackson Financial, Inc.:
3.125% 11/23/31	955	790
5.17% 6/8/27	3,740	3,716
5.67% 6/8/32	4,017	4,003
Pine Street Trust I 4.572% 2/15/29 (b)	4,516	4,270
Pine Street Trust II 5.568% 2/15/49 (b)	4,529	4,174
		44,356
Insurance - 0.6%
Five Corners Funding Trust II 2.85% 5/15/30 (b)	13,114	11,368
Liberty Mutual Group, Inc. 3.95% 5/15/60 (b)	10,260	7,341
Lincoln National Corp. 3.4% 1/15/31	9,415	8,239
Pacific LifeCorp 5.125% 1/30/43 (b)	1,657	1,540
Pricoa Global Funding I 5.375% 5/15/45 (c)	1,988	1,957
Prudential Financial, Inc.:
3.935% 12/7/49	2,764	2,169
6% 9/1/52 (c)	14,201	14,163
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(c)	600	582
Unum Group:
4% 6/15/29	3,614	3,380
5.75% 8/15/42	1,024	994
		51,733
TOTAL FINANCIALS		1,157,867
HEALTH CARE - 2.1%
Biotechnology - 0.2%
Amgen, Inc.:
5.25% 3/2/33	4,736	4,723
5.6% 3/2/43	4,499	4,504
5.65% 3/2/53	2,236	2,235
5.75% 3/2/63	4,076	4,076
		15,538
Health Care Providers & Services - 0.7%
Centene Corp.:
2.45% 7/15/28	12,745	11,233
2.625% 8/1/31	5,945	4,865
3.375% 2/15/30	5,110	4,508
4.25% 12/15/27	5,450	5,184
4.625% 12/15/29	8,470	8,017
HCA Holdings, Inc.:
3.5% 9/1/30	3,895	3,480
3.625% 3/15/32	1,074	938
5.625% 9/1/28	4,885	4,923
5.875% 2/1/29	3,803	3,871
Sabra Health Care LP 3.2% 12/1/31	12,177	9,873
Toledo Hospital 5.325% 11/15/28	1,513	1,413
Universal Health Services, Inc. 2.65% 10/15/30	10,442	8,718
		67,023
Pharmaceuticals - 1.2%
Bayer U.S. Finance II LLC:
4.25% 12/15/25 (b)	43,242	42,044
4.375% 12/15/28 (b)	58,400	54,400
Elanco Animal Health, Inc. 6.65% 8/28/28 (c)	905	912
Utah Acquisition Sub, Inc. 3.95% 6/15/26	1,304	1,259
Viatris, Inc.:
2.7% 6/22/30	6,115	5,150
3.85% 6/22/40	2,664	1,958
4% 6/22/50	3,018	2,060
		107,783
TOTAL HEALTH CARE		190,344
INDUSTRIALS - 0.9%
Aerospace & Defense - 0.3%
BAE Systems PLC 3.4% 4/15/30 (b)	2,547	2,307
The Boeing Co.:
5.15% 5/1/30	14,840	14,592
5.805% 5/1/50	4,840	4,665
5.93% 5/1/60	4,840	4,634
		26,198
Building Products - 0.0%
Carrier Global Corp.:
5.9% 3/15/34	922	956
6.2% 3/15/54	956	1,043
		1,999
Trading Companies & Distributors - 0.3%
Air Lease Corp.:
3.375% 7/1/25	7,888	7,662
3.75% 6/1/26	15,000	14,451
		22,113
Transportation Infrastructure - 0.3%
Avolon Holdings Funding Ltd.:
3.25% 2/15/27 (b)	7,484	6,915
3.95% 7/1/24 (b)	5,580	5,538
4.375% 5/1/26 (b)	4,949	4,775
6.375% 5/4/28 (b)	7,943	8,060
		25,288
TOTAL INDUSTRIALS		75,598
INFORMATION TECHNOLOGY - 0.8%
Electronic Equipment, Instruments & Components - 0.0%
Dell International LLC/EMC Corp. 6.2% 7/15/30	2,284	2,390
Semiconductors & Semiconductor Equipment - 0.6%
Broadcom, Inc.:
1.95% 2/15/28 (b)	2,435	2,162
2.45% 2/15/31 (b)	20,716	17,306
2.6% 2/15/33 (b)	20,716	16,651
3.187% 11/15/36 (b)	5,647	4,427
3.5% 2/15/41 (b)	16,728	12,792
		53,338
Software - 0.2%
Oracle Corp.:
2.95% 4/1/30	6,400	5,676
3.6% 4/1/50	6,370	4,485
3.85% 4/1/60	6,400	4,454
		14,615
TOTAL INFORMATION TECHNOLOGY		70,343
MATERIALS - 0.1%
Chemicals - 0.1%
Celanese U.S. Holdings LLC:
6.35% 11/15/28	4,423	4,549
6.55% 11/15/30	4,484	4,662
6.7% 11/15/33	2,619	2,751
		11,962
REAL ESTATE - 2.4%
Equity Real Estate Investment Trusts (REITs) - 2.0%
Alexandria Real Estate Equities, Inc.:
2% 5/18/32	6,718	5,194
4.9% 12/15/30	4,519	4,400
American Homes 4 Rent LP:
2.375% 7/15/31	977	787
3.375% 7/15/51	1,510	995
3.625% 4/15/32	3,763	3,283
4.3% 4/15/52	2,608	2,024
Boston Properties, Inc.:
3.25% 1/30/31	4,526	3,814
4.5% 12/1/28	2,824	2,668
Corporate Office Properties LP:
2% 1/15/29	747	619
2.25% 3/15/26	2,339	2,187
2.75% 4/15/31	2,202	1,777
Healthcare Realty Holdings LP:
3.1% 2/15/30	1,129	972
3.5% 8/1/26	1,176	1,119
Hudson Pacific Properties LP 4.65% 4/1/29	6,288	5,237
Invitation Homes Operating Partnership LP 4.15% 4/15/32	5,643	5,090
Kimco Realty OP, LLC 2.25% 12/1/31	9,524	7,575
Kite Realty Group Trust:
4% 3/15/25	8,142	7,967
4.75% 9/15/30	13,258	12,509
LXP Industrial Trust (REIT):
2.7% 9/15/30	2,571	2,120
4.4% 6/15/24	599	595
Omega Healthcare Investors, Inc.:
3.25% 4/15/33	8,532	6,791
3.375% 2/1/31	4,780	4,024
3.625% 10/1/29	5,204	4,570
4.5% 1/15/25	1,271	1,258
4.5% 4/1/27	452	435
4.75% 1/15/28	7,132	6,842
5.25% 1/15/26	2,371	2,350
Piedmont Operating Partnership LP 2.75% 4/1/32	1,917	1,356
Realty Income Corp.:
2.2% 6/15/28	1,146	1,017
2.85% 12/15/32	1,410	1,162
3.25% 1/15/31	1,277	1,131
3.4% 1/15/28	1,957	1,835
Retail Opportunity Investments Partnership LP 4% 12/15/24	405	398
Simon Property Group LP 2.45% 9/13/29	1,897	1,654
SITE Centers Corp.:
3.625% 2/1/25	967	951
4.25% 2/1/26	1,683	1,642
Store Capital LLC:
2.75% 11/18/30	2,849	2,247
4.625% 3/15/29	1,396	1,303
Sun Communities Operating LP:
2.3% 11/1/28	2,169	1,882
2.7% 7/15/31	5,600	4,567
Ventas Realty LP:
2.5% 9/1/31	16,206	13,179
3% 1/15/30	6,770	5,910
4% 3/1/28	1,358	1,292
4.125% 1/15/26	630	613
4.75% 11/15/30	10,898	10,414
VICI Properties LP:
4.375% 5/15/25	963	946
4.75% 2/15/28	7,611	7,371
4.95% 2/15/30	9,911	9,435
5.125% 5/15/32	998	936
Vornado Realty LP:
2.15% 6/1/26	2,457	2,205
3.4% 6/1/31	8,887	6,898
WP Carey, Inc. 3.85% 7/15/29	1,045	966
		178,512
Real Estate Management & Development - 0.4%
Brandywine Operating Partnership LP:
3.95% 11/15/27	2,767	2,432
4.1% 10/1/24	2,463	2,435
4.55% 10/1/29	1,135	947
7.8% 3/15/28	8,285	8,207
CBRE Group, Inc.:
2.5% 4/1/31	7,642	6,290
4.875% 3/1/26	4,953	4,898
Tanger Properties LP:
2.75% 9/1/31	5,725	4,619
3.125% 9/1/26	1,660	1,549
3.875% 7/15/27	6,943	6,372
		37,749
TOTAL REAL ESTATE		216,261
UTILITIES - 0.8%
Electric Utilities - 0.1%
Cleco Corporate Holdings LLC 3.375% 9/15/29	2,932	2,530
DPL, Inc. 4.35% 4/15/29	2,835	2,569
Duquesne Light Holdings, Inc.:
2.532% 10/1/30 (b)	1,869	1,543
2.775% 1/7/32 (b)	5,941	4,817
		11,459
Gas Utilities - 0.0%
Nakilat, Inc. 6.067% 12/31/33 (b)	638	657
Independent Power and Renewable Electricity Producers - 0.3%
The AES Corp.:
2.45% 1/15/31	5,591	4,561
3.3% 7/15/25 (b)	10,148	9,785
3.95% 7/15/30 (b)	8,852	8,042
		22,388
Multi-Utilities - 0.4%
NiSource, Inc.:
2.95% 9/1/29	19,262	17,310
5.95% 6/15/41	1,097	1,109
Puget Energy, Inc.:
4.1% 6/15/30	3,951	3,577
4.224% 3/15/32	7,271	6,505
Sempra 6% 10/15/39	1,733	1,752
WEC Energy Group, Inc. CME Term SOFR 3 Month Index + 2.110% 7.6811% 5/15/67 (c)(d)	1,164	1,109
		31,362
TOTAL UTILITIES		65,866
TOTAL NONCONVERTIBLE BONDS (Cost $2,713,835)		2,441,956

U.S. Treasury Obligations - 40.8%
	Principal Amount (a) (000s)	Value ($) (000s)
U.S. Treasury Bonds:
2.25% 2/15/52	58,500	38,267
2.375% 5/15/51 (e)	505,229	340,931
2.875% 5/15/52 (e)	224,700	169,192
3.625% 2/15/53	157,354	137,574
4.125% 8/15/53	4,640	4,442
4.375% 8/15/43	9,440	9,242
4.75% 11/15/53	55,400	58,940
U.S. Treasury Notes:
3.125% 11/15/28	38,238	36,353
3.375% 5/15/33	361,500	337,240
3.5% 1/31/30	98,900	94,886
3.5% 4/30/30	154,100	147,623
3.5% 2/15/33	424,500	400,454
3.625% 3/31/30	162,200	156,523
3.75% 6/30/30	122,500	118,897
3.75% 12/31/30	211,300	204,763
3.875% 12/31/29	78,700	77,068
3.875% 8/15/33	26,768	25,969
4% 1/15/27	3,800	3,755
4% 2/15/27	10,590	10,503
4% 10/31/29	188,000	185,320
4% 2/28/30	237,100	233,534
4% 2/15/34 (f)	148,300	145,404
4.125% 7/31/28	137,400	136,439
4.125% 11/15/32	15,100	14,940
4.25% 2/28/31	187,100	186,866
4.375% 12/15/26	1,620	1,617
4.5% 11/15/33	371,600	378,626
TOTAL U.S. TREASURY OBLIGATIONS (Cost $3,953,650)		3,655,368

U.S. Government Agency - Mortgage Securities - 22.2%
	Principal Amount (a) (000s)	Value ($) (000s)
Fannie Mae - 2.7%
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.360% 5.615% 10/1/35 (c)(d)	20	20
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.440% 3.945% 4/1/37 (c)(d)	5	5
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.460% 6.085% 1/1/35 (c)(d)	10	11
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.470% 5.058% 10/1/33 (c)(d)	1	1
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.480% 5.73% 7/1/34 (c)(d)	1	1
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.500% 5.755% 1/1/35 (c)(d)	7	7
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.510% 7.316% 2/1/33 (c)(d)	1	1
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.530% 5.461% 12/1/34 (c)(d)	3	3
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.530% 5.785% 3/1/35 (c)(d)	3	3
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.550% 5.131% 2/1/44 (c)(d)	3	3
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.550% 5.241% 5/1/44 (c)(d)	4	4
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.550% 5.803% 6/1/36 (c)(d)	11	12
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.550% 7.3% 9/1/33 (c)(d)	84	85
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.550% 7.308% 10/1/33 (c)(d)	2	2
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.560% 4.065% 3/1/37 (c)(d)	37	38
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.560% 5.319% 2/1/44 (c)(d)	8	8
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.560% 7.359% 7/1/35 (c)(d)	2	2
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.570% 4.599% 4/1/44 (c)(d)	13	14
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.580% 4.08% 4/1/44 (c)(d)	5	5
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.580% 5.83% 1/1/44 (c)(d)	7	8
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.620% 5.608% 3/1/33 (c)(d)	28	28
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.630% 5.815% 9/1/36 (c)(d)	3	3
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.640% 5.422% 11/1/36 (c)(d)	14	14
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.640% 5.864% 5/1/35 (c)(d)	8	9
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.640% 5.895% 6/1/47 (c)(d)	52	53
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.680% 5.741% 7/1/43 (c)(d)	72	73
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.700% 5.144% 6/1/42 (c)(d)	52	53
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.730% 5.842% 3/1/40 (c)(d)	33	34
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.740% 5.519% 5/1/36 (c)(d)	16	17
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 5.649% 7/1/35 (c)(d)	22	22
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 8/1/41 (c)(d)	15	15
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.770% 5.995% 2/1/37 (c)(d)	82	84
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 6.05% 7/1/41 (c)(d)	22	23
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 6.051% 12/1/40 (c)(d)	268	275
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 6.055% 1/1/42 (c)(d)	167	170
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 4.519% 2/1/42 (c)(d)	108	110
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 6.05% 7/1/41 (c)(d)	40	41
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 6.06% 12/1/39 (c)(d)	3	3
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 6.068% 9/1/41 (c)(d)	20	20
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.820% 4.757% 2/1/35 (c)(d)	13	13
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.830% 6.08% 10/1/41 (c)(d)	17	17
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.850% 4.429% 4/1/36 (c)(d)	64	66
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.890% 5.582% 8/1/35 (c)(d)	56	57
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.950% 5.771% 7/1/37 (c)(d)	15	15
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.960% 5.418% 9/1/35 (c)(d)	1	1
U.S. TREASURY 1 YEAR INDEX + 2.180% 6.079% 7/1/36 (c)(d)	8	8
U.S. TREASURY 1 YEAR INDEX + 2.200% 4.583% 3/1/35 (c)(d)	4	4
U.S. TREASURY 1 YEAR INDEX + 2.270% 6.395% 6/1/36 (c)(d)	7	7
U.S. TREASURY 1 YEAR INDEX + 2.280% 6.404% 10/1/33 (c)(d)	7	7
U.S. TREASURY 1 YEAR INDEX + 2.460% 5.988% 7/1/34 (c)(d)	8	8
1.5% 9/1/35 to 11/1/41	12,975	10,600
2% 2/1/28 to 10/1/52	36,378	29,936
2.5% 1/1/29 to 5/1/53 (g)	71,432	61,418
3% 12/1/28 to 9/1/53 (e)(h)	46,602	40,887
3.25% 12/1/41	11	10
3.4% 7/1/42 to 9/1/42	118	107
3.5% 9/1/33 to 3/1/52	23,032	21,159
3.5% 12/1/46	2,417	2,222
3.65% 5/1/42 to 8/1/42	50	46
3.9% 4/1/42	14	13
4% 3/1/36 to 10/1/52	16,194	15,250
4.025% 5/1/42	17	16
4.25% 11/1/41	21	20
4.5% to 4.5% 6/1/24 to 8/1/52	13,060	12,663
5% 10/1/29 to 11/1/53	16,688	16,311
5.29% 8/1/41 (c)	182	180
5.5% 8/1/25 to 7/1/53	7,590	7,570
6% to 6% 9/1/29 to 9/1/53	7,140	7,270
6% 11/1/53	1,901	1,914
6.5% 1/1/26 to 10/1/53	16,117	16,480
6.705% 2/1/39 (c)	82	84
7% to 7% 3/1/24 to 7/1/37	74	76
7.5% to 7.5% 7/1/25 to 11/1/31	42	43
8% 3/1/37	4	5
TOTAL FANNIE MAE		245,763
Freddie Mac - 1.6%
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.120% 5.029% 8/1/37 (c)(d)	9	9
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.320% 5.575% 1/1/36 (c)(d)	20	20
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.370% 5.625% 3/1/36 (c)(d)	14	14
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.500% 5.824% 3/1/36 (c)(d)	11	11
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.660% 5.165% 1/1/37 (c)(d)	17	17
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.660% 6.04% 7/1/36 (c)(d)	68	69
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.660% 7.54% 7/1/35 (c)(d)	12	12
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 12/1/40 (c)(d)	101	103
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 7/1/41 (c)(d)	24	25
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 9/1/41 (c)(d)	320	326
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.860% 5.239% 4/1/36 (c)(d)	7	7
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.880% 5.255% 4/1/41 (c)(d)	8	8
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.880% 5.489% 10/1/36 (c)(d)	119	121
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.880% 6.13% 9/1/41 (c)(d)	27	28
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.880% 6.13% 10/1/41 (c)(d)	193	196
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.900% 6.008% 10/1/42 (c)(d)	133	135
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 5.213% 5/1/41 (c)(d)	57	59
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 5.568% 5/1/41 (c)(d)	65	66
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 5.699% 6/1/41 (c)(d)	55	56
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 6.16% 6/1/41 (c)(d)	20	20
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.990% 6% 10/1/35 (c)(d)	60	61
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.010% 7.885% 5/1/37 (c)(d)	11	12
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.020% 4.936% 4/1/38 (c)(d)	6	6
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.020% 7.885% 6/1/37 (c)(d)	25	25
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.030% 6.158% 3/1/33 (c)(d)	0	0
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.040% 6.256% 7/1/36 (c)(d)	52	53
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.200% 6.45% 12/1/36 (c)(d)	9	9
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.680% 8.249% 10/1/35 (c)(d)	8	9
U.S. TREASURY 1 YEAR INDEX + 2.030% 5.183% 6/1/33 (c)(d)	83	83
U.S. TREASURY 1 YEAR INDEX + 2.230% 5.062% 4/1/34 (c)(d)	27	27
U.S. TREASURY 1 YEAR INDEX + 2.260% 5.231% 6/1/33 (c)(d)	22	22
U.S. TREASURY 1 YEAR INDEX + 2.430% 6.385% 3/1/35 (c)(d)	41	41
U.S. TREASURY 1 YEAR INDEX + 2.540% 5.875% 7/1/35 (c)(d)	47	48
1.5% 10/1/35 to 12/1/50	6,055	5,185
2% 6/1/35 to 2/1/52	20,182	16,999
2.5% 5/1/30 to 8/1/53 (e)	32,136	27,453
3% 6/1/31 to 5/1/53	21,479	18,632
3.5% 3/1/32 to 2/1/52	24,654	22,698
3.5% 7/1/42	635	585
3.5% 7/1/42	282	260
3.5% 9/1/42	825	759
3.5% 11/1/42	250	230
4% 1/1/36 to 2/1/50	14,503	13,691
4% 4/1/48	8	7
4.5% 6/1/25 to 10/1/48	6,609	6,421
5% 8/1/33 to 1/1/53	9,767	9,625
5.5% 10/1/52 to 3/1/54 (e)	6,487	6,463
5.5% 1/1/54	608	602
5.5% 2/1/54	244	241
5.5% 3/1/54	842	833
6% 4/1/28 to 11/1/53	3,863	3,918
6.5% 5/1/26 to 1/1/54 (e)	3,008	3,105
7% 3/1/26 to 9/1/36	70	72
7.5% 6/1/26 to 11/1/31	1	1
8% 7/1/24 to 4/1/32	2	2
8.5% 1/1/25 to 9/1/29	1	1
TOTAL FREDDIE MAC		139,481
Ginnie Mae - 2.3%
3.5% 9/20/40 to 12/20/49	8,327	7,683
4% 7/15/39 to 5/20/49	7,079	6,734
4.5% 6/20/33 to 8/15/41	5,153	5,019
5% 12/15/32 to 4/20/48	3,065	3,060
5.5% 6/15/33 to 9/15/39	198	201
6% to 6% 10/15/30 to 5/15/40	1,447	1,485
7% to 7% 8/15/25 to 11/15/32	158	163
7.5% to 7.5% 6/15/24 to 9/15/31	36	37
8% 4/15/24 to 11/15/29	5	5
8.5% 11/15/27 to 1/15/31	2	2
2% 12/20/50 to 5/20/52	12,696	10,332
2% 3/1/54 (i)	3,750	3,052
2% 3/1/54 (i)	3,250	2,645
2% 3/1/54 (i)	9,050	7,365
2% 3/1/54 (i)	6,100	4,964
2% 3/1/54 (i)	4,650	3,784
2% 3/1/54 (i)	1,500	1,221
2% 3/1/54 (i)	1,875	1,526
2% 3/1/54 (i)	1,325	1,078
2% 3/1/54 (i)	4,350	3,540
2% 3/1/54 (i)	3,100	2,523
2% 3/1/54 (i)	4,250	3,459
2% 3/1/54 (i)	2,450	1,994
2% 4/1/54 (i)	15,500	12,622
2% 4/1/54 (i)	12,000	9,772
2% 4/1/54 (i)	1,200	977
2% 4/1/54 (i)	650	529
2% 4/1/54 (i)	6,150	5,008
2% 4/1/54 (i)	5,375	4,377
2% 4/1/54 (i)	10,775	8,775
2% 4/1/54 (i)	400	326
2.5% 7/20/51 to 1/20/52	7,465	6,262
2.5% 3/1/54 (i)	7,850	6,642
2.5% 3/1/54 (i)	11,800	9,985
2.5% 3/1/54 (i)	6,800	5,754
2.5% 4/1/54 (i)	425	360
3% 5/15/42 to 2/20/50	3,313	2,958
3% 3/1/54 (i)	5,750	5,042
3% 3/1/54 (i)	2,650	2,324
3% 3/1/54 (i)	10,625	9,318
3% 3/1/54 (i)	3,150	2,762
3% 4/1/54 (i)	10,550	9,258
3% 4/1/54 (i)	2,575	2,260
5.47% 8/20/59 (c)(j)	1	1
5.5% 3/1/54 (i)	6,650	6,607
5.5% 3/1/54 (i)	4,250	4,223
6% 3/1/54 (i)	2,300	2,312
6% 3/1/54 (i)	1,750	1,759
6% 3/1/54 (i)	1,050	1,055
6.5% 3/20/31 to 6/15/37	55	57
6.5% 3/1/54 (i)	1,750	1,774
6.5% 3/1/54 (i)	2,450	2,483
6.5% 3/1/54 (i)	2,700	2,737
6.5% 4/1/54 (i)	950	962
6.5% 4/1/54 (i)	2,350	2,380
TOTAL GINNIE MAE		203,533
Uniform Mortgage Backed Securities - 15.6%
2% 3/1/54 (i)	1,500	1,179
2% 3/1/54 (i)	5,000	3,930
2% 3/1/54 (i)	78,500	61,705
2% 3/1/54 (i)	28,800	22,638
2% 3/1/54 (i)	19,700	15,485
2% 3/1/54 (i)	53,700	42,211
2% 3/1/54 (i)	80,600	63,356
2% 3/1/54 (i)	29,600	23,267
2% 3/1/54 (i)	42,700	33,564
2% 3/1/54 (i)	15,050	11,830
2% 3/1/54 (i)	28,650	22,520
2% 3/1/54 (i)	10,100	7,939
2% 4/1/54 (i)	21,400	16,843
2% 4/1/54 (i)	7,750	6,100
2% 4/1/54 (i)	26,850	21,133
2% 4/1/54 (i)	9,700	7,635
2% 4/1/54 (i)	13,350	10,507
2% 4/1/54 (i)	4,850	3,817
2% 4/1/54 (i)	55,250	43,485
2% 4/1/54 (i)	20,750	16,332
2% 4/1/54 (i)	4,600	3,621
2% 4/1/54 (i)	12,275	9,661
2% 4/1/54 (i)	106,650	83,941
2% 4/1/54 (i)	38,750	30,499
2.5% 3/1/54 (i)	60,200	49,458
2.5% 3/1/54 (i)	12,900	10,598
2.5% 3/1/54 (i)	31,925	26,228
2.5% 3/1/54 (i)	6,850	5,628
2.5% 3/1/54 (i)	37,700	30,973
2.5% 3/1/54 (i)	8,100	6,655
2.5% 3/1/54 (i)	34,800	28,590
2.5% 3/1/54 (i)	7,600	6,244
2.5% 3/1/54 (i)	15,450	12,693
2.5% 3/1/54 (i)	3,400	2,793
2.5% 3/1/54 (i)	10,675	8,770
2.5% 3/1/54 (i)	48,825	40,113
2.5% 3/1/54 (i)	24,250	19,923
2.5% 3/1/54 (i)	5,350	4,395
2.5% 3/1/54 (i)	5,325	4,375
2.5% 3/1/54 (i)	24,275	19,943
2.5% 4/1/54 (i)	111,200	91,471
2.5% 4/1/54 (i)	24,100	19,824
3% 3/1/54 (i)	1,800	1,540
3% 3/1/54 (i)	4,400	3,764
3% 3/1/54 (i)	200	171
3% 3/1/54 (i)	20,350	17,410
3% 3/1/54 (i)	79,400	67,930
3% 3/1/54 (i)	22,700	19,421
3% 3/1/54 (i)	5,575	4,770
3% 3/1/54 (i)	7,100	6,074
3% 3/1/54 (i)	30,100	25,752
3% 3/1/54 (i)	10,650	9,112
3% 3/1/54 (i)	45,150	38,628
3% 3/1/54 (i)	5,750	4,919
3% 3/1/54 (i)	24,400	20,875
3% 3/1/54 (i)	4,300	3,679
3% 3/1/54 (i)	18,250	15,614
3% 3/1/54 (i)	17,925	15,336
3% 3/1/54 (i)	2,825	2,417
3% 4/1/54 (i)	114,900	98,410
3% 4/1/54 (i)	28,050	24,024
3.5% 3/1/54 (i)	250	222
3.5% 3/1/54 (i)	600	534
5% 3/1/54 (i)	2,325	2,255
5% 3/1/54 (i)	1,300	1,261
5% 3/1/54 (i)	1,600	1,552
5.5% 3/1/54 (i)	1,600	1,583
5.5% 3/1/54 (i)	7,200	7,123
5.5% 3/1/54 (i)	1,000	989
6% 3/1/54 (i)	4,000	4,018
6% 3/1/54 (i)	4,150	4,168
6% 3/1/54 (i)	4,050	4,068
6% 3/1/54 (i)	3,700	3,716
6% 3/1/54 (i)	1,200	1,205
6% 3/1/54 (i)	1,200	1,205
6% 3/1/54 (i)	5,950	5,976
6% 3/1/54 (i)	2,425	2,436
6% 3/1/54 (i)	2,825	2,837
6.5% 3/1/54 (i)	2,025	2,060
6.5% 3/1/54 (i)	1,900	1,933
6.5% 3/1/54 (i)	3,700	3,765
6.5% 3/1/54 (i)	11,500	11,701
6.5% 3/1/54 (i)	125	127
TOTAL UNIFORM MORTGAGE BACKED SECURITIES		1,396,452
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $2,024,031)		1,985,229

Asset-Backed Securities - 7.0%
	Principal Amount (a) (000s)	Value ($) (000s)
AASET Trust:
Series 2018-1A Class A, 3.844% 1/16/38 (b)	6,016	4,242
Series 2019-1 Class A, 3.844% 5/15/39 (b)	530	424
Series 2019-2:
Class A, 3.376% 10/16/39 (b)	3,294	2,973
Class B, 4.458% 10/16/39 (b)	886	412
Series 2021-1A Class A, 2.95% 11/16/41 (b)	6,249	5,641
Series 2021-2A Class A, 2.798% 1/15/47 (b)	12,150	10,571
Affirm Asset Securitization Trust Series 2023-X1 Class A, 7.11% 11/15/28 (b)	711	713
Aimco:
Series 2018-BA Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6756% 1/15/32 (b)(c)(d)	2,225	2,228
Series 2024-BA Class ARR, CME Term SOFR 3 Month Index + 0.000% 0% 4/16/37 (b)(c)(d)	7,959	7,962
AIMCO CLO Ltd. Series 2021-11A Class AR, CME Term SOFR 3 Month Index + 1.390% 6.7081% 10/17/34 (b)(c)(d)	5,465	5,472
AIMCO CLO Ltd. / AIMCO CLO LLC Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.250% 6.5694% 4/20/34 (b)(c)(d)	14,203	14,203
Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.500% 6.8178% 7/20/35 (b)(c)(d)	6,465	6,474
Allegro CLO, Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.400% 6.7194% 7/20/34 (b)(c)(d)	6,507	6,507
Apollo Aviation Securitization Equity Trust Series 2020-1A:
Class A, 3.351% 1/16/40 (b)	1,268	1,133
Class B, 4.335% 1/16/40 (b)	268	150
Ares CLO Series 2019-54A Class A, CME Term SOFR 3 Month Index + 1.580% 6.8956% 10/15/32 (b)(c)(d)	4,806	4,813
Ares LIX CLO Ltd. Series 2021-59A Class A, CME Term SOFR 3 Month Index + 1.290% 6.6163% 4/25/34 (b)(c)(d)	4,698	4,687
Ares LV CLO Ltd. Series 2021-55A Class A1R, CME Term SOFR 3 Month Index + 1.390% 6.7056% 7/15/34 (b)(c)(d)	8,184	8,190
Ares LVIII CLO LLC Series 2022-58A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.644% 1/15/35 (b)(c)(d)	10,462	10,445
Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, CME Term SOFR 3 Month Index + 1.330% 6.6456% 4/15/34 (b)(c)(d)	9,992	9,985
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, CME Term SOFR 3 Month Index + 1.510% 6.8281% 4/17/33 (b)(c)(d)	16,288	16,297
Babson CLO Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7256% 10/15/36 (b)(c)(d)	5,474	5,474
Barings CLO Ltd.:
Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.280% 6.6063% 4/25/34 (b)(c)(d)	10,335	10,342
Series 2021-4A Class A, CME Term SOFR 3 Month Index + 1.480% 6.7994% 1/20/32 (b)(c)(d)	9,800	9,814
BETHP Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7056% 1/15/35 (b)(c)(d)	8,274	8,283
Blackbird Capital Aircraft:
Series 2016-1A Class A, 4.213% 12/16/41 (b)	2,242	2,191
Series 2021-1A Class A, 2.443% 7/15/46 (b)	8,986	7,908
Bristol Park CLO, Ltd. Series 2020-1A Class AR, CME Term SOFR 3 Month Index + 1.250% 6.5656% 4/15/29 (b)(c)(d)	4,372	4,373
Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28	3,742	3,809
Castlelake Aircraft Securitization Trust:
Series 2019-1A:
Class A, 3.967% 4/15/39 (b)	3,853	3,468
Class B, 5.095% 4/15/39 (b)	1,844	1,217
Series 2021-1R Class A, 2.741% 8/15/41 (b)	7,113	6,562
Castlelake Aircraft Structured Trust:
Series 2018-1 Class A, 4.125% 6/15/43 (b)	2,010	1,833
Series 2021-1A:
Class A, 3.474% 1/15/46 (b)	1,332	1,252
Class B, 6.656% 1/15/46 (b)	575	534
Cedar Funding Ltd.:
Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6794% 10/20/32 (b)(c)(d)	6,612	6,615
Series 2021-12A Class A1R, CME Term SOFR 3 Month Index + 1.390% 6.7163% 10/25/34 (b)(c)(d)	5,100	5,105
Cedar Funding Xvii Clo Ltd. Series 2023-17A Class A, CME Term SOFR 3 Month Index + 1.850% 7.1678% 7/20/36 (b)(c)(d)	6,127	6,161
CEDF Series 2021-6A Class ARR, CME Term SOFR 3 Month Index + 1.310% 6.6294% 4/20/34 (b)(c)(d)	8,665	8,659
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b)	2,435	2,379
Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/35 (b)	1,004	1,010
CNH Equipment Trust Series 2023 A Class A2, 5.34% 9/15/26	890	889
Columbia Cent CLO 29 Ltd./Columbia Cent CLO 29 Corp. Series 2021-29A Class AR, CME Term SOFR 3 Month Index + 1.430% 6.7494% 10/20/34 (b)(c)(d)	8,292	8,283
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, CME Term SOFR 3 Month Index + 1.460% 6.7794% 4/20/34 (b)(c)(d)	9,800	9,806
Columbia Cent Clo 32 Ltd. / Coliseum Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.700% 7.0186% 7/24/34 (b)(c)(d)	9,668	9,671
Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, CME Term SOFR 3 Month Index + 1.570% 6.8894% 1/20/34 (b)(c)(d)	12,900	12,902
DB Master Finance LLC:
Series 2017-1A Class A2II, 4.03% 11/20/47 (b)	3,266	3,110
Series 2019-1A:
Class A23, 4.352% 5/20/49 (b)	586	556
Class A2II, 4.021% 5/20/49 (b)	789	762
Series 2021-1A Class A23, 2.791% 11/20/51 (b)	7,442	6,202
Discover Card Execution Note Trust Series 2023 A1 Class A, 4.31% 3/15/28	700	691
Dominos Pizza Master Issuer LLC:
Series 2019-1A Class A2, 3.668% 10/25/49 (b)	6,967	6,347
Series 2021-1A Class A2II, 3.151% 4/25/51 (b)	271	234
Dryden CLO, Ltd.:
Series 2021-76A Class A1R, CME Term SOFR 3 Month Index + 1.410% 6.7294% 10/20/34 (b)(c)(d)	5,507	5,507
Series 2021-83A Class A, CME Term SOFR 3 Month Index + 1.480% 6.7795% 1/18/32 (b)(c)(d)	7,090	7,091
Dryden Senior Loan Fund:
Series 2018-70A Class A1, CME Term SOFR 3 Month Index + 1.430% 6.7456% 1/16/32 (b)(c)(d)	1,808	1,810
Series 2020-78A Class A, CME Term SOFR 3 Month Index + 1.440% 6.7581% 4/17/33 (b)(c)(d)	4,300	4,302
Series 2021-85A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7256% 10/15/35 (b)(c)(d)	7,281	7,292
Series 2021-90A Class A1A, CME Term SOFR 3 Month Index + 1.390% 6.7107% 2/20/35 (b)(c)(d)	4,292	4,292
Eaton Vance CLO, Ltd.:
Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6756% 4/15/31 (b)(c)(d)	3,720	3,721
Series 2021-2A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7256% 1/15/35 (b)(c)(d)	9,611	9,623
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, CME Term SOFR 3 Month Index + 1.510% 6.8256% 1/15/34 (b)(c)(d)	2,050	2,053
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b)	1,900	1,929
Flatiron CLO Ltd. Series 2021-1A:
Class A1, CME Term SOFR 3 Month Index + 1.370% 6.6812% 7/19/34 (b)(c)(d)	5,916	5,922
Class AR, CME Term SOFR 3 Month Index + 1.340% 6.6673% 11/16/34 (b)(c)(d)	8,250	8,261
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, CME Term SOFR 3 Month Index + 1.560% 6.8807% 11/20/33 (b)(c)(d)	9,100	9,121
Ford Credit Floorplan Master Owner Trust:
Series 2019-2 Class A, 3.06% 4/15/26	7,032	7,005
Series 2020-2 Class B, 1.32% 9/15/27	4,000	3,729
Series 2023-1 Class A1, 4.92% 5/15/28 (b)	2,500	2,489
GM Financial Automobile Leasing Series 2023-2 Class A2A, 5.44% 10/20/25	1,198	1,197
Gm Financial Consumer Automobile Re Series 2023-3 Class A3, 5.45% 6/16/28	2,000	2,012
GM Financial Consumer Automobile Receivables Series 2023 2 Class A3, 4.47% 2/16/28	2,780	2,749
Gm Financial Leasing Trust 202 Series 2023-3 Class A3, 5.38% 11/20/26	1,300	1,303
GMF Floorplan Owner Revolving Trust Series 2023-1 Class A1, 5.34% 6/15/28 (b)	2,300	2,309
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b)	1,495	1,308
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b)	2,054	1,837
Invesco CLO Ltd. Series 2021-3A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7094% 10/22/34 (b)(c)(d)	5,835	5,836
Lucali CLO Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.470% 6.7856% 1/15/33 (b)(c)(d)	4,700	4,704
Madison Park Funding Series 2024-19A Class AR3, CME Term SOFR 3 Month Index + 1.600% 6.9178% 1/22/37 (b)(c)(d)	3,531	3,552
Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, CME Term SOFR 3 Month Index + 1.400% 6.7112% 4/19/34 (b)(c)(d)	10,220	10,236
Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, CME Term SOFR 3 Month Index + 1.360% 6.6794% 1/22/35 (b)(c)(d)	9,350	9,343
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, CME Term SOFR 3 Month Index + 1.380% 6.6956% 7/15/34 (b)(c)(d)	5,879	5,879
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A2R, CME Term SOFR 3 Month Index + 1.460% 6.7794% 1/22/31 (b)(c)(d)	2,629	2,629
Magnetite CLO LTD Series 2023-36A Class A, CME Term SOFR 3 Month Index + 1.800% 7.1178% 4/22/36 (b)(c)(d)	4,122	4,149
Magnetite CLO Ltd. Series 2021-27A Class AR, CME Term SOFR 3 Month Index + 1.400% 6.7194% 10/20/34 (b)(c)(d)	1,967	1,968
Magnetite XXI Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.280% 6.5994% 4/20/34 (b)(c)(d)	8,363	8,372
Magnetite XXIII, Ltd. Series 2021-23A Class AR, CME Term SOFR 3 Month Index + 1.390% 6.7163% 1/25/35 (b)(c)(d)	6,892	6,892
Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, CME Term SOFR 3 Month Index + 1.250% 6.5656% 1/15/34 (b)(c)(d)	8,900	8,900
MAPS Trust Series 2021-1A Class A, 2.521% 6/15/46 (b)	16,036	14,184
Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/36 (b)	1,300	1,309
Milos CLO, Ltd. Series 2020-1A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.6494% 10/20/30 (b)(c)(d)	5,456	5,464
Peace Park CLO, Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7094% 10/20/34 (b)(c)(d)	3,230	3,230
Planet Fitness Master Issuer LLC:
Series 2018-1A Class A2II, 4.666% 9/5/48 (b)	3,059	2,990
Series 2019-1A Class A2, 3.858% 12/5/49 (b)	5,941	5,375
Series 2022-1A:
Class A2I, 3.251% 12/5/51 (b)	6,366	5,927
Class A2II, 4.008% 12/5/51 (b)	5,689	4,994
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b)	7,034	6,058
Prpm 2023-Rcf2 LLC Series 2023-RCF2 Class A1, 4% 11/25/53 (b)	766	732
Rockland Park CLO Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.380% 6.6994% 4/20/34 (b)(c)(d)	11,224	11,230
RR Ltd. Series 2022-7A Class A1AB, CME Term SOFR 3 Month Index + 1.340% 6.6565% 1/15/37 (b)(c)(d)	10,760	10,760
Sapphire Aviation Finance Series 2020-1A:
Class A, 3.228% 3/15/40 (b)	11,416	10,098
Class B, 4.335% 3/15/40 (b)	426	322
SBA Tower Trust:
Series 2019, 2.836% 1/15/50 (b)	5,278	5,159
1.884% 7/15/50 (b)	3,008	2,803
2.328% 7/15/52 (b)	2,300	2,015
Sfs Auto Receivables Securitiz Series 2023-1A Class A2A, 5.89% 3/22/27 (b)	1,646	1,648
SYMP Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.320% 6.6358% 4/23/35 (b)(c)(d)	5,480	5,484
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.6356% 7/15/32 (b)(c)(d)	1,079	1,080
Symphony CLO XXV Ltd. / Symphony CLO XXV LLC Series 2021-25A Class A, CME Term SOFR 3 Month Index + 1.240% 6.5512% 4/19/34 (b)(c)(d)	10,365	10,371
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, CME Term SOFR 3 Month Index + 1.340% 6.6594% 4/20/33 (b)(c)(d)	9,694	9,705
Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 Month Index + 0.970% 6.2954% 9/25/34 (c)(d)	4	4
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(c)	8,558	7,488
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b)	5,548	4,730
Toyota Lease Owner Trust:
Series 2023 A:
Class A2, 5.3% 8/20/25 (b)	3,344	3,340
Class A3, 4.93% 4/20/26 (b)	4,206	4,188
Series 2024-A Class A3, 5.25% 4/20/27 (b)	1,600	1,600
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, CME Term SOFR 3 Month Index + 0.820% 6.1509% 4/6/42 (b)(c)(d)	491	347
Upstart Securitization Trust Series 2022-1 Class A, 3.12% 3/20/32 (b)	562	557
Voya CLO Ltd. Series 2019-2A Class A, CME Term SOFR 3 Month Index + 1.530% 6.8494% 7/20/32 (b)(c)(d)	5,397	5,406
Voya CLO Ltd./Voya CLO LLC:
Series 2021-2A Class A1R, CME Term SOFR 3 Month Index + 1.420% 6.7312% 7/19/34 (b)(c)(d)	5,438	5,438
Series 2021-3A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7294% 10/20/34 (b)(c)(d)	11,071	11,081
Voya CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7256% 7/16/34 (b)(c)(d)	5,466	5,467
Wheels Fleet Lease Funding 1 L Series 2023-2A Class A, 6.46% 8/18/38 (b)	3,700	3,733
Willis Engine Structured Trust Vi Series 2023-A Class A, 8% 10/15/48 (b)	389	405
World Omni Auto Receivables Trust:
Series 2023 B:
Class A2A, 5.25% 11/16/26	1,756	1,753
Class A3, 4.66% 5/15/28	4,453	4,410
Series 2023-C Class A3, 5.15% 11/15/28	1,300	1,301
TOTAL ASSET-BACKED SECURITIES (Cost $646,874)		631,472

Collateralized Mortgage Obligations - 1.2%
	Principal Amount (a) (000s)	Value ($) (000s)
Private Sponsor - 0.1%
Cascade Funding Mortgage Trust Series 2021-HB6 Class A, 0.8983% 6/25/36 (b)	2,711	2,676
Cfmt 2022-Ebo2 sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b)	553	549
CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b)	3,988	3,921
CSMC Series 2014-3R:
Class 2A1, CME Term SOFR 1 Month Index + 0.810% 0% 5/27/37 (b)(c)(d)(l)	343	0
Class AA1, CME Term SOFR 1 Month Index + 0.390% 4.1948% 5/27/37 (b)(c)(d)	294	280
CSMC Trust sequential payer Series 2020-RPL3 Class A1, 4.0748% 3/25/60 (b)(c)	2,848	2,834
Ocwen Loan Invest Trust Series 2024-HB1 Class A, 3% 2/25/37 (b)	932	885
RMF Buyout Issuance Trust sequential payer Series 2022-HB1 Class A, 4.272% 4/25/32 (b)	1,067	1,043
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, CME Term SOFR 6 Month Index + 1.300% 6.5595% 7/20/34 (c)(d)	1	1
TOTAL PRIVATE SPONSOR		12,189
U.S. Government Agency - 1.1%
Fannie Mae:
floater:
Series 1994-42 Class FK, 10-Year Treasury Constant Maturity Rate - 0.500% 3.64% 4/25/24 (c)(d)	1	1
Series 2001-38 Class QF, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.090% 6.4161% 8/25/31 (c)(d)	14	14
Series 2002-18 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.2361% 2/25/32 (c)(d)	2	2
Series 2002-39 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4389% 3/18/32 (c)(d)	3	3
Series 2002-60 Class FV, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4361% 4/25/32 (c)(d)	6	6
Series 2002-63 Class FN, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4361% 10/25/32 (c)(d)	4	4
Series 2002-7 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.860% 6.1861% 1/25/32 (c)(d)	2	2
Series 2002-74 Class FV, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.560% 5.8861% 11/25/32 (c)(d)	52	52
Series 2002-75 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4361% 11/25/32 (c)(d)	6	6
Series 2003-118 Class S, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6639% 12/25/33 (c)(k)(m)	61	8
Series 2006-104 Class GI, 6.560% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2439% 11/25/36 (c)(k)(m)	44	4
Series 2010-15 Class FJ, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.040% 6.3661% 6/25/36 (c)(d)	1,256	1,260
planned amortization class:
Series 1996-28 Class PK, 6.5% 7/25/25	0	0
Series 1999-17 Class PG, 6% 4/25/29	14	14
Series 1999-32 Class PL, 6% 7/25/29	19	19
Series 1999-33 Class PK, 6% 7/25/29	14	14
Series 2001-52 Class YZ, 6.5% 10/25/31	3	3
Series 2003-70 Class BJ, 5% 7/25/33	98	96
Series 2005-102 Class CO 11/25/35 (n)	12	10
Series 2005-64 Class PX, 5.5% 6/25/35	33	33
Series 2005-68 Class CZ, 5.5% 8/25/35	1,347	1,348
Series 2005-73 Class SA, 17.500% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 3.4161% 8/25/35 (c)(d)(m)	2	2
Series 2005-81 Class PC, 5.5% 9/25/35	35	35
Series 2006-12 Class BO 10/25/35 (n)	43	37
Series 2006-15 Class OP 3/25/36 (n)	59	49
Series 2006-37 Class OW 5/25/36 (n)	8	6
Series 2006-45 Class OP 6/25/36 (n)	19	15
Series 2006-62 Class KP 4/25/36 (n)	29	24
Series 2010-118 Class PB, 4.5% 10/25/40	1,022	995
Series 2012-149:
Class DA, 1.75% 1/25/43	334	302
Class GA, 1.75% 6/25/42	376	339
Series 2021-45 Class DA, 3% 7/25/51	580	509
sequential payer:
Series 1997-41 Class J, 7.5% 6/18/27	3	3
Series 1999-25 Class Z, 6% 6/25/29	15	15
Series 2001-20 Class Z, 6% 5/25/31	18	18
Series 2001-31 Class ZC, 6.5% 7/25/31	9	9
Series 2002-16 Class ZD, 6.5% 4/25/32	8	8
Series 2002-74 Class SV, 7.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.1139% 11/25/32 (c)(k)(m)	11	0
Series 2004-52 Class KZ, 5.5% 7/25/34	475	473
Series 2004-91 Class Z, 5% 12/25/34	1,062	1,043
Series 2005-117 Class JN, 4.5% 1/25/36	79	78
Series 2005-14 Class ZB, 5% 3/25/35	329	323
Series 2006-72 Class CY, 6% 8/25/26	81	82
Series 2009-59 Class HB, 5% 8/25/39	583	576
Series 2012-67 Class AI, 4.5% 7/25/27 (k)	10	0
Series 2020-101 Class BA, 1.5% 9/25/45	727	616
Series 2020-80 Class BA, 1.5% 3/25/45	1,012	863
Series 2022-1 Class KA, 3% 5/25/48	492	440
Series 2022-3 Class N, 2% 10/25/47	3,985	3,394
Series 2022-30 Class E, 4.5% 7/25/48	1,419	1,372
Series 2022-49 Class TC, 4% 12/25/48	457	431
Series 2022-5:
Class 0, 2.5% 6/25/48	396	344
Class DA, 2.25% 11/25/47	1,210	1,048
Series 2022-7 Class A, 3% 5/25/48	701	627
Series 06-116 Class SG, 6.520% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2039% 12/25/36 (c)(k)(m)	30	3
Series 07-40 Class SE, 6.320% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.0039% 5/25/37 (c)(k)(m)	15	2
Series 2003-21 Class SK, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6639% 3/25/33 (c)(k)(m)	4	0
Series 2005-72 Class ZC, 5.5% 8/25/35	240	239
Series 2005-79 Class ZC, 5.9% 9/25/35	143	143
Series 2007-57 Class SA, 40.600% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 8.0032% 6/25/37 (c)(d)(m)	14	17
Series 2007-66:
Class SA, 38.910% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 6.9832% 7/25/37 (c)(d)(m)	19	23
Class SB, 38.910% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 6.9832% 7/25/37 (c)(d)(m)	6	7
Series 2010-135 Class ZA, 4.5% 12/25/40	58	56
Series 2010-139 Class NI, 4.5% 2/25/40 (k)	32	0
Series 2010-150 Class ZC, 4.75% 1/25/41	544	532
Series 2010-39 Class FG, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.030% 6.3561% 3/25/36 (c)(d)	852	854
Series 2010-95 Class ZC, 5% 9/25/40	1,144	1,132
Series 2011-39 Class ZA, 6% 11/25/32	70	71
Series 2011-4 Class PZ, 5% 2/25/41	175	166
Series 2011-67 Class AI, 4% 7/25/26 (k)	29	1
Series 2012-100 Class WI, 3% 9/25/27 (k)	165	6
Series 2012-9 Class SH, 6.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1139% 6/25/41 (c)(k)(m)	16	0
Series 2013-133 Class IB, 3% 4/25/32 (k)	48	1
Series 2013-134 Class SA, 5.930% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.6139% 1/25/44 (c)(k)(m)	70	7
Series 2013-51 Class GI, 3% 10/25/32 (k)	82	4
Series 2013-N1 Class A, 6.600% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2839% 6/25/35 (c)(k)(m)	82	6
Series 2015-42 Class IL, 6% 6/25/45 (k)	414	68
Series 2015-70 Class JC, 3% 10/25/45	461	429
Series 2017-30 Class AI, 5.5% 5/25/47 (k)	234	39
Series 2018-45 Class GI, 4% 6/25/48 (k)	2,789	585
Fannie Mae Stripped Mortgage-Backed Securities:
Series 339 Class 5, 5.5% 7/25/33 (k)	15	2
Series 343 Class 16, 5.5% 5/25/34 (k)	14	2
Series 348 Class 14, 6.5% 8/25/34 (c)(k)	9	2
Series 351:
Class 12, 5.5% 4/25/34 (c)(k)	7	1
Class 13, 6% 3/25/34 (k)	9	2
Series 359 Class 19, 6% 7/25/35 (c)(k)	7	1
Series 384 Class 6, 5% 7/25/37 (k)	60	10
Freddie Mac:
floater:
Series 2412 Class FK, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.2392% 1/15/32 (c)(d)	1	1
Series 2423 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.3392% 3/15/32 (c)(d)	2	2
Series 2424 Class FM, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4392% 3/15/32 (c)(d)	2	2
Series 2432:
Class FE, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.3392% 6/15/31 (c)(d)	3	3
Class FG, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.3392% 3/15/32 (c)(d)	1	1
Series 2526 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.510% 5.8392% 11/15/32 (c)(d)	22	22
Series 2711 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.3392% 2/15/33 (c)(d)	329	329
floater planned amortization class Series 2770 Class FH, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.510% 5.8392% 3/15/34 (c)(d)	476	470
planned amortization class:
Series 2095 Class PE, 6% 11/15/28	18	19
Series 2101 Class PD, 6% 11/15/28	10	10
Series 2121 Class MG, 6% 2/15/29	8	8
Series 2131 Class BG, 6% 3/15/29	55	55
Series 2137 Class PG, 6% 3/15/29	9	9
Series 2154 Class PT, 6% 5/15/29	14	14
Series 2162 Class PH, 6% 6/15/29	3	3
Series 2520 Class BE, 6% 11/15/32	30	31
Series 2693 Class MD, 5.5% 10/15/33	65	65
Series 2802 Class OB, 6% 5/15/34	53	53
Series 2996 Class MK, 5.5% 6/15/35	17	17
Series 3002 Class NE, 5% 7/15/35	70	69
Series 3110 Class OP 9/15/35 (n)	13	12
Series 3119 Class PO 2/15/36 (n)	70	56
Series 3121 Class KO 3/15/36 (n)	14	11
Series 3123 Class LO 3/15/36 (n)	39	32
Series 3145 Class GO 4/15/36 (n)	47	38
Series 3189 Class PD, 6% 7/15/36	64	66
Series 3225 Class EO 10/15/36 (n)	24	19
Series 3258 Class PM, 5.5% 12/15/36	23	23
Series 3415 Class PC, 5% 12/15/37	218	215
Series 3806 Class UP, 4.5% 2/15/41	145	141
Series 3832 Class PE, 5% 3/15/41	278	277
Series 3857 Class ZP, 5% 5/15/41	2,257	2,233
Series 4135 Class AB, 1.75% 6/15/42	288	259
sequential payer:
Series 1929 Class EZ, 7.5% 2/17/27	8	8
Series 2021-5169 Class TP, 2.5% 6/25/49	305	260
Series 2022-5189:
Class DA, 2.5% 5/25/49	384	327
Class TP, 2.5% 5/25/49	278	237
Series 2022-5190:
Class BA, 2.5% 11/25/47	361	315
Class CA, 2.5% 5/25/49	233	198
Series 2022-5197:
Class A, 2.5% 6/25/49	233	198
Class DA, 2.5% 11/25/47	274	239
Series 2022-5198 Class BA, 2.5% 11/25/47	1,354	1,201
Series 2022-5202 Class LB, 2.5% 10/25/47	293	256
Series 2135 Class JE, 6% 3/15/29	3	3
Series 2145 Class MZ, 6.5% 4/15/29	55	56
Series 2274 Class ZM, 6.5% 1/15/31	5	6
Series 2281 Class ZB, 6% 3/15/30	10	10
Series 2303 Class ZV, 6% 4/15/31	35	36
Series 2357 Class ZB, 6.5% 9/15/31	96	98
Series 2502 Class ZC, 6% 9/15/32	12	12
Series 2519 Class ZD, 5.5% 11/15/32	18	18
Series 2877 Class ZD, 5% 10/15/34	1,306	1,285
Series 2998 Class LY, 5.5% 7/15/25	6	6
Series 3007 Class EW, 5.5% 7/15/25	19	19
Series 3871 Class KB, 5.5% 6/15/41	355	362
Series 06-3115 Class SM, 6.480% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1608% 2/15/36 (c)(k)(m)	22	2
Series 2013-4281 Class AI, 4% 12/15/28 (k)	12	0
Series 2017-4683 Class LM, 3% 5/15/47	590	551
Series 2021-5083 Class VA, 1% 8/15/38	1,539	1,434
Series 2933 Class ZM, 5.75% 2/15/35	322	327
Series 2935 Class ZK, 5.5% 2/15/35	242	244
Series 2947 Class XZ, 6% 3/15/35	123	126
Series 2996 Class ZD, 5.5% 6/15/35	209	211
Series 3237 Class C, 5.5% 11/15/36	284	284
Series 3244 Class SG, 6.540% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2208% 11/15/36 (c)(k)(m)	91	8
Series 3336 Class LI, 6.460% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1408% 6/15/37 (c)(k)(m)	60	6
Series 3843 Class PZ, 5% 4/15/41	1,714	1,698
Series 3949 Class MK, 4.5% 10/15/34	48	47
Series 4055 Class BI, 3.5% 5/15/31 (k)	31	0
Series 4149 Class IO, 3% 1/15/33 (k)	55	4
Series 4314 Class AI, 5% 3/15/34 (k)	8	0
Series 4427 Class LI, 3.5% 2/15/34 (k)	201	10
Series 4471 Class PA 4% 12/15/40	180	175
target amortization class:
Series 2007-3366 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.360% 5.6892% 5/15/37 (c)(d)	77	75
Series 2156 Class TC, 6.25% 5/15/29	4	4
Freddie Mac Manufactured Housing participation certificates guaranteed sequential payer:
Series 2043 Class ZH, 6% 4/15/28	6	6
Series 2056 Class Z, 6% 5/15/28	15	15
Freddie Mac Multi-family Structured pass-thru certificates:
sequential payer:
Series 2021-5159 Class EA, 2.5% 8/25/48	300	257
Series 2021-5164 Class M, 2.5% 7/25/48	306	262
Series 4341 Class ML, 3.5% 11/15/31	1,204	1,152
Series 4386 Class AZ, 4.5% 11/15/40	660	633
Ginnie Mae guaranteed REMIC pass-thru certificates:
floater:
Series 2007-37 Class TS, 6.570% - CME Term SOFR 1 Month Index 1.2542% 6/16/37 (c)(k)(m)	38	3
Series 2007-59 Class FC, CME Term SOFR 1 Month Index + 0.610% 5.9343% 7/20/37 (c)(d)	281	278
Series 2008-2 Class FD, CME Term SOFR 1 Month Index + 0.590% 5.9143% 1/20/38 (c)(d)	73	72
Series 2008-73 Class FA, CME Term SOFR 1 Month Index + 0.970% 6.2943% 8/20/38 (c)(d)	401	402
Series 2008-83 Class FB, CME Term SOFR 1 Month Index + 1.010% 6.3343% 9/20/38 (c)(d)	292	293
Series 2009-108 Class CF, CME Term SOFR 1 Month Index + 0.710% 6.0358% 11/16/39 (c)(d)	379	375
Series 2009-116 Class KF, CME Term SOFR 1 Month Index + 0.640% 5.9658% 12/16/39 (c)(d)	226	224
Series 2010-H03 Class FA, CME Term SOFR 1 Month Index + 0.660% 6.0011% 3/20/60 (c)(d)(j)	262	261
Series 2010-H17 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.7811% 7/20/60 (c)(d)(j)	2,835	2,820
Series 2010-H18 Class AF, CME Term SOFR 1 Month Index + 0.410% 5.7629% 9/20/60 (c)(d)(j)	2,592	2,575
Series 2010-H19 Class FG, CME Term SOFR 1 Month Index + 0.410% 5.7629% 8/20/60 (c)(d)(j)	2,351	2,336
Series 2010-H27 Class FA, CME Term SOFR 1 Month Index + 0.380% 5.8429% 12/20/60 (c)(d)(j)	1,216	1,210
Series 2011-H05 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.9629% 12/20/60 (c)(d)(j)	964	961
Series 2011-H07 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.9629% 2/20/61 (c)(d)(j)	808	805
Series 2011-H12 Class FA, CME Term SOFR 1 Month Index + 0.600% 5.9529% 2/20/61 (c)(d)(j)	1,216	1,211
Series 2011-H13 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.9629% 4/20/61 (c)(d)(j)	930	927
Series 2011-H14:
Class FB, CME Term SOFR 1 Month Index + 0.610% 5.9629% 5/20/61 (c)(d)(j)	1,176	1,172
Class FC, CME Term SOFR 1 Month Index + 0.610% 5.9629% 5/20/61 (c)(d)(j)	1,089	1,085
Series 2011-H17 Class FA, CME Term SOFR 1 Month Index + 0.640% 5.9929% 6/20/61 (c)(d)(j)	1,168	1,165
Series 2011-H20 Class FA, CME Term SOFR 1 Month Index + 0.660% 6.0129% 9/20/61 (c)(d)(j)	420	419
Series 2011-H21 Class FA, CME Term SOFR 1 Month Index + 0.710% 6.0629% 10/20/61 (c)(d)(j)	1,199	1,196
Series 2012-98 Class FA, CME Term SOFR 1 Month Index + 0.510% 5.8343% 8/20/42 (c)(d)	309	301
Series 2012-H01 Class FA, CME Term SOFR 1 Month Index + 0.810% 6.1629% 11/20/61 (c)(d)(j)	1,293	1,291
Series 2012-H03 Class FA, CME Term SOFR 1 Month Index + 0.810% 6.1629% 1/20/62 (c)(d)(j)	635	634
Series 2012-H06 Class FA, CME Term SOFR 1 Month Index + 0.740% 6.0929% 1/20/62 (c)(d)(j)	1,218	1,215
Series 2012-H07 Class FA, CME Term SOFR 1 Month Index + 0.740% 6.0929% 3/20/62 (c)(d)(j)	591	589
Series 2012-H21 Class DF, CME Term SOFR 1 Month Index + 0.760% 6.1129% 5/20/61 (c)(d)(j)	15	15
Series 2012-H23 Class WA, CME Term SOFR 1 Month Index + 0.630% 5.9829% 10/20/62 (c)(d)(j)	17	17
Series 2013-H07 Class BA, CME Term SOFR 1 Month Index + 0.360% 5.8229% 3/20/63 (c)(d)(j)	23	23
Series 2013-H19 Class FC, CME Term SOFR 1 Month Index + 0.600% 6.0629% 8/20/63 (c)(d)(j)	48	48
Series 2014-H03 Class FA, CME Term SOFR 1 Month Index + 0.710% 6.0629% 1/20/64 (c)(d)(j)	84	84
Series 2014-H05 Class FB, CME Term SOFR 1 Month Index + 0.710% 6.0629% 12/20/63 (c)(d)(j)	179	178
Series 2014-H11 Class BA, CME Term SOFR 1 Month Index + 0.610% 5.9629% 6/20/64 (c)(d)(j)	293	292
Series 2015-H13 Class FL, CME Term SOFR 1 Month Index + 0.390% 5.7429% 5/20/63 (c)(d)(j)	25	24
Series 2015-H19 Class FA, CME Term SOFR 1 Month Index + 0.310% 5.6629% 4/20/63 (c)(d)(j)	34	34
Series 2016-H20 Class FM, CME Term SOFR 1 Month Index + 0.510% 5.8629% 12/20/62 (c)(d)(j)	13	12
planned amortization class:
Series 2010-31 Class BP, 5% 3/20/40	1,683	1,655
Series 2011-136 Class WI, 4.5% 5/20/40 (k)	97	6
Series 2011-68 Class EC, 3.5% 4/20/41	154	148
Series 2016-69 Class WA, 3% 2/20/46	325	293
Series 2017-134 Class BA, 2.5% 11/20/46	434	387
Series 2017-153 Class GA, 3% 9/20/47	866	764
Series 2017-182 Class KA, 3% 10/20/47	685	615
Series 2018-13 Class Q, 3% 4/20/47	850	774
sequential payer:
Series 2004-24 Class ZM, 5% 4/20/34	105	102
Series 2010-160 Class DY, 4% 12/20/40	826	791
Series 2010-170 Class B, 4% 12/20/40	182	174
Series 2011-69 Class GX, 4.5% 5/16/40	1,312	1,298
Series 2014-H04 Class HA, 2.75% 2/20/64 (j)	447	436
Series 2017-139 Class BA, 3% 9/20/47	1,520	1,345
Series 2018-H12 Class HA, 3.25% 8/20/68 (j)	2,874	2,749
Series 2004-22 Class M1, 5.5% 4/20/34	606	609
Series 2004-32 Class GS, 6.380% - CME Term SOFR 1 Month Index 1.0642% 5/16/34 (c)(k)(m)	22	1
Series 2004-73 Class AL, 7.080% - CME Term SOFR 1 Month Index 1.7642% 8/17/34 (c)(k)(m)	24	2
Series 2007-35 Class SC, 39.510% x CME Term SOFR 1 Month Index 7.585% 6/16/37 (c)(d)(m)	3	4
Series 2010-116 Class QB, 4% 9/16/40	61	59
Series 2010-169 Class Z, 4.5% 12/20/40	2,712	2,465
Series 2010-H10 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.7811% 5/20/60 (c)(d)(j)	185	184
Series 2010-H16 Class BA, 3.55% 7/20/60 (j)	451	440
Series 2010-H18 Class PL, 5.0108% 9/20/60 (c)(j)	32	32
Series 2011-94 Class SA, 5.980% - CME Term SOFR 1 Month Index 0.6657% 7/20/41 (c)(k)(m)	76	6
Series 2013-149 Class MA, 2.5% 5/20/40	516	496
Series 2013-H01 Class FA, 1.65% 1/20/63 (j)	0	0
Series 2013-H04 Class BA, 1.65% 2/20/63 (j)	1	1
Series 2014-2 Class BA, 3% 1/20/44	1,633	1,473
Series 2014-21 Class HA, 3% 2/20/44	608	548
Series 2014-25 Class HC, 3% 2/20/44	1,036	932
Series 2014-5 Class A, 3% 1/20/44	863	779
Series 2015-H13 Class HA, 2.5% 8/20/64 (j)	5	4
Series 2015-H30 Class HA, 1.75% 9/20/62 (c)(j)	97	93
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 5.31% 5/20/66 (c)(d)(j)	1,659	1,653
Series 2017-186 Class HK, 3% 11/16/45	890	794
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 5.16% 8/20/66 (c)(d)(j)	2,900	2,887
Series 2090-118 Class XZ, 5% 12/20/39	6,175	6,138
Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.3025% 5/20/65 (c)(j)	60	58
TOTAL U.S. GOVERNMENT AGENCY		94,374
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $109,734)		106,563

Commercial Mortgage Securities - 7.3%
	Principal Amount (a) (000s)	Value ($) (000s)
BAMLL Commercial Mortgage Securities Trust:
floater:
Series 2019-RLJ Class A, CME Term SOFR 1 Month Index + 1.090% 6.415% 4/15/36 (b)(c)(d)	8,900	8,889
Series 2022-DKLX:
Class A, CME Term SOFR 1 Month Index + 1.150% 6.468% 1/15/39 (b)(c)(d)	5,821	5,745
Class B, CME Term SOFR 1 Month Index + 1.550% 6.868% 1/15/39 (b)(c)(d)	1,099	1,078
Class C, CME Term SOFR 1 Month Index + 2.150% 7.468% 1/15/39 (b)(c)(d)	785	768
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b)	3,676	3,396
Series 2019-BPR:
Class BNM, 3.465% 11/5/32 (b)	825	692
Class CNM, 3.7186% 11/5/32 (b)(c)	341	257
BANK:
sequential payer:
Series 2017-BNK9 Class ASB, 3.47% 11/15/54	773	747
Series 2018-BN10 Class A5, 3.688% 2/15/61	2,479	2,338
Series 2018-BN12 Class ASB, 4.165% 5/15/61	1,711	1,680
Series 2019-BN21 Class A5, 2.851% 10/17/52	5,732	5,074
Series 2019-BN23 Class ASB, 2.846% 12/15/52	200	187
Series 2019-BN24 Class A3, 2.96% 11/15/62	6,283	5,566
Series 2020-BN26 Class ASB, 2.313% 3/15/63	1,200	1,107
Series 2021-BN33 Class XA, 1.0526% 5/15/64 (c)(k)	16,491	835
Bayview Commercial Asset Trust floater:
Series 2003-2 Class M1, CME Term SOFR 1 Month Index + 1.380% 6.7104% 12/25/33 (b)(c)(d)	2	2
Series 2005-3A:
Class A2, CME Term SOFR 1 Month Index + 0.710% 6.0354% 11/25/35 (b)(c)(d)	15	14
Class M1, CME Term SOFR 1 Month Index + 0.770% 6.0954% 11/25/35 (b)(c)(d)	7	7
Class M2, CME Term SOFR 1 Month Index + 0.840% 6.1704% 11/25/35 (b)(c)(d)	10	10
Class M3, CME Term SOFR 1 Month Index + 0.870% 6.2004% 11/25/35 (b)(c)(d)	9	9
Class M4, CME Term SOFR 1 Month Index + 1.010% 6.3354% 11/25/35 (b)(c)(d)	11	11
Series 2005-4A:
Class A2, CME Term SOFR 1 Month Index + 0.690% 6.0204% 1/25/36 (b)(c)(d)	36	34
Class B1, CME Term SOFR 1 Month Index + 2.210% 7.5354% 1/25/36 (b)(c)(d)	12	40
Class M1, CME Term SOFR 1 Month Index + 0.780% 6.1104% 1/25/36 (b)(c)(d)	12	11
Class M2, CME Term SOFR 1 Month Index + 0.810% 6.1404% 1/25/36 (b)(c)(d)	8	8
Class M3, CME Term SOFR 1 Month Index + 0.860% 6.1854% 1/25/36 (b)(c)(d)	12	11
Class M4, CME Term SOFR 1 Month Index + 1.020% 6.3504% 1/25/36 (b)(c)(d)	12	12
Class M5, CME Term SOFR 1 Month Index + 1.080% 6.4104% 1/25/36 (b)(c)(d)	12	11
Class M6, CME Term SOFR 1 Month Index + 1.160% 6.4854% 1/25/36 (b)(c)(d)	13	12
Series 2006-1:
Class A2, CME Term SOFR 1 Month Index + 0.650% 5.9754% 4/25/36 (b)(c)(d)	11	11
Class M1, CME Term SOFR 1 Month Index + 0.680% 6.0054% 4/25/36 (b)(c)(d)	7	6
Class M2, CME Term SOFR 1 Month Index + 0.710% 6.0354% 4/25/36 (b)(c)(d)	7	7
Class M3, CME Term SOFR 1 Month Index + 0.740% 6.0654% 4/25/36 (b)(c)(d)	12	10
Class M4, CME Term SOFR 1 Month Index + 0.890% 6.2154% 4/25/36 (b)(c)(d)	7	6
Class M5, CME Term SOFR 1 Month Index + 0.950% 6.2754% 4/25/36 (b)(c)(d)	6	6
Class M6, CME Term SOFR 1 Month Index + 1.070% 6.3954% 4/25/36 (b)(c)(d)	7	6
Series 2006-2A:
Class M1, CME Term SOFR 1 Month Index + 0.570% 5.9004% 7/25/36 (b)(c)(d)	10	10
Class M2, CME Term SOFR 1 Month Index + 0.600% 5.9304% 7/25/36 (b)(c)(d)	7	7
Class M3, CME Term SOFR 1 Month Index + 0.630% 5.9604% 7/25/36 (b)(c)(d)	11	10
Class M4, CME Term SOFR 1 Month Index + 0.740% 6.0654% 7/25/36 (b)(c)(d)	7	6
Class M5, CME Term SOFR 1 Month Index + 0.810% 6.1404% 7/25/36 (b)(c)(d)	9	9
Series 2006-3A Class M4, CME Term SOFR 1 Month Index + 0.750% 6.0804% 10/25/36 (b)(c)(d)	9	59
Series 2006-4A:
Class A2, CME Term SOFR 1 Month Index + 0.510% 5.8404% 12/25/36 (b)(c)(d)	79	73
Class M1, CME Term SOFR 1 Month Index + 0.540% 5.8704% 12/25/36 (b)(c)(d)	12	11
Class M2, CME Term SOFR 1 Month Index + 0.570% 5.9004% 12/25/36 (b)(c)(d)	15	13
Class M3, CME Term SOFR 1 Month Index + 0.620% 5.9454% 12/25/36 (b)(c)(d)	8	7
Series 2007-1 Class A2, CME Term SOFR 1 Month Index + 0.510% 5.8404% 3/25/37 (b)(c)(d)	19	17
Series 2007-2A:
Class A1, CME Term SOFR 1 Month Index + 0.380% 5.8404% 7/25/37 (b)(c)(d)	64	58
Class A2, CME Term SOFR 1 Month Index + 0.430% 5.9154% 7/25/37 (b)(c)(d)	60	53
Class M1, CME Term SOFR 1 Month Index + 0.480% 5.9904% 7/25/37 (b)(c)(d)	20	18
Class M2, CME Term SOFR 1 Month Index + 0.520% 6.0504% 7/25/37 (b)(c)(d)	25	22
Class M3, CME Term SOFR 1 Month Index + 0.600% 6.1704% 7/25/37 (b)(c)(d)	34	28
Series 2007-3:
Class A2, CME Term SOFR 1 Month Index + 0.540% 5.8704% 7/25/37 (b)(c)(d)	22	20
Class M1, CME Term SOFR 1 Month Index + 0.570% 5.9004% 7/25/37 (b)(c)(d)	12	10
Class M2, CME Term SOFR 1 Month Index + 0.620% 5.9454% 7/25/37 (b)(c)(d)	12	11
Class M3, CME Term SOFR 1 Month Index + 0.660% 5.9904% 7/25/37 (b)(c)(d)	20	17
Class M4, CME Term SOFR 1 Month Index + 0.860% 6.1854% 7/25/37 (b)(c)(d)	31	28
Class M5, CME Term SOFR 1 Month Index + 1.010% 6.3354% 7/25/37 (b)(c)(d)	17	20
Benchmark Mortgage Trust:
sequential payer:
Series 2018-B4 Class A5, 4.121% 7/15/51	806	768
Series 2019-B10 Class A4, 3.717% 3/15/62	1,426	1,325
Series 2019-B13 Class A4, 2.952% 8/15/57	8,383	7,464
Series 2018-B8 Class A5, 4.2317% 1/15/52	10,843	10,139
BLP Commercial Mortgage Trust sequential payer Series 2024-IND2 Class A, CME Term SOFR 1 Month Index + 1.340% 6.6422% 3/15/41 (b)(c)(d)	3,771	3,768
BPR Trust floater Series 2022-OANA:
Class A, CME Term SOFR 1 Month Index + 1.890% 7.2156% 4/15/37 (b)(c)(d)	19,188	19,247
Class B, CME Term SOFR 1 Month Index + 2.440% 7.7646% 4/15/37 (b)(c)(d)	4,991	4,983
BX Commercial Mortgage Trust:
floater:
Series 2019-IMC:
Class B, CME Term SOFR 1 Month Index + 1.340% 6.6643% 4/15/34 (b)(c)(d)	2,644	2,634
Class C, CME Term SOFR 1 Month Index + 1.640% 6.9643% 4/15/34 (b)(c)(d)	1,748	1,740
Class D, CME Term SOFR 1 Month Index + 1.940% 7.2643% 4/15/34 (b)(c)(d)	1,835	1,825
Series 2019-XL:
Class C, CME Term SOFR 1 Month Index + 1.360% 6.6821% 10/15/36 (b)(c)(d)	2,104	2,100
Class D, CME Term SOFR 1 Month Index + 1.560% 6.8821% 10/15/36 (b)(c)(d)	4,049	4,039
Class E, CME Term SOFR 1 Month Index + 1.910% 7.2321% 10/15/36 (b)(c)(d)	5,690	5,672
Series 2021-LBA Class AJV, CME Term SOFR 1 Month Index + 0.910% 6.2325% 2/15/36 (b)(c)(d)	200	199
Series 2021-PAC:
Class A, CME Term SOFR 1 Month Index + 0.800% 6.1216% 10/15/36 (b)(c)(d)	11,302	11,185
Class B, CME Term SOFR 1 Month Index + 1.010% 6.3313% 10/15/36 (b)(c)(d)	1,691	1,662
Class C, CME Term SOFR 1 Month Index + 1.210% 6.5311% 10/15/36 (b)(c)(d)	2,263	2,212
Class D, CME Term SOFR 1 Month Index + 1.410% 6.7308% 10/15/36 (b)(c)(d)	2,197	2,134
Class E, CME Term SOFR 1 Month Index + 2.060% 7.38% 10/15/36 (b)(c)(d)	7,638	7,485
Series 2022-IND Class A, CME Term SOFR 1 Month Index + 1.490% 6.8086% 4/15/37 (b)(c)(d)	7,745	7,745
Series 2022-LP2:
Class B, CME Term SOFR 1 Month Index + 1.310% 6.6299% 2/15/39 (b)(c)(d)	3,506	3,462
Class C, CME Term SOFR 1 Month Index + 1.560% 6.8793% 2/15/39 (b)(c)(d)	3,506	3,449
Class D, CME Term SOFR 1 Month Index + 1.960% 7.2784% 2/15/39 (b)(c)(d)	3,506	3,448
Series 2023-XL3:
Class A, CME Term SOFR 1 Month Index + 1.760% 7.0791% 12/9/40 (b)(c)(d)	5,568	5,606
Class B, CME Term SOFR 1 Month Index + 2.190% 7.5085% 12/9/40 (b)(c)(d)	1,231	1,241
Class C, CME Term SOFR 1 Month Index + 2.640% 7.9578% 12/9/40 (b)(c)(d)	667	672
floater sequential payer Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.040% 6.3643% 4/15/34 (b)(c)(d)	5,741	5,726
BX Commercial Mortgage Trust 2024-Xl4:
floater Series 2024-XL4 Class B, CME Term SOFR 1 Month Index + 1.790% 7.1092% 2/15/39 (b)(c)(d)	1,097	1,096
floater sequential payer Series 2024-XL4 Class A, CME Term SOFR 1 Month Index + 1.440% 6.7597% 2/15/39 (b)(c)(d)	8,740	8,740
BX Trust floater:
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4826% 8/15/39 (b)(c)(d)	5,343	5,356
Series 2022-IND:
Class B, CME Term SOFR 1 Month Index + 1.940% 7.2576% 4/15/37 (b)(c)(d)	3,948	3,946
Class C, CME Term SOFR 1 Month Index + 2.290% 7.6076% 4/15/37 (b)(c)(d)	891	890
Class D, CME Term SOFR 1 Month Index + 2.830% 8.1566% 4/15/37 (b)(c)(d)	746	744
CAMB Commercial Mortgage Trust floater Series 2019-LIFE:
Class A, CME Term SOFR 1 Month Index + 1.360% 6.685% 12/15/37 (b)(c)(d)	5,900	5,898
Class B, CME Term SOFR 1 Month Index + 1.540% 6.865% 12/15/37 (b)(c)(d)	1,800	1,801
CD Commercial Mortgage Trust sequential payer Series 2017-CD6 Class ASB, 3.332% 11/13/50	1,501	1,452
CF Hippolyta Issuer LLC sequential payer:
Series 2020-1:
Class A1, 1.69% 7/15/60 (b)	18,910	17,583
Class A2, 1.99% 7/15/60 (b)	12,229	10,439
Series 2021-1A Class A1, 1.53% 3/15/61 (b)	13,114	11,767
CFCRE Commercial Mortgage Trust sequential payer Series 2016-C7 Class A2, 3.5853% 12/10/54	792	747
Citigroup Commercial Mortgage Trust:
sequential payer Series 2020-GC46 Class AAB, 2.614% 2/15/53	600	558
Series 2014-GC25 Class A/S, 4.017% 10/10/47	4,150	4,064
COMM Mortgage Trust sequential payer:
Series 2014-CR18 Class A5, 3.828% 7/15/47	1,362	1,353
Series 2020-SBX Class A, 1.67% 1/10/38 (b)	22,582	20,182
Commercial Mortgage Trust sequential payer Series 2018-CD7 Class ASB, 4.213% 8/15/51	1,784	1,737
Credit Suisse Mortgage Trust:
floater Series 2019-ICE4:
Class A, CME Term SOFR 1 Month Index + 1.020% 6.345% 5/15/36 (b)(c)(d)	26,512	26,512
Class B, CME Term SOFR 1 Month Index + 1.270% 6.595% 5/15/36 (b)(c)(d)	19,357	19,354
Class C, CME Term SOFR 1 Month Index + 1.470% 6.795% 5/15/36 (b)(c)(d)	2,013	2,013
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b)	2,478	2,295
DTP Commercial Mortgage Trust 2023-Ste2 sequential payer Series 2023-STE2 Class A, 6.038% 1/15/41 (b)(c)	1,675	1,650
ELP Commercial Mortgage Trust floater Series 2021-ELP:
Class A, CME Term SOFR 1 Month Index + 0.810% 6.1335% 11/15/38 (b)(c)(d)	15,431	15,277
Class B, CME Term SOFR 1 Month Index + 1.230% 6.5527% 11/15/38 (b)(c)(d)	3,895	3,853
Extended Stay America Trust floater Series 2021-ESH:
Class A, CME Term SOFR 1 Month Index + 1.190% 6.5125% 7/15/38 (b)(c)(d)	5,774	5,767
Class B, CME Term SOFR 1 Month Index + 1.490% 6.8125% 7/15/38 (b)(c)(d)	2,678	2,674
Class C, CME Term SOFR 1 Month Index + 1.810% 7.1325% 7/15/38 (b)(c)(d)	1,974	1,971
Class D, CME Term SOFR 1 Month Index + 2.360% 7.6825% 7/15/38 (b)(c)(d)	3,984	3,977
Freddie Mac:
sequential payer:
Series 2015-K049 Class A2, 3.01% 7/25/25	740	720
Series 2016-K054 Class A2, 2.745% 1/25/26	2,144	2,062
Series 2020-K117 Class A2, 1.406% 8/25/30	1,300	1,062
Series 2021-K127 Class A2, 2.108% 1/25/31	3,000	2,540
Series 2022-K141 Class A2, 2.25% 2/25/32	869	726
Series 2022-K146 Class A2, 2.92% 6/25/32	1,798	1,571
Series 2022-K147 Class A2, 3% 6/25/32	2,273	1,998
Series 2022-K750 Class A2, 3% 9/25/29	2,900	2,669
Series 2023-K751 Class A2, 4.412% 3/25/30	600	589
Series 2023-K754 Class A2, 4.94% 11/25/30	3,800	3,830
Series 2024-K516 Class A2, 5.476% 1/25/29	3,600	3,720
Series K065 Class A2, 3.243% 4/25/27	700	671
Series 2022 K748 Class A2, 2.26% 1/25/29	800	714
Series K047 Class A2, 3.329% 5/25/25	3,490	3,415
Series K086 Class A2, 3.859% 11/25/28	1,847	1,779
GS Mortgage Securities Trust:
floater Series 2021-IP:
Class A, CME Term SOFR 1 Month Index + 1.060% 6.3825% 10/15/36 (b)(c)(d)	6,605	6,510
Class B, CME Term SOFR 1 Month Index + 1.260% 6.5825% 10/15/36 (b)(c)(d)	1,021	992
Class C, CME Term SOFR 1 Month Index + 1.660% 6.9825% 10/15/36 (b)(c)(d)	841	807
sequential payer Series 2018-GS10 Class AAB, 4.106% 7/10/51	1,723	1,676
Series 2011-GC5 Class A/S, 5.1526% 8/10/44 (b)(c)	4,219	4,090
Series 2015-GC34 Class XA, 1.1931% 10/10/48 (c)(k)	16,648	241
Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 7.8066% 8/15/39 (b)(c)(d)	8,964	9,012
J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2012-NLP Class A, CME Term SOFR 1 Month Index + 0.590% 5.9141% 4/15/37 (b)(c)(d)	6,834	6,458
JP Morgan Chase Commercial Mortgage Securities Trust sequential payer Series 2021-2NU Class A, 1.9739% 1/5/40 (b)	25,800	21,695
JPMDB Commercial Mortgage Securities Trust sequential payer:
Series 2018-C8 Class ASB, 4.145% 6/15/51	1,729	1,681
Series 2019-COR6 Class A4, 3.0565% 11/13/52	1,823	1,525
JPMorgan Chase Commercial Mortgage Securities Trust:
sequential payer Series 2020-NNN Class AFX, 2.8123% 1/16/37 (b)	31,484	26,761
Series 2013-LC11 Class A/S, 3.216% 4/15/46	330	304
Series 2018-WPT:
Class AFX, 4.2475% 7/5/33 (b)	2,821	2,549
Class CFX, 4.9498% 7/5/33 (b)	485	384
Class DFX, 5.3503% 7/5/33 (b)	955	708
Class EFX, 5.3635% 7/5/33 (b)(c)	1,020	696
Life Financial Services Trust floater Series 2022-BMR2:
Class A1, CME Term SOFR 1 Month Index + 1.290% 6.6129% 5/15/39 (b)(c)(d)	12,720	12,609
Class B, CME Term SOFR 1 Month Index + 1.790% 7.1116% 5/15/39 (b)(c)(d)	8,835	8,736
Class C, CME Term SOFR 1 Month Index + 2.090% 7.4108% 5/15/39 (b)(c)(d)	4,950	4,888
Class D, CME Term SOFR 1 Month Index + 2.540% 7.8596% 5/15/39 (b)(c)(d)	4,400	4,199
LIFE Mortgage Trust floater Series 2021-BMR:
Class A, CME Term SOFR 1 Month Index + 0.810% 6.1325% 3/15/38 (b)(c)(d)	9,783	9,676
Class B, CME Term SOFR 1 Month Index + 0.990% 6.3125% 3/15/38 (b)(c)(d)	2,360	2,325
Class C, CME Term SOFR 1 Month Index + 1.210% 6.5325% 3/15/38 (b)(c)(d)	1,485	1,459
Class D, CME Term SOFR 1 Month Index + 1.510% 6.8325% 3/15/38 (b)(c)(d)	2,066	2,030
Class E, CME Term SOFR 1 Month Index + 1.860% 7.1825% 3/15/38 (b)(c)(d)	1,805	1,760
Merit floater Series 2021-STOR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1325% 7/15/38 (b)(c)(d)	300	297
Morgan Stanley BAML Trust sequential payer Series 2016-C28 Class A3, 3.272% 1/15/49	7,430	7,148
Morgan Stanley Capital I Trust:
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b)	7,903	7,421
Series 2018-H4 Class A4, 4.31% 12/15/51	4,056	3,877
Series 2019-MEAD:
Class B, 3.1771% 11/10/36 (b)(c)	1,142	1,043
Class C, 3.1771% 11/10/36 (b)(c)	1,096	977
NJ Trust 2023-GSP sequential payer Series 2023-GSP Class A, 6.4808% 1/6/29 (b)(c)	2,400	2,475
NYT Mortgage Trust floater Series 2019-NYT Class A, CME Term SOFR 1 Month Index + 1.490% 6.815% 12/15/35 (b)(c)(d)	22,356	21,762
Open Trust 2023-Air sequential payer Series 2023-AIR:
Class A, CME Term SOFR 1 Month Index + 3.080% 8.4067% 10/15/28 (b)(c)(d)	4,643	4,660
Class B, CME Term SOFR 1 Month Index + 3.830% 9.1556% 10/15/28 (b)(c)(d)	2,797	2,809
Prima Capital Ltd. floater Series 2021-9A Class B, CME Term SOFR 1 Month Index + 1.910% 7.2343% 12/15/37 (b)(c)(d)	268	263
SPGN Mortgage Trust floater Series 2022-TFLM:
Class B, CME Term SOFR 1 Month Index + 2.000% 7.3176% 2/15/39 (b)(c)(d)	2,586	2,489
Class C, CME Term SOFR 1 Month Index + 2.650% 7.9676% 2/15/39 (b)(c)(d)	1,345	1,278
SREIT Trust floater:
Series 2021-FLWR Class A, CME Term SOFR 1 Month Index + 0.690% 6.009% 7/15/36 (b)(c)(d)	4,098	4,049
Series 2021-MFP:
Class A, CME Term SOFR 1 Month Index + 0.840% 6.1629% 11/15/38 (b)(c)(d)	12,652	12,594
Class B, CME Term SOFR 1 Month Index + 1.190% 6.5119% 11/15/38 (b)(c)(d)	5,690	5,634
Class C, CME Term SOFR 1 Month Index + 1.440% 6.7611% 11/15/38 (b)(c)(d)	3,535	3,495
Class D, CME Term SOFR 1 Month Index + 1.690% 7.0103% 11/15/38 (b)(c)(d)	2,322	2,292
UBS Commercial Mortgage Trust sequential payer Series 2019-C17 Class ASB, 2.8655% 10/15/52	2,200	2,051
VLS Commercial Mortgage Trust:
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b)	9,860	7,940
Series 2020-LAB Class B, 2.453% 10/10/42 (b)	510	409
Wells Fargo Commercial Mortgage Trust:
floater:
Series 2016-C32 Class A3FL, CME Term SOFR 1 Month Index + 1.530% 6.8558% 1/15/59 (c)(d)	23,457	23,614
Series 2021-FCMT Class A, CME Term SOFR 1 Month Index + 1.310% 6.6325% 5/15/31 (b)(c)(d)	5,818	5,702
sequential payer:
Series 2015-C26 Class A4, 3.166% 2/15/48	8,381	8,156
Series 2015-C29 Class ASB, 3.4% 6/15/48	825	815
Series 2018-C46 Class ASB, 4.086% 8/15/51	1,813	1,770
Series 2019-C52 Class A5, 2.892% 8/15/52	2,411	2,132
Series 2021-C61 Class ASB, 2.525% 11/15/54	200	179
Series 2015-SG1 Class ASB, 3.556% 9/15/48	660	652
Series 2018-C48 Class A5, 4.302% 1/15/52	2,498	2,397
Wells Fargo Commercial Mtg Trust 2020-C sequential payer Series 2020-C55 Class ASB, 2.651% 2/15/53	400	372
WF-RBS Commercial Mortgage Trust sequential payer Series 2014-C24 Class A4, 3.343% 11/15/47	7,819	7,715
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $687,906)		655,040

Municipal Securities - 0.0%
	Principal Amount (a) (000s)	Value ($) (000s)
Chicago Board of Ed. Series 2009 G, 1.75% 12/15/25 (Cost $3,892)	3,960	3,645

Foreign Government and Government Agency Obligations - 0.1%
	Principal Amount (a) (000s)	Value ($) (000s)
Panamanian Republic 3.298% 1/19/33 (Cost $18,095)	18,095	13,684

Bank Notes - 0.1%
	Principal Amount (a) (000s)	Value ($) (000s)
Discover Bank 5.974% 8/9/28 (c)	1,865	1,836
KeyBank NA 6.95% 2/1/28	725	740
Regions Bank 6.45% 6/26/37	2,685	2,725
TOTAL BANK NOTES (Cost $5,122)		5,301

Fixed-Income Funds - 1.6%
	Shares	Value ($) (000s)
Fidelity Specialized High Income Central Fund (o) (Cost $154,916)	1,648,970	141,399

Preferred Securities - 0.2%
	Principal Amount (a) (000s)	Value ($) (000s)
FINANCIALS - 0.2%
Banks - 0.2%
Bank of Nova Scotia:
CME Term SOFR 3 Month Index + 2.900% 8.2361% (c)(d)(p)	8,146	7,844
4.9% (c)(p)	11,200	10,867
(Cost $19,945)		18,711

Money Market Funds - 12.5%
	Shares	Value ($) (000s)
Fidelity Cash Central Fund 5.39% (q)	976,067,679	976,263
Fidelity Securities Lending Cash Central Fund 5.39% (q)(r)	140,869,913	140,884
TOTAL MONEY MARKET FUNDS (Cost $1,117,146)		1,117,147

Purchased Swaptions - 0.0%
	Expiration Date	Notional Amount (a) (000s)		Value ($) (000s)
Put Options - 0.0%
Option on an interest rate swap with Bank of America N.A. to pay annually a fixed rate of 3.7375% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.	2/26/25		8,500	298
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.3525% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.	2/03/25		1,200	61
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.8225% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.	2/24/25		5,100	163

TOTAL PUT OPTIONS				522
Call Options - 0.0%
Option on an interest rate swap with Bank of America N.A. to receive annually a fixed rate of 3.7375% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.	2/26/25		8,500	310
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive annually a fixed rate of 3.3525% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.	2/03/25		1,200	26
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.8225% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.	2/24/25		5,100	204

TOTAL CALL OPTIONS				540
TOTAL PURCHASED SWAPTIONS (Cost $1,076)				1,062

TOTAL INVESTMENT IN SECURITIES - 120.3% (Cost $11,456,222)	10,776,577
NET OTHER ASSETS (LIABILITIES) - (20.3)%	(1,821,522)
NET ASSETS - 100.0%	8,955,055

TBA Sale Commitments
	Principal Amount (a) (000s)	Value ($) (000s)
Ginnie Mae
2% 3/1/54	(15,500)	(12,613)
2% 3/1/54	(12,000)	(9,766)
2% 3/1/54	(1,200)	(977)
2% 3/1/54	(650)	(529)
2% 3/1/54	(6,150)	(5,005)
2% 3/1/54	(5,375)	(4,374)
2% 3/1/54	(10,775)	(8,769)
2% 3/1/54	(400)	(326)
2.5% 3/1/54	(2,900)	(2,454)
2.5% 3/1/54	(425)	(360)
3% 3/1/54	(10,550)	(9,252)
3% 3/1/54	(2,575)	(2,258)
6.5% 3/1/54	(950)	(963)
6.5% 3/1/54	(2,350)	(2,382)

TOTAL GINNIE MAE		(60,028)

Uniform Mortgage Backed Securities
2% 3/1/54	(1,800)	(1,415)
2% 3/1/54	(7,750)	(6,092)
2% 3/1/54	(21,400)	(16,821)
2% 3/1/54	(26,850)	(21,105)
2% 3/1/54	(9,700)	(7,625)
2% 3/1/54	(13,350)	(10,494)
2% 3/1/54	(4,850)	(3,812)
2% 3/1/54	(1,450)	(1,140)
2% 3/1/54	(1,000)	(786)
2% 3/1/54	(900)	(707)
2% 3/1/54	(55,250)	(43,429)
2% 3/1/54	(20,750)	(16,311)
2% 3/1/54	(12,275)	(9,649)
2% 3/1/54	(4,600)	(3,616)
2% 3/1/54	(106,650)	(83,832)
2% 3/1/54	(38,750)	(30,459)
2.5% 3/1/54	(24,100)	(19,800)
2.5% 3/1/54	(600)	(493)
2.5% 3/1/54	(111,200)	(91,358)
3% 3/1/54	(1,800)	(1,540)
3% 3/1/54	(3,600)	(3,080)
3% 3/1/54	(28,050)	(23,998)
3% 3/1/54	(114,900)	(98,302)
4.5% 3/1/54	(6,575)	(6,222)
5% 3/1/54	(7,850)	(7,613)
5% 3/1/54	(2,325)	(2,255)
5.5% 3/1/54	(425)	(420)
5.5% 3/1/54	(500)	(495)
5.5% 3/1/54	(1,700)	(1,682)
6% 3/1/54	(1,600)	(1,607)
6% 3/1/54	(650)	(653)
6% 3/1/54	(100)	(100)
6% 3/1/54	(1,000)	(1,004)
6% 3/1/54	(1,900)	(1,908)
6% 3/1/54	(1,300)	(1,306)
6% 3/1/54	(800)	(804)
6.5% 3/1/54	(1,550)	(1,577)
6.5% 3/1/54	(1,050)	(1,068)
6.5% 3/1/54	(2,150)	(2,188)

TOTAL UNIFORM MORTGAGE BACKED SECURITIES		(526,766)

TOTAL TBA SALE COMMITMENTS (Proceeds $588,797)		(586,794)

Written Swaptions
	Expiration Date	Notional Amount (a)		Value ($)
Put Swaptions
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index and receive annually a fixed rate of 3.7675%, expiring September 2033.	9/20/28		9,500	(370)
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.502% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring January 2034.	1/04/29		5,500	(243)

TOTAL PUT SWAPTIONS				(613)
Call Swaptions
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.7675 and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring September 2033.	9/20/28		9,500	(397)
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.502% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring January 2034.	1/04/29		5,500	(202)

TOTAL CALL SWAPTIONS				(599)
TOTAL WRITTEN SWAPTIONS				(1,212)

Futures Contracts
	Number of contracts	Expiration Date	Notional Amount ($) (000s)	Value ($) (000s)	Unrealized Appreciation/ (Depreciation) ($) (000s)
Purchased

Treasury Contracts
CBOT 2-Year U.S. Treasury Note Contracts (United States)	211	Jun 2024	43,202	23	23
CBOT 5-Year U.S. Treasury Note Contracts (United States)	79	Jun 2024	8,446	16	16
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States)	6	Jun 2024	767	11	11

TOTAL PURCHASED					50

Sold

Treasury Contracts
CBOT 10-Year U.S. Treasury Note Contracts (United States)	194	Jun 2024	21,425	(73)	(73)
CBOT Long Term U.S. Treasury Bond Contracts (United States)	40	Jun 2024	4,770	(47)	(47)

TOTAL SOLD					(120)

TOTAL FUTURES CONTRACTS					(70)
The notional amount of futures purchased as a percentage of Net Assets is 0.6%
The notional amount of futures sold as a percentage of Net Assets is 0.3%

Credit Default Swaps
Underlying Reference	Rating(1)	Maturity Date	Clearinghouse / Counterparty	Fixed Payment Received/ (Paid)	Payment Frequency	Notional Amount (000s)(2)(3)		Value ($) (000s)(1)	Upfront Premium Received/ (Paid) ($) (000s)	Unrealized Appreciation/ (Depreciation) ($) (000s)
Buy Protection
CMBX N.A. AAA Index Series 13		Dec 2072	Morgan Stanley Capital Services LLC	(0.5%)	Monthly		8,020	64	(129)	(65)
CMBX N.A. AAA Index Series 13		Dec 2072	Morgan Stanley Capital Services LLC	(0.5%)	Monthly		100	1	(1)	0
CMBX N.A. BBB- Index Series 16		Apr 2065	Goldman Sachs & Co. LLC	(3%)	Monthly		300	47	(87)	(40)
CMBX N.A. BBB- Index Series 16		Apr 2065	Goldman Sachs & Co. LLC	(3%)	Monthly		80	13	(23)	(10)
CMBX N.A. BBB- Index Series 16		Apr 2065	Goldman Sachs & Co. LLC	(3%)	Monthly		670	107	(165)	(58)
CMBX N.A. BBB- Index Series 16		Apr 2065	Goldman Sachs & Co. LLC	(3%)	Monthly		330	53	(81)	(28)
CMBX N.A. BBB- Index Series 16		Apr 2065	Goldman Sachs & Co. LLC	(3%)	Monthly		110	18	(30)	(12)
CMBX N.A. BBB- Index Series 16		Apr 2065	Goldman Sachs & Co. LLC	(3%)	Monthly		200	32	(39)	(7)
CMBX N.A. BBB- Index Series 16		Apr 2065	Goldman Sachs & Co. LLC	(3%)	Monthly		230	36	(60)	(24)
CMBX N.A. BBB- Index Series 16		Apr 2065	JPMorgan Securities LLC	(3%)	Monthly		200	32	(53)	(21)
CMBX N.A. BBB- Index Series 16		Apr 2065	Morgan Stanley Capital Services LLC	(3%)	Monthly		1,170	187	(316)	(129)
CMBX N.A. BBB- Index Series 16		Apr 2065	Morgan Stanley Capital Services LLC	(3%)	Monthly		100	16	(17)	(1)
CMBX N.A. BBB- Index Series 16		Apr 2065	Morgan Stanley Capital Services LLC	(3%)	Monthly		800	127	(203)	(76)
CMBX N.A. BBB- Index Series 17		Dec 2056	Morgan Stanley Capital Services LLC	(3%)	Monthly		200	27	(28)	(1)

TOTAL BUY PROTECTION								760	(1,232)	(472)
Sell Protection
CMBX N.A. AAA Index Series 12	NR	Aug 2061	JPMorgan Securities LLC	0.5%	Monthly		3,000	(16)	13	(3)
CMBX N.A. AAA Index Series 13	NR	Dec 2072	Morgan Stanley Capital Services LLC	0.5%	Monthly		6,860	(55)	156	101
CMBX N.A. AAA Index Series 13	NR	Dec 2072	Morgan Stanley Capital Services LLC	0.5%	Monthly		1,260	(10)	30	20
CMBX N.A. AAA Index Series 15	NR	Nov 2064	Goldman Sachs & Co. LLC	0.5%	Monthly		2,270	(34)	59	25
CMBX N.A. AAA Index Series 15	NR	Nov 2064	Goldman Sachs & Co. LLC	0.5%	Monthly		410	(6)	11	5
CMBX N.A. AAA Index Series 15	NR	Nov 2064	Morgan Stanley Capital Services LLC	0.5%	Monthly		6,320	(95)	107	12

TOTAL SELL PROTECTION								(216)	376	160
TOTAL CREDIT DEFAULT SWAPS								544	(856)	(312)

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

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

(3)Notional amount is stated in U.S. Dollars unless otherwise noted.

Interest Rate Swaps
Payment Received	Payment Frequency	Payment Paid	Payment Frequency	Clearinghouse / Counterparty(1)	Maturity Date	Notional Amount (000s)(2)		Value ($) (000s)	Upfront Premium Received/ (Paid) ($) (000s)(3)	Unrealized Appreciation/ (Depreciation) ($) (000s)
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)	Annual	4%	Annual	LCH	Mar 2026		64,160	317	0	317
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)	Annual	4.5%	Annual	LCH	Mar 2027		3,423	19	0	19
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)	Annual	4.25%	Annual	LCH	Mar 2029		4,140	28	0	28
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)	Annual	4.25%	Annual	LCH	Mar 2031		15,442	104	0	104
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)	Annual	4%	Annual	LCH	Mar 2044		7,217	38	0	38
4%	Annual	U.S. Secured Overnight Fin. Rate (SOFR) Index(4)	Annual	LCH	Mar 2054		514	(4)	0	(4)
TOTAL INTEREST RATE SWAPS								502	0	502

(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.

(2)Notional amount is stated in U.S. Dollars unless otherwise noted.

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

(4)Represents floating rate.

Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.

Legend

(a)	Amount is stated in United States dollars unless otherwise noted.

(b)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,554,978,000 or 17.4% of net assets.

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

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

(e)	Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $19,224,000.

(f)	Security or a portion of the security is on loan at period end.

(g)	Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $2,627,000.

(h)	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 $573,000.

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

(j)	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.

(k)	Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

(l)	Level 3 security

(m)	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.

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

(o)

Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

(q)

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.

(r)	Investment made with cash collateral received from securities on loan.

Affiliated Central Funds

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

Affiliate (Amounts in thousands)	Value, beginning of period ($)	Purchases ($)	Sales Proceeds ($)	Dividend Income ($)	Realized Gain (loss) ($)	Change in Unrealized appreciation (depreciation) ($)	Value, end of period ($)	% ownership, end of period
Fidelity Cash Central Fund 5.39%	61,592	1,966,390	1,051,719	16,070	-	-	976,263	1.8%
Fidelity Securities Lending Cash Central Fund 5.39%	322,153	1,170,490	1,351,759	174	-	-	140,884	0.4%
Fidelity Specialized High Income Central Fund	134,201	4,043	-	4,042	-	3,155	141,399	32.7%
Total	517,946	3,140,923	2,403,478	20,286	-	3,155	1,258,546

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

Investment Valuation

The following is a summary of the inputs used, as of February 29, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total ($)	Level 1 ($)	Level 2 ($)	Level 3 ($)
Investments in Securities:

Corporate Bonds	2,441,956	-	2,441,956	-

U.S. Government and Government Agency Obligations	3,655,368	-	3,655,368	-

U.S. Government Agency - Mortgage Securities	1,985,229	-	1,985,229	-

Asset-Backed Securities	631,472	-	631,472	-

Collateralized Mortgage Obligations	106,563	-	106,563	-

Commercial Mortgage Securities	655,040	-	655,040	-

Municipal Securities	3,645	-	3,645	-

Foreign Government and Government Agency Obligations	13,684	-	13,684	-

Bank Notes	5,301	-	5,301	-

Fixed-Income Funds	141,399	141,399	-	-

Preferred Securities	18,711	-	18,711	-

Money Market Funds	1,117,147	1,117,147	-	-

Purchased Swaptions	1,062	-	1,062	-
Total Investments in Securities:	10,776,577	1,258,546	9,518,031	-
Derivative Instruments: Assets
Futures Contracts	50	50	-	-
Swaps	1,266	-	1,266	-
Total Assets	1,316	50	1,266	-
Liabilities
Futures Contracts	(120)	(120)	-	-
Swaps	(220)	-	(220)	-
Written Swaptions	(1,212)	-	(1,212)	-
Total Liabilities	(1,552)	(120)	(1,432)	-
Total Derivative Instruments:	(236)	(70)	(166)	-
Other Financial Instruments:
TBA Sale Commitments	(586,794)	-	(586,794)	-
Total Other Financial Instruments:	(586,794)	-	(586,794)	-

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type	Value
(Amounts in thousands)	Asset ($)	Liability ($)
Credit Risk
Swaps (a)	760	(216)
Total Credit Risk	760	(216)
Interest Rate Risk
Futures Contracts (b)	50	(120)
Purchased Swaptions (c)	1,062	0
Swaps (d)	506	(4)
Written Swaptions (e)	0	(1,212)
Total Interest Rate Risk	1,618	(1,336)
Total Value of Derivatives	2,378	(1,552)

(a)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.

(b)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

(c)Gross value is presented in the Statement of Assets and Liabilities in the Investments in Securities at value line-item.

(d)For centrally cleared swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).

(e)Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.

Financial Statements (Unaudited)

Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts)				February 29, 2024 (Unaudited)

Assets
Investment in securities, at value (including securities loaned of $138,133) - See accompanying schedule:
Unaffiliated issuers (cost $10,184,160)	$	9,518,031
Fidelity Central Funds (cost $1,272,062)		1,258,546


Total Investment in Securities (cost $11,456,222)			$	10,776,577
Receivable for investments sold				272
Receivable for premium on written options				1,251
Receivable for TBA sale commitments				588,797
Receivable for fund shares sold				53,741
Interest receivable				65,407
Distributions receivable from Fidelity Central Funds				3,995
Bi-lateral OTC swaps, at value				760
Receivable from investment adviser for expense reductions				81
Other receivables				156
Total assets				11,491,037
Liabilities
Payable for investments purchased
Regular delivery	$	213,228
Delayed delivery		1,573,399
TBA sale commitments, at value		586,794
Payable for fund shares redeemed		10,257
Distributions payable		6,334
Bi-lateral OTC swaps, at value		216
Accrued management fee		2,168
Distribution and service plan fees payable		65
Payable for daily variation margin on futures contracts		34
Payable for daily variation margin on centrally cleared swaps		85
Written options, at value (premium receivable $1,251)		1,212
Other affiliated payables		1,157
Other payables and accrued expenses		149
Collateral on securities loaned		140,884
Total Liabilities				2,535,982
Net Assets			$	8,955,055
Net Assets consist of:
Paid in capital			$	10,365,908
Total accumulated earnings (loss)				(1,410,853)
Net Assets			$	8,955,055

Net Asset Value and Maximum Offering Price
Class A :
Net Asset Value and redemption price per share ($186,384 ÷ 26,237 shares)(a)			$	7.10
Maximum offering price per share (100/96.00 of $7.10)			$	7.40
Class M :
Net Asset Value and redemption price per share ($29,800 ÷ 4,192 shares)(a)			$	7.11
Maximum offering price per share (100/96.00 of $7.11)			$	7.41
Class C :
Net Asset Value and offering price per share ($24,423 ÷ 3,433 shares)(a)			$	7.11
Investment Grade Bond :
Net Asset Value, offering price and redemption price per share ($5,157,962 ÷ 725,526 shares)			$	7.11
Class I :
Net Asset Value, offering price and redemption price per share ($1,836,328 ÷ 257,995 shares)			$	7.12
Class Z :
Net Asset Value, offering price and redemption price per share ($1,720,158 ÷ 241,496 shares)			$	7.12
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

Statement of Operations
Amounts in thousands				Six months ended February 29, 2024 (Unaudited)
Investment Income
Dividends			$	619
Interest				165,087
Income from Fidelity Central Funds (including $174 from security lending)				20,286
Total Income				185,992
Expenses
Management fee	$	12,400
Transfer agent fees		4,325
Distribution and service plan fees		359
Fund wide operations fee		2,273
Independent trustees' fees and expenses		14
Total expenses before reductions		19,371
Expense reductions		(326)
Total expenses after reductions				19,045
Net Investment income (loss)				166,947
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment Securities:
Unaffiliated issuers		(110,922)
Futures contracts		(1,314)
Swaps		(2,680)
Total net realized gain (loss)				(114,916)
Change in net unrealized appreciation (depreciation) on:
Investment Securities:
Unaffiliated issuers		148,714
Fidelity Central Funds		3,155
Futures contracts		770
Swaps		860
Written options		39
TBA Sale commitments		3,149
Total change in net unrealized appreciation (depreciation)				156,687
Net gain (loss)				41,771
Net increase (decrease) in net assets resulting from operations			$	208,718

Statement of Changes in Net Assets

Amount in thousands		Six months ended February 29, 2024 (Unaudited)		Year ended August 31, 2023
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	166,947	$	292,334
Net realized gain (loss)		(114,916)		(280,354)
Change in net unrealized appreciation (depreciation)		156,687		(74,860)
Net increase (decrease) in net assets resulting from operations		208,718		(62,880)
Distributions to shareholders		(162,586)		(285,168)

Share transactions - net increase (decrease)		229,803		277,890
Total increase (decrease) in net assets		275,935		(70,158)

Net Assets
Beginning of period		8,679,120		8,749,278
End of period	$	8,955,055	$	8,679,120

Financial Highlights

Fidelity Advisor® Investment Grade Bond Fund Class A

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	7.05	$	7.34	$	8.48	$	8.76	$	8.25	$	7.71
Income from Investment Operations
Net investment income (loss) A,B		.129		.226		.140		.105		.158		.199
Net realized and unrealized gain (loss)		.046		(.297)		(1.142)		(.031)		.518		.565
Total from investment operations		.175		(.071)		(1.002)		.074		.676		.764
Distributions from net investment income		(.125)		(.219)		(.134)		(.101)		(.166)		(.224)
Distributions from net realized gain		-		-		(.004)		(.253)		-		-
Total distributions		(.125)		(.219)		(.138)		(.354)		(.166)		(.224)
Net asset value, end of period	$	7.10	$	7.05	$	7.34	$	8.48	$	8.76	$	8.25
Total Return C,D,E		2.52%		(.95)%		(11.91)%		.89%		8.30%		10.11%
Ratios to Average Net Assets A,F,G
Expenses before reductions		.76% H		.76%		.75%		.75%		.76%		.77%
Expenses net of fee waivers, if any		.76% H		.76%		.75%		.75%		.76%		.77%
Expenses net of all reductions		.76% H		.76%		.75%		.75%		.76%		.77%
Net investment income (loss)		3.70% H		3.17%		1.76%		1.24%		1.88%		2.55%
Supplemental Data
Net assets, end of period (in millions)	$	186	$	178	$	162	$	209	$	168	$	72
Portfolio turnover rate I		277% H		131%		75%		40%		118% J		59% J

BCalculated based on average shares outstanding during the period.

CTotal returns for periods of less than one year are not annualized.

DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

ETotal returns do not include the effect of the sales charges.

FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.

GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.

HAnnualized.

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

JPortfolio turnover rate excludes securities received or delivered in-kind.

Fidelity Advisor® Investment Grade Bond Fund Class M

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	7.05	$	7.34	$	8.48	$	8.77	$	8.26	$	7.72
Income from Investment Operations
Net investment income (loss) A,B		.129		.226		.140		.106		.158		.199
Net realized and unrealized gain (loss)		.056		(.296)		(1.142)		(.041)		.519		.564
Total from investment operations		.185		(.070)		(1.002)		.065		.677		.763
Distributions from net investment income		(.125)		(.220)		(.134)		(.102)		(.167)		(.223)
Distributions from net realized gain		-		-		(.004)		(.253)		-		-
Total distributions		(.125)		(.220)		(.138)		(.355)		(.167)		(.223)
Net asset value, end of period	$	7.11	$	7.05	$	7.34	$	8.48	$	8.77	$	8.26
Total Return C,D,E		2.67%		(.95)%		(11.91)%		.78%		8.30%		10.09%
Ratios to Average Net Assets B,F,G
Expenses before reductions		.76% H		.75%		.75%		.74%		.75%		.77%
Expenses net of fee waivers, if any		.76% H		.75%		.75%		.74%		.75%		.77%
Expenses net of all reductions		.76% H		.75%		.75%		.74%		.75%		.77%
Net investment income (loss)		3.70% H		3.17%		1.76%		1.25%		1.88%		2.54%
Supplemental Data
Net assets, end of period (in millions)	$	30	$	29	$	27	$	34	$	36	$	22
Portfolio turnover rate I		277% H		131%		75%		40%		118% J		59% J

ACalculated based on average shares outstanding during the period.

BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.

CTotal returns for periods of less than one year are not annualized.

DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

ETotal returns do not include the effect of the sales charges.

HAnnualized.

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

JPortfolio turnover rate excludes securities received or delivered in-kind.

Fidelity Advisor® Investment Grade Bond Fund Class C

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	7.06	$	7.35	$	8.49	$	8.77	$	8.26	$	7.72
Income from Investment Operations
Net investment income (loss) A,B		.102		.171		.079		.040		.093		.140
Net realized and unrealized gain (loss)		.046		(.296)		(1.142)		(.031)		.518		.564
Total from investment operations		.148		(.125)		(1.063)		.009		.611		.704
Distributions from net investment income		(.098)		(.165)		(.073)		(.036)		(.101)		(.164)
Distributions from net realized gain		-		-		(.004)		(.253)		-		-
Total distributions		(.098)		(.165)		(.077)		(.289)		(.101)		(.164)
Net asset value, end of period	$	7.11	$	7.06	$	7.35	$	8.49	$	8.77	$	8.26
Total Return C,D,E		2.13%		(1.71)%		(12.57)%		.12%		7.46%		9.26%
Ratios to Average Net Assets B,F,G
Expenses before reductions		1.53% H		1.53%		1.53%		1.52%		1.53%		1.54%
Expenses net of fee waivers, if any		1.53% H		1.53%		1.53%		1.52%		1.53%		1.54%
Expenses net of all reductions		1.53% H		1.53%		1.53%		1.52%		1.53%		1.54%
Net investment income (loss)		2.92% H		2.39%		.99%		.47%		1.10%		1.78%
Supplemental Data
Net assets, end of period (in millions)	$	24	$	19	$	22	$	35	$	37	$	16
Portfolio turnover rate I		277% H		131%		75%		40%		118% J		59% J

ACalculated based on average shares outstanding during the period.

CTotal returns for periods of less than one year are not annualized.

DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

ETotal returns do not include the effect of the contingent deferred sales charge.

HAnnualized.

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

JPortfolio turnover rate excludes securities received or delivered in-kind.

Fidelity® Investment Grade Bond Fund

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	7.05	$	7.35	$	8.48	$	8.77	$	8.26	$	7.72
Income from Investment Operations
Net investment income (loss) A,B		.140		.248		.164		.131		.184		.225
Net realized and unrealized gain (loss)		.056		(.307)		(1.132)		(.041)		.518		.564
Total from investment operations		.196		(.059)		(.968)		.090		.702		.789
Distributions from net investment income		(.136)		(.241)		(.158)		(.127)		(.192)		(.249)
Distributions from net realized gain		-		-		(.004)		(.253)		-		-
Total distributions		(.136)		(.241)		(.162)		(.380)		(.192)		(.249)
Net asset value, end of period	$	7.11	$	7.05	$	7.35	$	8.48	$	8.77	$	8.26
Total Return C,D		2.82%		(.78)%		(11.52)%		1.07%		8.63%		10.45%
Ratios to Average Net Assets B,E,F
Expenses before reductions		.45% G		.45%		.45%		.45%		.45%		.45%
Expenses net of fee waivers, if any		.45% G		.45%		.45%		.45%		.45%		.45%
Expenses net of all reductions		.45% G		.45%		.45%		.45%		.45%		.45%
Net investment income (loss)		4.00% G		3.47%		2.06%		1.54%		2.19%		2.87%
Supplemental Data
Net assets, end of period (in millions)	$	5,158	$	5,337	$	5,715	$	6,910	$	6,527	$	7,638
Portfolio turnover rate H		277% G		131%		75%		40%		118% I		59% I

ACalculated based on average shares outstanding during the period.

CTotal returns for periods of less than one year are not annualized.

DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

EFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.

GAnnualized.

HAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

IPortfolio turnover rate excludes securities received or delivered in-kind.

Fidelity Advisor® Investment Grade Bond Fund Class I

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	7.06	$	7.35	$	8.49	$	8.78	$	8.27	$	7.73
Income from Investment Operations
Net investment income (loss) A,B		.138		.243		.161		.127		.183		.221
Net realized and unrealized gain (loss)		.056		(.295)		(1.143)		(.041)		.517		.564
Total from investment operations		.194		(.052)		(.982)		.086		.700		.785
Distributions from net investment income		(.134)		(.238)		(.154)		(.123)		(.190)		(.245)
Distributions from net realized gain		-		-		(.004)		(.253)		-		-
Total distributions		(.134)		(.238)		(.158)		(.376)		(.190)		(.245)
Net asset value, end of period	$	7.12	$	7.06	$	7.35	$	8.49	$	8.78	$	8.27
Total Return C,D		2.79%		(.69)%		(11.67)%		1.03%		8.58%		10.38%
Ratios to Average Net Assets B,E,F
Expenses before reductions		.51% G		.50%		.49%		.49%		.49%		.50%
Expenses net of fee waivers, if any		.51% G		.50%		.49%		.49%		.49%		.50%
Expenses net of all reductions		.50% G		.50%		.49%		.49%		.49%		.50%
Net investment income (loss)		3.95% G		3.42%		2.02%		1.50%		2.15%		2.82%
Supplemental Data
Net assets, end of period (in millions)	$	1,836	$	1,634	$	1,194	$	1,548	$	1,324	$	1,452
Portfolio turnover rate H		277% G		131%		75%		40%		118% I		59% I

ACalculated based on average shares outstanding during the period.

CTotal returns for periods of less than one year are not annualized.

DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

GAnnualized.

HAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

IPortfolio turnover rate excludes securities received or delivered in-kind.

Fidelity Advisor® Investment Grade Bond Fund Class Z

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022		2021		2020		2019 A
Selected Per-Share Data
Net asset value, beginning of period	$	7.07	$	7.36	$	8.50	$	8.78	$	8.27	$	7.68
Income from Investment Operations
Net investment income (loss) B,C		.143		.254		.170		.138		.193		.197
Net realized and unrealized gain (loss)		.047		(.296)		(1.141)		(.030)		.517		.629
Total from investment operations		.190		(.042)		(.971)		.108		.710		.826
Distributions from net investment income		(.140)		(.248)		(.165)		(.135)		(.200)		(.236)
Distributions from net realized gain		-		-		(.004)		(.253)		-		-
Total distributions		(.140)		(.248)		(.169)		(.388)		(.200)		(.236)
Net asset value, end of period	$	7.12	$	7.07	$	7.36	$	8.50	$	8.78	$	8.27
Total Return D,E		2.72%		(.54)%		(11.53)%		1.28%		8.71%		10.97%
Ratios to Average Net Assets C,F,G
Expenses before reductions		.40% H		.40%		.40%		.40%		.40%		.40% H
Expenses net of fee waivers, if any		.36% H		.36%		.36%		.36%		.36%		.36% H
Expenses net of all reductions		.36% H		.36%		.36%		.36%		.36%		.36% H
Net investment income (loss)		4.10% H		3.56%		2.15%		1.63%		2.28%		2.83% H
Supplemental Data
Net assets, end of period (in millions)	$	1,720	$	1,483	$	1,628	$	1,298	$	1,142	$	74
Portfolio turnover rate I		277% H		131%		75%		40%		118% J		59% J

AFor the period October 2, 2018 (commencement of sale of shares) through August 31, 2019.

BCalculated based on average shares outstanding during the period.

CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.

DTotal returns for periods of less than one year are not annualized.

ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

HAnnualized.

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

JPortfolio turnover rate excludes securities received or delivered in-kind.

Notes to Financial Statements (Unaudited)

For the period ended February 29, 2024

(Amounts in thousands except percentages)

1. Organization.

Fidelity Investment Grade Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Investment Grade Bond, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Class A, Class M, Class C, Class I and Class Z are Fidelity Advisor classes. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.

2. Investments in Fidelity Central Funds.

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices	Expense RatioA
Fidelity Specialized High Income Central Fund	Fidelity Management & Research Company LLC (FMR)	Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities.	Loans & Direct Debt Instruments Restricted Securities	Less than .005%
Fidelity Money Market Central Funds	Fidelity Management & Research Company LLC (FMR)	Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.	Short-term Investments	Less than .005%

A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

An unaudited holdings listing for the investing fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

3. Significant Accounting Policies.

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value 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 services 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 services 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 services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing services, 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 services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 29, 2024 is included at the end of the Fund's Schedule of Investments.

Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds (ETFs). Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund (ETF). Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.

Fidelity Investment Grade Bond Fund

$148

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Book-tax differences are primarily due to futures contracts, swaps, market discount, capital loss carryforwards and losses deferred due to wash sales.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation	$24,731
Gross unrealized depreciation	(692,994)
Net unrealized appreciation (depreciation)	$(668,263)
Tax cost	$11,447,002

Short-term	$(371,256)
Long-term	(259,103)
Total capital loss carryforward	$(630,359)

Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Statement of Assets and Liabilities as "Receivable for TBA sale commitments" and "TBA sale commitments, at value," respectively.

Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, swaps and options. 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.

Derivatives were used to increase returns, to gain exposure to certain types of assets and 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 objectives may not be achieved.

Derivatives were used to increase or decrease 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 a 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.

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options and bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. For OTC written options with upfront premiums received, a fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.

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 and amounts recognized in the Statement of Assets and Liabilities. 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.

Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

Primary Risk Exposure / Derivative Type	Net Realized Gain (Loss)($)	Change in Net Unrealized Appreciation (Depreciation)($)
Fidelity Investment Grade Bond Fund
Credit Risk
Swaps	(55)	(273)
Total Credit Risk	(55)	(273)
Interest Rate Risk
Futures Contracts	(1,314)	770
Purchased Options	9	(14)
Written Options	-	39
Swaps	(2,625)	1,133
Total Interest Rate Risk	(3,930)	1,928
Totals	(3,985)	1,655

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.

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. OTC options, such as swaptions, which are options where the underlying instrument is a swap, were used to manage exposure to fluctuations in interest rates.

Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.

Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period unless an average notional amount is presented.

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 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.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in total accumulated earnings (loss) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

Centrally cleared swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities. Centrally cleared swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in total accumulated earnings (loss) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

For both bi-lateral and centrally cleared swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period unless an average notional amount is presented.

Credit Default Swaps. Credit default swaps enable a 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. A 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.

As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

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. A fund enters 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.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

	Purchases ($)	Sales ($)
Fidelity Investment Grade Bond Fund	9,007,325	8,654,135

6. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .30% of the Fund's average net assets.

In addition, under the expense contract, the investment adviser pays class-level expenses for Investment Grade Bond, so that the total expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense do not exceed .45% of the Class' average net assets. This agreement does not apply to any of the other classes and any change or modification that would increase expenses can only be made with shareholder approval.

During January 2024, the Board approved changes to the management fee effective March 1, 2024. The Fund will pay a monthly management fee that is based on an annual rate of .282% of the Fund's average net assets.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:

	Distribution Fee	Service Fee	Total Fees	Retained by FDC
Class A	- %	.25%	$222	$12
Class M	- %	.25%	36	- A
Class C	.75%	.25%	101	19
			$359	$31

A In the amount of less than five hundred dollars.

Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, .75% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.

For the period, sales charge amounts retained by FDC were as follows:

	Retained by FDC
Class A	$14
Class M	4
Class C A	- B
	$18

A When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.

B In the amount of less than five hundred dollars.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Investment Grade Bond and Class Z. FIIOC receives an asset-based fee of Investment Grade Bond's and Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:

	Amount	% of Class-Level Average Net AssetsA
Class A	$137	.15
Class M	22	.15
Class C	18	.18
Investment Grade Bond	2,467	.10
Class I	1,300	.15
Class Z	381	.05
	$4,325

A Annualized

Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser has agreed to provide for fund-level expenses (which may not include transfer agent, the compensation of the independent Trustees, interest, taxes or extraordinary expenses, as applicable) in return for a FWOE fee equal to .35% of fund-level average net assets less the total amount of the management fee. The FWOE paid by a fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fees were equivalent to the following annualized rate expressed as a percentage of average net assets:

Fidelity Investment Grade Bond Fund

.05%

Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.

8. Security Lending.

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:

	Total Security Lending Fees Paid to NFS	Security Lending Income From Securities Loaned to NFS	Value of Securities Loaned to NFS at Period End
Fidelity Investment Grade Bond Fund	$18	$-	$-

9. Expense Reductions.

The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through December 31, 2024. Some expenses, for example the compensation of the independent Trustees, and certain other expenses such as interest expense, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

	Expense Limitations	Reimbursement
Class Z	.36%	$320

Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $6. During the period, transfer agent credits reduced each class' expenses as noted in the table below.

	Expense Reduction
Class M	$-A
A In the amount of less than five hundred dollars.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

	Six months ended February 29, 2024	Year ended August 31, 2023
Fidelity Investment Grade Bond Fund
Distributions to shareholders
Class A	$3,175	$5,114
Class M	510	836
Class C	284	462
Investment Grade Bond	95,714	183,699
Class I	32,642	44,921
Class Z	30,261	50,136
Total	$162,586	$285,168

11. Share Transactions.

Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:

	Shares	Shares	Dollars	Dollars
	Six months ended February 29, 2024	Year ended August 31, 2023	Six months ended February 29, 2024	Year ended August 31, 2023
Fidelity Investment Grade Bond Fund
Class A
Shares sold	5,703	8,058	$40,048	$57,541
Reinvestment of distributions	433	690	3,041	4,910
Shares redeemed	(5,110)	(5,626)	(35,972)	(40,066)
Net increase (decrease)	1,026	3,122	$7,117	$22,385
Class M
Shares sold	456	1,206	$3,222	$8,612
Reinvestment of distributions	71	115	497	817
Shares redeemed	(381)	(997)	(2,660)	(7,133)
Net increase (decrease)	146	324	$1,059	$2,296
Class C
Shares sold	1,276	617	$9,120	$4,418
Reinvestment of distributions	38	61	270	436
Shares redeemed	(583)	(975)	(4,105)	(6,939)
Net increase (decrease)	731	(297)	$5,285	$(2,085)
Investment Grade Bond
Shares sold	163,279	305,369	$1,142,229	$2,155,203
Reinvestment of distributions	10,955	19,644	76,949	139,947
Shares redeemed	(205,393)	(346,394)	(1,415,733)	(2,453,508)
Net increase (decrease)	(31,159)	(21,381)	$(196,555)	$(158,358)
Class I
Shares sold	89,276	143,982	$626,427	$1,030,942
Reinvestment of distributions	4,140	5,684	29,151	40,554
Shares redeemed	(66,821)	(80,640)	(468,495)	(574,351)
Net increase (decrease)	26,595	69,026	$187,083	$497,145
Class Z
Shares sold	66,854	109,150	$471,710	$780,315
Reinvestment of distributions	2,005	3,597	14,127	25,637
Shares redeemed	(37,233)	(124,132)	(260,023)	(889,445)
Net increase (decrease)	31,626	(11,385)	$225,814	$(83,493)

12. Other.

13. Credit Risk.

The Fund invests a significant portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

14. Risk and Uncertainties.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2023 to February 29, 2024).

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Expense Ratio- A	Beginning Account Value September 1, 2023	Ending Account Value February 29, 2024	Expenses Paid During Period- C September 1, 2023 to February 29, 2024
Fidelity® Investment Grade Bond Fund
Class A	.76%
Actual		$ 1,000	$ 1,025.20	$ 3.83
Hypothetical-B		$ 1,000	$ 1,021.08	$ 3.82
Class M	.76%
Actual		$ 1,000	$ 1,026.70	$ 3.83
Hypothetical-B		$ 1,000	$ 1,021.08	$ 3.82
Class C	1.53%
Actual		$ 1,000	$ 1,021.30	$ 7.69
Hypothetical-B		$ 1,000	$ 1,017.26	$ 7.67
Fidelity® Investment Grade Bond Fund	.45%
Actual		$ 1,000	$ 1,028.20	$ 2.27
Hypothetical-B		$ 1,000	$ 1,022.63	$ 2.26
Class I	.51%
Actual		$ 1,000	$ 1,027.90	$ 2.57
Hypothetical-B		$ 1,000	$ 1,022.33	$ 2.56
Class Z	.36%
Actual		$ 1,000	$ 1,027.20	$ 1.81
Hypothetical-B		$ 1,000	$ 1,023.07	$ 1.81

A Annualized expense ratio reflects expenses net of applicable fee waivers.

B 5% return per year before expenses

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Investment Grade Bond Fund

At its September 2023 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and the total expense ratio of a representative class (the retail class, which was selected because it was the largest class without 12b-1 fees in 2022); (iii) the total costs of the services provided by and the profits realized by FMR and its affiliates (Fidelity) from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders. The Board also considered the broad range of investment choices available to shareholders from FMR's competitors and that the fund's shareholders have chosen to invest in the fund, which is part of the Fidelity family of funds. The Board's decision to renew the Advisory Contracts was not based on any single factor.

The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable in light of all of the surrounding circumstances.

Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds and experience of investment personnel, and also considered the Investment Advisers' implementation of the fund's investment program. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, training, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools, and capabilities that allow them to conduct quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties, and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by Fidelity under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Fidelity's supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted by Fidelity to, and the record of compliance with, the fund's compliance policies and procedures. The Board also considered the fund's securities lending activities and any payments made to Fidelity relating to securities lending.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.

Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds and/or the Fidelity funds in general.

Investment Performance. The Board took into account discussions that occur with representatives of the Investment Advisers, and reports that it receives, at Board meetings throughout the year relating to fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considered annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index) and an appropriate peer group of funds with similar objectives (peer group). The Board also considered information about performance attribution. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds over different time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio. The Board was provided with information regarding industry trends in management fees and expenses. In its review of the fund's management fee and the total expense ratio of the retail class, the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund.

Comparisons of Management Fees and Total Expense Ratios. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "mapped groups") that were compiled by Fidelity based on combining similar investment objective categories (as classified by Lipper) that have comparable investment mandates. The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the total universe of funds within the mapped group; (ii) gross management fee comparisons relative to a subset of non-Fidelity funds in the mapped group that are similar in size and management fee structure to the fund (referred to as the "asset size peer group"); (iii) total expense comparisons of the retail class of the fund relative to funds and classes in the mapped group that have a similar sales load structure to the retail class of the fund (referred to as the "similar sales load structure group"); and (iv) total expense comparisons of the retail class of the fund relative to funds and classes in the similar sales load structure group that are similar in size and management fee structure to the fund (referred to as the "total expense asset size peer group"). The total expense asset size peer group comparison excludes performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.

The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for 2022 and below the competitive median of the asset size peer group for 2022. Further, the information provided to the Board indicated that the total expense ratio of the retail class of the fund ranked below the competitive median of the similar sales load structure group for 2022 and above the competitive median of the total expense asset size peer group for 2022.

The Board also noted that if funds in a fund complex with a unique at-cost service model were excluded from the total expense asset size peer group, the total expense ratio for the retail class was below the total expense asset size peer group. The Board noted that the fund offers multiple classes, each of which has a different sales load and 12b-1 fee structure than the others, and that the multiple structures are intended to offer a range of pricing options for the intermediary market. The Board also noted that the total expense ratios of the classes vary primarily by the level of their 12b-1 fees, although differences in transfer agent fees may also cause expenses to vary from class to class.

Other Contractual Arrangements. The Board considered that the current contractual arrangements for the fund have the effect of setting the total "fund-level" (but not "class-level") expenses (including, among certain other "fund-level" expenses, the management fee) for each class at 0.35%. The Board also considered that current contractual arrangements oblige FMR to pay all "class-level" expenses of the retail class of the fund to the extent necessary to limit total operating expenses, with certain exceptions, to 0.45%. These contractual arrangements may not be amended to increase the fees or expenses payable by the retail class of the fund except by a vote of a majority of the Board and by a vote of a majority of the outstanding voting securities of the fund or class, as applicable. The Board further considered that FMR has contractually agreed to reimburse Class Z of the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.36% through December 31, 2024.

Fees Charged to Other Fidelity Clients. The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted that a joint ad hoc committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds and also noted the most recent findings of the committee. The Board noted that the committee's review included a consideration of the differences in services provided, fees charged, and costs incurred, as well as competition in the markets serving the different categories of clients.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered. Further, based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies and the full Board approves such changes.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that a committee created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

The Board concluded, taking into account the analysis of the committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Board Approval of Investment Advisory Contracts

Fidelity Investment Grade Bond Fund

At its January 2024 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), approved an amended and restated management contract with Fidelity Management & Research Company LLC (FMR) (the Management Contract), and amended and restated sub-advisory agreements (the Sub-Advisory Contracts, and together with the Management Contract, the Advisory Contracts) for the fund, including the fund's sub-advisory agreements with FMR Investment Management (UK) Limited (FMR UK), Fidelity Management & Research (Hong Kong) Limited (FMR H.K.), and Fidelity Management & Research (Japan) Limited (FMR Japan). The Board will consider the annual renewal of the fund's Advisory Contracts in September 2024, following its review of additional materials provided by FMR.

Management Contract. The Board approved the Management Contract, which implements a new fee structure that eliminates the existing group fee schedule and fixes the management fee rate at the sum of the individual fee rate and the lowest marginal contractual group fee rate under the current management contract. The Board noted that shareholders in the affected funds are not currently impacted by changes in the group fee rate due to other existing contractual arrangements such as contractual expense caps or other contracts that fix total fund-level expenses at specific rates. The Board considered that the Management Contract would result in the same or lower fees for the fund.

Sub-Advisory Contracts. In connection with the Management Contract changes, the Board considered the Sub-Advisory Contracts, which changed the arrangements for fees paid by FMR to the sub-advisers under the agreements. The Board noted that the agreements with FMR UK, FMR H.K., and FMR Japan were amended to provide that FMR will compensate each sub-adviser at a fee equal to 110% of the sub-adviser's costs incurred in providing services under the agreement. The Board considered that, under the Sub-Advisory Contracts, FMR, and not the fund, will continue to pay the sub-advisory fees to each applicable sub-adviser.

The Board considered that the approval of the fund's Advisory Contracts will not result in any changes in the investment process or strategies employed in the management of the fund's assets or the day-to-day management of the fund or the persons primarily responsible for such management. Further, the Board considered that the Management Contract would not change the obligations and services of FMR and its affiliates on behalf of the fund, and, in particular, there would be no change in the nature and level of advisory, management, administration, transfer agent, and pricing and bookkeeping services provided to the fund by FMR and its affiliates.

In connection with its consideration of future renewals of the fund's Advisory Contracts, the Board will consider: (i) the nature, extent and quality of services provided to the funds, including shareholder and administrative services and investment performance; (ii) the competitiveness of the management fee and total expenses for the fund; (iii) the costs of the services and profitability, including the revenues earned and the expenses incurred in conducting the business of developing, marketing, distributing, managing, administering, and servicing the fund and its shareholders, to the extent applicable; and (iv) whether there have been economies of scale in respect of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is the potential for realization of any further economies.

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) certain factors specific to ETFs including the effect of the Fund's prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund's portfolio, as applicable.

In accordance with the Program, each of the Fund's portfolio investments is classified into one of four defined liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

Highly liquid investments - cash or convertible to cash within three business days or less
Moderately liquid investments - convertible to cash in three to seven calendar days
Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
Illiquid investments - cannot be sold or disposed of within seven calendar days

Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.

The Liquidity Rule places a 15% limit on a fund's illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund's net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.

At a recent meeting of the Fund's Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of the Program for the period December 1, 2022 through November 30, 2023. The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.

A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
Proposal 1
To elect a Board of Trustees.
	# of Votes	% of Votes
Abigail P. Johnson
Affirmative	378,729,502,260.01	97.58
Withheld	9,407,876,478.96	2.42
TOTAL	388,137,378,738.97	100.00
Jennifer Toolin McAuliffe
Affirmative	378,454,868,010.95	97.51
Withheld	9,682,510,728.02	2.49
TOTAL	388,137,378,738.97	100.00
Christine J. Thompson
Affirmative	378,837,121,274.52	97.60
Withheld	9,300,257,464.45	2.40
TOTAL	388,137,378,738.97	100.00
Elizabeth S. Acton
Affirmative	378,262,110,794.85	97.46
Withheld	9,875,267,944.12	2.54
TOTAL	388,137,378,738.97	100.00
Laura M. Bishop
Affirmative	380,482,113,171.06	98.03
Withheld	7,655,265,567.91	1.97
TOTAL	388,137,378,738.97	100.00
Ann E. Dunwoody
Affirmative	380,016,034,008.12	97.91
Withheld	8,121,344,730.85	2.09
TOTAL	388,137,378,738.97	100.00
John Engler
Affirmative	379,432,488,394.20	97.76
Withheld	8,704,890,344.77	2.24
TOTAL	388,137,378,738.97	100.00
Robert F. Gartland
Affirmative	378,741,819,600.60	97.58
Withheld	9,395,559,138.37	2.42
TOTAL	388,137,378,738.97	100.00
Robert W. Helm
Affirmative	380,389,324,755.07	98.00
Withheld	7,748,053,983.90	2.00
TOTAL	388,137,378,738.97	100.00
Arthur E. Johnson
Affirmative	378,427,694,151.67	97.50
Withheld	9,709,684,587.30	2.50
TOTAL	388,137,378,738.97	100.00
Michael E. Kenneally
Affirmative	377,842,228,145.18	97.35
Withheld	10,295,150,593.79	2.65
TOTAL	388,137,378,738.97	100.00
Mark A. Murray
Affirmative	380,158,432,703.37	97.94
Withheld	7,978,946,035.60	2.06
TOTAL	388,137,378,738.97	100.00
Carol J. Zierhoffer
Affirmative	380,522,113,360.24	98.04
Withheld	7,615,265,378.73	1.96
TOTAL	388,137,378,738.97	100.00

Proposal 1 reflects trust wide proposal and voting results.

1.538655.126

IGB-SANN-0424

Fidelity® SAI Total Bond Fund

Semi-Annual Report

February 29, 2024

Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.

Contents

You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Schedule of Investments February 29, 2024 (Unaudited)

Quality Diversification (% of Fund's net assets)

Short-Term Investments and Net Other Assets (Liabilities) - (5.3)%

Asset Allocation (% of Fund's net assets)

Short-Term Investments and Net Other Assets (Liabilities) - (5.3)%

Written options - (0.4)%

Futures and Swaps - 3.5%

Forward foreign currency contracts - (1.7)%

Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.

Geographic Diversification (% of Fund's net assets)

* Includes Short-Term investments and Net Other Assets (Liabilities).

Percentages are adjusted for the effect of derivatives, if applicable.

Showing Percentage of Net Assets

Corporate Bonds - 31.5%
		Principal Amount (a)	Value ($)
Convertible Bonds - 0.1%
COMMUNICATION SERVICES - 0.1%
Media - 0.1%
DISH Network Corp.:
0% 12/15/25		1,504,000	1,089,648
2.375% 3/15/24		7,545,000	7,422,771
3.375% 8/15/26		10,348,000	6,118,256
			14,630,675
INFORMATION TECHNOLOGY - 0.0%
Semiconductors & Semiconductor Equipment - 0.0%
Wolfspeed, Inc. 1.875% 12/1/29		4,532,000	2,361,172

Technology Hardware, Storage & Peripherals - 0.0%
Seagate HDD Cayman 3.5% 6/1/28 (b)		1,055,000	1,321,771
Western Digital Corp. 3% 11/15/28 (b)		1,090,000	1,438,800
			2,760,571
TOTAL INFORMATION TECHNOLOGY			5,121,743

REAL ESTATE - 0.0%
Real Estate Management & Development - 0.0%
Redfin Corp. 0.5% 4/1/27		3,733,000	2,131,408

UTILITIES - 0.0%
Electric Utilities - 0.0%
PG&E Corp. 4.25% 12/1/27 (b)		994,000	993,006

Independent Power and Renewable Electricity Producers - 0.0%
NextEra Energy Partners LP 2.5% 6/15/26 (b)		1,051,000	945,897
Sunnova Energy International, Inc. 0.25% 12/1/26		301,000	150,551
			1,096,448
TOTAL UTILITIES			2,089,454

TOTAL CONVERTIBLE BONDS			23,973,280
Nonconvertible Bonds - 31.4%
COMMUNICATION SERVICES - 2.7%
Diversified Telecommunication Services - 0.7%
Altice France SA:
5.125% 1/15/29(b)		4,360,000	3,294,092
5.125% 7/15/29(b)		3,270,000	2,469,324
5.5% 1/15/28(b)		1,050,000	856,722
5.5% 10/15/29(b)		2,400,000	1,817,206
8.125% 2/1/27(b)		40,000	36,763
AT&T, Inc.:
2.55% 12/1/33		3,443,000	2,715,583
3.8% 12/1/57		8,798,000	6,191,896
4.3% 2/15/30		5,781,000	5,513,387
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b)		5,847,000	5,510,798
Cablevision Lightpath LLC:
3.875% 9/15/27(b)		565,000	512,138
5.625% 9/15/28(b)		345,000	287,113
Colombia Telecomunicaciones SA 4.95% 7/17/30 (b)		300,000	201,960
Connect Finco SARL / Connect U.S. Finco LLC 6.75% 10/1/26 (b)		40,000	39,247
Consolidated Communications, Inc. 5% 10/1/28 (b)		690,000	569,947
Frontier Communications Holdings LLC:
5% 5/1/28(b)		3,855,000	3,567,626
5.875% 10/15/27(b)		1,104,000	1,067,017
5.875% 11/1/29		805,000	689,490
6% 1/15/30(b)		20,000	17,100
6.75% 5/1/29(b)		20,000	17,956
8.75% 5/15/30(b)		831,000	847,595
IHS Holding Ltd. 5.625% 11/29/26 (b)		720,000	632,873
Iliad Holding SAS:
6.5% 10/15/26(b)		20,000	19,774
7% 10/15/28(b)		20,000	19,788
Koninklijke KPN NV 3.875% 2/16/36 (Reg. S)	EUR	600,000	646,886
Level 3 Financing, Inc.:
3.625% 1/15/29(b)		440,000	257,400
4.25% 7/1/28(b)		1,425,000	876,375
4.625% 9/15/27(b)		145,000	96,769
10.5% 5/15/30(b)		3,766,000	3,860,150
Liquid Telecommunications Financing PLC 5.5% 9/4/26 (b)		1,610,000	929,775
Qtel International Finance Ltd. 2.625% 4/8/31 (b)		560,000	480,609
Sable International Finance Ltd. 5.75% 9/7/27 (b)		1,930,000	1,847,589
Sitios Latinoamerica S.A.B. de CV 5.375% 4/4/32 (b)		2,179,000	2,005,987
Telecom Italia Capital SA:
6% 9/30/34		1,165,000	1,080,906
7.2% 7/18/36		1,124,000	1,117,205
7.721% 6/4/38		300,000	307,269
Telecom Italia SpA 5.303% 5/30/24 (b)		20,000	19,924
Telefonica Celular del Paraguay SA 5.875% 4/15/27 (b)		1,099,000	1,074,822
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b)		1,200,000	1,125,000
Verizon Communications, Inc.:
2.355% 3/15/32		51,205,000	41,516,425
2.55% 3/21/31		30,387,000	25,610,964
3% 3/22/27		2,669,000	2,512,221
3.75% 2/28/36	EUR	1,150,000	1,223,543
5.012% 4/15/49		324,000	312,985
Windstream Escrow LLC 7.75% 8/15/28 (b)		2,470,000	2,306,049
Zayo Group Holdings, Inc. 4% 3/1/27 (b)		3,450,000	2,872,125
			128,976,373
Entertainment - 0.0%
Roblox Corp. 3.875% 5/1/30 (b)		2,005,000	1,756,039
Universal Music Group NV 4% 6/13/31 (Reg. S)	EUR	1,100,000	1,203,182
			2,959,221
Interactive Media & Services - 0.0%
Baidu, Inc.:
1.72% 4/9/26		815,000	756,622
2.375% 10/9/30		345,000	289,869
Tencent Holdings Ltd.:
1.81% 1/26/26(b)		350,000	327,971
2.39% 6/3/30(b)		745,000	634,770
3.975% 4/11/29(b)		260,000	246,376
			2,255,608
Media - 1.7%
Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (b)		2,880,000	2,680,560
Altice Financing SA:
5% 1/15/28(b)		549,000	485,723
5.75% 8/15/29(b)		8,085,000	6,963,373
Altice France Holding SA:
6% 2/15/28(b)		4,274,000	2,157,286
10.5% 5/15/27(b)		20,000	13,065
Block Communications, Inc. 4.875% 3/1/28 (b)		500,000	442,271
Cable Onda SA 4.5% 1/30/30 (b)		1,750,000	1,566,250
CCO Holdings LLC/CCO Holdings Capital Corp.:
4.25% 2/1/31(b)		2,079,000	1,672,218
4.25% 1/15/34(b)		2,020,000	1,510,269
4.5% 8/15/30(b)		1,635,000	1,356,265
4.5% 5/1/32		2,389,000	1,887,321
4.5% 6/1/33(b)		4,995,000	3,842,389
4.75% 3/1/30(b)		35,000	29,774
4.75% 2/1/32(b)		65,000	52,440
5.375% 6/1/29(b)		1,945,000	1,758,995
5.5% 5/1/26(b)		298,000	292,795
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
3.85% 4/1/61		2,000,000	1,161,676
3.9% 6/1/52		22,000,000	13,831,372
4.4% 4/1/33		14,572,000	12,739,344
4.8% 3/1/50		5,000,000	3,618,106
5.25% 4/1/53		22,947,000	17,815,652
5.375% 5/1/47		25,864,000	20,424,565
5.5% 4/1/63		20,184,000	15,612,301
6.484% 10/23/45		5,093,000	4,652,744
6.834% 10/23/55		2,000,000	1,895,109
Clear Channel Outdoor Holdings, Inc.:
5.125% 8/15/27(b)		1,268,000	1,185,632
7.5% 6/1/29(b)		1,080,000	893,700
9% 9/15/28(b)		1,775,000	1,851,325
Comcast Corp. 6.45% 3/15/37		797,000	873,454
CSC Holdings LLC:
3.375% 2/15/31(b)		2,150,000	1,517,750
4.125% 12/1/30(b)		1,490,000	1,109,424
4.5% 11/15/31(b)		630,000	467,775
4.625% 12/1/30(b)		4,112,000	2,286,827
5.375% 2/1/28(b)		2,045,000	1,782,483
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% (b)(c)		8,145,000	468,338
DIRECTV Financing LLC / DIRECTV Financing Co-Obligor, Inc. 5.875% 8/15/27 (b)		560,000	528,567
Discovery Communications LLC:
3.625% 5/15/30		7,624,000	6,701,220
4.65% 5/15/50		20,572,000	15,600,411
DISH DBS Corp. 5.75% 12/1/28 (b)		1,905,000	1,319,213
DISH Network Corp. 11.75% 11/15/27 (b)		5,419,000	5,649,732
Dolya Holdco 18 DAC 5% 7/15/28 (b)		555,000	512,081
Fox Corp.:
4.709% 1/25/29		3,602,000	3,514,503
5.476% 1/25/39		3,552,000	3,318,200
Lamar Media Corp. 3.625% 1/15/31		20,000	17,270
LCPR Senior Secured Financing DAC:
5.125% 7/15/29(b)		2,550,000	2,142,816
6.75% 10/15/27(b)		380,000	359,100
Mcgraw-Hill Education, Inc. 5.75% 8/1/28 (b)		40,000	37,161
Midas Opco Holdings LLC 5.625% 8/15/29 (b)		40,000	35,712
Outfront Media Capital LLC / Corp.:
4.625% 3/15/30(b)		20,000	17,752
5% 8/15/27(b)		20,000	19,241
7.375% 2/15/31(b)		1,870,000	1,951,663
Paramount Global 6.375% 3/30/62 (d)		40,000	34,700
Sirius XM Radio, Inc.:
3.125% 9/1/26(b)		20,000	18,649
3.875% 9/1/31(b)		40,000	33,063
4% 7/15/28(b)		4,770,000	4,297,368
4.125% 7/1/30(b)		1,020,000	877,565
5.5% 7/1/29(b)		1,315,000	1,243,536
TEGNA, Inc. 5% 9/15/29		350,000	308,000
Time Warner Cable LLC:
4.5% 9/15/42		10,467,000	7,664,514
5.5% 9/1/41		4,708,000	3,881,222
5.875% 11/15/40		6,004,000	5,178,253
6.55% 5/1/37		17,014,000	16,025,964
7.3% 7/1/38		14,056,000	14,014,070
TV Azteca SA de CV 8.25% (Reg. S) (c)		2,133,000	802,157
Univision Communications, Inc.:
4.5% 5/1/29(b)		570,000	499,850
6.625% 6/1/27(b)		5,903,000	5,722,353
7.375% 6/30/30(b)		165,000	159,369
8% 8/15/28(b)		1,090,000	1,095,821
Virgin Media Secured Finance PLC:
4.5% 8/15/30(b)		3,100,000	2,709,431
5.5% 5/15/29(b)		40,000	37,480
VTR Finance BV 6.375% 7/15/28 (b)		450,000	199,266
VZ Secured Financing BV 5% 1/15/32 (b)		40,000	34,143
Warnermedia Holdings, Inc.:
3.755% 3/15/27		9,262,000	8,764,064
4.054% 3/15/29		3,210,000	2,973,321
4.279% 3/15/32		46,121,000	40,687,348
5.05% 3/15/42		7,082,000	5,955,380
5.141% 3/15/52		41,680,000	33,868,985
Ziggo Bond Co. BV 6% 1/15/27 (b)		150,000	146,635
Ziggo BV 4.875% 1/15/30 (b)		1,285,000	1,144,693
			331,000,413
Wireless Telecommunication Services - 0.3%
AXIAN Telecom 7.375% 2/16/27 (b)		930,000	884,811
Bharti Airtel International BV 5.35% 5/20/24 (b)		1,045,000	1,043,098
CT Trust 5.125% 2/3/32 (b)		1,425,000	1,282,500
Intelsat Jackson Holdings SA 6.5% 3/15/30 (b)		4,081,000	3,796,890
Millicom International Cellular SA:
4.5% 4/27/31(b)		4,410,000	3,808,917
5.125% 1/15/28(b)		441,000	419,955
MTN (Mauritius) Investments Ltd. 6.5% 10/13/26 (b)		456,000	460,414
T-Mobile U.S.A., Inc.:
2.25% 11/15/31		10,000,000	8,113,349
3.75% 4/15/27		12,950,000	12,413,307
3.875% 4/15/30		23,000,000	21,348,967
4.375% 4/15/40		2,795,000	2,450,241
4.5% 4/15/50		5,491,000	4,646,546
VMED O2 UK Financing I PLC 4.25% 1/31/31 (b)		1,965,000	1,666,556
Vodafone Group PLC:
4.875% 10/3/78 (Reg. S)(d)	GBP	2,300,000	2,828,675
6.25% 10/3/78 (Reg. S)(d)		1,859,000	1,849,519
7% 4/4/79(d)		60,000	61,484
VTR Comunicaciones SpA:
4.375% 4/15/29(b)		310,000	190,759
5.125% 1/15/28(b)		1,108,000	690,284
			67,956,272
TOTAL COMMUNICATION SERVICES			533,147,887

CONSUMER DISCRETIONARY - 1.5%
Automobile Components - 0.1%
Adient Global Holdings Ltd. 7% 4/15/28 (b)		385,000	392,507
American Axle & Manufacturing, Inc.:
5% 10/1/29		20,000	17,342
6.5% 4/1/27		20,000	19,755
Dana Financing Luxembourg SARL 5.75% 4/15/25 (b)		260,000	258,796
Dana, Inc.:
4.25% 9/1/30		520,000	448,455
5.375% 11/15/27		500,000	482,639
5.625% 6/15/28		20,000	19,361
FXI Holdings, Inc. 12.25% 11/15/26 (b)		20,000	19,600
Hertz Corp. 5% 12/1/29 (b)		370,000	283,460
IHO Verwaltungs GmbH 4.75% 9/15/26 pay-in-kind (b)(d)		255,000	245,239
Macquarie AirFinance Holdings:
8.125% 3/30/29(b)		2,080,000	2,162,680
8.375% 5/1/28(b)		1,395,000	1,461,235
Metalsa SA de CV 3.75% 5/4/31 (b)		660,000	535,280
PECF USS Intermediate Holding III Corp. 8% 11/15/29 (b)		2,375,000	1,036,512
Robert Bosch GmbH 4.375% 6/2/43 (Reg. S)	EUR	900,000	1,011,065
Schaeffler AG:
3.375% 10/12/28 (Reg. S)	EUR	1,600,000	1,660,109
4.75% 8/14/29 (Reg. S)	EUR	200,000	218,592
ZF Europe Finance BV 2% 2/23/26 (Reg. S)	EUR	800,000	821,590
ZF Finance GmbH 2% 5/6/27 (Reg. S)	EUR	1,800,000	1,795,264
ZF North America Capital, Inc.:
4.75% 4/29/25(b)		1,525,000	1,501,821
6.875% 4/14/28(b)		700,000	714,708
7.125% 4/14/30(b)		700,000	729,350
			15,835,360
Automobiles - 0.1%
Aston Martin Capital Holdings Ltd. 10.5% 11/30/25 (b)		40,000	40,444
Ford Motor Co.:
3.25% 2/12/32		1,590,000	1,303,891
5.291% 12/8/46		255,000	220,517
6.1% 8/19/32		1,900,000	1,896,670
7.4% 11/1/46		515,000	552,481
Rivian Holdco & Rivian LLC & Rivian Automotive LLC 6 month U.S. LIBOR + 5.620% 11.4932% 10/15/26 (b)(d)(e)		8,967,000	8,532,913
			12,546,916
Broadline Retail - 0.1%
Alibaba Group Holding Ltd. 2.125% 2/9/31		435,000	359,184
JD.com, Inc. 3.375% 1/14/30		1,420,000	1,280,002
John Lewis PLC 6.125% 1/21/25	GBP	8,381,000	10,536,765
Kohl's Corp. 4.25% 7/17/25		175,000	170,035
Marks & Spencer PLC:
3.75% 5/19/26 (Reg. S)	GBP	100,000	121,095
4.5% 7/10/27 (Reg. S)	GBP	700,000	840,951
Match Group Holdings II LLC:
3.625% 10/1/31(b)		385,000	324,363
4.125% 8/1/30(b)		870,000	768,584
5% 12/15/27(b)		95,000	90,613
Nordstrom, Inc.:
4.25% 8/1/31		1,180,000	992,994
4.375% 4/1/30		775,000	684,713
Prosus NV:
3.061% 7/13/31(b)		685,000	551,000
3.68% 1/21/30(b)		840,000	725,323
4.027% 8/3/50(b)		1,110,000	706,515
4.193% 1/19/32(b)		455,000	389,262
			18,541,399
Distributors - 0.0%
Windsor Holdings III, LLC 8.5% 6/15/30 (b)		1,505,000	1,557,180

Diversified Consumer Services - 0.1%
GEMS MENASA Cayman Ltd./GEMS Education Delaware LLC 7.125% 7/31/26 (b)		6,105,000	6,049,017
Grand Canyon University 4.125% 10/1/24		20,000	19,382
Service Corp. International:
3.375% 8/15/30		20,000	17,170
4% 5/15/31		115,000	101,046
4.625% 12/15/27		520,000	498,849
5.125% 6/1/29		700,000	683,060
Sotheby's 7.375% 10/15/27 (b)		1,450,000	1,392,760
TKC Holdings, Inc.:
6.875% 5/15/28(b)		2,259,000	2,114,989
10.5% 5/15/29(b)		2,404,000	2,182,211
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (b)		3,765,000	3,652,050
			16,710,534
Hotels, Restaurants & Leisure - 0.4%
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:
3.875% 1/15/28(b)		1,115,000	1,040,049
4% 10/15/30(b)		2,149,000	1,887,690
4.375% 1/15/28(b)		20,000	18,774
5.75% 4/15/25(b)		548,000	545,975
Affinity Interactive 6.875% 12/15/27 (b)		3,620,000	3,339,124
Aramark Services, Inc.:
5% 4/1/25(b)		20,000	19,872
5% 2/1/28(b)		1,338,000	1,282,238
Bimbo Bakeries U.S.A., Inc.:
5.375% 1/9/36(b)		365,000	359,580
6.4% 1/15/34(b)		730,000	780,443
Boyd Gaming Corp.:
4.75% 12/1/27		20,000	19,212
4.75% 6/15/31(b)		20,000	18,167
Caesars Entertainment, Inc.:
4.625% 10/15/29(b)		40,000	36,520
6.5% 2/15/32(b)		2,515,000	2,533,820
7% 2/15/30(b)		2,236,000	2,290,690
8.125% 7/1/27(b)		2,377,000	2,440,670
Carnival Corp.:
5.75% 3/1/27(b)		3,165,000	3,125,413
6% 5/1/29(b)		1,925,000	1,878,041
6.65% 1/15/28		225,000	221,714
7% 8/15/29(b)		715,000	741,665
7.625% 3/1/26(b)		3,750,000	3,798,788
10.5% 6/1/30(b)		2,215,000	2,416,636
Carnival Holdings (Bermuda) Ltd. 10.375% 5/1/28 (b)		60,000	65,458
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc. 6.75% 1/15/30 (b)		2,430,000	2,146,295
Garden SpinCo Corp. 8.625% 7/20/30 (b)		580,000	614,860
GENM Capital Labuan Ltd. 3.882% 4/19/31 (b)		860,000	744,169
Golden Entertainment, Inc. 7.625% 4/15/26 (b)		2,300,000	2,289,820
Hilton Domestic Operating Co., Inc.:
3.625% 2/15/32(b)		895,000	764,563
4% 5/1/31(b)		1,775,000	1,577,057
Hilton Grand Vacations Borrower Escrow LLC:
4.875% 7/1/31(b)		795,000	701,287
6.625% 1/15/32(b)		2,500,000	2,499,993
InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S)	GBP	1,640,000	1,901,097
Jacobs Entertainment, Inc. 6.75% 2/15/29 (b)		700,000	667,429
Life Time, Inc.:
5.75% 1/15/26(b)		2,130,000	2,112,124
8% 4/15/26(b)		3,404,000	3,435,147
Light & Wonder International, Inc.:
7% 5/15/28(b)		20,000	20,094
7.25% 11/15/29(b)		20,000	20,466
7.5% 9/1/31(b)		995,000	1,036,635
Lindblad Expeditions LLC 6.75% 2/15/27 (b)		325,000	326,337
MajorDrive Holdings IV LLC 6.375% 6/1/29 (b)		2,495,000	2,151,938
Marriott Ownership Resorts, Inc.:
4.5% 6/15/29(b)		225,000	204,096
4.75% 1/15/28		775,000	720,229
McDonald's Corp. 3.5% 7/1/27		3,551,000	3,400,726
Meituan:
2.125% 10/28/25(b)		995,000	936,723
3.05% 10/28/30(b)		665,000	561,639
Melco Resorts Finance Ltd.:
4.875% 6/6/25(b)		20,000	19,550
5.375% 12/4/29(b)		40,000	35,846
5.625% 7/17/27(b)		20,000	18,957
Merlin Entertainments Group 7.375% 2/15/31 (b)		600,000	600,310
MGM China Holdings Ltd.:
5.25% 6/18/25(b)		20,000	19,606
5.375% 5/15/24(b)		20,000	19,919
5.875% 5/15/26(b)		20,000	19,648
MGM Resorts International 4.625% 9/1/26		20,000	19,390
NagaCorp Ltd. 7.95% 7/6/24 (Reg. S)		1,000,000	975,020
NCL Corp. Ltd.:
3.625% 12/15/24(b)		1,844,000	1,816,014
5.875% 3/15/26(b)		690,000	673,958
5.875% 2/15/27(b)		20,000	19,766
7.75% 2/15/29(b)		880,000	902,025
NCL Finance Ltd. 6.125% 3/15/28 (b)		475,000	463,319
Ontario Gaming GTA LP 8% 8/1/30 (b)		64,000	65,274
Premier Entertainment Sub LLC 5.875% 9/1/31 (b)		20,000	14,167
Royal Caribbean Cruises Ltd.:
4.25% 7/1/26(b)		2,450,000	2,359,627
5.375% 7/15/27(b)		1,095,000	1,073,969
5.5% 8/31/26(b)		2,620,000	2,590,024
5.5% 4/1/28(b)		2,410,000	2,365,943
6.25% 3/15/32(b)		2,520,000	2,527,212
7.25% 1/15/30(b)		640,000	665,392
11.625% 8/15/27(b)		416,000	449,966
Station Casinos LLC 4.5% 2/15/28 (b)		1,190,000	1,109,576
Studio City Finance Ltd.:
5% 1/15/29(b)		20,000	17,450
6% 7/15/25(b)		20,000	19,700
Times Square Hotel Trust 8.528% 8/1/26 (b)		279,126	278,187
Viking Cruises Ltd.:
5.875% 9/15/27(b)		20,000	19,550
9.125% 7/15/31(b)		440,000	476,335
Viking Ocean Cruises Ship VII Ltd. 5.625% 2/15/29 (b)		475,000	458,375
Voc Escrow Ltd. 5% 2/15/28 (b)		670,000	643,488
Whitbread PLC:
2.375% 5/31/27 (Reg. S)	GBP	2,210,000	2,525,545
3.375% 10/16/25 (Reg. S)	GBP	3,300,000	4,014,312
Wynn Macau Ltd.:
5.5% 1/15/26(b)		20,000	19,401
5.625% 8/26/28(b)		40,000	37,473
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. 7.125% 2/15/31 (b)		640,000	660,917
Yum! Brands, Inc.:
3.625% 3/15/31		660,000	580,419
4.625% 1/31/32		2,610,000	2,396,006
5.375% 4/1/32		510,000	489,707
			89,154,606
Household Durables - 0.0%
Adams Homes, Inc. 7.5% 2/15/25 (b)		91,000	90,845
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 4.625% 8/1/29 (b)		690,000	626,516
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.25% 9/15/27 (b)		20,000	19,377
LGI Homes, Inc.:
4% 7/15/29(b)		780,000	668,871
8.75% 12/15/28(b)		225,000	235,828
Newell Brands, Inc.:
4.875% 6/1/25		20,000	19,577
5.2% 4/1/26(f)		660,000	640,900
6.375% 9/15/27		620,000	600,598
6.5% 4/1/46(f)		510,000	406,887
6.625% 9/15/29		715,000	684,410
The Berkeley Group PLC 2.5% 8/11/31 (Reg. S)	GBP	1,950,000	1,850,672
TopBuild Corp. 4.125% 2/15/32 (b)		990,000	867,071
TRI Pointe Group, Inc./TRI Pointe Holdings, Inc. 5.875% 6/15/24		35,000	34,979
TRI Pointe Homes, Inc. 5.7% 6/15/28		255,000	250,744
			6,997,275
Leisure Products - 0.0%
Amer Sports Co. 6.75% 2/16/31 (b)		1,280,000	1,273,869
Mattel, Inc.:
3.375% 4/1/26(b)		205,000	194,553
5.45% 11/1/41		510,000	460,600
5.875% 12/15/27(b)		2,075,000	2,076,318
			4,005,340
Specialty Retail - 0.4%
Asbury Automotive Group, Inc.:
4.625% 11/15/29(b)		20,000	18,219
4.75% 3/1/30		20,000	18,201
AutoNation, Inc. 4.75% 6/1/30		1,671,000	1,589,350
AutoZone, Inc.:
4% 4/15/30		11,145,000	10,490,003
4.75% 8/1/32		15,000,000	14,404,278
Bath & Body Works, Inc.:
6.625% 10/1/30(b)		40,000	40,220
6.694% 1/15/27		480,000	486,262
Carvana Co.:
4.875% 9/1/29(b)		1,471,000	985,570
5.5% 4/15/27(b)		775,000	601,705
5.875% 10/1/28(b)		455,000	303,694
10.25% 5/1/30(b)		120,000	97,344
12% 12/1/28 pay-in-kind(b)(d)		605,765	582,238
13% 6/1/30 pay-in-kind(b)(d)		654,590	611,988
14% 6/1/31 pay-in-kind(b)(d)		1,802,010	1,753,322
Champions Financing, Inc. 8.75% 2/15/29 (b)		3,025,000	3,089,947
Foot Locker, Inc. 4% 10/1/29 (b)		505,000	427,351
Gap, Inc. 3.875% 10/1/31 (b)		20,000	16,133
LBM Acquisition LLC 6.25% 1/15/29 (b)		495,000	445,935
LCM Investments Holdings 8.25% 8/1/31 (b)		655,000	668,490
Lithia Motors, Inc.:
3.875% 6/1/29(b)		20,000	17,850
4.625% 12/15/27(b)		20,000	19,055
Lowe's Companies, Inc.:
3.35% 4/1/27		1,437,000	1,369,686
3.75% 4/1/32		27,423,000	24,918,439
4.45% 4/1/62		20,496,000	16,364,688
Michaels Companies, Inc.:
5.25% 5/1/28(b)		1,020,000	791,926
7.875% 5/1/29(b)		825,000	532,705
O'Reilly Automotive, Inc. 4.2% 4/1/30		2,481,000	2,355,026
Penske Automotive Group, Inc.:
3.5% 9/1/25		20,000	19,404
3.75% 6/15/29		20,000	17,715
PetSmart, Inc. / PetSmart Finance Corp. 7.75% 2/15/29 (b)		20,000	19,763
Sally Holdings LLC:
5.625% 12/1/25		1,360,000	1,359,113
6.75% 3/1/32		1,270,000	1,266,349
Staples, Inc.:
7.5% 4/15/26(b)		565,000	543,199
10.75% 4/15/27(b)		565,000	516,975
Valvoline, Inc. 4.25% 2/15/30 (b)		1,255,000	1,247,063
Victoria's Secret & Co. 4.625% 7/15/29 (b)		925,000	780,258
Wand NewCo 3, Inc. 7.625% 1/30/32 (b)		1,595,000	1,638,863
			90,408,327
Textiles, Apparel & Luxury Goods - 0.3%
Crocs, Inc.:
4.125% 8/15/31(b)		840,000	714,671
4.25% 3/15/29(b)		500,000	448,756
Hanesbrands, Inc. 4.875% 5/15/26 (b)		670,000	646,566
Kontoor Brands, Inc. 4.125% 11/15/29 (b)		410,000	366,654
Levi Strauss & Co. 3.5% 3/1/31 (b)		835,000	723,586
Tapestry, Inc.:
7% 11/27/26		6,493,000	6,668,651
7.05% 11/27/25		2,407,000	2,451,938
7.35% 11/27/28		10,385,000	10,862,734
7.7% 11/27/30		11,966,000	12,688,138
7.85% 11/27/33		11,966,000	12,944,172
The William Carter Co. 5.625% 3/15/27 (b)		500,000	490,538
Wolverine World Wide, Inc. 4% 8/15/29 (b)		2,280,000	1,826,850
			50,833,254
TOTAL CONSUMER DISCRETIONARY			306,590,191

CONSUMER STAPLES - 1.5%
Beverages - 0.5%
Anheuser-Busch InBev Finance, Inc. 4.7% 2/1/36		3,246,000	3,106,780
Anheuser-Busch InBev Worldwide, Inc.:
4.75% 4/15/58		10,214,000	9,272,918
5.45% 1/23/39		9,200,000	9,355,705
5.55% 1/23/49		21,036,000	21,565,275
5.8% 1/23/59 (Reg. S)		22,287,000	23,659,152
Central American Bottling Corp. 5.25% 4/27/29 (b)		845,000	794,300
Constellation Brands, Inc. 4.75% 5/9/32		20,000,000	19,342,629
Primo Water Holdings, Inc. 4.375% 4/30/29 (b)		830,000	753,018
Triton Water Holdings, Inc. 6.25% 4/1/29 (b)		4,550,000	3,972,060
			91,821,837
Consumer Staples Distribution & Retail - 0.1%
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:
3.5% 3/15/29(b)		2,170,000	1,933,378
4.625% 1/15/27(b)		20,000	19,281
4.875% 2/15/30(b)		1,635,000	1,534,780
C&S Group Enterprises LLC 5% 12/15/28 (b)		2,795,000	2,214,271
KeHE Distributor / Nextwave 9% 2/15/29 (b)		2,220,000	2,226,515
NBM U.S. Holdings, Inc. 6.625% 8/6/29 (b)		1,065,000	1,047,609
Performance Food Group, Inc.:
4.25% 8/1/29(b)		20,000	18,151
5.5% 10/15/27(b)		1,314,000	1,286,843
6.875% 5/1/25(b)		500,000	501,290
REWE International Finance 4.875% 9/13/30 (Reg. S)	EUR	700,000	787,920
Sysco Corp.:
5.95% 4/1/30		4,765,000	4,958,301
6.6% 4/1/50		7,190,000	8,125,032
Tesco Corporate Treasury Services PLC 2.75% 4/27/30 (Reg. S)	GBP	2,115,000	2,327,575
U.S. Foods, Inc.:
4.625% 6/1/30(b)		580,000	531,463
4.75% 2/15/29(b)		655,000	614,894
6.875% 9/15/28(b)		820,000	834,350
United Natural Foods, Inc. 6.75% 10/15/28 (b)		255,000	212,346
			29,173,999
Food Products - 0.5%
Adecoagro SA 6% 9/21/27 (b)		990,000	959,191
Camposol SA 6% 2/3/27 (b)		450,000	327,094
Chobani LLC/Finance Corp., Inc. 4.625% 11/15/28 (b)		510,000	471,742
Darling Ingredients, Inc.:
5.25% 4/15/27(b)		20,000	19,617
6% 6/15/30(b)		850,000	837,627
Fiesta Purchaser, Inc. 7.875% 3/1/31 (b)		1,160,000	1,196,148
JBS U.S.A. Lux SA/JBS Food Co./JBS U.S.A. Finance, Inc.:
2.5% 1/15/27		17,765,000	16,298,362
3% 5/15/32		18,025,000	14,431,830
3.625% 1/15/32		27,395,000	23,034,680
5.125% 2/1/28		7,390,000	7,240,812
5.5% 1/15/30		3,285,000	3,201,698
5.75% 4/1/33		15,215,000	14,755,782
JDE Peet's BV 2.25% 9/24/31 (b)		1,978,000	1,547,436
Lamb Weston Holdings, Inc.:
4.125% 1/31/30(b)		3,330,000	3,017,225
4.375% 1/31/32(b)		660,000	589,667
MARB BondCo PLC 3.95% 1/29/31 (b)		620,000	503,750
Pilgrim's Pride Corp.:
3.5% 3/1/32		140,000	116,976
4.25% 4/15/31		310,000	277,088
Post Holdings, Inc.:
4.5% 9/15/31(b)		40,000	35,612
4.625% 4/15/30(b)		1,275,000	1,160,091
5.5% 12/15/29(b)		1,209,000	1,156,794
5.625% 1/15/28(b)		20,000	19,633
5.75% 3/1/27(b)		1,000,000	1,009,580
6.25% 2/15/32(b)		1,515,000	1,522,832
TreeHouse Foods, Inc. 4% 9/1/28		735,000	648,638
			94,379,905
Household Products - 0.0%
Central Garden & Pet Co. 4.125% 10/15/30		20,000	17,767
Reckitt Benckiser Treasury Services PLC 3.875% 9/14/33 (Reg. S)	EUR	1,000,000	1,104,671
			1,122,438
Personal Care Products - 0.0%
BellRing Brands, Inc. 7% 3/15/30 (b)		510,000	520,414
Edgewell Personal Care Co. 5.5% 6/1/28 (b)		20,000	19,525
			539,939
Tobacco - 0.4%
Altria Group, Inc.:
4.25% 8/9/42		10,924,000	8,757,355
4.5% 5/2/43		7,299,000	6,059,597
4.8% 2/14/29		1,994,000	1,957,852
5.95% 2/14/49		2,582,000	2,572,147
BAT Capital Corp.:
5.834% 2/20/31		2,700,000	2,690,663
6.421% 8/2/33		13,161,000	13,538,741
Imperial Tobacco Finance PLC:
4.25% 7/21/25(b)		6,702,000	6,568,364
6.125% 7/27/27(b)		7,555,000	7,690,904
Reynolds American, Inc.:
4.45% 6/12/25		3,319,000	3,268,079
5.7% 8/15/35		1,538,000	1,469,092
5.85% 8/15/45		12,953,000	11,767,852
6.15% 9/15/43		1,637,000	1,583,051
7.25% 6/15/37		1,835,000	1,963,118
			69,886,815
TOTAL CONSUMER STAPLES			286,924,933

ENERGY - 3.9%
Energy Equipment & Services - 0.1%
Archrock Partners LP / Archrock Partners Finance Corp. 6.875% 4/1/27 (b)		20,000	19,899
CGG SA 8.75% 4/1/27 (b)		2,990,000	2,667,020
Guara Norte SARL 5.198% 6/15/34 (b)		809,667	729,712
Halliburton Co.:
3.8% 11/15/25		86,000	84,016
4.85% 11/15/35		3,103,000	2,984,242
Jonah Energy Parent LLC 12% 11/5/25 (g)(h)		808,041	854,503
Nabors Industries Ltd. 7.25% 1/15/26 (b)		20,000	19,700
Nabors Industries, Inc.:
7.375% 5/15/27(b)		20,000	19,926
9.125% 1/31/30(b)		310,000	317,750
NuStar Logistics LP:
5.625% 4/28/27		20,000	19,794
5.75% 10/1/25		20,000	19,819
Oleoducto Central SA 4% 7/14/27 (b)		802,000	744,922
Seadrill Finance Ltd. 8.375% 8/1/30 (b)		615,000	632,015
Southern Gas Corridor CJSC 6.875% 3/24/26 (b)		2,024,000	2,048,895
State Oil Co. of Azerbaijan Republic 6.95% 3/18/30 (Reg. S)		400,000	410,160
Summit Midstream Holdings LLC 9% 10/15/26 (b)		20,000	19,786
Technip Energies NV 1.125% 5/28/28	EUR	1,205,000	1,166,039
The Oil and Gas Holding Co.:
7.5% 10/25/27(b)		903,000	933,194
8.375% 11/7/28(b)		260,000	279,958
Transocean Aquila Ltd. 8% 9/30/28 (b)		460,000	468,625
Transocean Poseidon Ltd. 6.875% 2/1/27 (b)		731,025	728,543
Transocean Titan Finance Ltd. 8.375% 2/1/28 (b)		20,000	20,525
Transocean, Inc.:
7.25% 11/1/25(b)		1,635,000	1,611,049
7.5% 1/15/26(b)		2,069,000	2,045,744
8% 2/1/27(b)		2,795,000	2,728,423
8.75% 2/15/30(b)		364,500	374,277
U.S.A. Compression Partners LP/U.S.A. Compression Finance Corp.:
6.875% 4/1/26		1,230,000	1,228,325
6.875% 9/1/27		20,000	19,897
Valaris Ltd. 8.375% 4/30/30 (b)		2,620,000	2,686,516
			25,883,274
Oil, Gas & Consumable Fuels - 3.8%
Altus Midstream LP:
5.875% 6/15/30(b)		3,385,000	3,298,391
6.625% 12/15/28(b)		1,190,000	1,204,642
Antero Midstream Partners LP/Antero Midstream Finance Corp.:
5.375% 6/15/29(b)		20,000	19,022
5.75% 3/1/27(b)		1,140,000	1,115,419
5.75% 1/15/28(b)		20,000	19,607
7.875% 5/15/26(b)		1,140,000	1,164,459
Antero Resources Corp.:
5.375% 3/1/30(b)		20,000	19,060
7.625% 2/1/29(b)		500,000	514,968
Ascent Resources - Utica LLC/ARU Finance Corp. 7% 11/1/26 (b)		20,000	19,986
California Resources Corp. 7.125% 2/1/26 (b)		880,000	884,638
Calumet Specialty Products Partners LP/Calumet Finance Corp. 9.75% 7/15/28 (b)		970,000	960,877
Canacol Energy Ltd. 5.75% 11/24/28 (b)		495,000	336,650
Canadian Natural Resources Ltd.:
2.95% 7/15/30		12,000,000	10,424,930
5.85% 2/1/35		3,955,000	3,950,671
Cenovus Energy, Inc.:
3.75% 2/15/52		12,540,000	8,957,368
5.4% 6/15/47		1,366,000	1,251,414
6.75% 11/15/39		547,000	592,816
Chesapeake Energy Corp. 6.75% 4/15/29 (b)		20,000	20,075
Citgo Petroleum Corp.:
6.375% 6/15/26(b)		1,881,000	1,892,724
7% 6/15/25(b)		3,594,000	3,585,523
8.375% 1/15/29(b)		1,568,000	1,646,665
CNX Midstream Partners LP 4.75% 4/15/30 (b)		565,000	494,292
CNX Resources Corp.:
6% 1/15/29(b)		20,000	19,223
7.25% 3/1/32(b)		1,740,000	1,733,955
7.375% 1/15/31(b)		1,350,000	1,360,981
Columbia Pipelines Operating Co. LLC:
5.927% 8/15/30(b)		2,382,000	2,426,313
6.036% 11/15/33(b)		6,422,000	6,594,121
6.497% 8/15/43(b)		1,920,000	2,031,759
6.544% 11/15/53(b)		3,456,000	3,681,585
6.714% 8/15/63(b)		2,069,000	2,240,422
Comstock Resources, Inc.:
5.875% 1/15/30(b)		1,545,000	1,350,964
6.75% 3/1/29(b)		1,990,000	1,835,654
CQP Holdco LP / BIP-V Chinook Holdco LLC 7.5% 12/15/33 (b)		1,530,000	1,559,933
CrownRock LP/CrownRock Finance, Inc.:
5% 5/1/29(b)		1,580,000	1,554,325
5.625% 10/15/25(b)		200,000	199,010
CVR Energy, Inc.:
5.75% 2/15/28(b)		3,553,000	3,297,930
8.5% 1/15/29(b)		1,535,000	1,544,594
DCP Midstream Operating LP:
5.125% 5/15/29		7,248,000	7,157,560
6.45% 11/3/36(b)		4,987,000	5,137,528
Delek Logistics Partners LP/Delek Logistics Finance Corp.:
6.75% 5/15/25		464,000	464,035
7.125% 6/1/28(b)		3,315,000	3,174,113
8.625% 3/15/29(b)		1,170,000	1,171,246
DT Midstream, Inc.:
4.125% 6/15/29(b)		435,000	397,479
4.375% 6/15/31(b)		160,000	144,046
Ecopetrol SA:
4.625% 11/2/31		600,000	495,618
8.875% 1/13/33		1,915,000	2,012,665
EG Global Finance PLC 12% 11/30/28 (b)		5,970,000	6,302,828
EIG Pearl Holdings SARL 3.545% 8/31/36 (b)		2,530,000	2,152,081
Empresa Nacional de Petroleo 6.15% 5/10/33 (b)		545,000	543,812
Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (b)		2,219,000	2,236,974
Energean Israel Finance Ltd.:
4.875% 3/30/26 (Reg. S)(b)		1,095,000	1,025,312
8.5% 9/30/33 (Reg. S)(b)		450,000	433,216
Energean PLC 6.5% 4/30/27 (b)		2,135,000	1,947,520
Energy Transfer LP:
3.75% 5/15/30		24,728,000	22,552,327
3.9% 5/15/24(d)		1,542,000	1,536,405
4.95% 6/15/28		7,159,000	7,051,204
5% 5/15/50		21,347,000	18,402,988
5.25% 4/15/29		4,040,000	4,024,411
5.4% 10/1/47		19,219,000	17,431,766
5.625% 5/1/27(b)		3,127,000	3,098,920
5.75% 4/1/25		2,217,000	2,213,342
5.8% 6/15/38		3,992,000	3,946,807
6% 2/1/29(b)		430,000	431,187
6% 6/15/48		3,699,000	3,625,581
6.125% 12/15/45		900,000	894,285
6.25% 4/15/49		2,774,000	2,800,802
7.375% 2/1/31(b)		1,010,000	1,056,814
EnLink Midstream LLC:
5.375% 6/1/29		20,000	19,383
5.625% 1/15/28(b)		1,155,000	1,138,035
6.5% 9/1/30(b)		2,475,000	2,537,038
EnLink Midstream Partners LP:
4.15% 6/1/25		625,000	609,326
4.85% 7/15/26		130,000	126,752
EQM Midstream Partners LP:
4% 8/1/24		1,555,000	1,543,516
4.75% 1/15/31(b)		540,000	502,154
6% 7/1/25(b)		145,000	144,801
6.5% 7/1/27(b)		120,000	121,200
6.5% 7/15/48		260,000	263,910
FEL Energy VI SARL 5.75% 12/1/40 (b)		705,642	631,705
Galaxy Pipeline Assets BidCo Ltd.:
2.16% 3/31/34(b)		458,698	394,021
2.625% 3/31/36(b)		2,575,000	2,090,578
Genesis Energy LP/Genesis Energy Finance Corp. 7.75% 2/1/28		20,000	20,000
GeoPark Ltd. 5.5% 1/17/27 (b)		1,020,000	923,100
Global Partners LP/GLP Finance Corp.:
6.875% 1/15/29		1,530,000	1,507,983
7% 8/1/27		2,462,000	2,462,788
8.25% 1/15/32(b)		625,000	641,064
Golar LNG Ltd. 7% 10/20/25 (b)		2,630,000	2,598,230
Gran Tierra Energy, Inc. 9.5% 10/15/29 (b)		525,000	485,625
Harbour Energy PLC 5.5% 10/15/26 (b)		154,000	150,096
Harvest Midstream I LP 7.5% 9/1/28 (b)		2,310,000	2,328,660
Hess Corp.:
5.6% 2/15/41		10,536,000	10,609,475
5.8% 4/1/47		13,479,000	13,697,562
7.125% 3/15/33		2,041,000	2,288,917
7.3% 8/15/31		4,951,000	5,569,387
7.875% 10/1/29		8,500,000	9,524,028
Hess Midstream Operations LP:
4.25% 2/15/30(b)		600,000	546,354
5.125% 6/15/28(b)		1,815,000	1,743,743
5.5% 10/15/30(b)		565,000	542,968
5.625% 2/15/26(b)		2,625,000	2,587,856
HF Sinclair Corp. 5% 2/1/28 (b)		2,650,000	2,551,846
Howard Midstream Energy Partners LLC 8.875% 7/15/28 (b)		2,670,000	2,813,513
ITT Holdings LLC 6.5% 8/1/29 (b)		20,000	17,752
KazMunaiGaz National Co.:
3.5% 4/14/33(b)		645,000	524,224
5.375% 4/24/30(b)		370,000	359,226
5.75% 4/19/47(b)		250,000	212,875
Kinder Morgan Energy Partners LP:
5.5% 3/1/44		15,589,000	14,418,773
6.55% 9/15/40		686,000	709,240
Kinder Morgan, Inc.:
5.05% 2/15/46		1,762,000	1,536,911
5.55% 6/1/45		4,783,000	4,490,560
Kosmos Energy Ltd. 7.125% 4/4/26 (b)		2,695,000	2,587,200
Leviathan Bond Ltd. 6.125% 6/30/25 (Reg. S) (b)		985,000	962,690
MC Brazil Downstream Trading SARL 7.25% 6/30/31 (b)		1,830,197	1,657,609
Medco Laurel Tree PTE Ltd. 6.95% 11/12/28 (b)		890,000	862,170
Medco Maple Tree Pte. Ltd. 8.96% 4/27/29 (b)		1,005,000	1,047,210
Medco Oak Tree Pte Ltd. 7.375% 5/14/26 (b)		575,000	574,385
MEG Energy Corp.:
5.875% 2/1/29(b)		20,000	19,499
7.125% 2/1/27(b)		500,000	507,767
Mesquite Energy, Inc. 7.25% (b)(c)(h)		4,592,000	0
Moss Creek Resources Holdings, Inc. 7.5% 1/15/26 (b)		20,000	19,884
MPLX LP:
4.8% 2/15/29		2,198,000	2,152,576
4.875% 12/1/24		4,860,000	4,832,157
4.95% 9/1/32		14,675,000	14,055,370
5.5% 2/15/49		6,593,000	6,174,409
Murphy Oil Corp. 6.375% 7/15/28		12,000	12,016
Murphy Oil U.S.A., Inc.:
3.75% 2/15/31(b)		647,000	552,083
4.75% 9/15/29		20,000	18,648
NAK Naftogaz Ukraine:
7.625% 11/8/28(b)		305,000	161,936
7.65% (Reg. S)(c)		907,250	700,851
New Fortress Energy, Inc.:
6.5% 9/30/26(b)		9,895,000	9,554,001
6.75% 9/15/25(b)		7,038,300	7,001,978
NGL Energy Operating LLC/NGL Energy Finance Corp.:
8.125% 2/15/29(b)		630,000	635,939
8.375% 2/15/32(b)		630,000	639,943
Northern Oil & Gas, Inc.:
8.125% 3/1/28(b)		2,050,000	2,075,892
8.75% 6/15/31(b)		630,000	658,350
Nostrum Oil & Gas Finance BV 14% 6/30/26 pay-in-kind (b)(d)		18,557	3,942
Occidental Petroleum Corp.:
4.2% 3/15/48		640,000	489,082
4.4% 4/15/46		1,670,000	1,334,344
4.4% 8/15/49		770,000	569,415
4.5% 7/15/44		1,375,000	1,059,754
5.55% 3/15/26		8,636,000	8,645,476
6.125% 1/1/31		1,225,000	1,256,532
6.45% 9/15/36		10,081,000	10,613,882
6.6% 3/15/46		10,444,000	11,093,512
6.625% 9/1/30		1,680,000	1,768,032
7.5% 5/1/31		15,444,000	17,055,472
7.875% 9/15/31		415,000	466,992
7.95% 6/15/39		320,000	370,390
Parkland Corp.:
4.5% 10/1/29(b)		730,000	667,038
4.625% 5/1/30(b)		3,480,000	3,178,841
PBF Holding Co. LLC/PBF Finance Corp. 7.875% 9/15/30 (b)		3,310,000	3,391,691
Permian Resources Operating LLC:
5.875% 7/1/29(b)		1,855,000	1,808,625
7% 1/15/32(b)		325,000	333,703
7.75% 2/15/26(b)		910,000	920,875
Petroleos de Venezuela SA:
5.375%(c)		353,900	37,160
6%(b)(c)		1,619,833	157,934
6%(b)(c)		1,847,331	180,115
12.75%(b)(c)		98,000	11,907
Petroleos Mexicanos:
4.5% 1/23/26		13,054,000	12,153,274
5.95% 1/28/31		38,105,000	29,584,722
6.35% 2/12/48		31,726,000	19,416,312
6.49% 1/23/27		14,935,000	13,959,595
6.5% 3/13/27		42,674,000	39,799,906
6.5% 6/2/41		255,000	168,300
6.625% 6/15/35		3,392,000	2,509,605
6.7% 2/16/32		11,667,000	9,411,769
6.75% 9/21/47		18,053,000	11,463,655
6.84% 1/23/30		33,047,000	28,247,915
6.875% 10/16/25		575,000	566,605
6.875% 8/4/26		1,070,000	1,030,838
6.95% 1/28/60		16,303,000	10,342,623
7.69% 1/23/50		31,233,000	21,514,852
Petronas Capital Ltd.:
3.404% 4/28/61(b)		1,050,000	715,460
3.5% 4/21/30(b)		335,000	306,420
Petrorio Luxembourg SARL 6.125% 6/9/26 (b)		575,000	564,981
Phillips 66 Co. 3.85% 4/9/25		1,307,000	1,284,705
Plains All American Pipeline LP/PAA Finance Corp.:
3.55% 12/15/29		2,689,000	2,439,672
3.6% 11/1/24		2,794,000	2,756,951
Prairie Acquiror LP 9% 8/1/29 (b)		635,000	639,832
PT Adaro Indonesia 4.25% 10/31/24 (b)		1,565,000	1,538,176
PT Pertamina Persero 4.175% 1/21/50 (b)		405,000	311,344
Qatar Petroleum:
1.375% 9/12/26(b)		2,205,000	2,015,508
2.25% 7/12/31(b)		2,080,000	1,732,806
3.125% 7/12/41(b)		2,485,000	1,828,016
3.3% 7/12/51(b)		1,545,000	1,073,559
Rockies Express Pipeline LLC:
3.6% 5/15/25(b)		20,000	19,391
4.8% 5/15/30(b)		110,000	101,888
4.95% 7/15/29(b)		1,290,000	1,206,322
6.875% 4/15/40(b)		490,000	482,497
SA Global Sukuk Ltd. 1.602% 6/17/26 (b)		1,260,000	1,157,625
Sabine Pass Liquefaction LLC 4.5% 5/15/30		17,428,000	16,677,087
Saudi Arabian Oil Co.:
2.25% 11/24/30(b)		1,880,000	1,577,038
3.25% 11/24/50(b)		1,205,000	802,831
3.5% 4/16/29(b)		2,140,000	1,988,381
3.5% 11/24/70(b)		645,000	406,673
4.25% 4/16/39(b)		2,995,000	2,584,123
Sibur Securities DAC 2.95% (b)(c)		330,000	214,500
Sinopec Group Overseas Development Ltd. 2.7% 5/13/30 (b)		325,000	290,339
Sitio Royalties OP / Sitio Finance Corp. 7.875% 11/1/28 (b)		820,000	838,122
SM Energy Co. 5.625% 6/1/25		845,000	838,663
Southwestern Energy Co.:
4.75% 2/1/32		1,190,000	1,080,957
5.375% 3/15/30		20,000	19,116
Sunoco LP/Sunoco Finance Corp.:
4.5% 5/15/29		1,460,000	1,348,671
5.875% 3/15/28		1,270,000	1,256,359
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.:
5.5% 1/15/28(b)		3,863,000	3,669,850
6% 3/1/27(b)		1,160,000	1,144,920
6% 12/31/30(b)		2,945,000	2,738,633
6% 9/1/31(b)		3,410,000	3,123,675
Talos Production, Inc.:
9% 2/1/29(b)		540,000	551,914
9.375% 2/1/31(b)		760,000	785,015
Teine Energy Ltd. 6.875% 4/15/29 (b)		340,000	322,667
Tengizchevroil Finance Co. International Ltd. 3.25% 8/15/30 (b)		955,000	780,961
The Williams Companies, Inc.:
3.5% 11/15/30		18,443,000	16,643,804
4% 9/15/25		1,089,000	1,067,785
4.65% 8/15/32		34,934,000	33,233,994
5.3% 8/15/52		3,368,000	3,151,339
5.75% 6/24/44		6,964,000	6,831,263
Transcontinental Gas Pipe Line Co. LLC 3.25% 5/15/30		2,221,000	1,997,780
Tullow Oil PLC:
7% 3/1/25(b)		315,000	294,553
10.25% 5/15/26(b)		1,435,000	1,285,344
Venture Global Calcasieu Pass LLC:
3.875% 8/15/29(b)		2,620,000	2,351,473
4.125% 8/15/31(b)		1,375,000	1,206,782
6.25% 1/15/30(b)		915,000	913,552
Viper Energy, Inc. 7.375% 11/1/31 (b)		500,000	514,830
Western Gas Partners LP:
3.1% 2/1/25		212,000	206,523
3.95% 6/1/25		140,000	136,575
4.65% 7/1/26		2,834,000	2,772,590
4.75% 8/15/28		2,108,000	2,035,385
5.25% 2/1/50		1,280,000	1,132,358
5.3% 3/1/48		640,000	551,547
5.5% 8/15/48		385,000	338,291
			756,583,677
TOTAL ENERGY			782,466,951

FINANCIALS - 12.9%
Banks - 5.5%
ABN AMRO Bank NV 3.875% 1/15/32 (Reg. S)	EUR	2,000,000	2,142,271
Access Bank PLC 6.125% 9/21/26 (b)		1,015,000	924,919
AIB Group PLC:
1.875% 11/19/29 (Reg. S)(d)	EUR	1,000,000	1,058,105
2.25% 4/4/28 (Reg. S)(d)	EUR	4,400,000	4,525,429
5.25% 10/23/31 (Reg. S)(d)	EUR	1,120,000	1,282,556
6.608% 9/13/29(b)(d)		1,000,000	1,037,631
Alpha Bank SA 4.25% 2/13/30 (Reg. S) (d)	EUR	1,375,000	1,442,468
Bank of America Corp.:
2.299% 7/21/32(d)		18,130,000	14,674,774
3.419% 12/20/28(d)		8,456,000	7,899,879
3.705% 4/24/28(d)		11,813,000	11,262,568
4.2% 8/26/24		14,710,000	14,600,116
4.25% 10/22/26		5,344,000	5,228,767
4.376% 4/27/28(d)		20,000,000	19,443,367
4.571% 4/27/33(d)		10,000,000	9,401,320
5.015% 7/22/33(d)		121,493,000	118,421,822
Bank of Ireland Group PLC 2.029% 9/30/27 (b)(d)		4,565,000	4,152,370
BankMuscat SAOG 4.75% 3/17/26 (Reg. S)		390,000	381,412
Barclays PLC:
5.088% 6/20/30(d)		14,797,000	14,017,857
5.2% 5/12/26		6,970,000	6,891,808
5.262% 1/29/34 (Reg. S)(d)	EUR	4,140,000	4,730,812
5.829% 5/9/27(d)		23,950,000	24,010,610
6.224% 5/9/34(d)		13,560,000	13,729,243
6.49% 9/13/29(d)		18,477,000	19,045,848
7.437% 11/2/33(d)		950,000	1,039,300
8.407% 11/14/32 (Reg. S)(d)	GBP	1,350,000	1,791,355
BNP Paribas SA:
2.159% 9/15/29(b)(d)		5,025,000	4,347,979
2.219% 6/9/26(b)(d)		15,515,000	14,852,418
2.5% 3/31/32 (Reg. S)(d)	EUR	2,200,000	2,234,001
4.125% 5/24/33 (Reg. S)	EUR	1,400,000	1,573,264
BPCE SA:
1.5% 1/13/42 (Reg. S)(d)	EUR	2,800,000	2,735,479
5.716% 1/18/30(b)(d)		1,350,000	1,344,270
Citigroup, Inc.:
3.352% 4/24/25(d)		9,970,000	9,932,130
4.3% 11/20/26		3,067,000	2,987,394
4.4% 6/10/25		7,473,000	7,361,899
4.412% 3/31/31(d)		22,342,000	21,105,231
4.45% 9/29/27		10,486,000	10,157,306
4.6% 3/9/26		4,812,000	4,733,159
4.91% 5/24/33(d)		54,777,000	52,448,424
5.875% 7/1/24 (Reg. S)	GBP	850,000	1,072,075
Citizens Financial Group, Inc. 2.638% 9/30/32		5,802,000	4,405,445
Commerzbank AG 8.625% 2/28/33 (Reg. S) (d)	GBP	400,000	529,540
Commonwealth Bank of Australia 3.61% 9/12/34 (b)(d)		5,339,000	4,749,587
Danske Bank A/S:
2.25% 1/14/28 (Reg. S)(d)	GBP	2,290,000	2,630,981
4.75% 6/21/30 (Reg. S)(d)	EUR	2,803,000	3,136,023
HAT Holdings I LLC/HAT Holdings II LLC:
3.375% 6/15/26(b)		1,045,000	977,162
6% 4/15/25(b)		533,000	527,584
8% 6/15/27(b)		560,000	581,456
HSBC Holdings PLC:
4.25% 3/14/24		2,247,000	2,245,719
4.787% 3/10/32 (Reg. S)(d)	EUR	2,340,000	2,632,794
4.856% 5/23/33 (Reg. S)(d)	EUR	3,000,000	3,402,179
4.95% 3/31/30		3,002,000	2,939,886
6.8% 9/14/31(d)	GBP	690,000	921,288
7.39% 11/3/28(d)		1,700,000	1,800,933
8.201% 11/16/34 (Reg. S)(d)	GBP	1,900,000	2,596,715
ING Groep NV:
4.5% 5/23/29 (Reg. S)(d)	EUR	1,400,000	1,543,543
4.75% 5/23/34 (Reg. S)(d)	EUR	4,800,000	5,465,960
Intesa Sanpaolo SpA:
3.875% 7/14/27(b)		3,181,000	2,965,939
4.198% 6/1/32(b)(d)		2,306,000	1,891,508
5.017% 6/26/24(b)		9,040,000	8,982,843
5.71% 1/15/26(b)		32,509,000	32,212,186
6.625% 6/20/33(b)		1,490,000	1,506,345
JPMorgan Chase & Co.:
2.956% 5/13/31(d)		9,435,000	8,194,986
3.875% 9/10/24		12,990,000	12,871,467
4.323% 4/26/28(d)		25,000,000	24,396,217
4.452% 12/5/29(d)		20,700,000	20,023,043
4.493% 3/24/31(d)		30,800,000	29,581,734
4.586% 4/26/33(d)		73,217,000	69,470,753
4.912% 7/25/33(d)		53,314,000	51,718,225
5.299% 7/24/29(d)		22,500,000	22,557,379
5.717% 9/14/33(d)		22,300,000	22,579,425
Jyske Bank A/S:
5% 10/26/28(d)	EUR	1,100,000	1,214,879
5.125% 5/1/35 (Reg. S)(d)	EUR	712,000	772,646
KBC Group NV 6.324% 9/21/34 (b)(d)		2,650,000	2,746,076
Lloyds Banking Group PLC:
1.985% 12/15/31(d)	GBP	1,840,000	2,076,456
4.5% 1/11/29 (Reg. S)(d)	EUR	1,170,000	1,291,611
4.75% 9/21/31 (Reg. S)(d)	EUR	2,900,000	3,240,097
Magyar Export-Import Bank 6.125% 12/4/27 (b)		340,000	341,666
National Bank of Uzbekistan 4.85% 10/21/25 (Reg. S)		525,000	496,125
NatWest Group PLC:
2.105% 11/28/31 (Reg. S)(d)	GBP	3,085,000	3,484,137
3.073% 5/22/28(d)		9,805,000	9,097,950
3.622% 8/14/30 (Reg. S)(d)	GBP	1,055,000	1,283,545
4.771% 2/16/29 (Reg. S)(d)	EUR	3,000,000	3,331,397
4.8% 4/5/26		9,111,000	8,998,385
7.416% 6/6/33 (Reg. S)(d)	GBP	1,550,000	2,010,488
Nordea Bank Abp 4.125% 5/5/28 (Reg. S)	EUR	3,200,000	3,511,299
OTP Bank PLC 8.75% 5/15/33 (Reg. S) (d)		410,000	423,563
Rabobank Nederland:
3.822% 7/26/34 (Reg. S)	EUR	700,000	755,864
4% 1/10/30 (Reg. S)	EUR	1,600,000	1,756,430
4.375% 8/4/25		9,413,000	9,232,104
Societe Generale:
1.038% 6/18/25(b)(d)		36,500,000	35,932,200
1.488% 12/14/26(b)(d)		18,670,000	17,219,023
4.25% 4/14/25(b)		1,800,000	1,761,019
4.75% 11/24/25(b)		400,000	391,689
6.691% 1/10/34(b)(d)		1,000,000	1,033,042
Synchrony Bank:
5.4% 8/22/25		14,157,000	13,990,621
5.625% 8/23/27		12,818,000	12,470,992
UniCredit SpA:
5.459% 6/30/35(b)(d)		2,132,000	1,970,011
5.861% 6/19/32(b)(d)		775,000	751,140
7.296% 4/2/34(b)(d)		20,000	20,412
Virgin Money UK PLC 7.625% 8/23/29 (Reg. S) (d)	GBP	3,000,000	3,979,418
Wells Fargo & Co.:
3.526% 3/24/28(d)		19,749,000	18,724,455
4.478% 4/4/31(d)		30,867,000	29,351,060
4.897% 7/25/33(d)		70,571,000	67,476,369
5.013% 4/4/51(d)		29,124,000	26,930,790
5.499% 1/23/35(d)		5,195,000	5,160,687
5.574% 7/25/29(d)		21,000,000	21,137,520
Western Alliance Bancorp. 3% 6/15/31 (d)		3,043,000	2,668,711
Westpac Banking Corp. 4.11% 7/24/34 (d)		7,550,000	6,896,523
			1,113,990,881
Capital Markets - 3.3%
Affiliated Managers Group, Inc. 3.5% 8/1/25		7,624,000	7,410,065
AG Issuer LLC 6.25% 3/1/28 (b)		20,000	19,355
Ares Capital Corp. 3.875% 1/15/26		25,763,000	24,716,655
AssuredPartners, Inc.:
5.625% 1/15/29(b)		1,015,000	933,622
7.5% 2/15/32(b)		1,515,000	1,488,836
Athene Global Funding:
5.339% 1/15/27(b)		28,368,000	28,211,806
5.583% 1/9/29(b)		12,707,000	12,659,538
Blackstone Private Credit Fund:
4.7% 3/24/25		38,436,000	37,839,418
4.875% 4/14/26	GBP	2,372,000	2,873,355
7.05% 9/29/25		18,929,000	19,177,622
Coinbase Global, Inc.:
3.375% 10/1/28(b)		230,000	194,270
3.625% 10/1/31(b)		2,345,000	1,835,998
Deutsche Bank AG:
3.25% 5/24/28 (Reg. S)(d)	EUR	1,900,000	1,983,635
4% 6/24/32 (Reg. S)(d)	EUR	3,900,000	4,013,637
4.1% 1/13/26		3,085,000	3,002,959
4.5% 4/1/25		43,904,000	43,062,350
6.125% 12/12/30 (Reg. S)(d)	GBP	3,600,000	4,490,957
Deutsche Bank AG New York Branch:
3.729% 1/14/32(d)		29,675,000	24,306,847
5.882% 7/8/31(d)		4,150,000	3,972,536
6.72% 1/18/29(d)		10,450,000	10,736,184
Goldman Sachs Group, Inc.:
2.383% 7/21/32(d)		18,352,000	14,934,566
3.102% 2/24/33(d)		39,245,000	33,280,563
3.691% 6/5/28(d)		72,922,000	69,542,117
3.75% 5/22/25		7,259,000	7,114,568
3.8% 3/15/30		36,810,000	34,225,530
6.75% 10/1/37		3,974,000	4,319,544
Hightower Holding LLC 6.75% 4/15/29 (b)		1,895,000	1,778,411
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (b)		680,000	625,729
Jefferies Finance LLC/JFIN Co-Issuer Corp. 5% 8/15/28 (b)		655,000	589,112
LPL Holdings, Inc. 4.375% 5/15/31 (b)		640,000	578,916
Moody's Corp. 3.25% 1/15/28		4,181,000	3,935,185
Morgan Stanley:
3.622% 4/1/31(d)		21,065,000	19,136,973
4.21% 4/20/28(d)		20,000,000	19,357,488
4.431% 1/23/30(d)		8,668,000	8,320,251
4.656% 3/2/29(d)	EUR	1,300,000	1,443,538
4.889% 7/20/33(d)		44,206,000	42,461,975
5% 11/24/25		2,402,000	2,388,125
5.449% 7/20/29(d)		10,520,000	10,560,046
6.407% 11/1/29(d)		30,000,000	31,315,505
MSCI, Inc.:
3.625% 9/1/30(b)		440,000	388,094
4% 11/15/29(b)		2,020,000	1,854,360
Sixth Street Specialty Lending, Inc. 6.125% 3/1/29		11,081,000	10,907,951
StoneX Group, Inc. 7.875% 3/1/31 (b)		862,000	872,991
UBS Group AG:
1.494% 8/10/27(b)(d)		11,454,000	10,376,894
2.125% 11/15/29 (Reg. S)(d)	GBP	2,000,000	2,198,179
2.593% 9/11/25(b)(d)		21,556,000	21,185,828
3.75% 3/26/25		7,059,000	6,913,491
3.869% 1/12/29(b)(d)		6,719,000	6,319,205
4.125% 9/24/25(b)		6,852,000	6,702,325
4.125% 6/9/33 (Reg. S)(d)	EUR	3,220,000	3,468,643
4.194% 4/1/31(b)(d)		19,422,000	17,862,429
4.75% 3/17/32 (Reg. S)(d)	EUR	6,120,000	6,872,064
6.537% 8/12/33(b)(d)		30,000,000	31,285,686
VistaJet Malta Finance PLC / XO Management Holding, Inc.:
6.375% 2/1/30(b)		3,453,000	2,520,690
7.875% 5/1/27(b)		535,000	452,883
9.5% 6/1/28(b)		520,000	438,100
			669,457,600
Consumer Finance - 2.4%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
1.65% 10/29/24		5,735,000	5,579,952
2.45% 10/29/26		8,002,000	7,380,971
3% 10/29/28		8,382,000	7,531,781
3.3% 1/30/32		18,966,000	16,039,223
4.45% 4/3/26		6,213,000	6,087,580
5.75% 6/6/28		10,000,000	10,072,374
6.45% 4/15/27(b)		26,721,000	27,350,554
6.5% 7/15/25		7,456,000	7,525,900
Ally Financial, Inc.:
4.75% 6/9/27		25,000,000	24,282,840
5.125% 9/30/24		4,357,000	4,337,849
5.75% 11/20/25		12,230,000	12,169,037
5.8% 5/1/25		11,179,000	11,161,369
6.7% 2/14/33		3,115,000	3,069,184
7.1% 11/15/27		21,840,000	22,740,389
8% 11/1/31		5,892,000	6,467,865
Capital One Financial Corp.:
2.636% 3/3/26(d)		10,020,000	9,717,374
3.273% 3/1/30(d)		12,815,000	11,422,470
3.65% 5/11/27		29,451,000	28,050,428
3.8% 1/31/28		13,624,000	12,885,298
4.927% 5/10/28(d)		27,617,000	27,020,833
4.985% 7/24/26(d)		14,379,000	14,247,686
5.247% 7/26/30(d)		22,350,000	21,793,795
5.268% 5/10/33(d)		10,000,000	9,714,125
Discover Financial Services:
3.95% 11/6/24		5,349,000	5,281,176
4.1% 2/9/27		6,829,000	6,549,639
4.5% 1/30/26		9,265,000	9,117,049
6.7% 11/29/32		3,827,000	4,005,397
First Cash Financial Services, Inc. 5.625% 1/1/30 (b)		20,000	18,946
Ford Motor Credit Co. LLC:
2.3% 2/10/25		630,000	609,391
2.9% 2/10/29		3,765,000	3,280,165
3.375% 11/13/25		1,160,000	1,112,931
3.625% 6/17/31		255,000	217,385
3.815% 11/2/27		740,000	690,088
4% 11/13/30		650,000	574,699
4.063% 11/1/24		42,632,000	42,045,052
4.125% 8/17/27		1,415,000	1,339,189
4.389% 1/8/26		790,000	768,180
4.445% 2/14/30	EUR	1,300,000	1,405,501
4.95% 5/28/27		10,975,000	10,670,054
5.125% 6/16/25		620,000	613,721
5.584% 3/18/24		12,456,000	12,454,528
6.86% 6/5/26	GBP	2,140,000	2,769,704
Navient Corp.:
5% 3/15/27		20,000	18,960
5.5% 3/15/29		20,000	18,098
OneMain Finance Corp.:
3.5% 1/15/27		845,000	777,800
3.875% 9/15/28		3,490,000	3,049,191
4% 9/15/30		20,000	16,849
5.375% 11/15/29		1,770,000	1,642,450
6.875% 3/15/25		1,380,000	1,393,800
7.125% 3/15/26		1,800,000	1,829,236
9% 1/15/29		165,000	173,290
Shriram Transport Finance Co. Ltd.:
4.15% 7/18/25(b)		1,035,000	999,106
6.625% 4/22/27(b)		430,000	433,225
SLM Corp.:
3.125% 11/2/26		20,000	18,374
4.2% 10/29/25		620,000	601,208
Synchrony Financial:
3.95% 12/1/27		14,204,000	13,157,287
4.25% 8/15/24		11,783,000	11,674,763
4.375% 3/19/24		11,497,000	11,488,380
5.15% 3/19/29		19,104,000	18,223,095
			475,686,784
Financial Services - 1.0%
Block, Inc.:
2.75% 6/1/26		1,010,000	942,169
3.5% 6/1/31		3,055,000	2,606,140
Brixmor Operating Partnership LP:
3.85% 2/1/25		5,199,000	5,099,780
4.05% 7/1/30		10,439,000	9,605,106
4.125% 6/15/26		8,538,000	8,227,324
4.125% 5/15/29		10,374,000	9,699,997
Compass Group Diversified Holdings LLC 5.25% 4/15/29 (b)		20,000	18,794
Corebridge Financial, Inc.:
3.5% 4/4/25		4,316,000	4,215,340
3.65% 4/5/27		15,270,000	14,489,342
3.85% 4/5/29		6,037,000	5,598,419
3.9% 4/5/32		7,187,000	6,325,284
4.35% 4/5/42		1,635,000	1,349,335
4.4% 4/5/52		4,834,000	3,879,860
Cosan Luxembourg SA 7.25% 6/27/31 (b)		570,000	577,809
Freedom Mortgage Corp. 7.625% 5/1/26 (b)		20,000	19,852
GACI First Investment 5.25% 10/13/32 (Reg. S)		405,000	404,494
GGAM Finance Ltd.:
7.75% 5/15/26(b)		1,270,000	1,290,638
8% 2/15/27(b)		2,735,000	2,803,297
8% 6/15/28(b)		2,844,000	2,942,351
Gn Bondco LLC 9.5% 10/15/31 (b)		905,000	895,950
GTCR W-2 Merger Sub LLC 7.5% 1/15/31 (b)		3,285,000	3,426,255
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
4.375% 2/1/29		1,670,000	1,409,046
5.25% 5/15/27		7,249,000	6,660,019
6.25% 5/15/26		6,045,000	5,890,497
Jackson Financial, Inc.:
3.125% 11/23/31		7,286,000	6,023,832
5.17% 6/8/27		6,781,000	6,737,023
5.67% 6/8/32		39,681,000	39,546,821
KfW:
0% 12/15/27 (Reg. S)	EUR	5,000,000	4,856,251
0% 9/17/30 (Reg. S)	EUR	6,400,000	5,761,961
0.75% 1/15/29 (Reg. S)	EUR	7,500,000	7,348,835
Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S)	EUR	2,955,000	2,675,601
Liberty Costa Rica SR SF 10.875% 1/15/31 (b)		720,000	749,045
MDGH GMTN RSC Ltd.:
2.875% 11/7/29(b)		740,000	664,613
4.375% 11/22/33(b)		545,000	517,805
5.084% 5/22/53(b)		965,000	908,005
5.5% 4/28/33(b)		510,000	526,085
MidCap Financial Issuer Trust 6.5% 5/1/28 (b)		20,000	18,325
Nationstar Mortgage Holdings, Inc.:
5.5% 8/15/28(b)		20,000	18,881
5.75% 11/15/31(b)		20,000	18,324
6% 1/15/27(b)		20,000	19,663
Nationwide Building Society 6.178% 12/7/27 (Reg. S) (d)	GBP	1,300,000	1,665,631
NCR Atleos Corp. 9.5% 4/1/29 (b)		1,475,000	1,560,248
PennyMac Financial Services, Inc.:
4.25% 2/15/29(b)		20,000	18,031
5.375% 10/15/25(b)		20,000	19,682
Pine Street Trust I 4.572% 2/15/29 (b)		11,350,000	10,732,874
Pine Street Trust II 5.568% 2/15/49 (b)		11,300,000	10,413,301
PTT Treasury Center Co. Ltd. 3.7% 7/16/70 (b)		655,000	457,924
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.:
3.625% 3/1/29(b)		20,000	17,741
3.875% 3/1/31(b)		40,000	34,342
Quicken Loans LLC/Quicken Loans Co.-Issuer, Inc.:
2.875% 10/15/26(b)		40,000	36,800
4% 10/15/33(b)		510,000	423,422
Raizen Fuels Finance SA 6.95% 3/5/54 (b)		685,000	686,028
Scientific Games Holdings LP/Scientific Games U.S. Finco, Inc. 6.625% 3/1/30 (b)		1,545,000	1,448,438
United Shore Financial Services LLC 5.75% 6/15/27 (b)		20,000	19,402
			202,302,032
Insurance - 0.7%
Acrisure LLC / Acrisure Finance, Inc.:
4.25% 2/15/29(b)		530,000	470,097
8.25% 2/1/29(b)		630,000	622,461
Admiral Group PLC 8.5% 1/6/34 (Reg. S)	GBP	700,000	957,869
AIA Group Ltd. 0.88% 9/9/33 (Reg. S) (d)	EUR	1,160,000	1,060,012
Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer:
4.25% 10/15/27(b)		2,270,000	2,095,132
6.75% 10/15/27(b)		645,000	626,634
6.75% 4/15/28(b)		2,064,000	2,050,233
7% 1/15/31(b)		415,000	413,377
AmWINS Group, Inc.:
4.875% 6/30/29(b)		1,400,000	1,291,223
6.375% 2/15/29(b)		1,270,000	1,270,828
Cloverie PLC 4.5% 9/11/44 (Reg. S) (d)		13,795,000	13,612,906
Demeter Investments BV:
5.625% 8/15/52 (Reg. S)(d)		2,769,000	2,716,500
5.75% 8/15/50 (Reg. S)(d)		7,415,000	7,332,842
Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (d)	EUR	1,500,000	1,527,981
Five Corners Funding Trust II 2.85% 5/15/30 (b)		24,197,000	20,974,548
GTCR AP Finance, Inc. 8% 5/15/27 (b)		20,000	20,034
HUB International Ltd.:
5.625% 12/1/29(b)		20,000	18,563
7.25% 6/15/30(b)		1,295,000	1,321,040
Liberty Mutual Group, Inc. 4.569% 2/1/29 (b)		4,589,000	4,423,110
Marsh & McLennan Companies, Inc. 4.375% 3/15/29		7,831,000	7,650,572
National Financial Partners Corp.:
6.875% 8/15/28(b)		60,000	60,937
8.5% 10/1/31(b)		820,000	905,134
Pacific LifeCorp 5.125% 1/30/43 (b)		12,258,000	11,395,195
Pricoa Global Funding I 5.375% 5/15/45 (d)		6,348,000	6,250,036
Prudential Funding Asia PLC 2.95% 11/3/33 (Reg. S) (d)		6,730,000	5,922,400
QBE Insurance Group Ltd.:
2.5% 9/13/38 (Reg. S)(d)	GBP	2,620,000	2,784,056
6.75% 12/2/44 (Reg. S)(d)		3,395,000	3,393,225
Sagicor Financial Co. Ltd. 5.3% 5/13/28 (b)		730,000	699,340
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(d)		1,600,000	1,551,130
TIAA Asset Management Finance LLC 4.125% 11/1/24 (b)		2,195,000	2,170,165
Unum Group:
3.875% 11/5/25		7,835,000	7,581,459
4% 6/15/29		8,872,000	8,296,832
5.75% 8/15/42		9,271,000	8,999,515
USI, Inc. 7.5% 1/15/32 (b)		765,000	762,131
Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (d)		2,500,000	2,052,875
			133,280,392
Mortgage Real Estate Investment Trusts - 0.0%
Rithm Capital Corp. 6.25% 10/15/25 (b)		645,000	636,667
Starwood Property Trust, Inc.:
3.75% 12/31/24(b)		950,000	930,987
4.375% 1/15/27(b)		20,000	18,750
			1,586,404
TOTAL FINANCIALS			2,596,304,093

HEALTH CARE - 1.8%
Biotechnology - 0.2%
Amgen, Inc.:
5.25% 3/2/30		8,379,000	8,441,269
5.25% 3/2/33		9,459,000	9,433,062
5.65% 3/2/53		4,467,000	4,465,142
5.75% 3/2/63		8,141,000	8,141,756
Emergent BioSolutions, Inc. 3.875% 8/15/28 (b)		5,110,000	2,069,505
Grifols SA 4.75% 10/15/28 (b)		1,610,000	1,340,808
			33,891,542
Health Care Equipment & Supplies - 0.0%
AdaptHealth LLC 5.125% 3/1/30 (b)		2,775,000	2,320,594
Avantor Funding, Inc.:
3.875% 11/1/29(b)		1,585,000	1,420,637
4.625% 7/15/28(b)		1,040,000	981,639
Embecta Corp. 5% 2/15/30 (b)		800,000	637,600
Hologic, Inc. 3.25% 2/15/29 (b)		630,000	561,713
Medline Borrower LP 5.25% 10/1/29 (b)		40,000	36,999
Teleflex, Inc. 4.25% 6/1/28 (b)		700,000	653,512
Werfenlife SA 4.625% 6/6/28 (Reg. S)	EUR	1,400,000	1,530,929
			8,143,623
Health Care Providers & Services - 1.2%
180 Medical, Inc. 3.875% 10/15/29 (b)		145,000	129,775
AMN Healthcare 4% 4/15/29 (b)		625,000	548,438
Auna SA 10% 12/15/29 (b)		525,200	531,949
Cano Health, Inc. 6.25% (b)(c)		1,120,000	11,200
Centene Corp.:
2.45% 7/15/28		25,480,000	22,456,388
2.625% 8/1/31		7,320,000	5,989,736
3.375% 2/15/30		7,780,000	6,863,107
4.25% 12/15/27		8,475,000	8,061,817
4.625% 12/15/29		13,170,000	12,466,064
Cigna Group:
2.375% 3/15/31		20,000,000	16,696,492
3.05% 10/15/27		5,900,000	5,514,905
4.8% 8/15/38		6,950,000	6,445,732
Community Health Systems, Inc.:
4.75% 2/15/31(b)		4,155,000	3,161,789
5.25% 5/15/30(b)		5,635,000	4,495,762
5.625% 3/15/27(b)		4,190,000	3,833,539
6% 1/15/29(b)		1,410,000	1,212,600
6.125% 4/1/30(b)		2,094,000	1,309,965
6.875% 4/15/29(b)		4,276,000	2,728,491
8% 3/15/26(b)		150,000	148,509
8% 12/15/27(b)		2,520,000	2,410,002
10.875% 1/15/32(b)		60,000	61,098
CVS Health Corp.:
3% 8/15/26		1,290,000	1,224,856
3.625% 4/1/27		3,769,000	3,616,912
4.78% 3/25/38		10,528,000	9,566,901
5% 1/30/29		6,934,000	6,911,382
5.25% 1/30/31		2,843,000	2,839,692
DaVita, Inc.:
3.75% 2/15/31(b)		65,000	53,338
4.625% 6/1/30(b)		4,735,000	4,165,129
HCA Holdings, Inc.:
3.5% 9/1/30		20,318,000	18,154,020
3.625% 3/15/32		1,921,000	1,678,101
5.625% 9/1/28		10,497,000	10,578,031
5.875% 2/1/29		9,711,000	9,883,981
HealthEquity, Inc. 4.5% 10/1/29 (b)		1,975,000	1,815,248
Humana, Inc. 3.7% 3/23/29		5,638,000	5,272,776
ModivCare Escrow Issuer, Inc. 5% 10/1/29 (b)		500,000	368,750
Modivcare, Inc. 5.875% 11/15/25 (b)		2,242,000	2,189,100
Molina Healthcare, Inc.:
3.875% 11/15/30(b)		1,135,000	995,652
3.875% 5/15/32(b)		685,000	589,199
Pediatrix Medical Group, Inc. 5.375% 2/15/30 (b)		2,425,000	2,179,529
Radiology Partners, Inc. 8.5% 1/31/29 pay-in-kind (b)(d)		2,683,000	2,579,034
Regionalcare Hospital Partners 9.75% 12/1/26 (b)		1,333,000	1,332,619
RegionalCare Hospital Partners Holdings, Inc.:
5.375% 1/15/29(b)		890,000	709,579
9.875% 8/15/30(b)		1,155,000	1,198,299
11% 10/15/30(b)		165,000	174,538
Sabra Health Care LP:
3.2% 12/1/31		24,037,000	19,488,932
3.9% 10/15/29		4,785,000	4,253,445
Tenet Healthcare Corp.:
4.25% 6/1/29		2,590,000	2,381,992
4.375% 1/15/30		2,270,000	2,079,080
4.625% 6/15/28		2,610,000	2,484,119
6.125% 10/1/28		1,415,000	1,399,081
6.125% 6/15/30		3,095,000	3,065,137
6.25% 2/1/27		979,000	976,676
6.75% 5/15/31(b)		440,000	443,850
Toledo Hospital 5.325% 11/15/28		3,971,000	3,707,921
			233,434,257
Health Care Technology - 0.0%
IQVIA, Inc.:
5% 10/15/26(b)		260,000	254,135
5% 5/15/27(b)		40,000	38,942
6.5% 5/15/30(b)		1,265,000	1,282,533
			1,575,610
Life Sciences Tools & Services - 0.0%
Charles River Laboratories International, Inc.:
3.75% 3/15/29(b)		870,000	784,852
4% 3/15/31(b)		1,655,000	1,459,727
4.25% 5/1/28(b)		300,000	281,370
			2,525,949
Pharmaceuticals - 0.4%
1375209 BC Ltd. 9% 1/30/28 (b)		2,053,000	2,006,931
Bausch Health Companies, Inc.:
5.5% 11/1/25(b)		3,540,000	3,294,359
9% 12/15/25(b)		330,000	313,876
Bayer AG 4.625% 5/26/33 (Reg. S)	EUR	1,550,000	1,684,437
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b)		8,579,000	8,341,403
Bayer U.S. Finance LLC 6.375% 11/21/30 (b)		2,760,000	2,780,949
Catalent Pharma Solutions:
3.125% 2/15/29(b)		20,000	19,315
3.5% 4/1/30(b)		1,210,000	1,165,448
5% 7/15/27(b)		20,000	19,691
Elanco Animal Health, Inc. 6.65% 8/28/28 (d)		2,437,000	2,455,167
Jazz Securities DAC 4.375% 1/15/29 (b)		2,245,000	2,068,282
Mylan NV 4.55% 4/15/28		7,694,000	7,418,494
Organon & Co. / Organon Foreign Debt Co-Issuer BV:
4.125% 4/30/28(b)		3,315,000	3,032,762
5.125% 4/30/31(b)		2,010,000	1,722,811
Teva Pharmaceutical Finance Netherlands III BV:
3.15% 10/1/26		1,585,000	1,468,227
4.75% 5/9/27		385,000	366,231
5.125% 5/9/29		20,000	18,886
6.75% 3/1/28		20,000	20,236
7.125% 1/31/25		20,000	20,104
7.875% 9/15/29		1,360,000	1,446,733
8.125% 9/15/31		395,000	426,741
Utah Acquisition Sub, Inc. 3.95% 6/15/26		4,038,000	3,897,380
Viatris, Inc.:
2.7% 6/22/30		40,521,000	34,129,050
3.85% 6/22/40		4,583,000	3,368,175
			81,485,688
TOTAL HEALTH CARE			361,056,669

INDUSTRIALS - 1.5%
Aerospace & Defense - 0.4%
BAE Systems Holdings, Inc. 3.8% 10/7/24 (b)		3,311,000	3,271,447
Bombardier, Inc.:
6% 2/15/28(b)		20,000	19,415
7.5% 2/1/29(b)		20,000	20,286
7.875% 4/15/27(b)		2,986,000	2,989,810
8.75% 11/15/30(b)		1,035,000	1,084,173
BWX Technologies, Inc.:
4.125% 6/30/28(b)		1,320,000	1,227,745
4.125% 4/15/29(b)		1,935,000	1,795,699
Embraer Netherlands Finance BV:
5.4% 2/1/27		735,000	731,913
6.95% 1/17/28(b)		515,000	531,629
7% 7/28/30(b)		580,000	606,622
Howmet Aerospace, Inc.:
5.9% 2/1/27		1,620,000	1,635,484
5.95% 2/1/37		255,000	258,928
6.875% 5/1/25		1,620,000	1,636,974
Moog, Inc. 4.25% 12/15/27 (b)		190,000	177,812
Spirit Aerosystems, Inc.:
9.375% 11/30/29(b)		20,000	21,627
9.75% 11/15/30(b)		935,000	1,001,719
The Boeing Co.:
5.15% 5/1/30		7,640,000	7,512,151
5.705% 5/1/40		7,640,000	7,442,175
5.805% 5/1/50		23,600,000	22,747,573
5.93% 5/1/60		7,640,000	7,314,445
TransDigm, Inc.:
4.625% 1/15/29		2,220,000	2,035,762
5.5% 11/15/27		7,769,000	7,497,085
6.375% 3/1/29(b)		2,665,000	2,677,046
6.625% 3/1/32(b)		1,015,000	1,021,342
6.75% 8/15/28(b)		1,670,000	1,686,700
6.875% 12/15/30(b)		770,000	779,171
7.125% 12/1/31(b)		765,000	784,752
7.5% 3/15/27		434,000	433,648
			78,943,133
Air Freight & Logistics - 0.0%
Aercap Global Aviation Trust 6.5% 6/15/45 (b)(d)		1,035,000	1,026,412
Aeropuerto Internacional de Tocumen SA 5.125% 8/11/61 (b)		295,000	207,093
Rand Parent LLC 8.5% 2/15/30 (b)		6,225,000	6,045,515
			7,279,020
Building Products - 0.1%
Advanced Drain Systems, Inc.:
5% 9/30/27(b)		510,000	492,706
6.375% 6/15/30(b)		499,000	498,984
AmeriTex Holdco Intermediate LLC 10.25% 10/15/28 (b)		330,000	345,675
Builders FirstSource, Inc.:
4.25% 2/1/32(b)		1,625,000	1,427,766
6.375% 6/15/32(b)		20,000	19,997
6.375% 3/1/34(b)		705,000	703,355
Camelot Return Merger Sub, Inc. 8.75% 8/1/28 (b)		20,000	20,525
Carrier Global Corp.:
4.5% 11/29/32	EUR	975,000	1,103,234
5.9% 3/15/34		1,942,000	2,014,551
6.2% 3/15/54		2,014,000	2,198,258
EMRLD Borrower LP / Emerald Co. 6.625% 12/15/30 (b)		3,718,000	3,731,013
Griffon Corp. 5.75% 3/1/28		20,000	19,350
Oscar Acquisition Co. LLC / Oscar Finance, Inc. 9.5% 4/15/30 (b)		1,472,000	1,431,567
Standard Industries, Inc./New Jersey:
3.375% 1/15/31(b)		20,000	16,572
4.375% 7/15/30(b)		40,000	35,663
5% 2/15/27(b)		20,000	19,256
			14,078,472
Commercial Services & Supplies - 0.2%
ADT Corp. 4.125% 8/1/29 (b)		1,330,000	1,201,988
Allied Universal Holdco LLC 7.875% 2/15/31 (b)		1,555,000	1,544,239
Allied Universal Holdco LLC / Allied Universal Finance Corp.:
6% 6/1/29(b)		1,275,000	1,055,674
6.625% 7/15/26(b)		17,000	16,949
9.75% 7/15/27(b)		3,320,000	3,308,453
APX Group, Inc.:
5.75% 7/15/29(b)		1,820,000	1,730,694
6.75% 2/15/27(b)		1,165,000	1,166,596
Artera Services LLC 8.5% 2/15/31 (b)		5,880,000	6,006,733
Brand Industrial Services, Inc. 10.375% 8/1/30 (b)		4,228,000	4,496,168
Cimpress PLC 7% 6/15/26		580,000	577,483
Clean Harbors, Inc. 6.375% 2/1/31 (b)		585,000	581,566
CoreCivic, Inc.:
4.75% 10/15/27		2,528,000	2,382,871
8.25% 4/15/26		3,875,000	3,959,940
Covanta Holding Corp. 4.875% 12/1/29 (b)		2,485,000	2,171,628
Garda World Security Corp. 9.5% 11/1/27 (b)		20,000	20,076
GFL Environmental, Inc.:
3.75% 8/1/25(b)		1,260,000	1,223,331
4% 8/1/28(b)		20,000	18,337
4.25% 6/1/25(b)		20,000	19,647
4.75% 6/15/29(b)		20,000	18,727
5.125% 12/15/26(b)		1,240,000	1,212,910
6.75% 1/15/31(b)		250,000	255,715
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (b)		2,710,000	2,693,861
Madison IAQ LLC:
4.125% 6/30/28(b)		2,425,000	2,209,075
5.875% 6/30/29(b)		3,090,000	2,758,881
Neptune BidCo U.S., Inc. 9.29% 4/15/29 (b)		1,300,000	1,218,750
Prime Securities Services Borrower LLC/Prime Finance, Inc. 6.25% 1/15/28 (b)		20,000	19,734
Stericycle, Inc.:
3.875% 1/15/29(b)		1,980,000	1,781,838
5.375% 7/15/24(b)		2,455,000	2,453,773
The GEO Group, Inc.:
6% 4/15/26		555,000	533,228
9.5% 12/31/28(b)		1,400,000	1,396,370
10.5% 6/30/28		695,000	708,212
			48,743,447
Construction & Engineering - 0.1%
AECOM 5.125% 3/15/27		355,000	347,742
ATP Tower Holdings LLC/Andean Tower Partners 4.05% 4/27/26 (b)		1,740,000	1,613,850
Greensaif Pipelines Bidco SARL:
6.129% 2/23/38(b)		1,960,000	1,986,754
6.51% 2/23/42(b)		535,000	547,877
Pike Corp.:
5.5% 9/1/28(b)		3,260,000	3,092,324
8.625% 1/31/31(b)		1,405,000	1,483,754
Railworks Holdings LP 8.25% 11/15/28 (b)		2,960,000	2,940,042
SRS Distribution, Inc.:
4.625% 7/1/28(b)		985,000	918,690
6% 12/1/29(b)		870,000	809,974
			13,741,007
Electrical Equipment - 0.0%
GrafTech Global Enterprises, Inc. 9.875% 12/15/28 (b)		805,000	639,170
Regal Rexnord Corp.:
6.05% 2/15/26(b)		760,000	763,147
6.3% 2/15/30(b)		1,237,000	1,259,539
Sensata Technologies BV:
4% 4/15/29(b)		1,330,000	1,206,214
5% 10/1/25(b)		275,000	272,436
Wesco Distribution, Inc.:
7.125% 6/15/25(b)		20,000	20,120
7.25% 6/15/28(b)		20,000	20,439
			4,181,065
Ground Transportation - 0.1%
Alpha Trains Finance SA 2.064% 6/30/30	EUR	2,765,000	2,852,051
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.:
5.375% 3/1/29(b)		20,000	18,208
5.75% 7/15/27(b)		150,000	142,927
JSC Georgian Railway 4% 6/17/28 (b)		325,000	294,801
Mobico Group PLC 4.875% 9/26/31 (Reg. S)	EUR	2,500,000	2,668,588
Uber Technologies, Inc.:
4.5% 8/15/29(b)		1,510,000	1,413,856
6.25% 1/15/28(b)		20,000	20,025
7.5% 9/15/27(b)		20,000	20,460
8% 11/1/26(b)		3,525,000	3,587,026
XPO, Inc.:
6.25% 6/1/28(b)		380,000	380,855
7.125% 6/1/31(b)		630,000	643,415
7.125% 2/1/32(b)		2,600,000	2,643,298
			14,685,510
Industrial Conglomerates - 0.0%
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.75% 6/15/29 (b)		975,000	875,008
Turkiye Sise ve Cam Fabrikalari A/S 6.95% 3/14/26 (b)		645,000	646,613
			1,521,621
Machinery - 0.0%
Chart Industries, Inc.:
7.5% 1/1/30(b)		156,000	160,916
9.5% 1/1/31(b)		20,000	21,487
Hillenbrand, Inc. 5.75% 6/15/25		20,000	19,851
Mueller Water Products, Inc. 4% 6/15/29 (b)		1,905,000	1,732,397
TK Elevator U.S. Newco, Inc. 5.25% 7/15/27 (b)		3,075,000	2,953,679
Vertical Holdco GmbH 7.625% 7/15/28 (b)		1,765,000	1,726,982
			6,615,312
Marine Transportation - 0.0%
MISC Capital Two (Labuan) Ltd.:
3.625% 4/6/25(b)		495,000	483,991
3.75% 4/6/27(b)		1,320,000	1,255,676
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 10.75% 7/1/25 (b)		690,000	691,725
Seaspan Corp. 5.5% 8/1/29 (b)		3,125,000	2,664,156
			5,095,548
Passenger Airlines - 0.1%
Air Canada 3.875% 8/15/26 (b)		1,020,000	965,995
American Airlines Group, Inc. 3.75% 3/1/25 (b)		20,000	19,539
American Airlines, Inc.:
7.25% 2/15/28(b)		640,000	645,327
8.5% 5/15/29(b)		790,000	830,494
American Airlines, Inc. / AAdvantage Loyalty IP Ltd.:
5.5% 4/20/26(b)		2,665,500	2,641,066
5.75% 4/20/29(b)		60,000	58,677
Azul Secured Finance LLP:
11.5% 5/28/29(b)		902,633	751,289
11.93% 8/28/28(b)		540,000	547,425
Delta Air Lines, Inc. / SkyMiles IP Ltd. 4.5% 10/20/25 (b)		177,625	175,418
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. 5.75% 1/20/26 (b)		1,360,000	1,283,500
Mileage Plus Holdings LLC 6.5% 6/20/27 (b)		434,000	434,106
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd.:
8% 9/20/25(b)		1,450,000	1,048,727
8% 9/20/25(b)		20,000	14,465
United Airlines, Inc.:
4.375% 4/15/26(b)		40,000	38,499
4.625% 4/15/29(b)		40,000	36,896
			9,491,423
Professional Services - 0.0%
ASGN, Inc. 4.625% 5/15/28 (b)		1,210,000	1,128,450
CoreLogic, Inc. 4.5% 5/1/28 (b)		580,000	513,665
Korn Ferry 4.625% 12/15/27 (b)		595,000	562,295
Thomson Reuters Corp. 3.85% 9/29/24		1,266,000	1,247,706
TriNet Group, Inc.:
3.5% 3/1/29(b)		2,865,000	2,536,786
7.125% 8/15/31(b)		725,000	738,513
			6,727,415
Trading Companies & Distributors - 0.1%
Air Lease Corp. 3.375% 7/1/25		13,572,000	13,183,111
Beacon Roofing Supply, Inc. 6.5% 8/1/30 (b)		305,000	306,651
FLY Leasing Ltd. 7% 10/15/24 (b)		450,000	441,009
Fortress Transportation & Infrastructure Investors LLC:
6.5% 10/1/25(b)		20,000	20,010
7.875% 12/1/30(b)		1,565,000	1,640,906
Herc Holdings, Inc. 5.5% 7/15/27 (b)		20,000	19,574
Travis Perkins PLC 3.75% 2/17/26 (Reg. S)	GBP	2,035,000	2,427,498
			18,038,759
Transportation Infrastructure - 0.4%
Avolon Holdings Funding Ltd.:
2.875% 2/15/25(b)		12,030,000	11,675,663
3.95% 7/1/24(b)		4,160,000	4,128,912
4.25% 4/15/26(b)		3,220,000	3,104,815
4.375% 5/1/26(b)		21,312,000	20,563,803
5.5% 1/15/26(b)		7,243,000	7,168,084
6.375% 5/4/28(b)		15,124,000	15,347,120
DP World Crescent Ltd. 3.7495% 1/30/30 (b)		1,415,000	1,306,356
DP World Ltd. 5.625% 9/25/48 (b)		785,000	735,202
Heathrow Funding Ltd.:
2.625% 3/16/28 (Reg. S)	GBP	2,460,000	2,749,650
6% 3/5/32 (Reg. S)	GBP	2,300,000	2,899,690
Holding d'Infrastructures et des Metiers de l'Environnement 0.625% 9/16/28 (Reg. S)	EUR	1,000,000	936,954
			70,616,249
TOTAL INDUSTRIALS			299,757,981

INFORMATION TECHNOLOGY - 1.1%
Communications Equipment - 0.0%
CommScope, Inc.:
4.75% 9/1/29(b)		1,006,000	689,110
6% 3/1/26(b)		1,775,000	1,597,500
HTA Group Ltd. 7% 12/18/25 (b)		5,798,000	5,745,122
Hughes Satellite Systems Corp.:
5.25% 8/1/26		20,000	17,087
6.625% 8/1/26		20,000	13,180
IHS Netherlands Holdco BV 8% 9/18/27 (b)		1,500,000	1,344,975
Nokia Corp. 4.375% 6/12/27		20,000	19,167
			9,426,141
Electronic Equipment, Instruments & Components - 0.1%
Coherent Corp. 5% 12/15/29 (b)		2,355,000	2,196,038
Dell International LLC/EMC Corp. 6.2% 7/15/30		4,367,000	4,570,113
Imola Merger Corp. 4.75% 5/15/29 (b)		60,000	55,596
Sensata Technologies, Inc. 3.75% 2/15/31 (b)		660,000	564,399
TTM Technologies, Inc. 4% 3/1/29 (b)		3,930,000	3,498,083
			10,884,229
IT Services - 0.1%
Acuris Finance U.S. 5% 5/1/28 (b)		3,450,000	3,088,893
CA Magnum Holdings 5.375% 10/31/26 (b)		1,145,000	1,094,838
Gartner, Inc.:
3.625% 6/15/29(b)		685,000	613,757
4.5% 7/1/28(b)		1,855,000	1,755,914
Go Daddy Operating Co. LLC / GD Finance Co., Inc.:
3.5% 3/1/29(b)		2,620,000	2,332,787
5.25% 12/1/27(b)		1,215,000	1,175,513
Rackspace Hosting, Inc. 3.5% 2/15/28 (b)		2,245,000	903,894
Sabre GLBL, Inc.:
9.25% 4/15/25(b)		3,000	2,805
11.25% 12/15/27(b)		20,000	18,800
Virtusa Corp. 7.125% 12/15/28 (b)		655,000	580,903
			11,568,104
Semiconductors & Semiconductor Equipment - 0.6%
Broadcom, Inc.:
1.95% 2/15/28(b)		3,204,000	2,844,562
2.45% 2/15/31(b)		70,257,000	58,693,580
2.6% 2/15/33(b)		27,706,000	22,269,159
3.187% 11/15/36(b)		7,432,000	5,826,375
3.5% 2/15/41(b)		22,019,000	16,838,205
Entegris, Inc.:
3.625% 5/1/29(b)		1,115,000	986,775
4.75% 4/15/29(b)		2,485,000	2,343,176
5.95% 6/15/30(b)		1,260,000	1,235,498
ON Semiconductor Corp. 3.875% 9/1/28 (b)		1,885,000	1,723,889
			112,761,219
Software - 0.3%
Black Knight InfoServ LLC 3.625% 9/1/28 (b)		3,145,000	2,956,300
Clarivate Science Holdings Corp.:
3.875% 7/1/28(b)		645,000	588,779
4.875% 7/1/29(b)		135,000	122,433
Cloud Software Group, Inc.:
6.5% 3/31/29(b)		230,000	214,189
9% 9/30/29(b)		6,196,000	5,782,781
CNT PRNT/CDK GLO II/FIN 8% 6/15/29 (b)		1,635,000	1,675,779
Elastic NV 4.125% 7/15/29 (b)		1,995,000	1,791,973
Fair Isaac Corp.:
4% 6/15/28(b)		1,975,000	1,834,607
5.25% 5/15/26(b)		520,000	514,485
Gen Digital, Inc.:
5% 4/15/25(b)		1,330,000	1,316,700
7.125% 9/30/30(b)		685,000	699,813
ION Trading Technologies Ltd. 5.75% 5/15/28 (b)		3,195,000	2,867,513
McAfee Corp. 7.375% 2/15/30 (b)		1,165,000	1,028,203
MicroStrategy, Inc. 6.125% 6/15/28 (b)		3,910,000	3,770,025
NCR Voyix Corp. 5.125% 4/15/29 (b)		20,000	18,544
Open Text Corp.:
3.875% 2/15/28(b)		20,000	18,378
3.875% 12/1/29(b)		1,055,000	932,475
Open Text Holdings, Inc.:
4.125% 2/15/30(b)		1,660,000	1,465,569
4.125% 12/1/31(b)		2,880,000	2,465,046
Oracle Corp.:
2.3% 3/25/28		19,340,000	17,331,668
2.875% 3/25/31		24,420,000	21,060,413
UKG, Inc. 6.875% 2/1/31 (b)		1,560,000	1,576,224
Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (b)		1,000,000	916,939
			70,948,836
Technology Hardware, Storage & Peripherals - 0.0%
Lenovo Group Ltd.:
3.421% 11/2/30(b)		930,000	809,881
5.875% 4/24/25 (Reg. S)		200,000	200,008
Seagate HDD Cayman:
5.75% 12/1/34		1,545,000	1,485,054
8.25% 12/15/29(b)		560,000	600,044
8.5% 7/15/31(b)		315,000	340,583
Western Digital Corp.:
2.85% 2/1/29		1,870,000	1,574,909
3.1% 2/1/32		780,000	610,507
			5,620,986
TOTAL INFORMATION TECHNOLOGY			221,209,515

MATERIALS - 0.8%
Chemicals - 0.4%
Axalta Coating Systems Dutch Holding B BV 7.25% 2/15/31 (b)		595,000	617,282
Braskem Idesa SAPI:
6.99% 2/20/32(b)		355,000	255,600
7.45% 11/15/29(b)		1,110,000	838,050
Braskem Netherlands BV:
5.875% 1/31/50(b)		560,000	406,000
7.25% 2/13/33(b)		1,040,000	947,128
8.5% 1/12/31(b)		810,000	798,012
Celanese U.S. Holdings LLC:
6.35% 11/15/28		8,341,000	8,578,340
6.55% 11/15/30		8,461,000	8,796,744
6.7% 11/15/33		4,943,000	5,192,550
Consolidated Energy Finance SA 12% 2/15/31 (b)		1,935,000	1,977,725
CVR Partners LP/CVR Nitrogen Finance Corp. 6.125% 6/15/28 (b)		1,280,000	1,210,342
Element Solutions, Inc. 3.875% 9/1/28 (b)		1,450,000	1,314,172
ENN Clean Energy International Investment Ltd. 3.375% 5/12/26 (b)		1,090,000	1,027,554
INEOS Quattro Finance 2 PLC 9.625% 3/15/29 (b)		575,000	604,758
Kobe U.S. Midco 2, Inc. 9.25% 11/1/26 pay-in-kind (b)(d)		1,915,050	1,607,436
LSB Industries, Inc. 6.25% 10/15/28 (b)		995,000	943,529
Meglobal BV:
2.625% 4/28/28(b)		595,000	530,294
4.25% 11/3/26(b)		325,000	312,468
MEGlobal Canada, Inc. 5% 5/18/25 (b)		825,000	815,306
Methanex Corp.:
5.125% 10/15/27		3,194,000	3,068,732
5.25% 12/15/29		440,000	418,362
5.65% 12/1/44		2,919,000	2,473,958
NOVA Chemicals Corp.:
4.25% 5/15/29(b)		1,210,000	1,000,842
5% 5/1/25(b)		1,402,000	1,369,145
5.25% 6/1/27(b)		1,344,000	1,244,830
8.5% 11/15/28(b)		565,000	596,559
9% 2/15/30(b)		560,000	561,791
Nufarm Australia Ltd. 5% 1/27/30 (b)		1,850,000	1,696,580
OCP SA:
3.75% 6/23/31(b)		515,000	437,428
5.625% 4/25/24(b)		925,000	924,704
6.875% 4/25/44(b)		570,000	534,375
Olin Corp. 5% 2/1/30		3,080,000	2,878,657
Olympus Water U.S. Holding Corp.:
4.25% 10/1/28(b)		3,110,000	2,785,005
6.25% 10/1/29(b)		2,040,000	1,809,493
9.75% 11/15/28(b)		2,560,000	2,720,120
Orbia Advance Corp. S.A.B. de CV:
1.875% 5/11/26(b)		890,000	811,013
2.875% 5/11/31(b)		725,000	586,670
Sasol Financing U.S.A. LLC:
4.375% 9/18/26		1,440,000	1,343,131
5.5% 3/18/31		355,000	295,546
5.875% 3/27/24		565,000	564,153
6.5% 9/27/28		215,000	202,117
8.75% 5/3/29(b)		200,000	200,050
SCIH Salt Holdings, Inc.:
4.875% 5/1/28(b)		620,000	566,525
6.625% 5/1/29(b)		1,775,000	1,613,935
SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (b)		1,100,000	1,065,801
The Chemours Co. LLC:
4.625% 11/15/29(b)		1,170,000	962,064
5.375% 5/15/27		3,746,000	3,421,933
5.75% 11/15/28(b)		1,745,000	1,530,447
The Scotts Miracle-Gro Co. 4.375% 2/1/32		385,000	321,943
TPC Group, Inc. 13% 12/16/27 (b)		1,495,000	1,523,778
Tronox, Inc. 4.625% 3/15/29 (b)		3,747,000	3,316,586
W.R. Grace Holding LLC:
5.625% 8/15/29(b)		3,270,000	2,867,547
7.375% 3/1/31(b)		465,000	471,482
			82,958,592
Construction Materials - 0.0%
Eco Material Technologies, Inc. 7.875% 1/31/27 (b)		3,485,000	3,477,207
Smyrna Ready Mix LLC:
6% 11/1/28(b)		20,000	19,397
8.875% 11/15/31(b)		1,590,000	1,685,057
Summit Materials LLC/Summit Materials Finance Corp. 7.25% 1/15/31 (b)		1,000,000	1,035,000
VM Consolidated, Inc. 5.5% 4/15/29 (b)		329,000	310,067
			6,526,728
Containers & Packaging - 0.1%
ARD Finance SA 6.5% 6/30/27 pay-in-kind (b)(d)		2,615,000	1,117,913
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC:
3.25% 9/1/28(b)		356,000	308,527
4% 9/1/29(b)		885,000	718,763
6% 6/15/27(b)		1,780,000	1,747,784
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:
4.125% 8/15/26(b)		1,096,000	1,011,104
5.25% 4/30/25(b)		270,000	266,998
5.25% 8/15/27(b)		392,000	284,248
5.25% 8/15/27(b)		2,128,000	1,542,910
Ball Corp.:
2.875% 8/15/30		680,000	575,696
6% 6/15/29		810,000	813,929
Berry Global, Inc. 4.875% 7/15/26 (b)		1,615,000	1,576,931
BWAY Holding Co. 7.875% 8/15/26 (b)		1,925,000	1,950,635
Clydesdale Acquisition Holdings, Inc.:
6.625% 4/15/29(b)		640,000	636,302
8.75% 4/15/30(b)		1,970,000	1,875,152
Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26		20,000	19,567
Graham Packaging Co., Inc. 7.125% 8/15/28 (b)		813,000	720,554
Graphic Packaging International, Inc. 3.75% 2/1/30 (b)		610,000	542,796
OI European Group BV 4.75% 2/15/30 (b)		20,000	18,412
Owens-Brockway Glass Container, Inc.:
6.625% 5/13/27(b)		20,000	19,956
7.25% 5/15/31(b)		630,000	638,499
Pactiv Evergreen Group Issuer, Inc. 4.375% 10/15/28 (b)		20,000	18,536
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA 4% 10/15/27 (b)		20,000	18,630
Sealed Air Corp.:
4% 12/1/27(b)		20,000	18,603
5% 4/15/29(b)		1,315,000	1,245,684
Sealed Air Corp./Sealed Air Corp. U.S.:
6.125% 2/1/28(b)		740,000	737,735
7.25% 2/15/31(b)		1,245,000	1,285,318
Trivium Packaging Finance BV:
5.5% 8/15/26(b)		2,198,000	2,143,370
8.5% 8/15/27(b)		560,000	545,914
			22,400,466
Metals & Mining - 0.3%
Antofagasta PLC:
2.375% 10/14/30(b)		1,255,000	1,034,810
5.625% 5/13/32(b)		360,000	358,425
Arsenal AIC Parent LLC 8% 10/1/30 (b)		898,000	940,655
ATI, Inc.:
5.875% 12/1/27		445,000	435,042
7.25% 8/15/30		1,375,000	1,413,321
Celtic Resources Holdings DAC 4.125% (b)(c)(h)		650,000	93,184
Commercial Metals Co.:
3.875% 2/15/31		775,000	676,605
4.125% 1/15/30		1,175,000	1,074,871
Compania de Minas Buenaventura SAA 5.5% 7/23/26 (b)		425,000	407,180
Constellium NV 5.875% 2/15/26 (b)		750,000	743,871
Corporacion Nacional del Cobre de Chile (Codelco):
3% 9/30/29(b)		155,000	135,881
3.15% 1/14/30(b)		405,000	353,597
3.7% 1/30/50(b)		1,790,000	1,205,404
5.125% 2/2/33(b)		500,000	469,445
5.95% 1/8/34(b)		375,000	370,664
6.3% 9/8/53(b)		545,000	528,999
6.44% 1/26/36(b)		585,000	595,786
CSN Islands XI Corp. 6.75% 1/28/28 (b)		985,000	953,027
CSN Resources SA:
5.875% 4/8/32(b)		660,000	564,300
8.875% 12/5/30(b)		305,000	312,473
Eldorado Gold Corp. 6.25% 9/1/29 (b)		2,805,000	2,628,254
Endeavour Mining PLC 5% 10/14/26 (b)		1,060,000	985,800
ERO Copper Corp. 6.5% 2/15/30 (b)		4,451,000	4,175,038
First Quantum Minerals Ltd.:
6.875% 10/15/27(b)		2,415,000	2,300,650
7.5% 4/1/25(b)		592,000	585,784
8.625% 6/1/31(b)		480,000	458,779
9.375% 3/1/29(b)		3,780,000	3,917,263
FMG Resources Pty Ltd.:
4.375% 4/1/31(b)		680,000	609,382
6.125% 4/15/32(b)		20,000	19,763
Fresnillo PLC 4.25% 10/2/50 (b)		700,000	516,250
Gcm Mining Corp. 6.875% 8/9/26 (b)		1,185,000	1,046,000
HudBay Minerals, Inc. 4.5% 4/1/26 (b)		640,000	616,731
Kaiser Aluminum Corp.:
4.5% 6/1/31(b)		100,000	85,446
4.625% 3/1/28(b)		739,000	681,384
Metinvest BV 8.5% 4/23/26 (Reg. S)		235,000	190,350
Mineral Resources Ltd.:
8% 11/1/27(b)		1,920,000	1,955,539
8.5% 5/1/30(b)		2,510,000	2,577,807
9.25% 10/1/28(b)		855,000	896,681
Nexa Resources SA 6.5% 1/18/28 (b)		965,000	962,829
Novelis Corp.:
3.25% 11/15/26(b)		385,000	357,030
3.875% 8/15/31(b)		645,000	545,836
4.75% 1/30/30(b)		20,000	18,264
PMHC II, Inc. 9% 2/15/30 (b)		2,580,000	2,373,600
POSCO:
5.75% 1/17/28(b)		715,000	722,861
5.875% 1/17/33(b)		305,000	313,995
PT Freeport Indonesia:
4.763% 4/14/27(b)		315,000	306,756
5.315% 4/14/32(b)		1,120,000	1,078,896
6.2% 4/14/52(b)		365,000	350,940
PT Indonesia Asahan Aluminium 5.45% 5/15/30 (b)		1,660,000	1,624,742
Samarco Mineracao SA 9.0494% 6/30/31 pay-in-kind (b)(d)		1,350,000	1,242,000
Stillwater Mining Co. 4% 11/16/26 (b)		670,000	588,870
TMK Capital SA 4.3% (Reg. S) (c)(h)		600,000	360,000
Volcan Compania Minera SAA 4.375% 2/11/26 (b)		650,000	407,063
			48,168,123
Paper & Forest Products - 0.0%
Ahlstrom Holding 3 OY 4.875% 2/4/28 (b)		2,440,000	2,220,400
Inversiones CMPC SA:
3% 4/6/31(b)		460,000	386,455
6.125% 2/26/34(b)		400,000	403,000
LABL, Inc.:
5.875% 11/1/28(b)		390,000	349,332
6.75% 7/15/26(b)		565,000	547,964
9.5% 11/1/28(b)		260,000	260,062
10.5% 7/15/27(b)		764,000	741,719
Mercer International, Inc. 5.125% 2/1/29		875,000	753,830
Suzano Austria GmbH 3.75% 1/15/31		460,000	402,040
			6,064,802
TOTAL MATERIALS			166,118,711

REAL ESTATE - 2.2%
Equity Real Estate Investment Trusts (REITs) - 1.8%
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30		8,767,000	8,535,862
American Homes 4 Rent LP:
2.375% 7/15/31		1,451,000	1,168,106
3.625% 4/15/32		6,608,000	5,765,735
American Tower Corp.:
4.05% 3/15/32		714,000	649,453
5.55% 7/15/33		820,000	819,403
Boston Properties, Inc.:
3.25% 1/30/31		8,522,000	7,180,581
4.5% 12/1/28		7,625,000	7,203,958
6.75% 12/1/27		11,623,000	12,002,124
Brookfield Property REIT, Inc./BPR Nimbus LLC/BPR Cumulus LLC/GGSI Sellco LLC 4.5% 4/1/27 (b)		20,000	17,582
Corporate Office Properties LP:
2.25% 3/15/26		3,379,000	3,159,984
2.75% 4/15/31		6,606,000	5,332,009
CTR Partnership LP/CareTrust Capital Corp. 3.875% 6/30/28 (b)		3,680,000	3,328,150
Diversified Healthcare Trust 9.75% 6/15/25		193,000	192,135
Global Net Lease, Inc. / Global Net Lease Operating Partnership LP 3.75% 12/15/27 (b)		625,000	528,121
GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25		643,000	637,176
Healthcare Realty Holdings LP:
3.1% 2/15/30		2,678,000	2,304,988
3.5% 8/1/26		2,790,000	2,653,714
Healthpeak OP, LLC:
3.25% 7/15/26		1,156,000	1,104,332
3.5% 7/15/29		1,322,000	1,207,279
Hudson Pacific Properties LP 4.65% 4/1/29		15,534,000	12,937,448
Invitation Homes Operating Partnership LP:
4.15% 4/15/32		9,940,000	8,966,729
5.5% 8/15/33		1,240,000	1,224,796
Iron Mountain, Inc.:
4.875% 9/15/27(b)		20,000	19,182
4.875% 9/15/29(b)		20,000	18,599
5% 7/15/28(b)		20,000	18,935
5.25% 7/15/30(b)		40,000	37,431
5.625% 7/15/32(b)		20,000	18,588
Kite Realty Group Trust 4.75% 9/15/30		764,000	720,811
LXP Industrial Trust (REIT):
2.7% 9/15/30		3,649,000	3,008,598
4.4% 6/15/24		1,672,000	1,659,995
MPT Operating Partnership LP/MPT Finance Corp.:
2.5% 3/24/26	GBP	1,665,000	1,731,300
3.5% 3/15/31		3,155,000	2,112,898
4.625% 8/1/29		2,140,000	1,594,043
5% 10/15/27		10,378,000	8,489,855
5.25% 8/1/26		1,460,000	1,300,014
Necessity Retail REIT, Inc./American Finance Operating Partnership LP 4.5% 9/30/28 (b)		795,000	669,382
NNN (REIT), Inc. 5.6% 10/15/33		1,255,000	1,251,555
Office Properties Income Trust 4.5% 2/1/25		20,000	16,200
Omega Healthcare Investors, Inc.:
3.25% 4/15/33		22,843,000	18,182,530
3.375% 2/1/31		6,787,000	5,714,147
3.625% 10/1/29		11,904,000	10,454,665
4.5% 1/15/25		3,878,000	3,837,513
4.5% 4/1/27		18,502,000	17,792,260
4.75% 1/15/28		10,700,000	10,264,843
4.95% 4/1/24		9,727,000	9,714,827
5.25% 1/15/26		10,610,000	10,515,224
Park Intermediate Holdings LLC:
4.875% 5/15/29(b)		20,000	18,375
7.5% 6/1/25(b)		580,000	581,862
Piedmont Operating Partnership LP 2.75% 4/1/32		2,906,000	2,056,324
Realty Income Corp.:
2.2% 6/15/28		1,564,000	1,388,208
2.85% 12/15/32		1,925,000	1,586,207
3.25% 1/15/31		2,129,000	1,885,897
3.4% 1/15/28		3,355,000	3,145,961
Retail Opportunity Investments Partnership LP 4% 12/15/24		1,225,000	1,205,073
RHP Hotel Properties LP/RHP Finance Corp.:
4.5% 2/15/29(b)		20,000	18,591
4.75% 10/15/27		20,000	19,100
Safehold Operating Partnership LP:
2.8% 6/15/31		2,788,000	2,265,358
2.85% 1/15/32		413,000	332,121
6.1% 4/1/34		925,000	920,401
SBA Communications Corp.:
3.125% 2/1/29		133,000	117,704
3.875% 2/15/27		20,000	18,872
Simon Property Group LP 2.45% 9/13/29		3,576,000	3,118,632
SITE Centers Corp.:
3.625% 2/1/25		3,106,000	3,055,682
4.25% 2/1/26		10,537,000	10,283,388
Store Capital LLC:
2.75% 11/18/30		3,880,000	3,060,105
4.625% 3/15/29		3,549,000	3,311,453
Sun Communities Operating LP:
2.3% 11/1/28		3,294,000	2,858,786
2.7% 7/15/31		8,306,000	6,774,247
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC 6% 1/15/30 (b)		2,900,000	2,117,145
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC:
4.75% 4/15/28(b)		4,300,000	3,736,771
6.5% 2/15/29(b)		5,665,000	4,361,647
10.5% 2/15/28(b)		4,985,000	5,159,962
Ventas Realty LP:
3% 1/15/30		15,631,000	13,644,734
3.5% 2/1/25		2,163,000	2,119,352
3.75% 5/1/24		9,073,000	9,039,317
4% 3/1/28		3,986,000	3,793,136
4.125% 1/15/26		2,017,000	1,962,789
4.75% 11/15/30		21,238,000	20,294,023
VICI Properties LP:
4.375% 5/15/25		1,727,000	1,696,118
4.75% 2/15/28		13,710,000	13,276,874
4.95% 2/15/30		20,675,000	19,682,949
5.125% 5/15/32		4,986,000	4,678,679
VICI Properties LP / VICI Note Co.:
3.5% 2/15/25(b)		72,000	70,183
4.125% 8/15/30(b)		1,285,000	1,152,614
4.25% 12/1/26(b)		104,000	99,489
4.625% 12/1/29(b)		255,000	237,431
Vornado Realty LP 2.15% 6/1/26		3,551,000	3,186,605
WP Carey, Inc. 3.85% 7/15/29		2,566,000	2,372,199
			356,767,424
Real Estate Management & Development - 0.4%
ACCENTRO Real Estate AG 5.625% 2/13/26 (Reg. S)	EUR	2,371,500	1,132,898
AGPS BondCo PLC:
4.625% 1/14/26 (Reg. S)(d)	EUR	10,200,000	4,354,543
5% 4/27/27 (Reg. S)(d)	EUR	900,000	381,793
Anywhere Real Estate Group LLC 7% 4/15/30 (b)		1,035,000	937,917
Blackstone Property Partners Europe LP:
1% 5/4/28 (Reg. S)	EUR	5,365,000	4,958,360
1.75% 3/12/29 (Reg. S)	EUR	2,480,000	2,301,753
2.625% 10/20/28 (Reg. S)	GBP	950,000	1,021,469
Brandywine Operating Partnership LP:
3.95% 11/15/27		8,220,000	7,224,102
4.1% 10/1/24		7,423,000	7,339,060
4.55% 10/1/29		8,895,000	7,420,606
7.8% 3/15/28		15,931,000	15,780,857
CBRE Group, Inc. 2.5% 4/1/31		10,439,000	8,592,415
Cushman & Wakefield U.S. Borrower LLC 6.75% 5/15/28 (b)		175,000	172,387
Essex Portfolio LP 3.875% 5/1/24		3,195,000	3,182,083
Greystar Real Estate Partners 7.75% 9/1/30 (b)		620,000	643,215
GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S)	EUR	2,405,000	2,222,422
Heimstaden AB 4.375% 3/6/27 (Reg. S)	EUR	2,400,000	1,335,869
Howard Hughes Corp.:
4.125% 2/1/29(b)		2,160,000	1,917,410
4.375% 2/1/31(b)		860,000	732,628
Kennedy-Wilson, Inc.:
4.75% 3/1/29		580,000	469,800
4.75% 2/1/30		2,460,000	1,946,475
Realogy Group LLC/Realogy Co-Issuer Corp. 5.75% 1/15/29 (b)		37,000	27,473
Realogy Group LLC/Realogy Co.-Issuer Corp. 5.25% 4/15/30 (b)		29,000	20,313
Samhallsbyggnadsbolaget I Norden AB:
2.25% 8/12/27 (Reg. S)	EUR	950,000	689,213
3% 1/14/25 (Reg. S)	EUR	1,271,000	1,277,329
Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S)	EUR	1,300,000	1,289,135
Tanger Properties LP:
2.75% 9/1/31		8,621,000	6,955,685
3.125% 9/1/26		4,970,000	4,638,746
Taylor Morrison Communities, Inc./Monarch Communities, Inc.:
5.125% 8/1/30(b)		615,000	580,469
5.875% 6/15/27(b)		520,000	517,094
Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S)	EUR	840,000	828,279
			90,891,798
TOTAL REAL ESTATE			447,659,222

UTILITIES - 1.5%
Electric Utilities - 0.6%
Alabama Power Co. 3.05% 3/15/32		13,712,000	11,872,212
Chile Electricity LUX MPC SARL 6.01% 1/20/33 (b)		330,000	335,947
Clearway Energy Operating LLC:
3.75% 2/15/31(b)		2,240,000	1,888,914
3.75% 1/15/32(b)		315,000	263,485
4.75% 3/15/28(b)		580,000	542,209
Cleco Corporate Holdings LLC 3.375% 9/15/29		6,938,000	5,986,323
Comision Federal de Electricidad:
3.348% 2/9/31(b)		175,000	145,797
4.688% 5/15/29(b)		785,000	738,881
DPL, Inc.:
4.125% 7/1/25		1,585,000	1,537,068
4.35% 4/15/29		210,000	190,292
Duke Energy Corp.:
2.45% 6/1/30		6,067,000	5,187,847
3.85% 6/15/34	EUR	2,650,000	2,773,070
Duquesne Light Holdings, Inc.:
2.532% 10/1/30(b)		2,680,000	2,212,725
2.775% 1/7/32(b)		8,750,000	7,094,416
Electricite de France SA:
4.75% 10/12/34 (Reg. S)	EUR	2,300,000	2,640,584
5.5% 1/25/35 (Reg. S)	GBP	2,700,000	3,321,081
Emera, Inc. 6.75% 6/15/76 (d)		20,000	19,598
EnBW Energie Baden-Wuerttemberg AG 1.375% 8/31/81 (Reg. S) (d)	EUR	1,900,000	1,763,460
Enel SpA 3.375% (Reg. S) (d)(i)	EUR	1,245,000	1,296,011
Entergy Corp. 2.8% 6/15/30		6,226,000	5,384,111
Eskom Holdings SOC Ltd.:
6.35% 8/10/28(b)		1,080,000	1,033,150
7.125% 2/11/25(b)		1,475,000	1,467,684
8.45% 8/10/28(b)		410,000	407,335
Exelon Corp.:
3.35% 3/15/32		8,005,000	6,978,572
4.05% 4/15/30		3,689,000	3,459,798
4.1% 3/15/52		2,730,000	2,116,797
FirstEnergy Corp.:
3.4% 3/1/50		2,560,000	1,710,414
7.375% 11/15/31		500,000	580,350
IPALCO Enterprises, Inc. 3.7% 9/1/24		3,797,000	3,751,680
Israel Electric Corp. Ltd. 3.75% 2/22/32 (Reg. S) (b)		1,085,000	902,273
Lamar Funding Ltd. 3.958% 5/7/25 (b)		1,085,000	1,053,611
Mong Duong Finance Holdings BV 5.125% 5/7/29 (b)		1,198,977	1,138,653
Monongahela Power Co. 4.1% 4/15/24 (b)		1,445,000	1,441,271
NextEra Energy Partners LP:
3.875% 10/15/26(b)		20,000	18,675
4.5% 9/15/27(b)		740,000	690,377
7.25% 1/15/29(b)		395,000	401,514
NGG Finance PLC 2.125% 9/5/82 (Reg. S) (d)	EUR	3,645,000	3,594,808
NRG Energy, Inc.:
3.375% 2/15/29(b)		1,480,000	1,291,792
3.625% 2/15/31(b)		930,000	781,974
3.875% 2/15/32(b)		4,000	3,341
5.25% 6/15/29(b)		1,200,000	1,137,217
5.75% 1/15/28		20,000	19,700
6.625% 1/15/27		750,000	749,882
PG&E Corp.:
5% 7/1/28		3,835,000	3,657,746
5.25% 7/1/30		3,335,000	3,135,094
Southern Co. 1.875% 9/15/81 (d)	EUR	4,205,000	3,932,130
Vistra Operations Co. LLC:
4.375% 5/1/29(b)		20,000	18,243
5% 7/31/27(b)		2,075,000	1,988,919
5.5% 9/1/26(b)		1,630,000	1,605,022
5.625% 2/15/27(b)		1,770,000	1,724,775
7.75% 10/15/31(b)		1,225,000	1,267,136
			107,253,964
Gas Utilities - 0.0%
AmeriGas Partners LP/AmeriGas Finance Corp.:
5.5% 5/20/25		20,000	19,630
5.875% 8/20/26		20,000	19,383
ENN Energy Holdings Ltd. 4.625% 5/17/27 (b)		890,000	870,020
Ferrellgas LP/Ferrellgas Finance Corp.:
5.375% 4/1/26(b)		500,000	495,015
5.875% 4/1/29(b)		20,000	18,985
Nakilat, Inc. 6.067% 12/31/33 (b)		597,039	614,951
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5.875% 3/1/27		725,000	714,125
Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (b)		860,000	778,300
			3,530,409
Independent Power and Renewable Electricity Producers - 0.4%
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (b)		3,638,000	3,324,395
Aydem Yenilenebilir Enerji A/S 7.75% 2/2/27 (b)		345,000	330,724
Buffalo Energy Mexico Holdings 7.875% 2/15/39 (b)		605,000	639,884
Calpine Corp.:
4.5% 2/15/28(b)		20,000	18,839
5% 2/1/31(b)		40,000	35,750
5.125% 3/15/28(b)		20,000	19,013
5.25% 6/1/26(b)		20,000	19,704
Emera U.S. Finance LP 3.55% 6/15/26		2,935,000	2,814,671
Energo-Pro A/S 8.5% 2/4/27 (b)		940,000	944,230
EnfraGen Energia Sur SA 5.375% 12/30/30 (b)		1,925,000	1,540,000
Investment Energy Resources Ltd. 6.25% 4/26/29 (b)		705,000	671,513
PT Pertamina Geothermal Energy 5.15% 4/27/28 (b)		365,000	363,317
Sunnova Energy Corp.:
5.875% 9/1/26(b)		2,035,000	1,654,150
11.75% 10/1/28(b)		410,000	344,954
Termocandelaria Power Ltd. 7.875% 1/30/29 (b)		906,500	890,183
The AES Corp.:
3.3% 7/15/25(b)		36,313,000	35,013,420
3.95% 7/15/30(b)		37,328,000	33,913,896
			82,538,643
Multi-Utilities - 0.5%
Abu Dhabi National Energy Co. PJSC:
4% 10/3/49(b)		795,000	636,994
4.696% 4/24/33(b)		620,000	605,318
4.875% 4/23/30(b)		305,000	304,809
Berkshire Hathaway Energy Co. 4.05% 4/15/25		26,164,000	25,791,157
E.ON SE 3.375% 1/15/31 (Reg. S)	EUR	1,300,000	1,389,438
Engie SA:
3.875% 3/6/36 (Reg. S)	EUR	1,500,000	1,617,909
4.25% 9/6/34 (Reg. S)	EUR	1,200,000	1,328,681
NiSource, Inc.:
2.95% 9/1/29		17,668,000	15,877,350
5.25% 2/15/43		4,623,000	4,371,532
5.8% 2/1/42		2,300,000	2,172,917
5.95% 6/15/41		3,281,000	3,318,000
Puget Energy, Inc.:
4.1% 6/15/30		12,516,000	11,330,997
4.224% 3/15/32		23,786,000	21,279,577
Sempra 6% 10/15/39		5,447,000	5,507,725
WEC Energy Group, Inc. CME Term SOFR 3 Month Index + 2.110% 7.6811% 5/15/67 (d)(e)		1,401,000	1,334,419
			96,866,823
Water Utilities - 0.0%
Aegea Finance SARL 9% 1/20/31 (b)		335,000	354,598
Anglian Water (Osprey) Financing PLC 2% 7/31/28 (Reg. S)	GBP	830,000	845,539
Severn Trent Utilities Finance PLC 4.625% 11/30/34 (Reg. S)	GBP	700,000	831,362
Southern Water Services Finance Ltd. 1.625% 3/30/27 (Reg. S)	GBP	1,013,000	1,118,746
SW Finance I PLC 7.375% 12/12/41 (Reg. S)	GBP	799,000	1,046,652
			4,196,897
TOTAL UTILITIES			294,386,736

TOTAL NONCONVERTIBLE BONDS			6,295,622,889
TOTAL CORPORATE BONDS (Cost $6,692,549,568)			6,319,596,169

U.S. Treasury Obligations - 29.1%
	Principal Amount (a)	Value ($)
U.S. Treasury Bonds:
1.125% 5/15/40	86,364,000	53,292,660
1.125% 8/15/40	3,500,000	2,138,555
1.75% 8/15/41	111,477,000	74,241,069
1.875% 11/15/51	339,566,000	202,307,056
2% 11/15/41	218,350,000	151,173,258
2% 8/15/51	369,158,000	227,334,994
2.25% 8/15/46	450,000	305,648
2.25% 2/15/52	329,570,000	215,585,124
2.875% 5/15/52	113,713,000	85,622,335
3% 2/15/47	245,214,000	191,563,859
3% 8/15/52	85,740,000	66,284,389
3.25% 5/15/42 (j)(k)	122,702,000	103,184,713
3.625% 2/15/53	58,851,000	51,453,246
3.625% 5/15/53	85,000,000	74,368,360
4.125% 8/15/53	290,378,000	277,991,563
4.375% 8/15/43	335,000	327,986
6.25% 5/15/30	13,500,000	14,936,484
U.S. Treasury Notes:
0.75% 3/31/26	2,010,000	1,858,465
1.125% 8/31/28	295,338,000	257,336,304
1.5% 11/30/28	75,000,000	66,120,117
1.75% 1/31/29	146,464,000	130,204,208
2.625% 7/31/29 (l)	213,250,000	196,398,251
2.75% 8/15/32	683,541,000	610,247,146
2.875% 5/15/32 (l)	165,526,000	149,607,053
3.125% 8/31/29	225,160,000	212,494,750
3.375% 5/15/33	599,000,000	558,801,481
3.5% 1/31/30	90,100,000	86,443,207
3.5% 2/15/33	5,500,000	5,188,262
3.625% 5/31/28	2,000,000	1,946,953
3.625% 3/31/30	1,575,000	1,519,875
3.75% 12/31/28	3,460,000	3,381,339
3.75% 5/31/30	252,000	244,666
3.75% 12/31/30	2,000,000	1,938,125
3.875% 1/15/26	16,900,000	16,658,383
3.875% 11/30/29	125,000,000	122,436,524
3.875% 12/31/29	187,000,000	183,121,210
3.875% 8/15/33	52,214,000	50,655,738
4% 2/15/26	230,000	227,260
4% 1/15/27	5,200,000	5,139,063
4% 2/15/27	7,080,000	7,021,922
4% 6/30/28 (l)	75,000,000	74,094,727
4% 1/31/29 (m)	100,000,000	98,843,750
4% 10/31/29	75,000,000	73,930,664
4% 2/28/30	882,000	868,736
4% 2/15/34 (m)	30,000,000	29,414,063
4.125% 7/31/28	50,000,000	49,650,391
4.125% 11/15/32	200,000,000	197,882,812
4.25% 2/28/29	4,507,000	4,507,704
4.375% 10/31/24	15,300,000	15,213,938
4.375% 12/15/26	22,290,000	22,244,723
4.375% 11/30/28	6,300,000	6,326,578
4.5% 11/15/33	6,240,000	6,357,975
4.625% 2/28/25	16,200,000	16,132,289
4.625% 3/15/26	7,570,000	7,570,296
4.625% 11/15/26	27,430,000	27,532,863
4.625% 9/30/28	546,000	553,401
4.625% 9/30/30	735,000	749,298
4.875% 10/31/28	434,052,000	444,665,926
4.875% 10/31/30 (m)	303,000,000	313,226,250
TOTAL U.S. TREASURY OBLIGATIONS (Cost $6,759,267,159)		5,850,867,985

U.S. Government Agency - Mortgage Securities - 26.3%
	Principal Amount (a)	Value ($)
Fannie Mae - 7.7%
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.440% 3.945% 4/1/37 (d)(e)	6,092	6,171
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.460% 6.085% 1/1/35 (d)(e)	1,935	1,960
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.480% 5.73% 7/1/34 (d)(e)	837	851
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.500% 5.755% 1/1/35 (d)(e)	9,520	9,604
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.530% 5.461% 12/1/34 (d)(e)	1,806	1,821
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.530% 5.785% 3/1/35 (d)(e)	1,463	1,476
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.550% 5.803% 6/1/36 (d)(e)	4,729	4,830
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.550% 7.308% 10/1/33 (d)(e)	953	963
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.560% 4.065% 3/1/37 (d)(e)	6,845	6,947
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.560% 7.359% 7/1/35 (d)(e)	1,164	1,178
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.620% 5.608% 3/1/33 (d)(e)	5,446	5,522
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.630% 5.815% 9/1/36 (d)(e)	3,396	3,459
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.640% 5.422% 11/1/36 (d)(e)	3,068	3,127
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.640% 5.864% 5/1/35 (d)(e)	11,265	11,470
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.640% 5.895% 6/1/47 (d)(e)	9,750	9,998
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.700% 5.144% 6/1/42 (d)(e)	10,557	10,860
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.730% 5.842% 3/1/40 (d)(e)	11,843	12,088
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.740% 5.519% 5/1/36 (d)(e)	8,995	9,224
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 5.649% 7/1/35 (d)(e)	3,428	3,489
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 8/1/41 (d)(e)	19,347	19,808
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.780% 6.163% 2/1/36 (d)(e)	5,539	5,635
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 6.05% 7/1/41 (d)(e)	4,538	4,656
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 6.051% 12/1/40 (d)(e)	419,150	429,040
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 6.055% 1/1/42 (d)(e)	42,814	43,679
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 4.519% 2/1/42 (d)(e)	20,799	21,238
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 6.05% 7/1/41 (d)(e)	8,002	8,221
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 6.06% 12/1/39 (d)(e)	3,998	4,082
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 6.068% 9/1/41 (d)(e)	4,089	4,191
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.820% 6.195% 12/1/35 (d)(e)	8,098	8,262
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.830% 6.08% 10/1/41 (d)(e)	3,419	3,420
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.950% 5.771% 7/1/37 (d)(e)	9,333	9,601
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.960% 5.418% 9/1/35 (d)(e)	1,682	1,716
U.S. TREASURY 1 YEAR INDEX + 1.940% 5.87% 10/1/33 (d)(e)	17,917	18,056
U.S. TREASURY 1 YEAR INDEX + 2.200% 4.583% 3/1/35 (d)(e)	3,618	3,677
U.S. TREASURY 1 YEAR INDEX + 2.270% 6.395% 6/1/36 (d)(e)	8,883	8,989
U.S. TREASURY 1 YEAR INDEX + 2.280% 6.404% 10/1/33 (d)(e)	6,269	6,339
U.S. TREASURY 1 YEAR INDEX + 2.460% 5.988% 7/1/34 (d)(e)	10,537	10,697
1.5% 11/1/35 to 9/1/51	94,581,049	74,978,799
2% 2/1/28 to 10/1/52 (n)	379,556,970	316,035,803
2.5% 1/1/28 to 7/1/53	474,560,701	406,718,319
3% 2/1/31 to 6/1/52 (l)(n)	233,114,973	205,809,825
3.5% 6/1/34 to 8/1/52	99,132,116	90,172,302
3.5% 12/1/46	9,283,020	8,535,152
4% 3/1/36 to 10/1/52	121,603,754	113,208,749
4.5% to 4.5% 6/1/33 to 12/1/52	89,707,870	85,931,040
5% 9/1/25 to 11/1/53	95,726,310	93,720,658
5.29% 8/1/41 (d)	282,718	279,911
5.5% 9/1/52 to 8/1/53 (k)	72,102,112	71,822,371
6% to 6% 9/1/29 to 9/1/53	28,622,390	28,980,354
6% 11/1/53	9,803,281	9,873,512
6.5% 1/1/26 to 1/1/54	46,512,976	47,786,037
6.705% 2/1/39 (d)	122,667	124,473
7% to 7% 3/1/24 to 7/1/37	78,648	81,193
7.5% to 7.5% 7/1/25 to 11/1/31	35,552	36,388
8% 3/1/37	3,484	3,674
TOTAL FANNIE MAE		1,554,814,905
Freddie Mac - 4.8%
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.120% 5.029% 8/1/37 (d)(e)	9,278	9,246
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.320% 5.575% 1/1/36 (d)(e)	4,533	4,545
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.370% 5.625% 3/1/36 (d)(e)	18,362	18,489
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.500% 5.824% 3/1/36 (d)(e)	14,070	14,203
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 12/1/40 (d)(e)	159,373	161,746
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 7/1/41 (d)(e)	31,997	32,649
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 9/1/41 (d)(e)	58,609	59,673
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.860% 5.239% 4/1/36 (d)(e)	9,636	9,885
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.880% 5.255% 4/1/41 (d)(e)	1,613	1,654
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.880% 5.489% 10/1/36 (d)(e)	23,301	23,637
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.880% 6.13% 9/1/41 (d)(e)	5,470	5,589
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.900% 6.008% 10/1/42 (d)(e)	41,530	42,256
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 5.213% 5/1/41 (d)(e)	11,561	11,885
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 5.568% 5/1/41 (d)(e)	13,280	13,640
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 5.699% 6/1/41 (d)(e)	11,199	11,505
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 6.16% 6/1/41 (d)(e)	4,040	4,141
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.990% 6% 10/1/35 (d)(e)	11,324	11,467
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.020% 4.936% 4/1/38 (d)(e)	7,972	8,194
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.020% 7.885% 6/1/37 (d)(e)	5,455	5,561
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.030% 6.158% 3/1/33 (d)(e)	164	166
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.040% 6.256% 7/1/36 (d)(e)	9,589	9,822
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.200% 6.45% 12/1/36 (d)(e)	11,461	11,732
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.680% 8.249% 10/1/35 (d)(e)	3,400	3,493
U.S. TREASURY 1 YEAR INDEX + 2.030% 5.183% 6/1/33 (d)(e)	15,478	15,585
U.S. TREASURY 1 YEAR INDEX + 2.260% 5.231% 6/1/33 (d)(e)	29,410	29,734
U.S. TREASURY 1 YEAR INDEX + 2.430% 6.385% 3/1/35 (d)(e)	53,998	54,593
1.5% 7/1/35 to 6/1/51	105,579,473	82,297,042
2% 6/1/35 to 4/1/52	275,622,428	229,634,717
2.5% 1/1/28 to 4/1/52	249,515,138	213,183,965
3% 12/1/30 to 3/1/53	101,475,341	88,199,659
3.5% 1/1/32 to 4/1/52	81,703,414	75,049,435
3.5% 7/1/42	2,439,779	2,247,067
3.5% 7/1/42	1,081,495	996,880
3.5% 9/1/42	3,168,436	2,916,145
3.5% 11/1/42	959,970	882,673
4% 5/1/37 to 10/1/52	55,254,708	52,171,357
4% 4/1/48	21,336	20,018
4.5% 6/1/25 to 6/1/52	11,992,728	11,622,256
5% 8/1/33 to 8/1/53	46,166,413	45,315,369
5.5% 10/1/52 to 3/1/54 (n)	74,559,533	74,428,852
5.5% 1/1/54	3,466,366	3,432,286
5.5% 2/1/54	1,391,024	1,377,348
5.5% 3/1/54	4,802,089	4,754,877
6% 1/1/29 to 11/1/53	27,978,666	28,397,317
6.5% 5/1/26 to 1/1/54 (n)	35,139,586	36,184,897
7% 3/1/26 to 9/1/36	90,759	93,939
7.5% 1/1/27 to 11/1/31	602	627
8% 7/1/24 to 4/1/32	2,285	2,357
8.5% 1/1/25 to 1/1/28	1,288	1,319
TOTAL FREDDIE MAC		953,785,492
Ginnie Mae - 7.1%
3.5% 9/20/40 to 7/20/46	24,662,350	22,762,474
4% 5/20/33 to 10/20/52	37,151,181	34,962,814
4.5% 6/20/33 to 4/20/53	9,751,712	9,418,686
5% 12/15/32 to 4/20/48	5,327,003	5,319,664
5.5% 7/15/33 to 9/15/39	166,005	168,888
6% to 6% 10/15/30 to 11/15/39	60,913	62,434
7% to 7% 8/15/25 to 11/15/32	106,765	109,865
7.5% to 7.5% 6/15/24 to 9/15/31	17,445	17,756
8% 4/15/24 to 11/15/29	2,732	2,788
8.5% 11/15/27 to 1/15/31	1,784	1,873
2% 11/20/50 to 5/20/52	127,960,884	104,190,670
2% 3/1/54 (o)	23,900,000	19,449,963
2% 3/1/54 (o)	17,100,000	13,916,083
2% 3/1/54 (o)	23,300,000	18,961,680
2% 3/1/54 (o)	13,400,000	10,905,000
2% 3/1/54 (o)	20,500,000	16,683,023
2% 3/1/54 (o)	17,800,000	14,485,747
2% 3/1/54 (o)	49,400,000	40,202,016
2% 3/1/54 (o)	33,550,000	27,303,191
2% 3/1/54 (o)	25,250,000	20,548,602
2% 3/1/54 (o)	8,100,000	6,591,829
2% 3/1/54 (o)	10,925,000	8,890,831
2% 3/1/54 (o)	7,675,000	6,245,961
2% 4/1/54 (o)	85,000,000	69,219,988
2% 4/1/54 (o)	66,000,000	53,747,285
2% 4/1/54 (o)	6,525,000	5,313,652
2% 4/1/54 (o)	3,100,000	2,524,494
2% 4/1/54 (o)	33,675,000	27,423,331
2% 4/1/54 (o)	29,800,000	24,267,713
2% 4/1/54 (o)	59,600,000	48,535,427
2% 4/1/54 (o)	2,225,000	1,811,935
2.5% 6/20/51 to 1/20/52	115,994,455	97,331,352
2.5% 3/1/54 (o)	33,950,000	28,727,197
2.5% 3/1/54 (o)	51,250,000	43,365,797
2.5% 3/1/54 (o)	29,575,000	25,025,238
2.5% 4/1/54 (o)	1,750,000	1,482,014
3% 5/20/42 to 4/15/45	4,785,875	4,317,438
3% 3/1/54 (o)	19,300,000	16,925,127
3% 3/1/54 (o)	77,550,000	68,007,441
3% 3/1/54 (o)	23,000,000	20,169,841
3% 3/1/54 (o)	42,000,000	36,831,883
3% 4/1/54 (o)	77,150,000	67,704,880
3% 4/1/54 (o)	18,800,000	16,498,402
3.5% 3/1/54 (o)	24,200,000	21,887,334
3.5% 3/1/54 (o)	44,150,000	39,930,819
5% 3/1/54 (o)	43,100,000	42,097,266
5.5% 3/1/54 (o)	15,900,000	15,798,253
5.5% 3/1/54 (o)	10,200,000	10,134,728
6% 3/1/54 (o)	10,250,000	10,302,687
6% 3/1/54 (o)	6,050,000	6,081,098
6% 3/1/54 (o)	14,600,000	14,675,047
6% 3/1/54 (o)	13,500,000	13,569,393
6% 3/1/54 (o)	12,600,000	12,664,767
6.5% 3/20/31 to 6/15/37	44,400	45,874
6.5% 3/1/54 (o)	29,200,000	29,599,219
6.5% 3/1/54 (o)	57,900,000	58,691,603
6.5% 3/1/54 (o)	17,900,000	18,144,727
6.5% 3/1/54 (o)	16,000,000	16,218,750
6.5% 3/1/54 (o)	550,000	557,520
6.5% 3/1/54 (o)	750,000	760,254
6.5% 4/1/54 (o)	42,550,000	43,101,822
6.5% 4/1/54 (o)	31,800,000	32,212,408
TOTAL GINNIE MAE		1,426,905,842
Uniform Mortgage Backed Securities - 6.7%
2% 3/1/54 (o)	86,400,000	67,914,789
2% 3/1/54 (o)	59,150,000	46,494,905
2% 3/1/54 (o)	88,750,000	69,762,009
2% 3/1/54 (o)	34,550,000	27,158,055
2% 3/1/54 (o)	31,375,000	24,662,344
2% 3/1/54 (o)	5,700,000	4,480,490
2% 3/1/54 (o)	10,600,000	8,332,138
2% 3/1/54 (o)	10,800,000	8,489,349
2% 4/1/54 (o)	112,700,000	88,702,383
2% 4/1/54 (o)	22,025,000	17,335,137
2% 4/1/54 (o)	27,650,000	21,762,386
2% 4/1/54 (o)	13,750,000	10,822,163
2% 4/1/54 (o)	59,100,000	46,515,624
2% 4/1/54 (o)	13,100,000	10,310,570
2.5% 3/1/54 (o)	14,000,000	11,501,875
2.5% 3/1/54 (o)	5,650,000	4,641,828
2.5% 3/1/54 (o)	6,700,000	5,504,469
2.5% 3/1/54 (o)	6,500,000	5,340,156
2.5% 3/1/54 (o)	2,875,000	2,361,992
2.5% 3/1/54 (o)	9,125,000	7,496,758
2.5% 3/1/54 (o)	4,500,000	3,697,031
2.5% 3/1/54 (o)	4,550,000	3,738,109
2.5% 4/1/54 (o)	21,650,000	17,808,816
3% 3/1/54 (o)	83,100,000	71,095,947
3% 3/1/54 (o)	21,150,000	18,094,817
3% 3/1/54 (o)	26,450,000	22,629,216
3% 3/1/54 (o)	39,650,000	33,922,435
3% 3/1/54 (o)	21,400,000	18,308,704
3% 3/1/54 (o)	16,100,000	13,774,305
3% 3/1/54 (o)	7,825,000	6,694,654
3% 3/1/54 (o)	41,500,000	35,505,196
3% 3/1/54 (o)	13,800,000	11,806,547
3% 3/1/54 (o)	26,800,000	22,928,657
3% 4/1/54 (o)	108,550,000	92,971,382
3.5% 3/1/54 (o)	24,350,000	21,661,037
3.5% 3/1/54 (o)	56,200,000	49,993,851
5% 3/1/54 (o)	31,600,000	30,647,064
5% 3/1/54 (o)	18,600,000	18,039,095
5% 3/1/54 (o)	12,700,000	12,317,016
5.5% 3/1/54 (o)	19,800,000	19,588,079
5.5% 3/1/54 (o)	9,300,000	9,200,461
5.5% 3/1/54 (o)	34,100,000	33,735,024
6% 3/1/54 (o)	43,500,000	43,690,313
6% 3/1/54 (o)	18,650,000	18,731,594
6% 3/1/54 (o)	21,550,000	21,644,281
6% 3/1/54 (o)	7,450,000	7,482,594
6% 3/1/54 (o)	7,700,000	7,733,688
6% 3/1/54 (o)	7,550,000	7,583,031
6% 3/1/54 (o)	23,800,000	23,904,125
6% 3/1/54 (o)	9,300,000	9,340,688
6% 3/1/54 (o)	14,600,000	14,663,875
6% 3/1/54 (o)	3,400,000	3,414,875
6% 3/1/54 (o)	3,400,000	3,414,875
6.5% 3/1/54 (o)	12,700,000	12,922,250
6.5% 3/1/54 (o)	8,000,000	8,140,000
6.5% 3/1/54 (o)	10,000,000	10,175,000
6.5% 3/1/54 (o)	19,000,000	19,332,500
6.5% 3/1/54 (o)	33,600,000	34,188,000
6.5% 3/1/54 (o)	19,650,000	19,993,875
6.5% 3/1/54 (o)	20,050,000	20,400,875
TOTAL UNIFORM MORTGAGE BACKED SECURITIES		1,344,503,302
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $5,470,004,649)		5,280,009,541

Asset-Backed Securities - 6.9%
	Principal Amount (a)	Value ($)
AASET Trust:
Series 2018-1A Class A, 3.844% 1/16/38 (b)	4,041,171	2,849,037
Series 2019-1 Class A, 3.844% 5/15/39 (b)	1,300,274	1,040,267
Series 2019-2:
Class A, 3.376% 10/16/39 (b)	7,758,523	7,002,424
Class B, 4.458% 10/16/39 (b)	2,087,167	970,686
Series 2021-1A Class A, 2.95% 11/16/41 (b)	9,489,540	8,566,811
Series 2021-2A Class A, 2.798% 1/15/47 (b)	18,740,767	16,305,966
AASET, Ltd. Series 2022-1A Class A, 6% 5/16/47 (b)	35,554,167	34,929,481
Aimco:
Series 2018-BA Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6756% 1/15/32 (b)(d)(e)	7,740,000	7,750,372
Series 2024-BA Class ARR, CME Term SOFR 3 Month Index + 0.000% 0% 4/16/37 (b)(d)(e)	15,363,000	15,368,408
AIMCO CLO Series 2021-AA Class AR2, CME Term SOFR 3 Month Index + 1.400% 6.7181% 10/17/34 (b)(d)(e)	15,071,000	15,088,904
AIMCO CLO Ltd. Series 2021-11A Class AR, CME Term SOFR 3 Month Index + 1.390% 6.7081% 10/17/34 (b)(d)(e)	8,253,000	8,263,217
AIMCO CLO Ltd. / AIMCO CLO LLC Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.250% 6.5694% 4/20/34 (b)(d)(e)	19,226,000	19,225,904
Aligned Data Centers Issuer LLC Series 2023-2A Class A2, 6.5% 11/16/48 (b)	782,000	782,827
Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.500% 6.8178% 7/20/35 (b)(d)(e)	11,745,000	11,761,255
Allegro CLO, Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.400% 6.7194% 7/20/34 (b)(d)(e)	9,447,000	9,446,783
American Express Credit Account Master Trust Series 2023-1 Class A, 4.87% 5/15/28	8,410,000	8,393,468
American Homes 4 Rent:
Series 2014-SFR3 Class E, 6.418% 12/17/36 (b)	261,000	261,133
Series 2015-SFR1 Class E, 5.639% 4/17/52 (b)	595,000	592,456
Series 2015-SFR2:
Class E, 6.07% 10/17/52 (b)	611,000	609,173
Class XS, 0% 10/17/52 (b)(d)(h)(p)	402,930	4
Apollo Aviation Securitization Equity Trust Series 2020-1A:
Class A, 3.351% 1/16/40 (b)	2,604,084	2,326,501
Class B, 4.335% 1/16/40 (b)	551,865	309,110
Ares CLO Series 2019-54A Class A, CME Term SOFR 3 Month Index + 1.580% 6.8956% 10/15/32 (b)(d)(e)	11,120,000	11,135,846
Ares LIX CLO Ltd. Series 2021-59A Class A, CME Term SOFR 3 Month Index + 1.290% 6.6163% 4/25/34 (b)(d)(e)	15,787,000	15,751,053
Ares LV CLO Ltd. Series 2021-55A Class A1R, CME Term SOFR 3 Month Index + 1.390% 6.7056% 7/15/34 (b)(d)(e)	12,053,000	12,062,510
Ares LVIII CLO LLC Series 2022-58A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.644% 1/15/35 (b)(d)(e)	16,982,000	16,955,084
Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, CME Term SOFR 3 Month Index + 1.330% 6.6456% 4/15/34 (b)(d)(e)	27,261,000	27,243,171
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, CME Term SOFR 3 Month Index + 1.510% 6.8281% 4/17/33 (b)(d)(e)	8,452,000	8,456,919
Babson CLO Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7256% 10/15/36 (b)(d)(e)	8,291,000	8,290,967
Bank of America Credit Card Master Trust Series 2023-A1 Class A1, 4.79% 5/15/28	15,300,000	15,244,873
Barings CLO Ltd.:
Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.280% 6.6063% 4/25/34 (b)(d)(e)	14,004,000	14,013,537
Series 2021-4A Class A, CME Term SOFR 3 Month Index + 1.480% 6.7994% 1/20/32 (b)(d)(e)	15,650,000	15,671,926
Barings CLO Ltd. 2023-IV Series 2024-4A Class A, CME Term SOFR 3 Month Index + 1.750% 7.0612% 1/20/37 (b)(d)(e)	19,096,000	19,177,502
BBCMS Mortgage Trust Series 2023 C19 Class C, 6.3846% 4/15/56 (d)	655,000	617,998
Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME Term SOFR 3 Month Index + 1.300% 6.6165% 1/17/35 (b)(d)(e)	17,449,000	17,434,884
BETHP Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7056% 1/15/35 (b)(d)(e)	12,522,000	12,536,050
Blackbird Capital Aircraft:
Series 2016-1A Class A, 4.213% 12/16/41 (b)	7,268,448	7,104,908
Series 2021-1A Class A, 2.443% 7/15/46 (b)	13,236,152	11,648,211
Bristol Park CLO, Ltd. Series 2020-1A Class AR, CME Term SOFR 3 Month Index + 1.250% 6.5656% 4/15/29 (b)(d)(e)	8,921,335	8,923,378
Capital One Multi-Asset Execution Trust Series 2023-A1 Class A, 4.42% 5/15/28	1,500,000	1,481,485
Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28	7,556,000	7,692,252
Castlelake Aircraft Securitization Trust Series 2019-1A:
Class A, 3.967% 4/15/39 (b)	7,492,047	6,743,250
Class B, 5.095% 4/15/39 (b)	4,356,038	2,875,523
Castlelake Aircraft Structured Trust:
Series 2018-1 Class A, 4.125% 6/15/43 (b)	3,155,753	2,877,008
Series 2021-1A Class A, 3.474% 1/15/46 (b)	1,786,922	1,679,686
Cedar Funding Ltd.:
Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6794% 10/20/32 (b)(d)(e)	10,997,000	11,002,411
Series 2021-12A Class A1R, CME Term SOFR 3 Month Index + 1.390% 6.7163% 10/25/34 (b)(d)(e)	7,745,000	7,751,947
Series 2022-15A Class A, CME Term SOFR 3 Month Index + 1.320% 6.6378% 4/20/35 (b)(d)(e)	16,187,000	16,160,486
Cedar Funding Xvii Clo Ltd. Series 2023-17A Class A, CME Term SOFR 3 Month Index + 1.850% 7.1678% 7/20/36 (b)(d)(e)	11,696,000	11,760,925
CEDF Series 2021-6A Class ARR, CME Term SOFR 3 Month Index + 1.310% 6.6294% 4/20/34 (b)(d)(e)	11,637,000	11,629,320
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b)	4,681,016	4,573,182
Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/35 (b)	5,077,527	5,107,570
Columbia Cent CLO 29 Ltd./Columbia Cent CLO 29 Corp. Series 2021-29A Class AR, CME Term SOFR 3 Month Index + 1.430% 6.7494% 10/20/34 (b)(d)(e)	12,599,000	12,585,292
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, CME Term SOFR 3 Month Index + 1.460% 6.7794% 4/20/34 (b)(d)(e)	24,335,000	24,348,701
Columbia Cent Clo 32 Ltd. / Coliseum Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.700% 7.0186% 7/24/34 (b)(d)(e)	17,433,000	17,438,596
Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, CME Term SOFR 3 Month Index + 1.570% 6.8894% 1/20/34 (b)(d)(e)	20,650,000	20,653,387
Crest Ltd. Series 2004-1A Class H1, 3 month U.S. LIBOR + 3.690% 8.9627% (b)(c)(d)(e)(h)	209,686	0
Daimler Trucks Retail Trust 20 Series 2023-1 Class A2, 6.03% 9/15/25	17,787,000	17,805,580
DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/47 (b)	10,038,260	9,559,493
DigitalBridge Issuer, LLC / DigitalBridge Co.-Issuer, LLC Series 2021-1A Class A2, 3.933% 9/25/51 (b)	557,000	523,848
Discover Card Execution Note Trust Series 2023 A1 Class A, 4.31% 3/15/28 (p)	9,200,000	9,077,460
Dllaa 2023-1A Series 2023-1A:
Class A2, 5.93% 7/20/26 (b)	4,361,582	4,371,662
Class A3, 5.64% 2/22/28 (b)	3,359,000	3,393,839
Dryden 98 CLO Ltd. Series 2022-98A Class A, CME Term SOFR 3 Month Index + 1.300% 6.6178% 4/20/35 (b)(d)(e)	9,084,000	9,093,802
Dryden CLO, Ltd.:
Series 2021-76A Class A1R, CME Term SOFR 3 Month Index + 1.410% 6.7294% 10/20/34 (b)(d)(e)	22,812,000	22,813,825
Series 2021-83A Class A, CME Term SOFR 3 Month Index + 1.480% 6.7795% 1/18/32 (b)(d)(e)	11,752,000	11,754,209
Dryden Senior Loan Fund:
Series 2020-78A Class A, CME Term SOFR 3 Month Index + 1.440% 6.7581% 4/17/33 (b)(d)(e)	8,700,000	8,704,376
Series 2021-85A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7256% 10/15/35 (b)(d)(e)	11,160,000	11,176,796
Series 2021-90A Class A1A, CME Term SOFR 3 Month Index + 1.390% 6.7107% 2/20/35 (b)(d)(e)	6,539,000	6,539,007
Eaton Vance CLO, Ltd.:
Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6756% 4/15/31 (b)(d)(e)	6,808,000	6,810,676
Series 2021-2A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7256% 1/15/35 (b)(d)(e)	15,072,000	15,090,825
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, CME Term SOFR 3 Month Index + 1.510% 6.8256% 1/15/34 (b)(d)(e)	3,200,000	3,204,893
Elmwood CLO Ltd. Series 2021-5A Class E, CME Term SOFR 3 Month Index + 6.610% 11.9294% 1/20/35 (b)(d)(e)	419,000	419,635
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b)	12,103,000	12,286,641
FirstKey Homes Trust:
Series 2020-SFR1 Class F2, 4.284% 8/17/37 (b)	420,000	400,159
Series 2021-SFR1 Class F1, 3.238% 8/17/38 (b)	265,000	237,968
Flatiron CLO Ltd. Series 2021-1A:
Class A1, CME Term SOFR 3 Month Index + 1.370% 6.6812% 7/19/34 (b)(d)(e)	8,589,000	8,597,838
Class AR, CME Term SOFR 3 Month Index + 1.340% 6.6673% 11/16/34 (b)(d)(e)	12,500,000	12,516,813
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, CME Term SOFR 3 Month Index + 1.560% 6.8807% 11/20/33 (b)(d)(e)	19,341,000	19,385,736
Ford Credit Auto Owner Trust Series 2020-2 Class A, 1.06% 4/15/33 (b)	4,700,000	4,390,184
Ford Credit Floorplan Master Owner Trust Series 2023-1 Class A1, 4.92% 5/15/28 (b)	4,100,000	4,081,700
GM Financial Automobile Leasing Series 2023-2 Class A2A, 5.44% 10/20/25	3,158,219	3,155,556
Gm Financial Consumer Automobile Re Series 2023-3 Class A3, 5.45% 6/16/28	7,011,000	7,052,945
Gm Financial Leasing Trust 202 Series 2023-3 Class A3, 5.38% 11/20/26	3,421,000	3,427,759
Home Partners of America Trust:
Series 2019-2 Class F, 3.866% 10/19/39 (b)	489,113	428,298
Series 2021-2 Class G, 4.505% 12/17/26 (b)	2,241,923	1,965,610
Series 2021-3 Class F, 4.242% 1/17/41 (b)	326,315	278,767
Honda Auto Receivables Series 2023-2 Class A3, 4.93% 11/15/27	7,247,000	7,220,821
Honda Auto Receivables 2023-3 Series 2023-3 Class A3, 5.41% 2/18/28	4,000,000	4,018,134
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b)	4,046,116	3,540,303
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b)	3,991,163	3,570,396
Invesco CLO Ltd. Series 2021-3A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7094% 10/22/34 (b)(d)(e)	8,865,000	8,866,232
KKR CLO Ltd.:
Series 2021-29A Class E, CME Term SOFR 3 Month Index + 7.010% 12.3256% 1/15/32 (b)(d)(e)	368,000	365,294
Series 2022-41A Class A1, CME Term SOFR 3 Month Index + 1.330% 6.6465% 4/15/35 (b)(d)(e)	21,121,000	21,086,108
Lucali CLO Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.470% 6.7856% 1/15/33 (b)(d)(e)	7,620,000	7,625,806
Madison Park Funding Series 2024-19A Class AR3, CME Term SOFR 3 Month Index + 1.600% 6.9178% 1/22/37 (b)(d)(e)	6,847,000	6,888,520
Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, CME Term SOFR 3 Month Index + 1.400% 6.7112% 4/19/34 (b)(d)(e)	16,420,000	16,445,336
Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, CME Term SOFR 3 Month Index + 1.360% 6.6794% 1/22/35 (b)(d)(e)	17,793,000	17,779,264
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, CME Term SOFR 3 Month Index + 1.380% 6.6956% 7/15/34 (b)(d)(e)	8,675,000	8,675,521
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A2R, CME Term SOFR 3 Month Index + 1.460% 6.7794% 1/22/31 (b)(d)(e)	3,536,000	3,535,862
Magnetite CLO LTD Series 2023-36A Class A, CME Term SOFR 3 Month Index + 1.800% 7.1178% 4/22/36 (b)(d)(e)	7,863,000	7,914,896
Magnetite CLO Ltd. Series 2021-27A Class AR, CME Term SOFR 3 Month Index + 1.400% 6.7194% 10/20/34 (b)(d)(e)	2,957,000	2,958,103
Magnetite IX, Ltd. / Magnetite IX LLC Series 2021-30A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7163% 10/25/34 (b)(d)(e)	15,155,000	15,157,304
Magnetite XXI Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.280% 6.5994% 4/20/34 (b)(d)(e)	11,245,000	11,257,662
Magnetite XXIII, Ltd. Series 2021-23A Class AR, CME Term SOFR 3 Month Index + 1.390% 6.7163% 1/25/35 (b)(d)(e)	10,754,000	10,753,968
Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, CME Term SOFR 3 Month Index + 1.250% 6.5656% 1/15/34 (b)(d)(e)	14,050,000	14,050,703
Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/36 (b)	7,600,000	7,655,384
Milos CLO, Ltd. Series 2020-1A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.6494% 10/20/30 (b)(d)(e)	15,632,271	15,655,844
OCP CLO Ltd.:
Series 2021-21A Class E, CME Term SOFR 3 Month Index + 6.540% 11.8594% 7/20/34 (b)(d)(e)	250,000	247,025
Series 2024-11A Class ER2, CME Term SOFR 3 Month Index + 6.820% 6.82% 4/26/36 (b)(d)(e)	262,000	259,380
Palmer Square CLO Ltd. Series 2023-4A Class E, CME Term SOFR 3 Month Index + 6.750% 12.1625% 10/20/33 (b)(d)(e)	189,000	189,838
Park Place Securities, Inc. Series 2005-WCH1 Class M4, CME Term SOFR 1 Month Index + 1.350% 6.6804% 1/25/36 (d)(e)	88,094	86,619
Peace Park CLO, Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7094% 10/20/34 (b)(d)(e)	12,426,000	12,426,199
Planet Fitness Master Issuer LLC:
Series 2018-1A Class A2II, 4.666% 9/5/48 (b)	20,063,313	19,614,946
Series 2019-1A Class A2, 3.858% 12/5/49 (b)	9,391,680	8,496,802
Series 2022-1A:
Class A2I, 3.251% 12/5/51 (b)	10,369,305	9,655,310
Class A2II, 4.008% 12/5/51 (b)	9,265,958	8,134,197
Progress Residential:
Series 2022-SFR3 Class F, 6.6% 4/17/39 (b)	800,000	760,807
Series 2022-SFR4 Class E1, 6.121% 5/17/41 (b)	797,000	770,752
Series 2022-SFR5:
Class E1, 6.618% 6/17/39 (b)	519,000	511,622
Class E2, 6.863% 6/17/39 (b)	870,000	861,331
Progress Residential Trust:
Series 2021-SFR2 Class H, 4.998% 4/19/38 (b)	401,000	368,455
Series 2021-SFR6:
Class F, 3.422% 7/17/38 (b)	315,000	284,945
Class G, 4.003% 7/17/38 (b)	168,000	149,804
Series 2021-SFR8:
Class F, 3.181% 10/17/38 (b)	203,000	180,789
Class G, 4.005% 10/17/38 (b)	1,347,000	1,190,776
Series 2022-SFR2 Class E2, 4.8% 4/17/27 (b)	688,000	639,884
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b)	7,353,039	6,333,320
Prpm 2023-Rcf2 LLC Series 2023-RCF2 Class A1, 4% 11/25/53 (b)	4,307,433	4,116,429
Regatta XXVII Funding Ltd. Series 2024-1A Class E, CME Term SOFR 3 Month Index + 6.500% 0% 4/26/37 (b)(d)(e)	265,000	265,046
Retained Vantage Data Ctrs Iss Series 2023-2A Class A2, 5.05% 9/15/48 (b)	945,000	858,858
Rockland Park CLO Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.380% 6.6994% 4/20/34 (b)(d)(e)	15,987,000	15,994,850
RR Ltd. Series 2022-7A Class A1AB, CME Term SOFR 3 Month Index + 1.340% 6.6565% 1/15/37 (b)(d)(e)	17,526,000	17,525,702
Sapphire Aviation Finance Series 2020-1A:
Class A, 3.228% 3/15/40 (b)	8,002,960	7,079,018
Class B, 4.335% 3/15/40 (b)	874,863	661,064
SBA Tower Trust:
Series 2019, 2.836% 1/15/50 (b)	12,474,000	12,192,772
1.884% 7/15/50 (b)	4,985,000	4,645,893
2.328% 7/15/52 (b)	3,812,000	3,339,329
Sfs Auto Receivables Securitiz Series 2023-1A Class A2A, 5.89% 3/22/27 (b)	4,819,123	4,826,560
Starwood Mortgage Residential Trust Series 2022-SFR3 Class F, CME Term SOFR 1 Month Index + 4.500% 9.8176% 5/17/24 (b)(d)(e)	1,616,000	1,571,145
SYMP Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.320% 6.6358% 4/23/35 (b)(d)(e)	18,277,000	18,291,914
Symphony CLO XIX, Ltd. / Symphony CLO XIX LLC Series 2018-19A Class A, CME Term SOFR 3 Month Index + 1.220% 6.5356% 4/16/31 (b)(d)(e)	7,096,727	7,096,634
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.6356% 7/15/32 (b)(d)(e)	1,661,000	1,662,100
Symphony CLO XXV Ltd. / Symphony CLO XXV LLC Series 2021-25A Class A, CME Term SOFR 3 Month Index + 1.240% 6.5512% 4/19/34 (b)(d)(e)	14,155,000	14,163,507
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, CME Term SOFR 3 Month Index + 1.340% 6.6594% 4/20/33 (b)(d)(e)	26,688,000	26,719,599
Taberna Preferred Funding VI Ltd. Series 2006-6A Class F1, CME Term SOFR 3 Month Index + 4.760% 10.0342% (b)(c)(d)(e)(h)	453,038	0
Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 Month Index + 0.970% 6.2954% 9/25/34 (d)(e)	7,168	7,140
Tesla Auto Lease Trust 2023-B Series 2023-B:
Class A2, 6.02% 9/22/25 (b)	14,224,000	14,256,247
Class A3, 6.13% 9/21/26 (b)	9,400,000	9,495,679
Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (b)	8,091,000	8,137,234
Thunderbolt Aircraft Lease Ltd.:
Series 2017-A Class A, 4.212% 5/17/32 (b)	3,561,119	3,312,180
Series 2018-A Class A, 4.147% 9/15/38 (b)(d)	8,007,372	7,006,611
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b)	11,854,813	10,106,821
Toyota Lease Owner Trust:
Series 2023 A:
Class A2, 5.3% 8/20/25 (b)	4,981,154	4,974,836
Class A3, 4.93% 4/20/26 (b)	8,086,000	8,051,691
Series 2024-A Class A3, 5.25% 4/20/27 (b)	6,500,000	6,498,328
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, CME Term SOFR 3 Month Index + 0.820% 6.1509% 4/6/42 (b)(d)(e)	934,000	660,937
Tricon American Homes:
Series 2019-SFR1 Class F, 3.745% 3/17/38 (b)	525,000	495,610
Series 2020-SFR1 Class F, 4.882% 7/17/38 (b)	151,000	144,126
Tricon Residential Series 2022-SFR1:
Class E1, 5.344% 4/17/39 (b)	1,081,000	1,042,190
Class E2, 5.739% 4/17/39 (b)	1,344,000	1,296,025
Tricon Residential 2023-Sfr1 T Series 2023-SFR1 Class E, 7.977% 7/17/40 (b)	270,000	274,912
Tricon Residential Trust Series 2021-SFR1 Class G, 4.133% 7/17/38 (b)	168,000	150,261
Verizon Master Trust:
Series 2021-1 Class A, 0.5% 5/20/27	5,400,000	5,341,009
Series 2023 2 Class A, 4.89% 4/13/28	4,300,000	4,277,123
Voya Clo 2023-1 Ltd. Series 2023-1A Class A1, CME Term SOFR 3 Month Index + 1.800% 7.1702% 1/20/37 (b)(d)(e)	14,644,000	14,657,502
Voya CLO Ltd. Series 2019-2A Class A, CME Term SOFR 3 Month Index + 1.530% 6.8494% 7/20/32 (b)(d)(e)	13,214,000	13,236,596
Voya CLO Ltd./Voya CLO LLC:
Series 2021-2A Class A1R, CME Term SOFR 3 Month Index + 1.420% 6.7312% 7/19/34 (b)(d)(e)	8,182,000	8,182,573
Series 2021-3A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7294% 10/20/34 (b)(d)(e)	16,805,000	16,820,410
Voya CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7256% 7/16/34 (b)(d)(e)	17,432,000	17,434,650
Wheels Fleet Lease Funding 1 L Series 2023-2A Class A, 6.46% 8/18/38 (b)	14,700,000	14,831,084
Willis Engine Structured Trust Vi Series 2023-A Class A, 8% 10/15/48 (b)	7,400,160	7,693,725
World Omni Auto Receivables Trust:
Series 2023 B:
Class A2A, 5.25% 11/16/26	3,376,291	3,371,686
Class A3, 4.66% 5/15/28	8,561,000	8,478,506
Series 2023-C Class A3, 5.15% 11/15/28	4,203,000	4,205,682
TOTAL ASSET-BACKED SECURITIES (Cost $1,398,205,916)		1,380,655,981

Collateralized Mortgage Obligations - 2.0%
	Principal Amount (a)	Value ($)
Private Sponsor - 0.2%
Ajax Mortgage Loan Trust sequential payer Series 2021-E Class A1, 1.74% 12/25/60 (b)	4,087,652	3,469,688
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(d)	1,932,878	1,882,509
Cascade Funding Mortgage Trust Series 2021-HB6 Class A, 0.8983% 6/25/36 (b)	3,434,995	3,389,574
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(d)	28,599	28,270
COMM Mortgage Trust Series 2015-LC19 Class C, 4.2134% 2/10/48 (d)	833,000	759,335
Countrywide Home Loans, Inc. Series 2003-R1 Class 2B4, 3.3614% 2/25/43 (b)(d)(h)	1,613	183
CSMC:
floater Series 2015-1R Class 6A1, CME Term SOFR 1 Month Index + 0.390% 4.1948% 5/27/37 (b)(d)(e)	281,441	273,699
Series 2014-3R Class 2A1, CME Term SOFR 1 Month Index + 0.810% 0% 5/27/37 (b)(d)(e)(h)	87,210	9
MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (b)	14,312,586	13,148,245
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b)	2,242,261	2,085,300
NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (b)	2,031,603	1,824,838
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b)	1,865,651	1,781,267
Ocwen Loan Invest Trust Series 2024-HB1 Class A, 3% 2/25/37 (b)	1,794,000	1,703,403
RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/50 (b)	1,604,135	1,500,899
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, CME Term SOFR 6 Month Index + 1.300% 6.5595% 7/20/34 (d)(e)	1,366	1,230
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, CME Term SOFR 1 Month Index + 0.750% 6.0754% 9/25/43 (d)(e)	654,329	619,678
Towd Point Mortgage Trust sequential payer Series 2022-K147 Class A2, 3.75% 7/25/62 (b)	10,872,612	10,025,438
TOTAL PRIVATE SPONSOR		42,493,565
U.S. Government Agency - 1.8%
Fannie Mae:
floater:
Series 2002-18 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.2361% 2/25/32 (d)(e)	2,169	2,167
Series 2002-39 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4389% 3/18/32 (d)(e)	4,002	4,020
Series 2002-60 Class FV, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4361% 4/25/32 (d)(e)	4,340	4,358
Series 2002-63 Class FN, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4361% 10/25/32 (d)(e)	5,454	5,478
Series 2002-7 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.860% 6.1861% 1/25/32 (d)(e)	2,049	2,044
Series 2003-118 Class S, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6639% 12/25/33 (d)(p)(q)	81,382	10,817
Series 2006-104 Class GI, 6.560% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2439% 11/25/36 (d)(p)(q)	58,613	5,305
planned amortization class:
Series 1996-28 Class PK, 6.5% 7/25/25	32	32
Series 1999-17 Class PG, 6% 4/25/29	18,845	19,035
Series 1999-32 Class PL, 6% 7/25/29	25,009	25,132
Series 1999-33 Class PK, 6% 7/25/29	18,080	18,162
Series 2001-52 Class YZ, 6.5% 10/25/31	3,076	3,134
Series 2005-102 Class CO 11/25/35 (r)	12,508	10,570
Series 2005-73 Class SA, 17.500% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 3.4161% 8/25/35 (d)(e)(q)	2,606	2,605
Series 2005-81 Class PC, 5.5% 9/25/35	40,305	40,567
Series 2006-12 Class BO 10/25/35 (r)	56,487	48,585
Series 2006-15 Class OP 3/25/36 (r)	78,974	65,500
Series 2006-37 Class OW 5/25/36 (r)	7,829	6,102
Series 2006-45 Class OP 6/25/36 (r)	24,594	19,468
Series 2006-62 Class KP 4/25/36 (r)	39,189	31,889
Series 2012-134 Class MX, 3.5% 5/25/42	328,345	314,257
Series 2012-149:
Class DA, 1.75% 1/25/43	721,445	652,413
Class GA, 1.75% 6/25/42	813,240	733,317
Series 2017-22 Class ED, 3.5% 6/25/44	339,455	331,279
Series 2021-45 Class DA, 3% 7/25/51	3,092,812	2,713,153
Series 2021-69 Class JK, 1.5% 10/25/51	1,825,401	1,481,882
sequential payer:
Series 1997-41 Class J, 7.5% 6/18/27	3,523	3,558
Series 1999-25 Class Z, 6% 6/25/29	19,781	19,696
Series 2001-20 Class Z, 6% 5/25/31	23,741	23,865
Series 2001-31 Class ZC, 6.5% 7/25/31	11,329	11,385
Series 2002-16 Class ZD, 6.5% 4/25/32	10,192	10,398
Series 2002-74 Class SV, 7.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.1139% 11/25/32 (d)(p)(q)	14,409	328
Series 2012-67 Class AI, 4.5% 7/25/27 (p)	24,537	451
Series 2016-104 Class B, 4% 12/25/44	666,435	642,675
Series 2016-99 Class KA, 4% 11/25/42	836,268	817,185
Series 2020-101 Class BA, 1.5% 9/25/45	2,819,037	2,385,835
Series 2020-43 Class MA, 2% 1/25/45	4,601,875	4,106,450
Series 2020-49 Class JA, 2% 8/25/44	1,597,214	1,435,333
Series 2020-51 Class BA, 2% 6/25/46	5,011,680	4,271,393
Series 2020-80 Class BA, 1.5% 3/25/45	3,845,566	3,278,561
Series 2021-68 Class A, 2% 7/25/49	3,288,757	2,565,322
Series 2021-85 Class L, 2.5% 8/25/48	1,804,085	1,558,159
Series 2021-95:
Class 0, 2.5% 9/25/48	5,470,413	4,735,485
Class BA, 2.5% 6/25/49	8,269,935	7,129,593
Series 2021-96 Class HA, 2.5% 2/25/50	2,879,651	2,472,087
Series 2022-1 Class KA, 3% 5/25/48	1,790,355	1,600,868
Series 2022-11 Class B, 3% 6/25/49	2,247,518	2,035,083
Series 2022-13:
Class HA, 3% 8/25/46	1,881,541	1,723,161
Class JA, 3% 5/25/48	3,481,963	3,121,654
Series 2022-15 Class GC, 3% 1/25/47	2,801,698	2,559,552
Series 2022-17 Class BH, 3% 5/25/47	3,091,056	2,820,158
Series 2022-25 Class AB, 4% 9/25/47	3,009,938	2,851,891
Series 2022-3:
Class D, 2% 2/25/48	8,137,242	7,030,343
Class N, 2% 10/25/47	21,129,229	17,995,754
Series 2022-30 Class E, 4.5% 7/25/48	4,655,253	4,498,936
Series 2022-35 Class CK, 4% 3/25/47	6,561,855	6,164,777
Series 2022-4 Class B, 2.5% 5/25/49	2,115,426	1,824,788
Series 2022-49 Class TC, 4% 12/25/48	1,504,977	1,421,848
Series 2022-5:
Class 0, 2.5% 6/25/48	2,274,854	1,976,575
Class DA, 2.25% 11/25/47	6,657,530	5,766,591
Series 2022-69 Class AB, 4.5% 1/25/44	5,673,926	5,458,908
Series 2022-7:
Class A, 3% 5/25/48	2,552,096	2,282,073
Class E, 2.5% 11/25/47	8,045,156	7,063,655
Series 2022-9 Class BA, 3% 5/25/48	2,554,205	2,284,180
Series 06-116 Class SG, 6.520% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2039% 12/25/36 (d)(p)(q)	39,448	3,541
Series 07-40 Class SE, 6.320% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.0039% 5/25/37 (d)(p)(q)	20,560	2,112
Series 2003-21 Class SK, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6639% 3/25/33 (d)(p)(q)	4,996	478
Series 2005-72 Class ZC, 5.5% 8/25/35	318,638	317,556
Series 2005-79 Class ZC, 5.9% 9/25/35	255,345	255,711
Series 2007-57 Class SA, 40.600% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 8.0032% 6/25/37 (d)(e)(q)	16,704	19,642
Series 2007-66:
Class SA, 38.910% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 6.9832% 7/25/37 (d)(e)(q)	25,597	30,191
Class SB, 38.910% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 6.9832% 7/25/37 (d)(e)(q)	6,351	6,810
Series 2010-135 Class ZA, 4.5% 12/25/40	522,406	512,427
Series 2010-139 Class NI, 4.5% 2/25/40 (p)	4,882	14
Series 2010-150 Class ZC, 4.75% 1/25/41	904,353	883,067
Series 2010-95 Class ZC, 5% 9/25/40	1,903,967	1,883,933
Series 2011-39 Class ZA, 6% 11/25/32	92,595	93,794
Series 2011-4 Class PZ, 5% 2/25/41	309,196	294,055
Series 2011-67 Class AI, 4% 7/25/26 (p)	4,803	92
Series 2012-100 Class WI, 3% 9/25/27 (p)	285,562	9,689
Series 2012-9 Class SH, 6.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1139% 6/25/41 (d)(p)(q)	24,118	163
Series 2013-133 Class IB, 3% 4/25/32 (p)	76,633	1,364
Series 2013-134 Class SA, 5.930% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.6139% 1/25/44 (d)(p)(q)	129,198	12,262
Series 2013-51 Class GI, 3% 10/25/32 (p)	448,064	23,028
Series 2013-N1 Class A, 6.600% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2839% 6/25/35 (d)(p)(q)	108,759	7,409
Series 2015-42 Class IL, 6% 6/25/45 (p)	736,979	120,517
Series 2015-70 Class JC, 3% 10/25/45	652,381	606,419
Series 2017-30 Class AI, 5.5% 5/25/47 (p)	446,713	74,119
Series 2020-39 Class MG, 1.5% 6/25/40	9,098,915	7,418,776
Series 2020-45:
Class JC, 1.5% 7/25/40	9,294,309	7,572,121
Class JL, 3% 7/25/40	161,919	144,691
Series 2020-59 Class MC, 1.5% 8/25/40	10,198,531	8,304,058
Series 2021-59 Class H, 2% 6/25/48	1,850,728	1,482,328
Series 2021-66:
Class DA, 2% 1/25/48	2,007,250	1,614,853
Class DM, 2% 1/25/48	2,133,131	1,714,131
Series 2022-28 Class A, 2.5% 2/25/52	6,952,817	6,390,958
Series 2023-13 Class CK, 1.5% 11/25/50	11,273,062	8,776,452
Fannie Mae Stripped Mortgage-Backed Securities:
Series 339 Class 5, 5.5% 7/25/33 (p)	20,119	3,103
Series 343 Class 16, 5.5% 5/25/34 (p)	18,792	2,934
Series 348 Class 14, 6.5% 8/25/34 (d)(p)	12,444	2,333
Series 351:
Class 12, 5.5% 4/25/34 (d)(p)	7,638	1,238
Class 13, 6% 3/25/34 (p)	11,631	2,069
Series 359 Class 19, 6% 7/25/35 (d)(p)	6,807	1,258
Series 384 Class 6, 5% 7/25/37 (p)	79,296	13,217
Freddie Mac:
floater:
Series 2412 Class FK, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.2392% 1/15/32 (d)(e)	1,575	1,573
Series 2423 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.3392% 3/15/32 (d)(e)	2,484	2,487
Series 2424 Class FM, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4392% 3/15/32 (d)(e)	2,150	2,159
Series 2432:
Class FE, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.3392% 6/15/31 (d)(e)	3,759	3,764
Class FG, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.3392% 3/15/32 (d)(e)	1,340	1,342
planned amortization class:
Series 2012-4019 Class HT, 5% 8/15/40	37,253	37,142
Series 2017-4744 Class JA, 3% 9/15/47	672,278	600,355
Series 2021-5141 Class JM, 1.5% 4/25/51	1,346,552	1,100,474
Series 2021-5148:
Class AD, 1.5% 10/25/51	1,817,045	1,486,152
Class PC, 1.5% 10/25/51	1,801,151	1,462,578
Series 2022-5214 Class CG, 3.5% 4/25/52	2,570,343	2,372,069
Series 2022-5220 Class PK, 3.5% 1/25/51	3,533,257	3,293,585
Series 2095 Class PE, 6% 11/15/28	24,408	24,584
Series 2101 Class PD, 6% 11/15/28	2,247	2,261
Series 2121 Class MG, 6% 2/15/29	10,348	10,427
Series 2131 Class BG, 6% 3/15/29	72,974	73,494
Series 2137 Class PG, 6% 3/15/29	11,857	11,917
Series 2154 Class PT, 6% 5/15/29	19,025	19,159
Series 2162 Class PH, 6% 6/15/29	3,739	3,756
Series 2520 Class BE, 6% 11/15/32	40,065	40,761
Series 2693 Class MD, 5.5% 10/15/33	369,869	368,803
Series 2802 Class OB, 6% 5/15/34	26,208	26,389
Series 3002 Class NE, 5% 7/15/35	92,759	92,082
Series 3110 Class OP 9/15/35 (r)	16,800	15,781
Series 3119 Class PO 2/15/36 (r)	92,636	73,865
Series 3121 Class KO 3/15/36 (r)	14,114	11,637
Series 3123 Class LO 3/15/36 (r)	52,471	42,141
Series 3145 Class GO 4/15/36 (r)	55,187	44,673
Series 3189 Class PD, 6% 7/15/36	85,272	87,283
Series 3225 Class EO 10/15/36 (r)	27,979	21,986
Series 3258 Class PM, 5.5% 12/15/36	30,815	31,178
Series 3415 Class PC, 5% 12/15/37	38,268	37,655
Series 3806 Class UP, 4.5% 2/15/41	192,885	187,766
Series 3832 Class PE, 5% 3/15/41	369,903	368,122
Series 4135 Class AB, 1.75% 6/15/42	622,081	560,111
sequential payer:
Series 2014-4422 Class LA, 4.5% 3/15/43	99,785	99,127
Series 2015-4516 Class A, 4% 8/15/41	360,628	355,258
Series 2020-4993 Class LA, 2% 8/25/44	4,389,794	3,947,563
Series 2020-5018:
Class LC, 3% 10/25/40	1,089,224	974,523
Class LY, 3% 10/25/40	827,616	740,276
Series 2020-5058 Class BE, 3% 11/25/50	3,911,838	3,367,359
Series 2020-5066 Class A, 1.5% 11/25/44	1,267,548	1,074,834
Series 2021-5115 Class A, 2% 3/25/40	4,425,781	3,827,476
Series 2021-5139 Class JC, 2% 8/25/40	4,216,335	3,594,326
Series 2021-5147 Class WN, 2% 1/25/40	4,573,632	3,933,717
Series 2021-5169 Class TP, 2.5% 6/25/49	1,679,557	1,428,461
Series 2021-5175 Class CB, 2.5% 4/25/50	10,363,533	8,899,209
Series 2021-5178:
Class CT, 2% 11/25/40	4,616,292	3,904,657
Class TP, 2.5% 4/25/49	4,010,696	3,416,245
Series 2021-5180 Class KA, 2.5% 10/25/47	2,097,033	1,830,110
Series 2022-5189:
Class DA, 2.5% 5/25/49	1,365,847	1,163,365
Class TP, 2.5% 5/25/49	2,779,783	2,367,645
Series 2022-5190:
Class BA, 2.5% 11/25/47	1,314,654	1,146,593
Class CA, 2.5% 5/25/49	2,330,873	1,984,846
Series 2022-5191 Class CA, 2.5% 4/25/50	2,472,528	2,107,959
Series 2022-5197:
Class A, 2.5% 6/25/49	2,330,878	1,984,845
Class DA, 2.5% 11/25/47	998,255	871,361
Series 2022-5198 Class BA, 2.5% 11/25/47	4,424,297	3,922,314
Series 2022-5200:
Class C, 3% 5/25/48	5,764,751	5,225,402
Class LA, 3% 10/25/48	4,822,948	4,356,731
Series 2022-5202:
Class AG, 3% 1/25/49	1,302,738	1,173,497
Class BC, 3% 5/25/48	5,529,023	4,944,549
Class LB, 2.5% 10/25/47	1,065,702	931,564
Class UA, 3% 4/25/50	2,041,444	1,814,346
Series 2022-5210 Class TA, 3.5% 11/25/46	1,802,750	1,660,749
Series 2135 Class JE, 6% 3/15/29	3,968	4,024
Series 2274 Class ZM, 6.5% 1/15/31	7,288	7,325
Series 2281 Class ZB, 6% 3/15/30	13,688	13,785
Series 2303 Class ZV, 6% 4/15/31	8,102	8,154
Series 2357 Class ZB, 6.5% 9/15/31	62,191	63,108
Series 2502 Class ZC, 6% 9/15/32	15,405	15,675
Series 2519 Class ZD, 5.5% 11/15/32	23,516	23,612
Series 2998 Class LY, 5.5% 7/15/25	2,471	2,462
Series 3871 Class KB, 5.5% 6/15/41	582,631	594,807
Series 06-3115 Class SM, 6.480% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1608% 2/15/36 (d)(p)(q)	29,347	2,363
Series 2013-4281 Class AI, 4% 12/15/28 (p)	15,716	111
Series 2017-4683 Class LM, 3% 5/15/47	1,004,013	937,751
Series 2020-5000 Class BA, 2% 4/25/45	5,189,454	4,607,109
Series 2020-5041:
Class LA, 1.5% 11/25/40	10,567,587	8,589,651
Class LB, 3% 11/25/40	1,854,777	1,660,643
Series 2020-5046 Class PT, 1.5% 11/25/40	8,015,893	6,509,585
Series 2021-5083 Class VA, 1% 8/15/38	5,078,552	4,732,608
Series 2021-5176 Class AG, 2% 1/25/47	7,796,003	6,649,342
Series 2021-5182 Class A, 2.5% 10/25/48	13,607,813	11,844,229
Series 2022-5210 Class AB, 3% 1/25/42	3,044,839	2,769,770
Series 2022-5213 Class AH, 2.25% 4/25/37	4,754,782	4,324,006
Series 2022-5236 Class P, 5% 4/25/48	2,208,492	2,182,371
Series 2022-5266 Class CD, 4.5% 10/25/44	5,125,140	4,996,061
Series 2933 Class ZM, 5.75% 2/15/35	527,788	536,832
Series 2935 Class ZK, 5.5% 2/15/35	388,992	392,730
Series 2947 Class XZ, 6% 3/15/35	163,892	166,977
Series 2996 Class ZD, 5.5% 6/15/35	347,582	349,856
Series 3237 Class C, 5.5% 11/15/36	437,788	437,513
Series 3244 Class SG, 6.540% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2208% 11/15/36 (d)(p)(q)	120,895	10,284
Series 3336 Class LI, 6.460% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1408% 6/15/37 (d)(p)(q)	79,188	8,069
Series 3949 Class MK, 4.5% 10/15/34	63,441	61,905
Series 4055 Class BI, 3.5% 5/15/31 (p)	46,160	448
Series 4149 Class IO, 3% 1/15/33 (p)	240,343	17,725
Series 4314 Class AI, 5% 3/15/34 (p)	11,806	223
Series 4427 Class LI, 3.5% 2/15/34 (p)	338,698	17,002
Series 4471 Class PA 4% 12/15/40	244,201	237,101
target amortization class:
Series 2007-3366 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.360% 5.6892% 5/15/37 (d)(e)	102,527	99,828
Series 2156 Class TC, 6.25% 5/15/29	5,528	5,531
Freddie Mac Manufactured Housing participation certificates guaranteed sequential payer:
Series 2043 Class ZH, 6% 4/15/28	8,364	8,402
Series 2056 Class Z, 6% 5/15/28	19,684	19,799
Freddie Mac Multi-family Structured pass-thru certificates:
planned amortization class Series 2021-5165 Class PC, 1.5% 11/25/51	2,312,843	1,895,018
sequential payer:
Series 2021-5159:
Class EA, 2.5% 8/25/48	1,652,091	1,411,208
Class GC, 2% 11/25/47	1,677,662	1,411,534
Series 2021-5164 Class M, 2.5% 7/25/48	1,685,622	1,440,131
Series 4386 Class AZ, 4.5% 11/15/40	928,868	890,957
Ginnie Mae guaranteed REMIC pass-thru certificates:
floater:
Series 2007-37 Class TS, 6.570% - CME Term SOFR 1 Month Index 1.2542% 6/16/37 (d)(p)(q)	50,365	4,592
Series 2010-H03 Class FA, CME Term SOFR 1 Month Index + 0.660% 6.0011% 3/20/60 (d)(e)(s)	348,388	347,403
Series 2010-H17 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.7811% 7/20/60 (d)(e)(s)	90,637	90,168
Series 2010-H18 Class AF, CME Term SOFR 1 Month Index + 0.410% 5.7629% 9/20/60 (d)(e)(s)	83,795	83,240
Series 2010-H19 Class FG, CME Term SOFR 1 Month Index + 0.410% 5.7629% 8/20/60 (d)(e)(s)	76,657	76,183
Series 2010-H27 Class FA, CME Term SOFR 1 Month Index + 0.380% 5.8429% 12/20/60 (d)(e)(s)	197,230	196,265
Series 2011-H05 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.9629% 12/20/60 (d)(e)(s)	145,758	145,269
Series 2011-H07 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.9629% 2/20/61 (d)(e)(s)	122,164	121,643
Series 2011-H12 Class FA, CME Term SOFR 1 Month Index + 0.600% 5.9529% 2/20/61 (d)(e)(s)	199,558	198,743
Series 2011-H13 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.9629% 4/20/61 (d)(e)(s)	152,742	152,206
Series 2011-H14:
Class FB, CME Term SOFR 1 Month Index + 0.610% 5.9629% 5/20/61 (d)(e)(s)	190,725	190,107
Class FC, CME Term SOFR 1 Month Index + 0.610% 5.9629% 5/20/61 (d)(e)(s)	177,011	176,459
Series 2011-H17 Class FA, CME Term SOFR 1 Month Index + 0.640% 5.9929% 6/20/61 (d)(e)(s)	190,319	189,779
Series 2011-H21 Class FA, CME Term SOFR 1 Month Index + 0.710% 6.0629% 10/20/61 (d)(e)(s)	355,719	354,967
Series 2012-H01 Class FA, CME Term SOFR 1 Month Index + 0.810% 6.1629% 11/20/61 (d)(e)(s)	219,581	219,378
Series 2012-H03 Class FA, CME Term SOFR 1 Month Index + 0.810% 6.1629% 1/20/62 (d)(e)(s)	107,367	107,251
Series 2012-H06 Class FA, CME Term SOFR 1 Month Index + 0.740% 6.0929% 1/20/62 (d)(e)(s)	205,110	204,675
Series 2012-H07 Class FA, CME Term SOFR 1 Month Index + 0.740% 6.0929% 3/20/62 (d)(e)(s)	99,085	98,791
Series 2012-H21 Class DF, CME Term SOFR 1 Month Index + 0.760% 6.1129% 5/20/61 (d)(e)(s)	6,314	6,259
Series 2012-H23 Class WA, CME Term SOFR 1 Month Index + 0.630% 5.9829% 10/20/62 (d)(e)(s)	97,973	97,641
Series 2013-H07 Class BA, CME Term SOFR 1 Month Index + 0.360% 5.8229% 3/20/63 (d)(e)(s)	179,618	178,665
Series 2014-H03 Class FA, CME Term SOFR 1 Month Index + 0.710% 6.0629% 1/20/64 (d)(e)(s)	111,411	111,171
Series 2014-H05 Class FB, CME Term SOFR 1 Month Index + 0.710% 6.0629% 12/20/63 (d)(e)(s)	237,637	237,135
Series 2014-H11 Class BA, CME Term SOFR 1 Month Index + 0.610% 5.9629% 6/20/64 (d)(e)(s)	691,730	689,455
Series 2014-H20 Class BF, CME Term SOFR 1 Month Index + 0.610% 5.9629% 9/20/64 (d)(e)(s)	2,266,453	2,257,614
Series 2016-H20 Class FM, CME Term SOFR 1 Month Index + 0.510% 5.8629% 12/20/62 (d)(e)(s)	16,182	15,892
Series 2019-11 Class F, CME Term SOFR 1 Month Index + 0.510% 5.8343% 1/20/49 (d)(e)	1,945,229	1,914,431
Series 2019-128 Class FH, CME Term SOFR 1 Month Index + 0.610% 5.9343% 10/20/49 (d)(e)	628,275	610,290
Series 2019-23 Class NF, CME Term SOFR 1 Month Index + 0.560% 5.8843% 2/20/49 (d)(e)	1,240,433	1,211,982
planned amortization class:
Series 2011-136 Class WI, 4.5% 5/20/40 (p)	15,560	934
Series 2016-69 Class WA, 3% 2/20/46	651,018	587,031
Series 2017-134 Class BA, 2.5% 11/20/46	898,079	801,804
sequential payer:
Series 2004-24 Class ZM, 5% 4/20/34	139,318	136,018
Series 2010-160 Class DY, 4% 12/20/40	1,475,546	1,412,711
Series 2010-170 Class B, 4% 12/20/40	326,455	312,133
Series 2017-139 Class BA, 3% 9/20/47	3,006,199	2,660,130
Series 2004-32 Class GS, 6.380% - CME Term SOFR 1 Month Index 1.0642% 5/16/34 (d)(p)(q)	28,929	1,790
Series 2004-73 Class AL, 7.080% - CME Term SOFR 1 Month Index 1.7642% 8/17/34 (d)(p)(q)	27,617	2,065
Series 2010-116 Class QB, 4% 9/16/40	3,261,453	3,121,342
Series 2010-H10 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.7811% 5/20/60 (d)(e)(s)	246,170	244,967
Series 2011-94 Class SA, 5.980% - CME Term SOFR 1 Month Index 0.6657% 7/20/41 (d)(p)(q)	126,264	10,732
Series 2013-149 Class MA, 2.5% 5/20/40	920,123	884,357
Series 2014-2 Class BA, 3% 1/20/44	1,816,828	1,639,015
Series 2014-21 Class HA, 3% 2/20/44	675,575	608,093
Series 2014-25 Class HC, 3% 2/20/44	1,153,329	1,036,838
Series 2014-5 Class A, 3% 1/20/44	958,765	864,887
Series 2015-H13 Class HA, 2.5% 8/20/64 (s)	6,199	5,901
Series 2017-186 Class HK, 3% 11/16/45	1,660,458	1,480,503
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 5.16% 8/20/66 (d)(e)(s)	1,229,249	1,223,969
TOTAL U.S. GOVERNMENT AGENCY		357,951,655
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $404,949,746)		400,445,220

Commercial Mortgage Securities - 5.9%
	Principal Amount (a)	Value ($)
BAMLL Commercial Mortgage Securities Trust:
floater:
Series 2019-RLJ Class D, CME Term SOFR 1 Month Index + 1.990% 7.315% 4/15/36 (b)(d)(e)	1,045,000	1,041,240
Series 2021-JACX Class E, CME Term SOFR 1 Month Index + 3.860% 9.1825% 9/15/38 (b)(d)(e)	627,000	470,656
Series 2022-DKLX:
Class A, CME Term SOFR 1 Month Index + 1.150% 6.468% 1/15/39 (b)(d)(e)	9,488,000	9,363,470
Class B, CME Term SOFR 1 Month Index + 1.550% 6.868% 1/15/39 (b)(d)(e)	1,792,000	1,757,280
Class C, CME Term SOFR 1 Month Index + 2.150% 7.468% 1/15/39 (b)(d)(e)	1,279,000	1,251,422
sequential payer Series 2019-BPR:
Class AMP, 3.287% 11/5/32 (b)	6,400,000	6,114,773
Class ANM, 3.112% 11/5/32 (b)	7,809,000	7,214,744
Series 2015-200P Class F, 3.5958% 4/14/33 (b)(d)	455,000	421,664
Series 2019-BPR:
Class BNM, 3.465% 11/5/32 (b)	1,753,000	1,470,297
Class CNM, 3.7186% 11/5/32 (b)(d)	725,000	546,289
BANK sequential payer:
Series 2017-BNK9 Class A4, 3.538% 11/15/54	7,500,000	7,044,827
Series 2018-BN14 Class A4, 4.231% 9/15/60	12,400,000	11,881,640
Series 2019-BN20 Class ASB, 2.933% 9/15/62	400,000	375,481
Series 2019-BN21 Class A5, 2.851% 10/17/52	1,355,000	1,199,495
Series 2019-BN23 Class ASB, 2.846% 12/15/52	1,100,000	1,030,844
Series 2020-BN28 Class A4, 1.844% 3/15/63	833,000	679,891
Series 2021-BN32 Class A5, 2.643% 4/15/54	356,000	302,816
Series 2021-BN33 Class A5, 2.556% 5/15/64	700,000	588,846
Series 2021-BN35 Class A5, 2.285% 6/15/64	1,052,000	868,247
Series 2022-BNK39 Class A4, 2.928% 2/15/55	920,000	787,677
Series 2022-BNK40, Class A4, 3.3935% 3/15/64 (d)	295,000	261,294
Series 2022-BNK42:
Class D, 2.5% 6/15/55 (b)	531,000	336,473
Class E, 2.5% 6/15/55 (b)(h)	416,000	236,682
Series 2022-BNK42, Class A5, 4.493% 6/15/55 (d)	988,000	940,687
Series 2023-5YR1:
Class A2, 5.779% 4/15/56	2,700,000	2,744,050
Class A3, 6.26% 4/15/56	8,500,000	8,766,627
Series 2023-BNK45 Class C, 6.2791% 2/15/56 (d)	418,000	419,563
Bank sequential payer Series 2023-BNK46 Class A4, 5.745% 8/15/56	1,239,000	1,290,002
BANK:
Series 2017-BNK4 Class D, 3.357% 5/15/50 (b)	782,000	510,079
Series 2017-BNK8:
Class D, 2.6% 11/15/50 (b)	960,000	430,298
Class E, 2.8% 11/15/50 (b)	609,000	223,643
Series 2018-BN10 Class C, 4.163% 2/15/61 (d)	1,306,000	1,159,860
Series 2018-BN15:
Class D, 3% 11/15/61 (b)(h)	430,000	317,188
Class E, 3% 11/15/61 (b)(h)	430,000	280,974
Series 2020-BN25 Class C, 3.3529% 1/15/63 (d)	775,000	618,366
Series 2020-BN27 Class D, 2.5% 4/15/63 (b)	243,000	158,851
Series 2020-BN28:
Class A/S, 2.14% 3/15/63	361,000	294,088
Class E, 2.5% 3/15/63 (b)	252,000	152,850
Series 2020-BN30 Class MCDG, 2.9182% 12/15/53 (d)(h)	2,104,000	841,743
Series 2021-BN33:
Class B, 2.893% 5/15/64	572,000	464,089
Class XA, 1.0526% 5/15/64 (d)(p)	6,854,657	347,138
Series 2021-BN38 Class C, 3.2174% 12/15/64 (d)	146,000	109,356
Series 2022-BNK43 Class D, 3% 8/15/55 (b)	994,000	628,535
Series 2022-BNK44:
Class A/S, 5.7451% 11/15/55 (d)	620,000	622,811
Class C, 5.7451% 11/15/55 (d)	2,056,000	1,859,513
Bank Series 2023-BNK46:
Class B, 6.7735% 8/15/56 (d)	843,000	898,286
Class C, 6.7735% 8/15/56 (d)	372,000	377,429
Bank 2018-Bnk13 sequential payer Series 2018-BN13:
Class A4, 3.953% 8/15/61	2,400,000	2,282,580
Class A5, 4.217% 8/15/61	5,600,000	5,347,167
Bank of America Commercial Mortgage Securities Trust Series 2017-BNK3 Class C, 4.352% 2/15/50 (d)	347,000	314,209
Bank of America Commercial Mortgage Trust Series 2016-UB10:
Class D, 3% 7/15/49 (b)	1,180,000	908,432
Class XA, 1.7254% 7/15/49 (d)(p)	8,649,223	223,365
BANK Trust sequential payer Series 2017-BNK5:
Class A5, 3.39% 6/15/60	8,900,000	8,372,582
Class ASB, 3.179% 6/15/60	6,208,438	6,015,743
Bank5 2023-5Yr3:
sequential payer Series 2023-5YR3 Class A3, 6.724% 9/15/56	4,200,000	4,439,250
Series 2023-5YR3:
Class A/S, 7.3154% 9/15/56 (d)	500,000	534,993
Class B, 7.3154% 9/15/56 (d)	312,000	328,187
Class C, 7.3154% 9/15/56 (d)	312,000	311,699
Bank5 2023-5Yr4 Series 2023-5YR4 Class C, 7.5344% 12/15/56 (d)	604,000	604,040
Barclays Commercial Mortgage Securities sequential payer Series 2021-C12 Class A5, 2.689% 11/15/54	283,000	239,561
Barclays Commercial Mortgage Securities LLC Series 2019-C5 Class D, 2.5% 11/15/52 (b)	188,000	130,167
BBCMS 2021-Agw Mtg Trust sequential payer Series 2024-C24:
Class B, 5.718% 2/15/57	445,000	445,563
Class C, 6% 2/15/57	191,000	187,488
BBCMS Mortgage Trust:
sequential payer:
Series 2020-C8 Class E, 2.25% 10/15/53 (b)	830,000	447,952
Series 2021-C10 Class ASB, 2.268% 7/15/54	2,000,000	1,786,730
Series 2022-C14 Class A5, 2.946% 2/15/55	1,388,000	1,186,550
Series 2022-C17 Class A5, 4.441% 9/15/55	1,426,000	1,360,708
Series 2022-C18 Class A5, 5.71% 12/15/55	1,593,000	1,659,106
Series 2023-C19 Class A5, 5.451% 4/15/56	1,016,000	1,040,330
Series 2023-C20 Class A5, 5.576% 7/15/56	886,000	916,338
Series 2023-C21:
Class A/S, 6.2963% 9/15/56 (d)	625,000	658,308
Class A3, 6.2963% 9/15/56 (d)	1,900,000	1,988,564
Series 2023-C22 Class C, 7.1261% 11/15/56 (d)	1,592,000	1,672,798
Series 2016-ETC:
Class D, 3.6089% 8/14/36 (b)(d)	483,000	395,258
Class E, 3.6089% 8/14/36 (b)(d)	363,000	277,906
Series 2019-C3 Class C, 4.178% 5/15/52	273,000	218,862
Series 2020-C7:
Class A/S, 2.444% 4/15/53	128,000	104,805
Class B, 3.152% 4/15/53	481,000	386,482
Series 2022-C15, Class A5, 3.662% 4/15/55	1,203,000	1,079,148
Series 2022-C16:
Class A5, 4.6% 6/15/55	1,816,000	1,753,283
Class B, 4.6% 6/15/55	441,000	387,366
Series 2022-C17 Class B, 4.889% 9/15/55	588,000	540,477
Series 2022-C18, Class B, 6.149% 12/15/55 (d)	756,000	760,650
Series 2023 C19 Class B, 6.3326% 4/15/56 (d)	478,000	474,911
Series 2023-5C23 Class B, 7.4547% 12/15/56 (d)	828,000	871,895
Series 2023-C21 Class C, 6.2963% 9/15/56 (d)	1,252,000	1,190,455
Benchmark 2023-V3 Mtg Trust sequential payer Series 2023-V3 Class A3, 6.3629% 7/15/56	1,400,000	1,461,373
Benchmark 2024-V5 Mortgage Trust sequential payer Series 2024-V5:
Class A3, 5.8053% 1/10/57	4,900,000	5,029,865
Class B, 6.0594% 1/10/57 (d)	445,000	446,477
Class C, 6.9726% 1/10/57 (d)	550,000	561,545
Benchmark Mortgage Trust:
sequential payer:
Series 2018-B4 Class A5, 4.121% 7/15/51	1,536,000	1,463,309
Series 2019-B14:
Class 225D, 3.2943% 12/15/62 (b)(d)	399,000	8,016
Class 225E, 3.2943% 12/15/62 (b)(d)(h)	269,000	2,769
Series 2019-B15 Class AAB, 2.859% 12/15/72	1,600,000	1,501,144
Series 2020-B20 Class E, 2% 10/15/53 (b)	588,000	286,692
Series 2020-B21 Class A5, 1.9775% 12/17/53	849,000	686,199
Series 2020-B22, Class A5, 1.973% 1/15/54	590,000	474,541
Series 2021-B29, Class A5, 2.3879% 9/15/54	1,716,000	1,414,141
Series 2022-B34 Class A5, 3.786% 4/15/55	532,000	466,526
Series 2022-B36 Class A5, 4.4699% 7/15/55	619,000	589,009
Series 2022-B37 Class A5, 5.9426% 11/15/55 (d)	719,000	751,573
Series 2023-B38 Class A4, 5.5246% 4/15/56	613,000	628,142
Series 2023-B39 Class A5, 5.7536% 7/15/56	1,361,000	1,419,247
Series 2023-C5 Class A5, 5.7653% 6/15/56	766,700	799,780
Series 2023-V4 Class A3, 6.8409% 11/15/56	6,667,000	7,083,862
Series 2018-B6 Class D, 3.094% 10/10/51 (b)(d)	613,000	355,687
Series 2018-B7 Class D, 3% 5/15/53 (b)(d)	351,000	248,487
Series 2019-B12 Class B, 3.5702% 8/15/52	462,000	388,566
Series 2019-B13 Class D, 2.5% 8/15/57 (b)	672,000	443,321
Series 2019-B14 Class XA, 0.7701% 12/15/62 (d)(p)	16,673,719	422,382
Series 2020-B18:
Class AGNG, 4.3885% 7/15/53 (b)(d)	1,113,000	976,000
Class D, 2.25% 7/15/53 (b)	777,000	465,119
Series 2020-B21:
Class A/S, 2.2543% 12/17/53	335,000	267,436
Class D, 2% 12/17/53 (b)(h)	446,000	264,866
Series 2020-IG2:
Class C, 3.2931% 9/15/48 (b)(d)	315,000	167,243
Class D, 3.2931% 9/15/48 (b)(d)	1,503,000	516,554
Series 2020-IG3 Class 825E, 3.0763% 9/15/48 (b)(d)	789,000	539,325
Series 2021-B25:
Class 300D, 2.9942% 4/15/54 (b)(d)	850,000	543,927
Class 300E, 2.9942% 4/15/54 (b)(d)	282,000	185,649
Series 2021-B27 Class XA, 1.2588% 7/15/54 (d)(p)	11,281,852	674,488
Series 2022 B37 Class B, 5.7508% 11/15/55 (d)	434,000	416,515
Series 2022-B35 Class D, 2.5% 5/15/55 (b)(h)	949,000	557,938
Series 2022-B36:
Class A/S, 4.9505% 7/15/55	618,000	576,686
Class D, 2.5% 7/15/55 (b)	712,000	400,829
Series 2022-B37 Class C, 5.9426% 11/15/55 (d)	823,000	683,340
Series 2023 B38:
Class B, 6.2446% 4/15/56 (d)	598,000	597,272
Class C, 6.2446% 4/15/56 (d)	800,000	686,844
Series 2023-B39 Class C, 6.5746% 7/15/56 (d)	926,000	917,685
Series 2023-V2 Class A/S, 6.5374% 5/15/55	412,000	424,330
Series 2023-V4:
Class B, 7.4604% 11/15/56 (d)	606,000	640,012
Class C, 7.4604% 11/15/56 (d)	606,000	620,472
BHP Trust floater Series 2019-BXHP Class F, CME Term SOFR 1 Month Index + 2.980% 8.303% 8/15/36 (b)(d)(e)	319,900	314,649
BLP Commercial Mortgage Trust:
floater Series 2024-IND2 Class D, CME Term SOFR 1 Month Index + 2.590% 7.8904% 3/15/41 (b)(d)(e)	629,000	629,197
sequential payer Series 2024-IND2 Class A, CME Term SOFR 1 Month Index + 1.340% 6.6422% 3/15/41 (b)(d)(e)	7,279,000	7,273,218
BMO 2024-5C3 Mortgage Trust Series 2024-5C3:
Class B, 6.5567% 2/15/57 (d)	599,000	612,645
Class C, 6.8592% 2/15/57 (d)	158,000	158,449
BMO Mortgage Trust:
sequential payer:
Series 2022-C1 Class A5, 3.374% 2/15/55	1,650,000	1,454,376
Series 2023-5C1 Class A3, 6.534% 8/15/56	5,500,000	5,753,639
Series 2023-C6 Class A5, 5.9562% 9/15/56	626,000	661,569
Series 2022-C1:
Class 360D, 3.9387% 2/17/55 (b)(d)(h)	441,000	279,209
Class 360E, 3.9387% 2/17/55 (b)(d)	546,000	330,611
Series 2022-C3 Class D, 2.5% 9/15/54 (b)	361,000	193,573
Series 2023-5C1:
Class A/S, 7.1177% 8/15/56 (d)	1,680,000	1,762,330
Class B, 6.96% 8/15/56 (d)	279,000	283,528
Series 2023-5C2 Class A5, 7.244% 11/15/56 (d)	1,255,000	1,339,160
Series 2023-C4:
Class B, 5.3961% 2/15/56 (d)	473,000	466,043
Class C, 5.8632% 2/15/56 (d)	1,315,000	1,282,616
Class D, 5.8632% 2/15/56 (b)(d)(h)	294,000	231,216
Series 2023-C6 Class A/S, 6.5504% 9/15/56 (d)	620,000	655,310
Series 2023-C7 Class C, 7.1229% 12/15/56 (d)	486,000	500,276
BPR 2023-STON Mortgage Trust sequential payer Series 2023-STON Class A, 7.497% 12/5/39 (b)	577,000	599,025
BPR Trust floater Series 2022-OANA:
Class A, CME Term SOFR 1 Month Index + 1.890% 7.2156% 4/15/37 (b)(d)(e)	34,231,000	34,336,808
Class B, CME Term SOFR 1 Month Index + 2.440% 7.7646% 4/15/37 (b)(d)(e)	10,615,000	10,598,414
Class D, CME Term SOFR 1 Month Index + 3.690% 9.0126% 4/15/37 (b)(d)(e)	1,327,000	1,315,498
Braemar Hotels & Resorts Trust floater Series 2018-PRME Class E, CME Term SOFR 1 Month Index + 2.570% 7.89% 6/15/35 (b)(d)(e)	168,000	162,622
BX Commercial Mortgage Trust:
floater:
Series 2017-APPL Class F, PRIME RATE + 1.310% 9.944% 7/15/34 (b)(d)(e)	208,291	207,124
Series 2019-CALM Class E, CME Term SOFR 1 Month Index + 2.110% 7.4325% 11/15/32 (b)(d)(e)	149,800	148,021
Series 2019-IMC:
Class B, CME Term SOFR 1 Month Index + 1.340% 6.6643% 4/15/34 (b)(d)(e)	6,526,000	6,502,352
Class C, CME Term SOFR 1 Month Index + 1.640% 6.9643% 4/15/34 (b)(d)(e)	4,315,000	4,295,227
Class D, CME Term SOFR 1 Month Index + 1.940% 7.2643% 4/15/34 (b)(d)(e)	4,529,000	4,503,780
Class G, CME Term SOFR 1 Month Index + 3.640% 8.9643% 4/15/34 (b)(d)(e)	861,000	851,944
Series 2019-XL:
Class C, CME Term SOFR 1 Month Index + 1.360% 6.6821% 10/15/36 (b)(d)(e)	4,937,075	4,927,818
Class D, CME Term SOFR 1 Month Index + 1.560% 6.8821% 10/15/36 (b)(d)(e)	15,080,700	15,042,998
Class E, CME Term SOFR 1 Month Index + 1.910% 7.2321% 10/15/36 (b)(d)(e)	21,532,200	21,464,912
Class F, CME Term SOFR 1 Month Index + 2.110% 7.4321% 10/15/36 (b)(d)(e)	1,955,000	1,947,669
Class J, CME Term SOFR 1 Month Index + 2.760% 8.0821% 10/15/36 (b)(d)(e)	5,355,000	5,224,473
Series 2020-VKNG:
Class E, CME Term SOFR 1 Month Index + 2.210% 7.5325% 10/15/37 (b)(d)(e)	262,500	259,875
Class F, CME Term SOFR 1 Month Index + 2.860% 8.1825% 10/15/37 (b)(d)(e)	695,100	680,042
Class G, CME Term SOFR 1 Month Index + 3.360% 8.6825% 10/15/37 (b)(d)(e)	615,300	596,373
Series 2021 LBA, Class GV, CME Term SOFR 1 Month Index + 3.110% 8.4325% 2/15/36 (b)(d)(e)	646,882	621,064
Series 2021-ACNT Class G, CME Term SOFR 1 Month Index + 3.400% 8.7275% 11/15/38 (b)(d)(e)	661,880	642,606
Series 2021-BXMF Class G, CME Term SOFR 1 Month Index + 3.460% 8.782% 10/15/26 (b)(d)(e)	1,753,991	1,675,062
Series 2021-LBA:
Class AJV, CME Term SOFR 1 Month Index + 0.910% 6.2325% 2/15/36 (b)(d)(e)	1,400,000	1,390,375
Class DJV, CME Term SOFR 1 Month Index + 1.710% 7.0325% 2/15/36 (b)(d)(e)	287,000	281,260
Class DV, CME Term SOFR 1 Month Index + 1.710% 7.0325% 2/15/36 (b)(d)(e)	1,013,027	991,817
Class FJV, CME Term SOFR 1 Month Index + 2.510% 7.8325% 2/15/36 (b)(d)(e)	534,000	517,252
Class FV, CME Term SOFR 1 Month Index + 2.510% 7.8325% 2/15/36 (b)(d)(e)	865,146	841,572
Class GJV, CME Term SOFR 1 Month Index + 3.110% 8.4325% 2/15/36 (b)(d)(e)	1,572,000	1,504,289
Series 2021-MC Class G, CME Term SOFR 1 Month Index + 3.200% 8.5193% 4/15/34 (b)(d)(e)	397,500	330,779
Series 2021-PAC:
Class A, CME Term SOFR 1 Month Index + 0.800% 6.1216% 10/15/36 (b)(d)(e)	19,900,000	19,694,781
Class B, CME Term SOFR 1 Month Index + 1.010% 6.3313% 10/15/36 (b)(d)(e)	2,565,000	2,521,716
Class C, CME Term SOFR 1 Month Index + 1.210% 6.5311% 10/15/36 (b)(d)(e)	3,433,000	3,355,758
Class D, CME Term SOFR 1 Month Index + 1.410% 6.7308% 10/15/36 (b)(d)(e)	3,333,000	3,237,176
Class E, CME Term SOFR 1 Month Index + 2.060% 7.38% 10/15/36 (b)(d)(e)	11,589,000	11,357,220
Class G, CME Term SOFR 1 Month Index + 3.060% 8.3786% 10/15/36 (b)(d)(e)	798,000	762,782
Series 2021-SOAR:
Class F, CME Term SOFR 1 Month Index + 2.460% 7.7825% 6/15/38 (b)(d)(e)	1,170,518	1,150,034
Class G, CME Term SOFR 1 Month Index + 2.910% 8.2325% 6/15/38 (b)(d)(e)	2,111,523	2,058,735
Class J, CME Term SOFR 1 Month Index + 3.860% 9.1825% 6/15/38 (b)(d)(e)	1,485,658	1,449,100
Series 2021-VINO:
Class F, CME Term SOFR 1 Month Index + 2.910% 8.2348% 5/1/38 (b)(d)(e)	831,411	814,783
Class G, CME Term SOFR 1 Month Index + 4.060% 9.3848% 5/1/38 (b)(d)(e)	1,496,540	1,473,180
Series 2021-VOLT:
Class F, CME Term SOFR 1 Month Index + 2.510% 7.8321% 9/15/36 (b)(d)(e)	2,221,000	2,189,094
Class G, CME Term SOFR 1 Month Index + 2.960% 8.2821% 9/15/36 (b)(d)(e)	2,753,000	2,693,522
Series 2022-IND Class A, CME Term SOFR 1 Month Index + 1.490% 6.8086% 4/15/37 (b)(d)(e)	15,329,953	15,329,953
Series 2022-LBA6:
Class E, CME Term SOFR 1 Month Index + 2.700% 8.0176% 1/15/39 (b)(d)(e)	824,000	807,520
Class F, CME Term SOFR 1 Month Index + 3.350% 8.6676% 1/15/39 (b)(d)(e)	1,160,000	1,143,179
Class G, CME Term SOFR 1 Month Index + 4.200% 9.5176% 1/15/39 (b)(d)(e)	378,000	371,212
Series 2022-LP2:
Class A, CME Term SOFR 1 Month Index + 1.010% 6.3305% 2/15/39 (b)(d)(e)	19,301,844	19,163,112
Class B, CME Term SOFR 1 Month Index + 1.310% 6.6299% 2/15/39 (b)(d)(e)	6,921,291	6,834,775
Class C, CME Term SOFR 1 Month Index + 1.560% 6.8793% 2/15/39 (b)(d)(e)	5,815,913	5,721,405
Class D, CME Term SOFR 1 Month Index + 1.960% 7.2784% 2/15/39 (b)(d)(e)	5,815,913	5,719,587
Class G, CME Term SOFR 1 Month Index + 4.100% 9.4234% 2/15/39 (b)(d)(e)	1,555,419	1,531,276
Series 2023-XL3:
Class A, CME Term SOFR 1 Month Index + 1.760% 7.0791% 12/9/40 (b)(d)(e)	11,505,000	11,584,097
Class B, CME Term SOFR 1 Month Index + 2.190% 7.5085% 12/9/40 (b)(d)(e)	2,543,000	2,562,867
Class C, CME Term SOFR 1 Month Index + 2.640% 7.9578% 12/9/40 (b)(d)(e)	1,378,000	1,388,766
Class D, CME Term SOFR 1 Month Index + 3.580% 8.9064% 12/9/40 (b)(d)(e)	1,489,000	1,500,168
Series 2024-MF:
Class D, CME Term SOFR 1 Month Index + 2.680% 7.9898% 2/15/39 (b)(d)(e)	528,000	528,000
Class E, CME Term SOFR 1 Month Index + 3.730% 9.0383% 2/15/39 (b)(d)(e)	1,188,000	1,190,196
floater sequential payer:
Series 2019-CALM Class A, CME Term SOFR 1 Month Index + 0.990% 6.3085% 11/15/32 (b)(d)(e)	582,243	581,333
Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.040% 6.3643% 4/15/34 (b)(d)(e)	8,333,000	8,310,772
sequential payer Series 2019-OC11 Class A, 3.202% 12/9/41 (b)	1,771,000	1,564,601
Series 2019-OC11:
Class D, 3.944% 12/9/41 (b)(d)	84,000	72,846
Class E, 3.944% 12/9/41 (b)(d)	5,912,000	5,002,057
Series 2020-VIVA:
Class D, 3.5488% 3/11/44 (b)(d)	2,936,000	2,461,278
Class E, 3.5488% 3/11/44 (b)(d)	2,839,000	2,307,356
BX Commercial Mortgage Trust 2024-Xl4:
floater Series 2024-XL4:
Class B, CME Term SOFR 1 Month Index + 1.790% 7.1092% 2/15/39 (b)(d)(e)	2,186,000	2,183,268
Class E, CME Term SOFR 1 Month Index + 4.180% 9.5057% 2/15/39 (b)(d)(e)	1,966,000	1,965,017
floater sequential payer Series 2024-XL4 Class A, CME Term SOFR 1 Month Index + 1.440% 6.7597% 2/15/39 (b)(d)(e)	17,577,000	17,577,000
BX Commerical Mortgage Trust:
floater Series 2019-ATL Class E, CME Term SOFR 1 Month Index + 2.350% 7.6691% 10/15/36 (b)(d)(e)	546,000	529,620
floater sequential payer Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.1025% 6/15/38 (b)(d)(e)	6,444,031	6,383,618
BX Trust floater:
Series 2021-MFM1:
Class F, CME Term SOFR 1 Month Index + 3.110% 8.4325% 1/15/34 (b)(d)(e)	1,623,709	1,592,686
Class G, CME Term SOFR 1 Month Index + 4.010% 9.3325% 1/15/34 (b)(d)(e)	87,354	84,844
Series 2022-GPA:
Class A, CME Term SOFR 1 Month Index + 2.160% 7.4826% 8/15/39 (b)(d)(e)	11,443,309	11,472,006
Class D, CME Term SOFR 1 Month Index + 4.060% 9.3786% 8/15/43 (b)(d)(e)	1,429,918	1,433,492
Series 2022-IND:
Class B, CME Term SOFR 1 Month Index + 1.940% 7.2576% 4/15/37 (b)(d)(e)	6,901,005	6,898,835
Class C, CME Term SOFR 1 Month Index + 2.290% 7.6076% 4/15/37 (b)(d)(e)	1,557,032	1,555,086
Class D, CME Term SOFR 1 Month Index + 2.830% 8.1566% 4/15/37 (b)(d)(e)	1,303,651	1,301,206
Class F, CME Term SOFR 1 Month Index + 4.780% 10.1036% 4/15/37 (b)(d)(e)	1,786,683	1,773,712
Series 2022-VAMF Class F, CME Term SOFR 1 Month Index + 3.290% 8.6166% 1/15/39 (b)(d)(e)	443,000	412,491
BXP Trust Series 2021-601L Class E, 2.7755% 1/15/44 (b)(d)	189,000	105,766
BXSC Commercial Mortgage Trust floater Series 2022-WSS Class F, 10.647% 3/15/35 (b)(d)	1,534,000	1,515,304
CALI Mortgage Trust Series 2019-101C Class F, 4.3244% 3/10/39 (b)(d)	976,000	530,821
CAMB Commercial Mortgage Trust floater Series 2019-LIFE:
Class F, CME Term SOFR 1 Month Index + 2.840% 8.165% 12/15/37 (b)(d)(e)	100,000	98,875
Class G, CME Term SOFR 1 Month Index + 3.540% 8.865% 12/15/37 (b)(d)(e)	3,620,500	3,569,821
CD Mortgage Trust Series 2017-CD3:
Class C, 4.5385% 2/10/50 (d)	813,000	392,076
Class D, 3.25% 2/10/50 (b)	735,000	252,434
CEDR Commercial Mortgage Trust floater Series 2022-SNAI Class F, CME Term SOFR 1 Month Index + 3.610% 8.9311% 2/15/39 (b)(d)(e)	2,211,000	1,835,433
CF Hippolyta Issuer LLC sequential payer Series 2021-1A Class A1, 1.53% 3/15/61 (b)	17,851,842	16,017,415
CFCRE Commercial Mortgage Trust sequential payer Series 2016-C7 Class A2, 3.5853% 12/10/54	1,838,716	1,734,995
CGDB Commercial Mortgage Trust floater Series 2019-MOB:
Class A, CME Term SOFR 1 Month Index + 1.060% 6.3825% 11/15/36 (b)(d)(e)	5,780,000	5,714,826
Class B, CME Term SOFR 1 Month Index + 1.360% 6.6825% 11/15/36 (b)(d)(e)	1,600,000	1,542,636
Cgms Commercial Mortgage Trust sequential payer Series 2017-B1 Class A3, 3.197% 8/15/50	2,128,823	1,983,868
Citigroup Commercial Mortgage Trust:
sequential payer:
Series 2019-C7 Class A4, 3.102% 12/15/72	903,000	803,065
Series 2019-GC41 Class AAB, 2.7198% 8/10/56	5,700,000	5,341,247
Series 2020-GC46 Class AAB, 2.614% 2/15/53	3,500,000	3,256,275
Series 2015-GC27 Class A5, 3.137% 2/10/48	7,500,000	7,357,980
Series 2015-GC29 Class XA, 1.0112% 4/10/48 (d)(p)	17,943,296	138,490
Series 2015-GC33 Class XA, 0.8676% 9/10/58 (d)(p)	28,507,866	293,081
Series 2016-P4 Class D, 3.9465% 7/10/49 (b)(d)	965,000	743,050
Series 2016-P6 Class XA, 0.555% 12/10/49 (d)(p)	20,956,794	255,275
Series 2019-GC41 Class D, 3% 8/10/56 (b)	546,000	383,010
Series 2020-420K:
Class D, 3.3118% 11/10/42 (b)(d)	280,000	230,372
Class E, 3.3118% 11/10/42 (b)(d)	567,000	451,572
Series 2022-GC48 Class D, 2.5% 6/15/55 (b)	1,029,000	592,026
Series 2023-PRM3 Class D, 6.3597% 7/10/28 (b)(d)	676,000	650,005
Series 2023-SMRT Class D, 5.8524% 10/12/40 (b)(d)	1,212,000	1,166,805
COMM Mortgage Trust:
floater Series 2018-HCLV:
Class F, CME Term SOFR 1 Month Index + 3.340% 8.664% 9/15/33 (b)(d)(e)	267,000	131,779
Class G, CME Term SOFR 1 Month Index + 5.350% 10.6703% 9/15/33 (b)(d)(e)(h)	300,000	117,900
sequential payer:
Series 2013-LC6 Class E, 3.5% 1/10/46 (b)	527,000	476,936
Series 2014-CR18 Class A5, 3.828% 7/15/47	2,597,927	2,580,897
Series 2012-CR1:
Class D, 5.1686% 5/15/45 (b)(d)	851,462	661,697
Class G, 2.462% 5/15/45 (b)(h)	108,136	1,625
Series 2012-LC4 Class C, 5.3735% 12/10/44 (d)	94,000	79,665
Series 2013-LC6 Class D, 3.9551% 1/10/46 (b)(d)	313,394	294,591
Series 2014-CR15 Class D, 4.1405% 2/10/47 (b)(d)	173,000	150,510
Series 2014-CR20:
Class AM, 3.938% 11/10/47	156,000	150,911
Class C, 4.4468% 11/10/47 (d)	635,000	598,173
Class XA, 0.9224% 11/10/47 (d)(p)	32,701,616	56,531
Series 2014-LC17 Class XA, 0.645% 10/10/47 (d)(p)	20,200,689	25,558
Series 2014-UBS2 Class D, 4.9312% 3/10/47 (b)(d)	542,000	449,860
Series 2014-UBS6 Class XA, 0.8226% 12/10/47 (d)(p)	37,762,632	97,869
Series 2015-3BP Class F, 3.2384% 2/10/35 (b)(d)	845,000	723,968
Series 2015-LC19:
Class B, 3.829% 2/10/48	100,000	93,501
Class D, 2.867% 2/10/48 (b)	1,230,000	1,060,276
Series 2017-CD4 Class D, 3.3% 5/10/50 (b)	173,000	115,741
Series 2019-CD4 Class C, 4.3497% 5/10/50 (d)	739,000	564,660
COMM Trust Series 2017-COR2 Class D, 3% 9/10/50 (b)	202,000	151,964
Commercial Mortgage Trust Series 2016-CD2:
Class C, 3.9777% 11/10/49 (d)	352,000	288,177
Class D, 2.7277% 11/10/49 (d)(h)	299,000	156,957
Commercial Mortgage Trust pass-thru certificates:
Series 2012-CR2:
Class E, 4.535% 8/15/45 (b)(d)	276,491	268,613
Class F, 4.25% 8/15/45 (b)	1,110,000	899,101
Series 2014-CR2 Class G, 4.25% 8/15/45 (b)	286,000	135,850
CPT Mortgage Trust sequential payer Series 2019-CPT:
Class E, 2.9968% 11/13/39 (b)(d)	714,000	459,664
Class F, 2.9968% 11/13/39 (b)(d)	651,000	380,959
Credit Suisse Commercial Mortgage Trust floater Series 2021-SOP2 Class F, CME Term SOFR 1 Month Index + 4.330% 9.649% 6/15/34 (b)(e)(h)	636,000	282,331
Credit Suisse Mortgage Trust:
floater Series 2019-ICE4:
Class A, CME Term SOFR 1 Month Index + 1.020% 6.345% 5/15/36 (b)(d)(e)	3,591,066	3,591,095
Class B, CME Term SOFR 1 Month Index + 1.270% 6.595% 5/15/36 (b)(d)(e)	9,024,548	9,023,107
Class C, CME Term SOFR 1 Month Index + 1.470% 6.795% 5/15/36 (b)(d)(e)	5,178,117	5,177,938
Class F, CME Term SOFR 1 Month Index + 2.690% 8.015% 5/15/36 (b)(d)(e)	377,062	375,583
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b)	3,920,754	3,630,851
Series 2021-BRIT Class A, CME Term SOFR 1 Month Index + 3.570% 8.8917% 5/15/26 (b)(d)(e)	815,650	743,318
CSAIL 2018-CX12 Commercial Mortgage Trust sequential payer Series 2018-CX12 Class A3, 3.9585% 8/15/51	2,260,000	2,131,533
CSAIL Commercial Mortgage Trust:
sequential payer Series 2017-CX10 Class ASB, 3.3269% 11/15/50	4,014,679	3,906,734
Series 2017-C8 Class D, 4.4151% 6/15/50 (b)(d)	701,000	518,992
Series 2018-CX11 Class C, 4.8221% 4/15/51 (d)	282,000	249,636
Series 2019-C16 Class C, 4.2371% 6/15/52 (d)	630,000	525,168
Series 2019-C18 Class A/S, 3.3214% 12/15/52	480,000	412,803
CSMC Series 2019-UVIL Class E, 3.2833% 12/15/41 (b)(d)	1,925,000	1,497,312
DBGS Mortgage Trust:
Series 2018-C1 Class C, 4.648% 10/15/51 (d)	189,000	158,804
Series 2019-1735 Class F, 4.1946% 4/10/37 (b)(d)	665,000	364,228
DBJPM Mortgage Trust Series 2020-C9:
Class AM, 2.34% 8/15/53	361,000	289,837
Class D, 2.25% 9/15/53 (b)	212,000	130,114
DBUBS Mortgage Trust Series 2011-LC3A Class D, 5.3897% 8/10/44 (b)(d)	378,677	338,543
DC Office Trust Series 2019-MTC Class E, 3.072% 9/15/45 (b)(d)	250,000	135,488
Deutsche Bank Commercial Mortgage Trust Series 2016-C3 Class C, 3.4793% 8/10/49 (d)	218,000	163,673
DTP Commercial Mortgage Trust 2023-Ste2 sequential payer Series 2023-STE2:
Class A, 6.038% 1/15/41 (b)(d)	3,443,000	3,391,358
Class C, 6.6891% 1/15/41 (b)(d)	350,000	333,891
Class D, 6.9552% 1/15/41 (b)(d)	2,165,000	2,046,865
Class E, 5.9685% 1/15/41 (b)(d)	458,000	398,910
ELP Commercial Mortgage Trust floater Series 2021-ELP:
Class A, CME Term SOFR 1 Month Index + 0.810% 6.1335% 11/15/38 (b)(d)(e)	23,425,733	23,191,476
Class B, CME Term SOFR 1 Month Index + 1.230% 6.5527% 11/15/38 (b)(d)(e)	6,157,832	6,090,481
Class F, CME Term SOFR 1 Month Index + 2.780% 8.0995% 11/15/38 (b)(d)(e)	2,669,892	2,633,181
Class G, CME Term SOFR 1 Month Index + 3.230% 8.5485% 11/15/38 (b)(d)(e)	1,122,693	1,081,412
Class J, CME Term SOFR 1 Month Index + 3.720% 9.0474% 11/15/38 (b)(d)(e)	2,115,538	2,023,106
Extended Stay America Trust floater Series 2021-ESH:
Class A, CME Term SOFR 1 Month Index + 1.190% 6.5125% 7/15/38 (b)(d)(e)	6,927,239	6,918,591
Class B, CME Term SOFR 1 Month Index + 1.490% 6.8125% 7/15/38 (b)(d)(e)	3,945,084	3,938,920
Class C, CME Term SOFR 1 Month Index + 1.810% 7.1325% 7/15/38 (b)(d)(e)	2,908,012	2,903,469
Class D, CME Term SOFR 1 Month Index + 2.360% 7.6825% 7/15/38 (b)(d)(e)	12,681,021	12,661,092
Class F, CME Term SOFR 1 Month Index + 3.810% 9.1325% 7/15/38 (b)(d)(e)	3,729,066	3,722,077
Freddie Mac:
sequential payer:
Series 2015-K043 Class A2, 3.062% 12/25/24	9,597,585	9,420,766
Series 2015-K049 Class A2, 3.01% 7/25/25	1,450,000	1,410,002
Series 2016-K055 Class A2, 2.673% 3/25/26	17,300,000	16,562,553
Series 2019-K736 Class A2, 2.282% 7/25/26	9,300,000	8,799,825
Series 2020-K117 Class A2, 1.406% 8/25/30	2,700,000	2,206,138
Series 2021-K126 Class A2, 2.074% 1/25/31	13,300,000	11,250,837
Series 2022-K750 Class A2, 3% 9/25/29	5,900,000	5,430,122
Series 2023-160 Class A1, 4.68% 10/25/32	4,490,489	4,432,307
Series 2023-K751 Class A2, 4.412% 3/25/30	2,300,000	2,257,004
Series 2023-K754 Class A2, 4.94% 11/25/30	3,700,000	3,728,751
Series 2017-K068 Class A2, 3.244% 8/25/27	9,929,000	9,472,245
Series 2022 K748 Class A2, 2.26% 1/25/29	22,550,000	20,133,120
Series K063 Class A2, 3.43% 1/25/27	800,000	771,980
Series K086 Class A2, 3.859% 11/25/28	3,898,000	3,753,605
FS Commercial Mortgage Trust Series 2023-4SZN:
Class C, 8.1209% 11/10/39 (b)(d)	1,356,000	1,405,077
Class D, 9.0801% 11/10/39 (b)(d)	314,000	324,643
GS Mortgage Securities Trust:
floater:
Series 2018-3PCK Class A, CME Term SOFR 1 Month Index + 2.060% 7.3825% 9/15/31 (b)(d)(e)	8,543,699	8,504,202
Series 2018-HART Class A, CME Term SOFR 1 Month Index + 1.140% 6.463% 10/15/31 (b)(d)(e)	1,025,654	1,000,013
Series 2021-IP:
Class A, CME Term SOFR 1 Month Index + 1.060% 6.3825% 10/15/36 (b)(d)(e)	13,201,000	13,011,541
Class B, CME Term SOFR 1 Month Index + 1.260% 6.5825% 10/15/36 (b)(d)(e)	1,550,000	1,505,438
Class C, CME Term SOFR 1 Month Index + 1.660% 6.9825% 10/15/36 (b)(d)(e)	1,277,000	1,225,937
sequential payer:
Series 2017-GS6 Class A2, 3.164% 5/10/50	1,238,364	1,160,377
Series 2017-GS8 Class AAB, 3.313% 11/10/50	4,687,982	4,549,052
Series 2018-GS9 Class A4, 3.992% 3/10/51	1,900,000	1,764,546
Series 2019-GSA1 Class A4, 3.0479% 11/10/52	1,181,000	1,056,148
Series 2020-GC45 Class A5, 2.9106% 2/13/53	1,143,000	1,005,524
Series 2023-SHIP:
Class D, 6.0706% 9/10/38 (b)(d)	991,000	968,693
Class E, 7.4336% 9/10/38 (b)(d)	1,733,000	1,691,447
Series 2010-C1:
Class B, 5.148% 8/10/43 (b)	27,361	27,227
Class X, 0.4452% 8/10/43 (b)(d)(p)	221,635	285
Series 2011-GC5:
Class C, 5.1526% 8/10/44 (b)(d)	505,077	375,894
Class D, 5.1526% 8/10/44 (b)(d)	342,592	124,219
Class E, 5.1526% 8/10/44 (b)(d)	424,043	47,380
Class F, 4.5% 8/10/44 (b)(h)	733,782	2,201
Series 2012-GCJ9:
Class D, 4.7543% 11/10/45 (b)(d)	872,059	795,250
Class E, 4.7543% 11/10/45 (b)(d)(h)	510,000	425,646
Series 2013-GC10 Class D, 4.5366% 2/10/46 (b)(d)	334,000	296,752
Series 2014-GC20 Class XA, 0.8435% 4/10/47 (d)(p)	9,818,521	418
Series 2015-GC34 Class XA, 1.1931% 10/10/48 (d)(p)	8,657,257	125,463
Series 2016-GS2 Class D, 2.753% 5/10/49 (b)	386,000	328,354
Series 2016-GS4 Class C, 3.9517% 11/10/49 (d)	264,000	217,103
Series 2018-GS9 Class D, 3% 3/10/51 (b)	476,000	344,060
Series 2019-GC38 Class D, 3% 2/10/52 (b)	543,000	402,496
Series 2019-GC39 Class D, 3% 5/10/52 (b)	672,000	392,079
Series 2019-GC42:
Class C, 3.6917% 9/10/52 (d)	350,000	284,194
Class D, 2.8% 9/10/52 (b)	727,000	476,827
Series 2019-GS5 Class C, 4.299% 3/10/50 (d)	651,000	447,959
Series 2020-GC45:
Class D, 2.85% 2/13/53 (b)	525,000	352,948
Class SWD, 3.2185% 12/13/39 (b)(d)	399,000	298,706
Series 2020-GC47 Class D, 3.4535% 5/12/53 (b)(d)	189,000	124,537
Hilton U.S.A. Trust Series 2016-HHV:
Class E, 4.1935% 11/5/38 (b)(d)	2,849,000	2,631,704
Class F, 4.1935% 11/5/38 (b)(d)	2,636,000	2,402,543
Home Partners of America Trust Series 2019-1:
Class E, 3.604% 9/17/39 (b)	312,502	279,954
Class F, 4.101% 9/17/39 (b)	78,321	69,205
Hudson Yards Mortgage Trust Series 2019-30HY Class E, 3.4431% 7/10/39 (b)(d)	483,000	385,666
IMT Trust Series 2017-APTS Class CFX, 3.4966% 6/15/34 (b)(d)	1,147,000	1,130,495
Independence Plaza Trust Series 2018-INDP Class E, 4.996% 7/10/35 (b)	592,000	549,059
Intown Mortgage Trust:
floater Series 2022-STAY Class E, CME Term SOFR 1 Month Index + 5.030% 10.3494% 8/15/39 (b)(d)(e)	614,000	616,303
floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 7.8066% 8/15/39 (b)(d)(e)	17,389,000	17,481,379
J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2022-NXSS Class D, CME Term SOFR 1 Month Index + 4.120% 9.4466% 9/15/39 (b)(d)(e)	934,000	936,622
JPMBB Commercial Mortgage Securities Trust:
sequential payer Series 2014-C23 Class A5, 3.9342% 9/15/47	4,252,000	4,203,842
Series 2014-C19 Class XA, 5.9231% 4/15/47 (d)(p)	1,045,858	261
Series 2014-C23 Class UH5, 4.7094% 9/15/47 (b)	106,000	100,209
Series 2014-C26 Class D, 3.8768% 1/15/48 (b)(d)	2,126,000	1,819,823
Series 2015-C30 Class XA, 0.4194% 7/15/48 (d)(p)	20,986,526	94,656
Series 2015-C32 Class C, 4.6665% 11/15/48 (d)	1,368,000	788,301
JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class D, 3.3828% 12/15/49 (b)(d)	696,000	481,783
JPMDB Commercial Mortgage Securities Trust:
sequential payer Series 2016-C4:
Class A2, 2.8822% 12/15/49	1,908,942	1,799,041
Class ASB, 2.9941% 12/15/49	2,175,469	2,101,878
Series 2016-C4:
Class C, 3.0423% 12/15/49 (d)	343,000	248,255
Class D, 3.0423% 12/15/49 (b)(d)	681,000	462,690
Series 2018-C8 Class D, 3.2637% 6/15/51 (b)(d)	223,000	150,425
Series 2019-COR6 Class D, 2.5% 11/13/52 (b)	315,000	185,398
Series 2020-COR7 Class D, 1.75% 5/13/53 (b)(h)	399,000	169,346
JPMorgan Chase Commercial Mortgage Securities Trust:
sequential payer Series 2019-OSB:
Class A, 3.3973% 6/5/39 (b)	887,000	792,397
Class D, 3.7828% 6/5/39 (b)(d)	496,000	424,834
Series 2011-C3:
Class E, 5.5255% 2/15/46 (b)(d)(h)	637,000	270,737
Class G, 4.409% 2/15/46 (b)(d)	202,000	23,430
Class H, 4.409% 2/15/46 (b)(d)(h)	453,000	31,318
Series 2012-CBX:
Class E, 4.6896% 6/15/45 (b)(d)	825,447	726,129
Class F, 4% 6/15/45 (b)(h)	615,000	489,950
Class G 4% 6/15/45 (b)(h)	674,000	456,073
Series 2013-LC11:
Class C, 3.9582% 4/15/46 (d)	584,000	411,895
Class D, 4.2033% 4/15/46 (d)	907,000	408,216
Class F, 3.25% 4/15/46 (b)(d)(h)	1,014,000	64,997
Series 2014-DSTY:
Class D, 3.8046% 6/10/27 (b)(d)(h)	516,000	1,292
Class E, 3.8046% 6/10/27 (b)(d)(h)	830,000	2,024
Series 2018-AON Class F, 4.6132% 7/5/31 (b)(d)	409,000	86,008
Series 2018-WPT:
Class AFX, 4.2475% 7/5/33 (b)	4,763,000	4,304,561
Class CFX, 4.9498% 7/5/33 (b)	1,323,000	1,048,698
Class DFX, 5.3503% 7/5/33 (b)	2,354,000	1,745,985
Class EFX, 5.3635% 7/5/33 (b)(d)	2,783,000	1,898,638
Class XAFX, 1.116% 7/5/33 (b)(d)(p)	19,961,000	493,440
Series 2019-OSB Class E, 3.7828% 6/5/39 (b)(d)	938,000	789,993
Series 2020-NNN:
Class EFX, 3.972% 1/16/37 (b)	401,000	184,460
Class FFX, 4.6254% 1/16/37 (b)	642,000	227,910
Class GFX, 4.8445% 1/16/37 (b)(d)	252,000	63,000
KNDR Trust floater Series 2021-KIND Class F, CME Term SOFR 1 Month Index + 4.060% 9.3845% 8/15/38 (b)(d)(e)	1,103,934	1,024,747
Ksl Commercial Mtg Trust 2023-Ht floater Series 2023-HT Class C, CME Term SOFR 1 Month Index + 3.430% 8.7562% 12/15/36 (b)(d)(e)	903,000	906,388
Life Financial Services Trust floater Series 2022-BMR2:
Class A1, CME Term SOFR 1 Month Index + 1.290% 6.6129% 5/15/39 (b)(d)(e)	26,961,000	26,725,091
Class B, CME Term SOFR 1 Month Index + 1.790% 7.1116% 5/15/39 (b)(d)(e)	16,119,000	15,937,661
Class C, CME Term SOFR 1 Month Index + 2.090% 7.4108% 5/15/39 (b)(d)(e)	9,032,000	8,919,100
Class D, CME Term SOFR 1 Month Index + 2.540% 7.8596% 5/15/39 (b)(d)(e)	8,027,000	7,660,768
LIFE Mortgage Trust floater Series 2021-BMR:
Class A, CME Term SOFR 1 Month Index + 0.810% 6.1325% 3/15/38 (b)(d)(e)	11,520,410	11,394,406
Class B, CME Term SOFR 1 Month Index + 0.990% 6.3125% 3/15/38 (b)(d)(e)	3,263,461	3,214,509
Class C, CME Term SOFR 1 Month Index + 1.210% 6.5325% 3/15/38 (b)(d)(e)	2,053,425	2,017,490
Class D, CME Term SOFR 1 Month Index + 1.510% 6.8325% 3/15/38 (b)(d)(e)	2,855,528	2,805,557
Class E, CME Term SOFR 1 Month Index + 1.860% 7.1825% 3/15/38 (b)(d)(e)	2,494,778	2,432,409
Market Mortgage Trust Series 2020-525M Class F, 2.9406% 2/12/40 (b)(d)	455,000	186,550
MED Trust floater Series 2021-MDLN:
Class F, CME Term SOFR 1 Month Index + 4.110% 9.4325% 11/15/38 (b)(d)(e)	1,073,846	1,064,453
Class G, CME Term SOFR 1 Month Index + 5.360% 10.6825% 11/15/38 (b)(d)(e)	2,520,902	2,483,088
Merit floater Series 2021-STOR:
Class A, CME Term SOFR 1 Month Index + 0.810% 6.1325% 7/15/38 (b)(d)(e)	1,900,000	1,883,375
Class E, CME Term SOFR 1 Month Index + 1.860% 7.1825% 7/15/38 (b)(d)(e)	317,000	311,849
Class F, CME Term SOFR 1 Month Index + 2.310% 7.6325% 7/15/38 (b)(d)(e)	3,157,000	3,093,860
Class G, CME Term SOFR 1 Month Index + 2.860% 8.1825% 7/15/38 (b)(d)(e)	790,000	770,250
Class J, CME Term SOFR 1 Month Index + 4.060% 9.3825% 7/15/38 (b)(d)(e)	724,000	707,154
MFT Trust Series 2020-B6 Class C, 3.2828% 8/10/40 (b)(d)(h)	399,000	222,764
MHC Commercial Mortgage Trust floater Series 2021-MHC:
Class F, CME Term SOFR 1 Month Index + 2.710% 8.0334% 4/15/38 (b)(d)(e)	1,158,489	1,144,008
Class G, CME Term SOFR 1 Month Index + 3.310% 8.6334% 4/15/38 (b)(d)(e)	2,268,323	2,234,297
MHP Commercial Mortgage Trust floater Series 2022-MHIL:
Class F, CME Term SOFR 1 Month Index + 3.250% 8.5768% 1/15/27 (b)(d)(e)	195,997	190,706
Class G, CME Term SOFR 1 Month Index + 3.950% 9.2751% 1/15/27 (b)(d)(e)	574,317	556,771
Mira Trust 2023-Mile sequential payer Series 2023-MILE Class B, 7.2026% 6/10/38 (b)	490,000	495,677
MOFT Trust Series 2020-ABC:
Class D, 3.4767% 2/10/42 (b)(d)	263,000	110,387
Class E, 3.4767% 2/10/42 (b)(d)	194,000	66,775
Morgan Stanley BAML Trust:
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31	386,000	228,451
Series 2012-C6 Class D, 4.5295% 11/15/45 (b)(d)	811,000	656,913
Series 2012-C6, Class F, 4.5295% 11/15/45 (b)(d)(h)	378,000	132,302
Series 2013-C12 Class D, 6.0566% 10/15/46 (b)(d)	713,000	596,632
Series 2013-C13 Class E, 5.0563% 11/15/46 (b)(d)	351,842	317,299
Series 2013-C7 Class C, 4.074% 2/15/46 (d)	36,239	34,572
Series 2013-C9:
Class C, 3.7278% 5/15/46 (d)	502,000	439,250
Class D, 3.8158% 5/15/46 (b)(d)	938,000	792,141
Class E, 3.8158% 5/15/46 (b)(d)(h)	402,000	267,330
Series 2014-C17 Class XA, 0.871% 8/15/47 (d)(p)	23,682,906	4,187
Series 2015-C25 Class XA, 1.0274% 10/15/48 (d)(p)	13,831,634	135,596
Series 2016-C30 Class C, 4.0414% 9/15/49 (d)	151,000	117,206
Series 2016-C31 Class C, 4.2584% 11/15/49 (d)	343,000	287,253
Series 2016-C32 Class C, 4.27% 12/15/49 (d)(h)	236,000	206,160
Series 2017-C33 Class D, 3.356% 5/15/50 (b)	520,000	404,921
Morgan Stanley Capital I Trust:
floater sequential payer Series 2019-NUGS Class A, CME Term SOFR 1 Month Index + 1.060% 6.3825% 12/15/36 (b)(d)(e)	5,100,000	4,062,930
sequential payer:
Series 2017-HR2 Class A4, 3.587% 12/15/50	2,320,000	2,177,097
Series 2019-MEAD Class A, 3.17% 11/10/36 (b)	17,798,000	16,712,178
Series 2021-L5 Class A4, 2.728% 5/15/54	1,892,000	1,613,111
Series 2011-C2:
Class D, 5.2113% 6/15/44 (b)(d)	499,689	463,961
Class F, 5.2113% 6/15/44 (b)(d)(h)	407,000	170,037
Class XB, 0.4601% 6/15/44 (b)(d)(p)	1,430,782	4,958
Series 2011-C3:
Class E, 4.9437% 7/15/49 (b)(d)	225,183	218,421
Class F, 4.9437% 7/15/49 (b)(d)	182,000	162,937
Class G, 4.9437% 7/15/49 (b)(d)	616,400	528,056
Series 2012-C4 Class D, 5.1638% 3/15/45 (b)(d)	90,355	84,595
Series 2014-150E:
Class C, 4.295% 9/9/32 (b)(d)	238,000	137,131
Class F, 4.295% 9/9/32 (b)(d)	401,000	164,883
Series 2015-MS1:
Class B, 4.023% 5/15/48 (d)	263,000	244,069
Class C, 4.023% 5/15/48 (d)	441,000	372,320
Class D, 4.023% 5/15/48 (b)(d)	751,000	485,398
Series 2016-BNK2:
Class C, 3% 11/15/49 (b)	798,000	378,667
Class D, 3.8821% 11/15/49 (d)	343,000	254,905
Series 2017-H1:
Class A/S, 3.773% 6/15/50	633,000	584,310
Class C, 4.281% 6/15/50	1,123,000	993,825
Class D, 2.546% 6/15/50 (b)	1,912,000	1,444,115
Series 2017-HR2 Class D, 2.73% 12/15/50	719,000	565,216
Series 2018-H4 Class A4, 4.31% 12/15/51	4,779,000	4,568,424
Series 2018-MP Class E, 4.276% 7/11/40 (b)(d)	953,000	621,388
Series 2019-MEAD:
Class B, 3.1771% 11/10/36 (b)(d)	2,441,000	2,228,909
Class C, 3.1771% 11/10/36 (b)(d)	2,343,000	2,088,566
Series 2020-CNP Class D, 2.4276% 4/5/42 (b)(d)	252,000	161,982
Series 2020-HR8 Class D, 2.5% 7/15/53 (b)	420,000	268,802
Series 2020-L4, Class C, 3.536% 2/15/53	115,000	85,961
MSJP Commercial Securities Mortgage Trust Series 2015-HAUL Class E, 4.851% 9/5/47 (b)(d)	170,000	138,910
MSWF Commercial Mortgage Trust sequential payer:
Series 2023-1:
Class A5, 5.752% 5/15/56	919,000	955,006
Class C, 6.6828% 5/15/56 (d)	613,000	598,694
Series 2023-2:
Class B, 6.8762% 12/15/56 (d)	637,000	678,145
Class C, 7.0182% 12/15/56 (d)	496,000	508,075
Class D, 4% 12/15/56 (b)	208,000	144,554
Natixis Commercial Mortgage Securities Trust:
Series 2018-285M Class F, 3.7904% 11/15/32 (b)(d)(h)	170,000	86,705
Series 2019-10K:
Class E, 4.1346% 5/15/39 (b)(d)	753,000	608,759
Class F, 4.1346% 5/15/39 (b)(d)	768,000	585,090
Series 2020-2PAC:
Class AMZ2, 3.5% 1/15/37 (b)(d)(h)	399,000	303,479
Class AMZ3, 3.5% 1/15/37 (b)(d)(h)	189,000	126,505
NYT Mortgage Trust floater Series 2019-NYT Class F, CME Term SOFR 1 Month Index + 3.290% 8.615% 12/15/35 (b)(d)(e)(h)	775,000	427,765
Open Trust 2023-Air sequential payer Series 2023-AIR:
Class A, CME Term SOFR 1 Month Index + 3.080% 8.4067% 10/15/28 (b)(d)(e)	9,793,485	9,830,210
Class B, CME Term SOFR 1 Month Index + 3.830% 9.1556% 10/15/28 (b)(d)(e)	5,900,969	5,926,591
Class C, CME Term SOFR 1 Month Index + 5.230% 10.5536% 10/15/28 (b)(d)(e)	710,949	713,170
Class D, CME Term SOFR 1 Month Index + 6.680% 12.0014% 10/15/28 (b)(d)(e)	2,232,360	2,239,336
Class E, CME Term SOFR 1 Month Index + 9.420% 14.7471% 10/15/28 (b)(d)(e)	947,294	955,500
OPG Trust floater Series 2021-PORT:
Class G, CME Term SOFR 1 Month Index + 2.510% 7.8305% 10/15/36 (b)(d)(e)	345,635	333,538
Class J, CME Term SOFR 1 Month Index + 3.460% 8.7785% 10/15/36 (b)(d)(e)	362,753	347,562
PKHL Commercial Mortgage Trust floater Series 2021-MF:
Class F, CME Term SOFR 1 Month Index + 3.460% 8.7825% 7/15/38 (b)(d)(e)	553,000	388,420
Class NR, CME Term SOFR 1 Month Index + 6.110% 11.4325% 7/15/38 (b)(d)(e)(h)	157,000	97,948
Prima Capital CRE Securitization Ltd. Series 2020-8A Class C, 3% 12/26/70 (b)	1,705,000	1,314,044
Prima Capital Ltd. floater Series 2021-9A:
Class B, CME Term SOFR 1 Month Index + 1.910% 7.2343% 12/15/37 (b)(d)(e)	404,021	395,551
Class C, CME Term SOFR 1 Month Index + 2.460% 7.7993% 12/15/37 (b)(d)(e)	1,785,000	1,732,638
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b)	87,225	88,849
SG Commercial Mortgage Securities Trust:
Series 2019-PREZ Class F, 3.4771% 9/15/39 (b)(d)	747,000	565,434
Series 2020-COVE:
Class F, 3.7276% 3/15/37 (b)(d)	1,326,000	1,159,829
Class G, 3.7276% 3/15/37 (b)(d)	483,000	418,524
SMRT Commercial Mortgage Trust floater Series 2022-MINI:
Class E, CME Term SOFR 1 Month Index + 2.700% 8.018% 1/15/39 (b)(d)(e)	1,154,000	1,113,610
Class F, CME Term SOFR 1 Month Index + 3.350% 8.668% 1/15/39 (b)(d)(e)	447,000	413,854
SOHO Trust Series 2021-SOHO Class D, 2.7865% 8/10/38 (b)(d)(h)	618,000	341,854
SPGN Mortgage Trust floater Series 2022-TFLM:
Class B, CME Term SOFR 1 Month Index + 2.000% 7.3176% 2/15/39 (b)(d)(e)	4,281,000	4,120,485
Class C, CME Term SOFR 1 Month Index + 2.650% 7.9676% 2/15/39 (b)(d)(e)	2,226,000	2,114,714
SREIT Trust floater:
Series 2021-FLWR Class E, CME Term SOFR 1 Month Index + 2.030% 7.3565% 7/15/36 (b)(d)(e)	367,000	359,660
Series 2021-IND Class G, CME Term SOFR 1 Month Index + 3.380% 8.6983% 10/15/38 (b)(d)(e)	840,000	784,115
Series 2021-MFP:
Class A, CME Term SOFR 1 Month Index + 0.840% 6.1629% 11/15/38 (b)(d)(e)	17,375,673	17,297,028
Class B, CME Term SOFR 1 Month Index + 1.190% 6.5119% 11/15/38 (b)(d)(e)	12,554,998	12,429,484
Class C, CME Term SOFR 1 Month Index + 1.440% 6.7611% 11/15/38 (b)(d)(e)	5,441,679	5,380,460
Class D, CME Term SOFR 1 Month Index + 1.690% 7.0103% 11/15/38 (b)(d)(e)	3,575,797	3,528,864
Class E, CME Term SOFR 1 Month Index + 2.140% 7.4589% 11/15/38 (b)(d)(e)	1,242,008	1,224,154
Class F, CME Term SOFR 1 Month Index + 2.730% 8.057% 11/15/38 (b)(d)(e)	1,314,730	1,263,512
Class G, CME Term SOFR 1 Month Index + 3.080% 8.4059% 11/15/38 (b)(d)(e)	2,310,824	2,222,212
Series 2021-MFP2:
Class G, CME Term SOFR 1 Month Index + 3.080% 8.4% 11/15/36 (b)(d)(e)	615,000	591,975
Class J, CME Term SOFR 1 Month Index + 4.020% 9.348% 11/15/36 (b)(d)(e)	1,795,000	1,741,475
Series 2021-PALM Class G, CME Term SOFR 1 Month Index + 3.730% 9.0486% 10/15/34 (b)(d)(e)	441,000	430,626
STWD Trust floater sequential payer Series 2021-LIH:
Class E, CME Term SOFR 1 Month Index + 3.010% 8.335% 11/15/36 (b)(d)(e)	1,281,000	1,237,717
Class F, CME Term SOFR 1 Month Index + 3.660% 8.983% 11/15/36 (b)(d)(e)	865,000	826,543
Class G, CME Term SOFR 1 Month Index + 4.310% 9.632% 11/15/36 (b)(d)(e)	294,000	279,718
SUMIT Mortgage Trust Series 2022-BVUE Class F, 2.8925% 2/12/41 (b)(d)	104,000	64,413
TPGI Trust floater Series 2021-DGWD:
Class E, CME Term SOFR 1 Month Index + 2.460% 7.7845% 6/15/26 (b)(d)(e)	1,588,000	1,582,045
Class F, CME Term SOFR 1 Month Index + 3.110% 8.4345% 6/15/26 (b)(d)(e)	554,400	552,668
Class G, CME Term SOFR 1 Month Index + 3.960% 9.2845% 6/15/26 (b)(d)(e)	201,600	200,985
Tricon Residential Trust Series 2022-SFR2 Class E, 7.507% 7/17/40 (b)	1,407,000	1,428,493
UBS Commercial Mortgage Trust:
sequential payer Series 2018-C9 Class A4, 4.117% 3/15/51	1,300,000	1,212,349
Series 2012-C1:
Class E, 5% 5/10/45 (b)(d)(h)	243,650	216,544
Class F, 5% 5/10/45 (b)(d)(h)	418,000	50,160
Series 2017-C7 Class XA, 0.9871% 12/15/50 (d)(p)	24,451,059	731,759
Series 2018-C8 Class C, 4.6841% 2/15/51 (d)	189,000	166,742
UBS-BAMLL Trust:
Series 12-WRM Class D, 4.238% 6/10/30 (b)(d)	201,000	162,964
Series 2012-WRM Class E, 4.238% 6/10/30 (b)(d)(h)	478,000	344,068
VASA Trust:
floater Series 2021-VASA Class G, CME Term SOFR 1 Month Index + 5.110% 10.4325% 7/15/39 (b)(d)(e)	168,000	76,819
floater sequential payer Series 2021-VASA:
Class B, CME Term SOFR 1 Month Index + 1.360% 6.6825% 7/15/39 (b)(d)(e)	577,000	473,230
Class F, CME Term SOFR 1 Month Index + 4.010% 9.3325% 7/15/39 (b)(d)(e)	767,000	420,129
VLS Commercial Mortgage Trust:
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b)	12,891,000	10,381,361
Series 2020-LAB:
Class B, 2.453% 10/10/42 (b)	800,000	641,266
Class X, 0.4294% 10/10/42 (b)(d)(p)	19,300,000	446,189
VMC Finance Ltd. floater Series 2021-HT1 Class B, CME Term SOFR 1 Month Index + 4.610% 9.9343% 1/18/37 (b)(d)(e)	2,478,000	2,402,034
Wells Fargo Commercial Mortgage Trust:
floater:
Series 2021-FCMT Class A, CME Term SOFR 1 Month Index + 1.310% 6.6325% 5/15/31 (b)(d)(e)	8,949,000	8,770,133
Series 2021-SAVE:
Class D, CME Term SOFR 1 Month Index + 2.610% 7.9325% 2/15/40 (b)(d)(e)	173,600	168,935
Class E, CME Term SOFR 1 Month Index + 3.760% 9.0825% 2/15/40 (b)(d)(e)	124,000	119,969
sequential payer:
Series 2017-C38 Class ASB, 3.261% 7/15/50	3,779,022	3,680,809
Series 2017-C42 Class ASB, 3.488% 12/15/50	3,910,202	3,806,688
Series 2020-C57 Class D, 2.5% 8/15/53 (b)	581,000	410,624
Series 2020-C58 Class A4, 2.092% 7/15/53	1,162,000	954,522
Series 2021-C60 Class A4, 2.342% 8/15/54	1,195,000	987,447
Series 2021-C61:
Class A4, 2.658% 11/15/54	619,000	518,622
Class ASB, 2.525% 11/15/54	900,000	805,667
Series 2015-C31 Class XA, 0.9486% 11/15/48 (d)(p)	11,291,784	130,047
Series 2015-NXS4 Class D, 3.6846% 12/15/48 (d)	483,000	438,451
Series 2016-BNK1:
Class C, 3.071% 8/15/49	254,000	146,298
Class D, 3% 8/15/49 (b)	266,000	108,845
Series 2016-C34 Class XA, 2.0592% 6/15/49 (d)(p)	9,295,882	248,163
Series 2016-LC25 Class C, 4.3326% 12/15/59 (d)	328,000	295,320
Series 2016-NXS6 Class D, 3.059% 11/15/49 (b)	733,000	581,893
Series 2018-C43 Class C, 4.514% 3/15/51	228,000	202,464
Series 2018-C44 Class D, 3% 5/15/51 (b)	1,512,000	1,058,424
Series 2018-C46 Class XA, 0.9198% 8/15/51 (d)(p)	23,659,433	523,626
Series 2018-C48 Class A5, 4.302% 1/15/52	4,229,000	4,057,775
Series 2019-AA Class D, 3.514% 10/15/52	645,000	570,857
Series 2019-C49 Class C, 4.866% 3/15/52 (d)	1,633,000	1,490,086
Series 2021-C60 Class D, 2.5% 8/15/54 (b)	495,000	329,459
Wells Fargo Commercial Mtg Trust 2020-C sequential payer Series 2020-C55 Class ASB, 2.651% 2/15/53	2,500,000	2,326,698
WF-RBS Commercial Mortgage Trust:
sequential payer Series 2011-C4I Class G, 5% 6/15/44 (d)(h)	203,000	1,868
Series 2011-C3 Class D, 5.8545% 3/15/44 (b)(d)	241,191	67,143
Series 2011-C4:
Class D, 4.9786% 6/15/44 (b)(d)	258,000	216,962
Class E, 4.9786% 6/15/44 (b)(d)	183,000	142,740
Series 2013-C11:
Class D, 4.06% 3/15/45 (b)(d)	443,749	355,151
Class E, 4.06% 3/15/45 (b)(d)	976,128	585,858
Series 2013-C13 Class D, 4.0289% 5/15/45 (b)(d)	307,248	263,041
Series 2013-C16 Class D, 4.6501% 9/15/46 (b)(d)	70,582	63,525
Series 2014-C21 Class XA, 0.9762% 8/15/47 (d)(p)	23,057,908	39,881
Series 2014-C24 Class XA, 0.8328% 11/15/47 (d)(p)	9,843,477	18,616
WFCM:
Series 2022-C62:
Class C, 4.4961% 4/15/55 (d)	1,077,000	845,538
Class D, 2.5% 4/15/55 (b)	756,000	438,420
Series 2022-C62, Class A4, 4% 4/15/55	827,000	759,601
Worldwide Plaza Trust Series 2017-WWP:
Class E, 3.5955% 11/10/36 (b)(d)	198,000	18,613
Class F, 3.5955% 11/10/36 (b)(d)	1,082,000	64,263
WP Glimcher Mall Trust Series 2015-WPG:
Class PR1, 3.516% 6/5/35 (b)(d)(h)	289,000	217,702
Class PR2, 3.516% 6/5/35 (b)(d)(h)	755,000	546,319
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $1,230,029,049)		1,185,009,662

Foreign Government and Government Agency Obligations - 1.3%
		Principal Amount (a)	Value ($)
Abu Dhabi National Energy Co. PJSC 4.375% 1/24/29 (b)		555,000	540,742
Angola Republic:
8.25% 5/9/28 (b)		945,000	870,317
8.75% 4/14/32 (b)		430,000	377,798
9.375% 5/8/48 (b)		620,000	507,656
9.5% 11/12/25 (b)		1,465,000	1,463,594
Arab Republic of Egypt:
7.0529% 1/15/32 (b)		25,000	20,695
7.5% 1/31/27 (b)		1,403,000	1,338,532
7.5% 2/16/61 (b)		1,435,000	1,017,731
7.6003% 3/1/29 (b)		560,000	507,573
7.903% 2/21/48 (b)		684,000	513,301
8.5% 1/31/47 (b)		904,000	700,790
8.7002% 3/1/49 (b)		1,105,000	871,083
Argentine Republic:
0.75% 7/9/30 (f)		10,355,675	4,776,037
1% 7/9/29		1,021,922	473,278
3.5% 7/9/41 (f)		1,920,000	687,360
3.625% 7/9/35 (f)		6,338,814	2,353,285
4.25% 1/9/38 (f)		4,159,773	1,736,705
Bahamian Republic 6% 11/21/28 (b)		525,000	463,229
Bahrain Kingdom:
5.625% 5/18/34 (b)		310,000	275,568
7.5% 2/12/36 (b)		365,000	370,395
Bank Gospodarstwa Krajowego:
5.375% 5/22/33 (b)		335,000	331,127
6.25% 10/31/28 (b)		315,000	327,102
Barbados Government 6.5% 10/1/29 (b)		965,000	915,182
Bermuda Government:
2.375% 8/20/30 (b)		280,000	234,674
3.375% 8/20/50 (b)		230,000	153,597
3.717% 1/25/27 (b)		1,185,000	1,132,232
4.75% 2/15/29 (b)		520,000	503,555
5% 7/15/32 (b)		390,000	375,488
Brazilian Federative Republic:
3.875% 6/12/30		1,535,000	1,375,299
6% 10/20/33		595,000	589,841
7.125% 1/20/37		840,000	896,162
7.125% 5/13/54		620,000	619,845
8.25% 1/20/34		1,976,000	2,264,990
Chilean Republic:
2.45% 1/31/31		2,145,000	1,824,644
2.75% 1/31/27		425,000	398,276
3.1% 1/22/61		1,525,000	956,297
3.25% 9/21/71		250,000	156,760
3.5% 1/31/34		280,000	243,807
4% 1/31/52		245,000	192,408
4.34% 3/7/42		360,000	311,638
5.33% 1/5/54		905,000	864,854
Colombian Republic:
3% 1/30/30		1,800,000	1,476,756
3.125% 4/15/31		785,000	621,288
3.25% 4/22/32		400,000	308,784
4.125% 5/15/51		325,000	199,267
5% 6/15/45		2,135,000	1,534,318
5.2% 5/15/49		900,000	653,571
6.125% 1/18/41		60,000	51,116
7.375% 9/18/37		205,000	201,199
7.5% 2/2/34		395,000	399,586
8% 4/20/33		730,000	764,146
8% 11/14/35		570,000	592,629
8.75% 11/14/53		540,000	578,216
Costa Rican Republic:
5.625% 4/30/43 (b)		680,000	611,660
6.125% 2/19/31 (b)		265,000	268,843
6.55% 4/3/34 (b)		640,000	660,378
7% 4/4/44 (b)		75,000	76,894
7.3% 11/13/54 (b)		560,000	590,649
Democratic Socialist Republic of Sri Lanka:
6.2% (b)(c)		345,000	185,396
6.825% (b)(c)		615,000	340,495
7.55% (b)(c)		335,000	178,602
7.85% (b)(c)		865,000	461,227
Dominican Republic:
4.5% 1/30/30 (b)		855,000	776,520
4.875% 9/23/32 (b)		1,460,000	1,300,101
5.875% 1/30/60 (b)		570,000	481,428
5.95% 1/25/27 (b)		1,164,000	1,161,544
6% 7/19/28 (b)		549,000	547,490
6.4% 6/5/49 (b)		230,000	214,834
6.5% 2/15/48 (b)		300,000	284,460
6.85% 1/27/45 (b)		1,012,000	993,784
6.875% 1/29/26 (b)		1,378,000	1,392,641
7.05% 2/3/31 (b)		645,000	663,705
7.45% 4/30/44 (b)		401,000	419,045
Ecopetrol SA 8.375% 1/19/36		550,000	551,100
Ecuador Republic:
3.5% 7/31/35 (b)(f)		1,350,000	643,781
6% 7/31/30 (b)(f)		1,955,000	1,194,603
El Salvador Republic:
6.375% 1/18/27 (b)		105,000	90,324
7.1246% 1/20/50 (b)		405,000	276,826
7.625% 2/1/41 (b)		120,000	87,485
7.65% 6/15/35 (b)		415,000	311,509
Emirate of Abu Dhabi:
3% 9/15/51 (b)		1,015,000	679,685
3.125% 9/30/49 (b)		3,170,000	2,200,741
3.875% 4/16/50 (b)		10,355,000	8,202,817
Emirate of Dubai:
3.9% 9/9/50 (Reg. S)		1,600,000	1,182,224
5.25% 1/30/43 (Reg. S)		560,000	531,272
European Union 3% 12/4/34(Reg. S)	EUR	2,750,000	2,963,040
Export Credit Bank of Turkey 9% 1/28/27 (b)		555,000	578,934
Gabonese Republic 7% 11/24/31 (b)		880,000	717,200
Georgia Republic 2.75% 4/22/26 (b)		890,000	827,050
German Federal Republic:
0% 5/15/35 (Reg. S)	EUR	6,750,000	5,561,152
1% 5/15/38(Reg. S)	EUR	6,725,000	5,939,444
3.25% 7/4/42	EUR	14,500,000	17,169,335
Ghana Republic:
7.75% (b)(c)		305,000	130,388
8.627% (b)(c)		605,000	251,831
10.75% 10/14/30 (b)		925,000	579,309
Guatemalan Republic:
4.875% 2/13/28 (b)		385,000	370,202
4.9% 6/1/30 (b)		325,000	308,718
6.125% 6/1/50 (b)		335,000	306,148
6.6% 6/13/36 (b)		535,000	540,751
Hungarian Republic:
2.125% 9/22/31 (b)		285,000	222,770
3.125% 9/21/51 (b)		605,000	376,667
5.25% 6/16/29 (b)		610,000	598,825
5.5% 6/16/34 (b)		1,025,000	997,100
6.125% 5/22/28 (b)		385,000	392,923
6.25% 9/22/32 (b)		385,000	397,162
6.75% 9/25/52 (b)		270,000	286,508
Indonesian Republic:
3.2% 9/23/61		645,000	420,863
3.5% 2/14/50		730,000	538,901
3.85% 10/15/30		460,000	428,481
4.1% 4/24/28		705,000	680,551
4.2% 10/15/50		24,000,000	19,959,000
4.35% 1/11/48		655,000	565,961
5.125% 1/15/45 (b)		1,660,000	1,620,409
5.25% 1/17/42 (b)		485,000	481,059
5.95% 1/8/46 (b)		560,000	593,740
6.75% 1/15/44 (b)		380,000	440,444
7.75% 1/17/38 (b)		1,897,000	2,327,752
8.5% 10/12/35 (b)		1,910,000	2,424,917
Islamic Republic of Pakistan:
6% 4/8/26 (b)		1,205,000	958,108
6.875% 12/5/27 (b)		350,000	266,039
7.375% 4/8/31 (b)		890,000	623,098
Israeli State 3.375% 1/15/50		1,090,000	729,480
Ivory Coast:
6.125% 6/15/33 (b)		1,680,000	1,473,696
6.375% 3/3/28 (b)		2,030,000	1,967,831
8.25% 1/30/37 (b)		570,000	556,463
Jamaican Government:
6.75% 4/28/28		275,000	283,209
7.875% 7/28/45		250,000	289,508
Jordanian Kingdom:
4.95% 7/7/25 (b)		1,230,000	1,196,114
7.375% 10/10/47 (b)		155,000	133,494
7.5% 1/13/29 (b)		225,000	221,906
7.75% 1/15/28 (b)		445,000	449,668
Kingdom of Saudi Arabia:
2.25% 2/2/33 (b)		1,240,000	985,800
3.25% 10/22/30 (b)		5,890,000	5,288,116
3.45% 2/2/61 (b)		1,940,000	1,270,254
3.625% 3/4/28 (b)		425,000	403,963
3.75% 1/21/55 (b)		975,000	691,022
4.5% 10/26/46 (b)		1,150,000	964,922
4.5% 4/22/60 (b)		4,190,000	3,388,663
4.625% 10/4/47 (b)		850,000	720,375
5% 1/18/53 (b)		635,000	560,064
5.75% 1/16/54 (b)		600,000	579,690
Lebanese Republic:
5.8% (c)		1,113,000	64,888
6.375% (c)		977,000	57,891
Mongolia Government 7.875% 6/5/29 (b)		200,000	203,522
Moroccan Kingdom 6.5% 9/8/33 (b)		870,000	892,681
Panamanian Republic:
2.252% 9/29/32		580,000	406,906
3.298% 1/19/33		615,000	465,094
3.87% 7/23/60		1,055,000	590,141
4.5% 5/15/47		350,000	233,625
4.5% 4/16/50		1,090,000	709,181
6.4% 2/14/35		840,000	775,950
6.853% 3/28/54		330,000	290,813
7.875% 3/1/57		545,000	536,314
8% 3/1/38		575,000	589,195
Peruvian Republic:
2.783% 1/23/31		1,300,000	1,106,144
3% 1/15/34		610,000	496,766
3.3% 3/11/41		700,000	519,694
Philippine Republic:
2.65% 12/10/45		665,000	435,296
2.95% 5/5/45		270,000	187,348
5% 7/17/33		360,000	358,949
5.5% 1/17/48		320,000	323,520
5.609% 4/13/33		520,000	537,176
5.95% 10/13/47		830,000	884,382
Polish Government:
5.5% 4/4/53		370,000	369,686
5.75% 11/16/32		725,000	755,834
Provincia de Cordoba:
6.875% 12/10/25 (b)		623,352	519,308
6.99% 6/1/27 (b)		640,167	490,534
Republic of Armenia 3.6% 2/2/31 (b)		520,000	420,748
Republic of Benin 7.96% 2/13/38 (b)		1,200,000	1,162,125
Republic of Honduras 6.25% 1/19/27 (b)		195,000	187,013
Republic of Kenya:
6.3% 1/23/34 (b)		470,000	368,950
7% 5/22/27 (b)		375,000	359,426
7.25% 2/28/28 (b)		180,000	166,725
8% 5/22/32 (b)		220,000	198,550
9.75% 2/16/31 (b)		660,000	660,825
Republic of Nigeria:
6.125% 9/28/28 (b)		1,495,000	1,313,313
6.5% 11/28/27 (b)		375,000	340,961
7.143% 2/23/30 (b)		1,150,000	1,015,594
7.625% 11/21/25 (b)		905,000	890,577
7.696% 2/23/38 (b)		480,000	385,416
7.875% 2/16/32 (b)		300,000	263,667
Republic of Paraguay:
2.739% 1/29/33 (b)		320,000	256,758
4.95% 4/28/31 (b)		1,050,000	1,007,454
5.4% 3/30/50 (b)		330,000	283,774
6% 2/9/36 (b)		355,000	356,228
Republic of Senegal 6.25% 5/23/33 (b)		430,000	357,975
Republic of Serbia:
2.125% 12/1/30 (b)		1,605,000	1,265,687
6.5% 9/26/33 (b)		360,000	366,120
Republic of Uzbekistan:
3.7% 11/25/30 (b)		395,000	328,032
3.9% 10/19/31 (b)		565,000	464,978
Republic of Zambia 8.97% (b)(c)		235,000	158,625
Romanian Republic:
3% 2/27/27 (b)		487,000	451,994
3% 2/14/31 (b)		1,617,000	1,346,589
3.625% 3/27/32 (b)		652,000	551,338
4% 2/14/51 (b)		715,000	495,602
6.625% 2/17/28 (b)		385,000	395,099
7.125% 1/17/33 (b)		150,000	158,046
Rwanda Republic 5.5% 8/9/31 (b)		1,015,000	821,714
South African Republic:
4.85% 9/27/27		480,000	457,200
4.85% 9/30/29		335,000	300,977
5% 10/12/46		670,000	455,181
5.65% 9/27/47		480,000	349,050
5.75% 9/30/49		1,070,000	779,094
5.875% 4/20/32		675,000	608,977
State of Qatar:
3.75% 4/16/30 (b)		2,926,000	2,797,988
4.4% 4/16/50 (b)		18,355,000	16,021,712
4.625% 6/2/46 (b)		1,255,000	1,144,886
4.817% 3/14/49 (b)		975,000	902,051
5.103% 4/23/48 (b)		1,680,000	1,617,941
9.75% 6/15/30 (b)		413,000	528,769
Sultanate of Oman:
5.625% 1/17/28 (b)		2,470,000	2,470,000
6% 8/1/29 (b)		720,000	730,350
6.25% 1/25/31 (b)		520,000	532,838
6.5% 3/8/47 (b)		300,000	295,770
6.75% 1/17/48 (b)		1,661,000	1,670,534
7% 1/25/51 (b)		230,000	238,574
Turkish Republic:
4.25% 4/14/26		1,685,000	1,615,612
4.75% 1/26/26		1,500,000	1,459,688
4.875% 10/9/26		1,395,000	1,344,459
4.875% 4/16/43		1,675,000	1,161,931
5.125% 2/17/28		755,000	711,716
5.25% 3/13/30		315,000	282,753
5.75% 5/11/47		677,000	507,506
6% 3/25/27		235,000	230,826
6% 1/14/41		985,000	801,554
6.125% 10/24/28		510,000	495,455
6.625% 2/17/45		640,000	543,462
7.625% 5/15/34		620,000	617,675
9.125% 7/13/30		705,000	759,934
9.375% 3/14/29		875,000	950,195
9.375% 1/19/33		2,095,000	2,320,632
9.875% 1/15/28		1,960,000	2,149,885
Ukraine Government:
6.876% 5/21/31 (b)		245,000	61,390
7.253% 3/15/35 (b)		1,495,000	391,780
7.375% 9/25/34 (b)		420,000	109,666
7.75% 9/1/24 (b)		955,000	295,095
7.75% 9/1/25 (b)		1,640,000	501,020
7.75% 9/1/26 (b)		2,420,000	725,879
7.75% 9/1/28 (b)		820,000	234,053
7.75% 9/1/29 (b)		170,000	48,032
7.75% 8/1/41 (b)(d)		530,000	243,005
United Mexican States:
2.659% 5/24/31		665,000	551,438
3.25% 4/16/30		1,145,000	1,015,054
3.5% 2/12/34		1,095,000	905,872
3.75% 1/11/28		820,000	777,565
3.75% 4/19/71		1,230,000	775,269
3.771% 5/24/61		840,000	540,582
4.5% 4/22/29		485,000	466,279
4.875% 5/19/33		560,000	526,960
5.75% 10/12/2110		1,520,000	1,306,820
6% 5/7/36		1,050,000	1,047,134
6.05% 1/11/40		980,000	961,233
6.338% 5/4/53		540,000	526,703
6.35% 2/9/35		780,000	798,275
Uruguay Republic:
5.1% 6/18/50		1,230,000	1,180,493
5.75% 10/28/34		555,000	582,584
Venezuelan Republic:
9.25% (c)		4,549,000	842,475
11.95% (Reg. S) (c)		938,300	169,677
12.75% (c)		199,600	31,966
Vietnamese Socialist Republic 5.5% 3/12/28		1,889,233	1,804,010
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $285,089,651)			258,351,629

Supranational Obligations - 0.1%
		Principal Amount (a)	Value ($)
European Investment Bank:
0% 6/17/27	EUR	10,300,000	10,137,775
0% 1/14/31 (Reg. S)	EUR	6,900,000	6,158,600
0.625% 1/22/29 (Reg. S)	EUR	2,800,000	2,724,746
3% 11/15/28 (Reg. S)	EUR	6,700,000	7,289,196
European Union 0% 10/4/28 (Reg. S)	EUR	575,000	546,143
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $26,741,632)			26,856,460

Common Stocks - 0.1%
	Shares	Value ($)
COMMUNICATION SERVICES - 0.0%
Entertainment - 0.0%
New Cineworld Ltd. (h)	64,448	1,167,798
Wireless Telecommunication Services - 0.0%
Digicel Group Ltd. (h)	9,011	8,080
TOTAL COMMUNICATION SERVICES		1,175,878
CONSUMER DISCRETIONARY - 0.0%
Automobile Components - 0.0%
Aptiv PLC (t)	13,800	1,096,962
Hotels, Restaurants & Leisure - 0.0%
CEC Entertainment, Inc. (h)(t)	40,185	735,787
TOTAL CONSUMER DISCRETIONARY		1,832,749
ENERGY - 0.1%
Energy Equipment & Services - 0.0%
Forbes Energy Services Ltd. (t)	55,600	0
Oil, Gas & Consumable Fuels - 0.1%
California Resources Corp.	64,731	3,377,016
California Resources Corp. warrants 10/27/24 (t)	3,601	60,533
Chesapeake Energy Corp.	55,352	4,582,039
Chesapeake Energy Corp. (g)	351	29,056
EP Energy Corp. (h)(t)	3,729	6,526
Exxon Mobil Corp.	12,988	1,357,506
Mesquite Energy, Inc. (h)(t)	66,231	5,404,480
New Fortress Energy, Inc.	56,300	1,978,945
Nostrum Oil & Gas LP warrants (h)(t)	67,683	1
		16,796,102
TOTAL ENERGY		16,796,102
FINANCIALS - 0.0%
Financial Services - 0.0%
ACNR Holdings, Inc. (h)	23,085	1,904,051
Carnelian Point Holdings LP warrants (h)(t)	1,272	3,714
Lime Tree Bay Ltd. (h)(t)	464	35,255
		1,943,020
HEALTH CARE - 0.0%
Health Care Providers & Services - 0.0%
Centene Corp. (t)	23,000	1,803,890
INDUSTRIALS - 0.0%
Electrical Equipment - 0.0%
Regal Rexnord Corp.	8,200	1,406,218
Machinery - 0.0%
TNT Crane & Rigging LLC (h)(t)	47,366	388,875
TNT Crane & Rigging LLC warrants 10/31/25 (h)(t)	2,081	42
		388,917
TOTAL INDUSTRIALS		1,795,135
INFORMATION TECHNOLOGY - 0.0%
Electronic Equipment, Instruments & Components - 0.0%
Coherent Corp. (t)	29,100	1,730,868
IT Services - 0.0%
GTT Communications, Inc. (h)(t)	40,553	1,272,148
TOTAL INFORMATION TECHNOLOGY		3,003,016
TOTAL COMMON STOCKS (Cost $16,888,115)		28,349,790

Preferred Stocks - 0.0%
	Shares	Value ($)
Convertible Preferred Stocks - 0.0%
REAL ESTATE - 0.0%
Equity Real Estate Investment Trusts (REITs) - 0.0%
RLJ Lodging Trust Series A, 1.95%	11,325	281,993

Nonconvertible Preferred Stocks - 0.0%
FINANCIALS - 0.0%
Mortgage Real Estate Investment Trusts - 0.0%
AGNC Investment Corp. Series E, 6.50% (d)	37,320	908,742
Arbor Realty Trust, Inc. Series F, 6.25% (d)	22,800	433,200
Dynex Capital, Inc. Series C 6.90% (d)	11,400	278,616
Franklin BSP Realty Trust, Inc. 7.50%	18,900	389,529
MFA Financial, Inc. Series B, 7.50%	13,700	287,015
		2,297,102
REAL ESTATE - 0.0%
Equity Real Estate Investment Trusts (REITs) - 0.0%
Cedar Realty Trust, Inc.:
7.25%	550	8,542
Series C, 6.50%	14,300	198,484
DiamondRock Hospitality Co. 8.25%	7,100	180,340
National Storage Affiliates Trust Series A, 6.00%	6,925	157,059
Realty Income Corp. 6.00%	10,200	251,124
Rexford Industrial Realty, Inc. Series B, 5.875%	16,525	382,389
		1,177,938
Real Estate Management & Development - 0.0%
Digitalbridge Group, Inc.:
Series H, 7.125%	12,825	309,596
Series I, 7.15%	17,100	413,649
		723,245
TOTAL REAL ESTATE		1,901,183

TOTAL NONCONVERTIBLE PREFERRED STOCKS		4,198,285
TOTAL PREFERRED STOCKS (Cost $4,715,748)		4,480,278

Bank Loan Obligations - 6.1%
	Principal Amount (a)	Value ($)
COMMUNICATION SERVICES - 0.5%
Diversified Telecommunication Services - 0.2%
Altice France SA Tranche B14 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 10.814% 8/15/28 (d)(e)(u)	12,406,250	11,444,766
Aventiv Technologies LLC:
Tranche 1LN, term loan CME Term SOFR 1 Month Index + 4.890% 10.4998% 11/1/24 (d)(e)(u)	3,692,546	2,517,098
Tranche 2LN, term loan CME Term SOFR 1 Month Index + 8.650% 14.2598% 11/1/25 (d)(e)(u)	2,710,418	1,301,001
Connect U.S. Finco LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8263% 12/12/26 (d)(e)(u)	713,964	712,771
Frontier Communications Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1907% 10/8/27 (d)(e)(u)	7,643,892	7,594,741
Gtt Remainco LLC 1LN, term loan CME Term SOFR 1 Month Index + 7.000% 12.4263% 12/30/27 (d)(e)(u)	1,602,872	1,448,596
Patagonia Holdco LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.750% 11.0643% 8/1/29 (d)(e)(u)	2,736,627	2,516,329
Zayo Group Holdings, Inc. 1LN, term loan:
CME Term SOFR 1 Month Index + 3.000% 8.4407% 3/9/27 (d)(e)(u)	9,191,809	8,251,947
CME Term SOFR 1 Month Index + 4.320% 9.6513% 3/9/27 (d)(e)(u)	1,484,887	1,336,858
		37,124,107
Entertainment - 0.1%
Allen Media LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.500% 10.9981% 2/10/27 (d)(e)(u)	4,908,072	4,292,796
AP Core Holdings II LLC:
Tranche B1 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 10.9407% 9/1/27 (d)(e)(u)	1,810,993	1,769,485
Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 10.9407% 9/1/27 (d)(e)(u)	4,100,000	3,996,024
Sweetwater Borrower LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6907% 8/5/28 (d)(e)(u)	1,855,000	1,845,725
		11,904,030
Media - 0.2%
Advantage Sales & Marketing, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 10.0918% 10/28/27 (d)(e)(u)	2,841,357	2,833,060
Charter Communication Operating LLC:
Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.0826% 2/1/27 (d)(e)(u)	8,460,226	8,424,524
Tranche B4 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.3293% 12/9/30 (d)(e)(u)	820,000	805,535
Coral-U.S. Co.-Borrower LLC Tranche B, term loan CME Term SOFR 1 Month Index + 2.250% 7.6821% 1/31/28 (d)(e)(u)	4,180,000	4,127,750
CSC Holdings LLC:
Tranche B 5LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.9321% 4/15/27 (d)(e)(u)	2,520,000	2,353,453
Tranche B6 LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8176% 1/18/28 (d)(e)(u)	6,062,281	5,886,718
Diamond Sports Group LLC:
1LN, term loan CME Term SOFR 1 Month Index + 8.000% 15.4283% 8/24/26 (d)(e)(u)	1,077,384	1,039,676
2LN, term loan CME Term SOFR 1 Month Index + 3.250% 10.6625% (c)(d)(e)(u)	8,456,176	470,417
term loan 10% 11/30/24 (h)(u)	1,097,169	1,097,169
Dotdash Meredith, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4283% 12/1/28 (d)(e)(u)	4,986,506	4,936,641
LCPR Loan Financing LLC 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1821% 9/25/28 (d)(e)(u)	500,000	496,875
Nexstar Media, Inc. Tranche B, term loan CME Term SOFR 1 Month Index + 2.500% 7.9407% 9/19/26 (d)(e)(u)	2,260,410	2,253,810
Planet U.S. Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8143% 2/10/31 (d)(e)(u)	1,730,000	1,727,838
Univision Communications, Inc.:
1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.5981% 6/24/29 (d)(e)(u)	664,875	664,875
Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 3.250% 8.6907% 3/24/26 (d)(e)(u)	2,291,241	2,287,667
CME Term SOFR 1 Month Index + 3.250% 8.6907% 1/31/29 (d)(e)(u)	3,743,325	3,726,967
Virgin Media Bristol LLC Tranche Y 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.7899% 3/6/31 (d)(e)(u)	1,750,000	1,736,228
		44,869,203
Wireless Telecommunication Services - 0.0%
Crown Subsea Communications Holding, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.0674% 1/30/31 (d)(e)(u)	3,945,000	3,959,794
SBA Senior Finance II, LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.33% 1/27/31 (d)(e)(u)	1,225,000	1,223,726
		5,183,520
TOTAL COMMUNICATION SERVICES		99,080,860
CONSUMER DISCRETIONARY - 1.5%
Automobile Components - 0.1%
American Trailer World Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1763% 3/5/28 (d)(e)(u)	3,086,378	3,009,867
Clarios Global LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.3263% 5/6/30 (d)(e)(u)	3,246,863	3,245,856
Hertz Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0698% 6/30/28 (d)(e)(u)	1,325,000	1,276,969
Novae LLC 1LN, term loan CME Term SOFR 3 Month Index + 5.000% 10.5211% 12/22/28 (d)(e)(u)	1,107,183	1,097,960
PECF USS Intermediate Holding III Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.8239% 12/17/28 (d)(e)(u)	2,614,061	2,020,722
Power Stop LLC 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.1932% 1/26/29 (d)(e)(u)	997,204	910,777
		11,562,151
Automobiles - 0.0%
Bombardier Recreational Products, Inc.:
Tranche B3 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0826% 12/13/29 (d)(e)(u)	1,782,505	1,782,737
Tranche B4 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0826% 1/22/31 (d)(e)(u)	674,005	672,954
CWGS Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.9351% 6/3/28 (d)(e)(u)	3,922,759	3,825,906
		6,281,597
Broadline Retail - 0.2%
CMG Media Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.9481% 12/17/26 (d)(e)(u)	6,341,002	5,302,663
CNT Holdings I Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8174% 11/8/27 (d)(e)(u)	3,306,697	3,302,795
Great Outdoors Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1907% 3/5/28 (d)(e)(u)	42,456,660	42,449,018
		51,054,476
Distributors - 0.1%
Aip Rd Buyer Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.3263% 12/23/28 (d)(e)(u)	3,259,872	3,261,926
BCPE Empire Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3263% 12/25/28 (d)(e)(u)	5,002,730	5,000,229
Gloves Buyer, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4407% 1/6/28 (d)(e)(u)	646,710	640,243
Windsor Holdings III, LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8235% 8/1/30 (d)(e)(u)	2,698,238	2,700,342
		11,602,740
Diversified Consumer Services - 0.2%
AI Aqua Merger Sub, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 8.5934% 7/31/28 (d)(e)(u)(v)	3,985,000	3,987,511
Fugue Finance LLC Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 3.750% 2/13/31 (e)(u)(w)	125,000	124,896
CME Term SOFR 1 Month Index + 4.000% 9.3432% 1/26/28 (d)(e)(u)	1,508,571	1,507,531
KUEHG Corp. 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.3481% 6/12/30 (d)(e)(u)	8,398,950	8,407,685
Learning Care Group (U.S.) No 2, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.0744% 8/11/28 (d)(e)(u)	1,561,088	1,558,746
Sotheby's Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 10.0756% 1/15/27 (d)(e)(u)	1,417,730	1,403,907
Spin Holdco, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.6246% 3/4/28 (d)(e)(u)	17,068,550	15,471,446
TKC Holdings, Inc. 1LN, term loan 13.5% 2/14/27 (d)(u)	165,463	82,731
		32,544,453
Hotels, Restaurants & Leisure - 0.8%
1011778 BC ULC Tranche B5 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.5763% 9/21/30 (d)(e)(u)	3,278,595	3,261,612
19Th Holdings Golf LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6735% 2/7/29 (d)(e)(u)	4,100,100	4,006,125
Alterra Mountain Co. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9407% 8/17/28 (d)(e)(u)	2,842,251	2,842,251
Aramark Services, Inc.:
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.9407% 6/22/30 (d)(e)(u)	947,888	945,518
Tranche B-4 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1907% 1/15/27 (d)(e)(u)	2,314,825	2,308,320
Arcis Golf LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1907% 11/24/28 (d)(e)(u)	1,677,411	1,679,508
BRE/Everbright M6 Borrower LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.4231% 9/9/26 (d)(e)(u)	357,005	355,816
Caesars Entertainment, Inc.:
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6627% 1/26/30 (d)(e)(u)	12,609,713	12,611,478
Tranche B1 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0405% 2/6/31 (d)(e)(u)	1,345,000	1,342,202
Carnival Finance LLC Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 3.000% 8.318% 8/8/27 (d)(e)(u)	2,557,150	2,557,687
CME Term SOFR 1 Month Index + 3.250% 8.6907% 10/18/28 (d)(e)(u)	6,421,926	6,427,962
City Football Group Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4354% 7/21/28 (d)(e)(u)	12,894,647	12,838,297
ClubCorp Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.6098% 9/18/26 (d)(e)(u)	8,345,029	8,308,561
Dave & Buster's, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.625% 6/29/29 (d)(e)(u)	1,797,507	1,798,910
Delta 2 SARL Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 7.5981% 1/15/30 (d)(e)(u)	3,785,000	3,779,323
Entain Holdings Gibraltar Ltd.:
Tranche B2 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.9481% 10/31/29 (d)(e)(u)	2,384,670	2,387,650
Tranche B4 1LN, term loan CME Term SOFR 3 Month Index + 2.250% 7.9481% 3/16/27 (d)(e)(u)	1,072,500	1,072,500
Equinox Holdings, Inc.:
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 12.6098% 9/8/24 (d)(e)(u)	455,000	452,043
Tranche B-1, term loan 3 month U.S. LIBOR + 3.000% 8.6098% 3/8/24 (d)(e)(u)	1,426,293	1,405,341
Fertitta Entertainment LLC NV Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3263% 1/27/29 (d)(e)(u)	20,578,451	20,586,271
Fitness International LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.250% 10.5763% 1/30/29 (d)(e)(u)	1,100,000	1,068,375
Flutter Financing B.V. Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 2.250% 7.6981% 11/25/30 (d)(e)(u)	3,560,000	3,541,452
CME Term SOFR 1 Month Index + 3.250% 8.8627% 7/4/28 (d)(e)(u)	604,467	605,138
Flynn Restaurant Group LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6907% 12/1/28 (d)(e)(u)	1,107,201	1,107,898
Four Seasons Hotels Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.9326% 11/30/29 (d)(e)(u)	3,148,115	3,145,754
Golden Entertainment, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1763% 5/26/30 (d)(e)(u)	3,079,525	3,073,120
Herschend Entertainment Co. LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.3263% 8/27/28 (d)(e)(u)	689,138	688,710
Hilton Grand Vacations Borrower LLC Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 2.750% 8.0763% 1/17/31 (d)(e)(u)	1,645,000	1,642,253
CME Term SOFR 1 Month Index + 3.000% 8.1907% 8/2/28 (d)(e)(u)	9,590,525	9,578,537
Hilton Worldwide Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.4209% 11/8/30 (d)(e)(u)	1,144,889	1,145,668
J&J Ventures Gaming LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6907% 4/26/28 (d)(e)(u)	1,447,286	1,412,913
Life Time, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.5743% 1/15/26 (d)(e)(u)	1,110,000	1,114,629
Light & Wonder International, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0704% 4/16/29 (d)(e)(u)	3,132,300	3,130,984
Ontario Gaming GTA LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5981% 8/1/30 (d)(e)(u)	1,520,000	1,517,963
Oravel Stays Singapore Pte Ltd. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 8.250% 13.8827% 6/23/26 (d)(e)(u)	588,662	547,455
Pacific Bells LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 10.1098% 10/20/28 (d)(e)(u)	1,144,562	1,134,833
Playa Resorts Holding BV Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 8.5698% 1/5/29 (d)(e)(u)	1,843,763	1,842,325
Restaurant Technologies, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.5981% 4/1/29 (d)(e)(u)	997,462	993,362
Scientific Games Holdings LP term loan CME Term SOFR 3 Month Index + 3.500% 8.5802% 4/4/29 (d)(e)(u)	5,638,645	5,624,548
SeaWorld Parks & Entertainment, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.8263% 8/25/28 (d)(e)(u)	260,000	259,620
Station Casinos LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.6763% 2/7/27 (d)(e)(u)	4,154,585	4,146,068
Travelport Finance Luxembourg SARL 1LN, term loan CME Term SOFR 1 Month Index + 7.000% 13.6095% 9/29/28 (d)(e)(u)	1,913,392	1,796,465
United PF Holdings LLC:
1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.5743% 12/30/26 (d)(e)(u)	7,970,447	7,127,572
2LN, term loan 3 month U.S. LIBOR + 8.500% 14.0743% 12/30/27 (d)(e)(u)	300,000	243,000
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 8.500% 14.0743% 12/30/26 (d)(e)(u)	430,538	400,400
Whatabrands LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.6907% 8/3/28 (d)(e)(u)	4,726,314	4,715,396
		152,571,813
Household Durables - 0.0%
Mattress Firm, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.8598% 9/24/28 (d)(e)(u)	4,631,964	4,620,430
Runner Buyer, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.500% 10.9576% 10/21/28 (d)(e)(u)	913,725	703,897
Weber-Stephen Products LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6907% 10/30/27 (d)(e)(u)	2,608,708	2,359,028
		7,683,355
Leisure Products - 0.0%
Topgolf Callaway Brands Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9263% 3/9/30 (d)(e)(u)	3,558,113	3,557,757
Specialty Retail - 0.1%
Academy Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1928% 11/6/27 (d)(e)(u)	933,877	931,935
At Home Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6944% 7/24/28 (d)(e)(u)	899,300	433,463
Belron Finance U.S. LLC Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 2.000% 7.5777% 4/28/28 (d)(e)(u)	515,000	514,516
CME Term SOFR 1 Month Index + 2.250% 7.664% 4/13/29 (d)(e)(u)	626,850	626,330
Empire Today LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.5743% 4/1/28 (d)(e)(u)	1,962,218	1,565,693
Harbor Freight Tools U.S.A., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1907% 10/19/27 (d)(e)(u)	1,031,766	1,023,914
Jo-Ann Stores LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.3357% 7/7/28 (d)(e)(u)	862,875	47,821
LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1763% 12/18/27 (d)(e)(u)	7,161,471	7,135,546
Petco Health & Wellness Co., Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.250% 8.8598% 3/4/28 (d)(e)(u)	1,815,680	1,732,613
RVR Dealership Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 9.1709% 2/8/28 (d)(e)(u)	933,321	869,743
Tory Burch LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.6907% 4/16/28 (d)(e)(u)	4,510,666	4,455,546
Wand NewCo 3, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0763% 1/20/31 (d)(e)(u)	2,210,000	2,212,763
Woof Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.3595% 12/21/27 (d)(e)(u)	1,447,601	1,170,486
		22,720,369
Textiles, Apparel & Luxury Goods - 0.0%
Crocs, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.5763% 2/20/29 (d)(e)(u)	1,539,154	1,540,309
Fanatics Commerce Intermediate Holdco LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.250% 8.6907% 11/23/28 (d)(e)(u)	506,870	504,812
		2,045,121
TOTAL CONSUMER DISCRETIONARY		301,623,832
CONSUMER STAPLES - 0.2%
Beverages - 0.0%
Naked Juice LLC:
1LN, term loan CME Term SOFR 3 Month Index + 3.250% 8.6981% 1/24/29 (d)(e)(u)	1,506,177	1,416,560
2LN, term loan CME Term SOFR 3 Month Index + 6.000% 11.4481% 1/24/30 (d)(e)(u)	1,055,000	847,629
Triton Water Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.8598% 3/31/28 (d)(e)(u)	6,619,975	6,497,240
		8,761,429
Consumer Staples Distribution & Retail - 0.1%
8th Avenue Food & Provisions, Inc. 2LN, term loan CME Term SOFR 1 Month Index + 7.750% 13.1907% 10/1/26 (d)(e)(u)	98,000	87,791
BJ's Wholesale Club, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.3214% 2/3/29 (d)(e)(u)	1,144,621	1,147,483
Cardenas Merger Sub, LLC 1LN, term loan CME Term SOFR 6 Month Index + 6.750% 12.1981% 8/1/29 (d)(e)(u)	3,043,622	3,045,539
JP Intermediate B LLC term loan CME Term SOFR 1 Month Index + 5.500% 11.0743% 11/20/27 (d)(e)(u)	2,112,305	168,984
Northeast Grocery, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 7.500% 12.8257% 12/5/28 (d)(e)(u)	1,110,000	1,107,691
Primary Products Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9405% 4/2/29 (d)(e)(u)	1,775,000	1,773,101
Upfield U.S.A. Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.31% 1/3/28 (d)(e)(u)	2,492,624	2,471,436
		9,802,025
Food Products - 0.1%
Aspire Bakeries Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5703% 12/23/30 (d)(e)(u)	610,000	610,000
Chobani LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9471% 10/23/27 (d)(e)(u)	2,690,610	2,692,521
Del Monte Foods, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6763% 5/16/29 (d)(e)(u)	4,684,772	4,221,307
Fiesta Purchaser, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.318% 2/12/31 (d)(e)(u)	2,105,000	2,102,116
		9,625,944
Personal Care Products - 0.0%
Conair Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1907% 5/17/28 (d)(e)(u)	1,945,225	1,866,716
TOTAL CONSUMER STAPLES		30,056,114
ENERGY - 0.1%
Oil, Gas & Consumable Fuels - 0.1%
BCP Renaissance Parent LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8711% 10/31/28 (d)(e)(u)	1,273,399	1,273,794
Delek U.S. Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9263% 11/19/29 (d)(e)(u)	3,555,328	3,541,996
EG America LLC Tranche BC 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 11.2383% 2/7/28 (d)(e)(u)	7,641,687	7,498,406
GIP II Blue Holding LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.9407% 9/29/28 (d)(e)(u)	4,470,317	4,471,032
GIP III Stetson I LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6763% 10/5/28 (d)(e)(u)	2,455,703	2,461,842
Mesquite Energy, Inc.:
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (c)(e)(h)(u)	1,224,553	0
term loan 0% (c)(d)(h)(u)	528,000	0
New Fortress Energy, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.3174% 10/30/28 (d)(e)(u)	5,000,000	5,002,500
Par Petroleum LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6932% 2/14/30 (d)(e)(u)	1,305,909	1,305,099
Prairie ECI Acquiror LP Tranche 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 8/1/29 (e)(u)(w)	900,000	892,692
		26,447,361
FINANCIALS - 0.7%
Capital Markets - 0.2%
Aretec Group, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.9263% 8/9/30 (d)(e)(u)	3,499,545	3,511,373
AssuredPartners, Inc.:
Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 3.500% 8.9407% 2/13/27 (d)(e)(u)	2,103,291	2,103,880
CME Term SOFR 1 Month Index + 3.500% 8.9407% 2/13/27 (d)(e)(u)	1,059,094	1,059,094
Tranche B4 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0763% 2/13/27 (d)(e)(u)	1,575,102	1,575,890
Blackstone CQP Holdco LP Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.000% 8.3481% 12/31/30 (d)(e)(u)	8,029,274	8,022,288
Broadstreet Partners, Inc.:
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6971% 1/27/27 (d)(e)(u)	654,925	653,596
Tranche B3 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.0826% 1/26/29 (d)(e)(u)	1,995,000	1,993,963
Citadel Securities LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.5763% 7/29/30 (d)(e)(u)	7,251,866	7,242,801
Fleet U.S. Bidco, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 1/31/31 (e)(u)(w)	1,300,000	1,298,375
Focus Financial Partners LLC:
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.8263% 6/24/28 (d)(e)(u)	1,721,441	1,709,959
Tranche B7 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0763% 6/30/28 (d)(e)(u)	2,500,869	2,482,112
Hightower Holding LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.5857% 4/21/28 (d)(e)(u)	4,163,095	4,157,891
Jane Street Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.9407% 1/26/28 (d)(e)(u)	1,500,000	1,495,980
		37,307,202
Financial Services - 0.1%
Agellan Portfolio 9% 8/7/25 (h)(u)	239,000	239,000
Clue Opco LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8263% 12/19/30 (d)(e)(u)	1,346,889	1,296,381
FinCo I LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3127% 6/27/29 (d)(e)(u)	591,281	590,986
GTCR W-2 Merger Sub LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3263% 1/31/31 (d)(e)(u)	10,485,000	10,515,616
Heubach Holding U.S.A. LLC Tranche CME, term loan CME Term SOFR 1 Month Index + 10.000% 15.6477% 4/30/24 (d)(e)(h)(u)	181,987	176,527
MHP Commercial Mortgage Trust U.S. Secured Overnight Fin. Rate (SOFR) Index + 5.000% 10.3176% 1/9/25 (d)(e)(h)(u)	3,464,109	3,273,583
NCR Atleos Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.1627% 3/27/29 (d)(e)(u)	2,235,000	2,230,821
Nexus Buyer LLC:
2LN, term loan CME Term SOFR 1 Month Index + 6.250% 11.6763% 11/1/29 (d)(e)(u)	795,000	779,847
Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 3.750% 9.1763% 11/8/26 (d)(e)(u)	1,542,983	1,515,981
CME Term SOFR 1 Month Index + 4.500% 9.8263% 12/13/28 (d)(e)(u)	2,047,000	2,018,854
Recess Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8432% 2/14/30 (d)(e)(u)	1,475,000	1,475,000
Sk Neptune Husky Finance Sarl Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.000% 10.4338% 1/3/29 (d)(e)(u)	738,266	257,012
Sunbelt Mezz U.S. Secured Overnight Fin. Rate (SOFR) Index + 4.450% 9.8928% 1/21/27 (d)(e)(h)(u)	834,880	834,880
WH Borrower LLC Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 5.500% 10.8165% 2/9/27 (d)(e)(u)	1,856,725	1,847,441
CME Term SOFR 1 Month Index + 5.500% 10.8165% 2/15/27 (d)(e)(u)	3,584,022	3,575,062
		30,626,991
Insurance - 0.4%
Acrisure LLC:
Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 3.500% 8.9407% 2/15/27 (d)(e)(u)	7,715,561	7,693,880
CME Term SOFR 1 Month Index + 4.250% 9.6907% 2/15/27 (d)(e)(u)	4,480,792	4,482,674
Tranche B5 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8263% 11/6/30 (d)(e)(u)	4,623,607	4,642,888
Alliant Holdings Intermediate LLC Tranche B6 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8214% 11/6/30 (d)(e)(u)	5,202,523	5,203,512
AmWINS Group, Inc. Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 2.250% 7.6907% 2/19/28 (d)(e)(u)	3,595,413	3,577,723
CME Term SOFR 1 Month Index + 2.750% 8.1907% 2/19/28 (d)(e)(u)	915,750	914,605
Amynta Agency Borrower, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5763% 2/28/28 (d)(e)(u)	1,820,861	1,820,861
Asurion LLC:
1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.4263% 8/19/28 (d)(e)(u)	2,748,537	2,724,487
Tranche B11 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6763% 8/19/28 (d)(e)(u)	7,145,197	7,098,324
Tranche B3 2LN, term loan CME Term SOFR 1 Month Index + 5.250% 10.6907% 1/31/28 (d)(e)(u)	7,880,000	7,508,537
Tranche B4 2LN, term loan CME Term SOFR 1 Month Index + 5.250% 10.6907% 1/20/29 (d)(e)(u)	2,490,000	2,344,484
Tranche B8 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6907% 12/23/26 (d)(e)(u)	9,773,544	9,709,723
Tranche B9 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6907% 7/31/27 (d)(e)(u)	2,013,075	1,980,081
HUB International Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5741% 6/20/30 (d)(e)(u)	11,150,476	11,136,537
Jones DesLauriers Insurance Management, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8048% 3/15/30 (d)(e)(u)	610,000	610,256
Ryan Specialty Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0763% 9/1/27 (d)(e)(u)	1,873,782	1,873,782
USI, Inc. Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 3.000% 8.3481% 11/22/29 (d)(e)(u)	4,546,576	4,540,893
CME Term SOFR 1 Month Index + 3.250% 8.5981% 9/27/30 (d)(e)(u)	1,201,988	1,201,242
		79,064,489
TOTAL FINANCIALS		146,998,682
HEALTH CARE - 0.5%
Health Care Equipment & Supplies - 0.1%
Avantor Funding, Inc. Tranche B5 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.6763% 11/6/27 (d)(e)(u)	1,560,502	1,561,298
Embecta Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3263% 3/31/29 (d)(e)(u)	2,467,387	2,246,876
ICU Medical, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.9981% 1/6/29 (d)(e)(u)	1,562,798	1,557,188
Insulet Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3263% 5/4/28 (d)(e)(u)	4,459,621	4,460,736
Medline Borrower LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4407% 10/23/28 (d)(e)(u)	9,760,512	9,761,000
Packaging Coordinators Midco, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 9.1098% 11/30/27 (d)(e)(u)	3,018,936	3,018,453
Pathway Vet Alliance LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1907% 3/31/27 (d)(e)(u)	716,591	612,091
VetStrategy Canada Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 10.866% 11/16/28 (d)(e)(u)	2,650,000	2,651,670
		25,869,312
Health Care Providers & Services - 0.2%
AHP Health Partners, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9407% 8/24/28 (d)(e)(u)	1,835,663	1,837,040
Cano Health, Inc.:
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4626% (c)(d)(e)(u)	2,964,066	870,694
Tranche DD, term loan CME Term SOFR 1 Month Index + 11.000% 16.3225% 10/2/24 (d)(u)	307,497	305,960
Charlotte Buyer, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.250% 10.568% 2/12/28 (d)(e)(u)	1,785,491	1,788,937
Gainwell Acquisition Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.4481% 10/1/27 (d)(e)(u)	15,735,222	14,948,461
HAH Group Holding Co. LLC:
1LN, term loan:
CME Term SOFR 1 Month Index + 5.000% 10.44% 10/29/27 (d)(e)(u)	150,518	149,201
CME Term SOFR 3 Month Index + 5.000% 10.44% 10/29/27 (d)(e)(u)	2,115,254	2,096,745
Tranche DD 1LN, term loan CME Term SOFR 3 Month Index + 5.000% 10.44% 10/29/27 (d)(e)(u)	19,046	18,880
Icon Luxembourg Sarl Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.250% 7.8598% 7/3/28 (d)(e)(u)	3,405,033	3,409,085
MED ParentCo LP:
1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6907% 8/31/26 (d)(e)(u)	2,270,139	2,247,165
2LN, term loan CME Term SOFR 1 Month Index + 8.250% 13.6907% 8/30/27 (d)(e)(u)	485,000	477,725
Phoenix Guarantor, Inc. term loan CME Term SOFR 1 Month Index + 3.250% 2/13/31 (e)(u)(w)	1,670,000	1,650,862
Phoenix Newco, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6907% 11/15/28 (d)(e)(u)	5,850,788	5,843,474
R1 RCM, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3263% 6/21/29 (d)(e)(u)	1,125,000	1,125,000
Surgery Center Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8198% 12/19/30 (d)(e)(u)	2,106,342	2,108,680
U.S. Anesthesia Partners, Inc. 2LN, term loan CME Term SOFR 1 Month Index + 7.500% 12.9428% 10/1/29 (d)(e)(h)(u)	285,000	243,675
WCG Intermediate Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4407% 1/8/27 (d)(e)(u)	2,021,738	2,020,080
		41,141,664
Health Care Technology - 0.1%
Athenahealth Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.5763% 2/15/29 (d)(e)(u)	10,898,923	10,795,056
Cotiviti, Inc.:
Tranche 1LN, term loan 7.625% 2/24/31 (u)	815,000	817,038
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 2/21/31 (e)(u)(w)	4,895,000	4,876,644
Zelis Payments Buyer, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0665% 9/28/29 (d)(e)(u)	2,555,000	2,551,806
		19,040,544
Life Sciences Tools & Services - 0.0%
PRA Health Sciences, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.250% 7.8598% 7/3/28 (d)(e)(u)	848,366	849,376
Pharmaceuticals - 0.1%
Catalent Pharma Solutions Tranche B4 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3203% 2/22/28 (d)(e)(u)	1,045,000	1,047,613
Elanco Animal Health, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1783% 8/1/27 (d)(e)(u)	2,817,682	2,780,291
Jazz Financing Lux SARL Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4407% 5/5/28 (d)(e)(u)	5,499,828	5,506,703
Organon & Co. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.000% 8.4325% 6/2/28 (d)(e)(u)	4,035,773	4,038,316
Perrigo Investments LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.6763% 4/20/29 (d)(e)(u)	1,560,000	1,550,250
		14,923,173
TOTAL HEALTH CARE		101,824,069
INDUSTRIALS - 1.0%
Aerospace & Defense - 0.1%
TransDigm, Inc.:
1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5981% 8/24/28 (d)(e)(u)	8,802,533	8,816,617
Tranche H 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5981% 2/22/27 (d)(e)(u)	1,363,231	1,366,094
Tranche J 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5981% 2/28/31 (d)(e)(u)	360,000	361,228
		10,543,939
Air Freight & Logistics - 0.0%
Echo Global Logistics, Inc. 2LN, term loan CME Term SOFR 3 Month Index + 7.000% 12.4263% 11/23/29 (d)(e)(h)(u)	780,000	780,000
Rand Parent LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5981% 3/17/30 (d)(e)(u)	745,048	743,536
STG Logistics, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 6.000% 11.4981% 3/24/28 (d)(e)(h)(u)	938,288	863,225
		2,386,761
Building Products - 0.1%
Acproducts Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.8598% 5/17/28 (d)(e)(u)	9,314,503	8,333,313
Chariot Buyer LLC Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 3.500% 10/22/28 (e)(u)(w)	280,000	279,230
CME Term SOFR 1 Month Index + 3.750% 9.0783% 11/3/28 (d)(e)(u)	1,000,000	998,750
Griffon Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.7481% 1/24/29 (d)(e)(u)	1,835,000	1,832,137
Hunter Douglas, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.8238% 2/25/29 (d)(e)(u)	11,423,717	11,273,838
Oscar AcquisitionCo LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.9481% 4/29/29 (d)(e)(u)	4,451,162	4,435,094
		27,152,362
Commercial Services & Supplies - 0.4%
ABG Intermediate Holdings 2 LLC Tranche B1 LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9263% 12/21/28 (d)(e)(u)	13,498,800	13,524,177
ADS Tactical, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.750% 11.1907% 3/19/26 (d)(e)(u)	3,047,933	3,055,553
Allied Universal Holdco LLC Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 3.750% 9.1763% 5/14/28 (d)(e)(u)	5,021,332	4,998,084
CME Term SOFR 1 Month Index + 4.750% 10.0826% 5/14/28 (d)(e)(u)	2,099,738	2,099,738
Amentum Government Services Holdings LLC:
Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 4.000% 9.3203% 2/15/29 (d)(e)(u)	4,266,253	4,264,462
CME Term SOFR 1 Month Index + 4.000% 9.4407% 1/23/27 (d)(e)(u)	2,626,695	2,624,515
Tranche B 2LN, term loan CME Term SOFR 1 Month Index + 8.750% 14.1907% 1/31/28 (d)(e)(u)	1,180,000	1,178,525
Anticimex Global AB:
Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.900% 8.95% 11/16/28 (d)(e)(u)	588,000	586,530
Tranche B1 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.45% 11/16/28 (d)(e)(u)	3,107,748	3,096,094
APX Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6865% 7/9/28 (d)(e)(u)	1,311,397	1,311,187
Archkey Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.250% 10.6907% 6/30/28 (d)(e)(u)	1,491,186	1,487,458
Artera Services LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 2/7/31 (e)(u)(w)	2,760,000	2,766,900
Bifm California Buyer, Inc. Tranche 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5707% 5/31/28 (d)(e)(u)	1,430,000	1,427,612
Brand Industrial Services, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 10.8064% 8/1/30 (d)(e)(u)	7,517,430	7,529,533
Centralsquare Technologies LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.2481% 8/29/25 (d)(e)(u)	1,977,147	1,908,837
Congruex Group LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.750% 11.2127% 5/3/29 (d)(e)(u)	1,383,925	1,307,809
Core & Main LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.5643% 2/10/31 (d)(e)(u)	755,000	751,225
Covanta Holding Corp.:
Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 2.500% 7.8263% 11/30/28 (d)(e)(u)	1,303,619	1,296,188
CME Term SOFR 1 Month Index + 3.000% 8.3332% 11/30/28 (d)(e)(u)	617,058	615,133
Tranche C 1LN, term loan:
CME Term SOFR 1 Month Index + 2.500% 7.8263% 11/30/28 (d)(e)(u)	99,389	98,822
CME Term SOFR 1 Month Index + 3.000% 8.3332% 11/30/28 (d)(e)(u)	46,395	46,251
Ensemble RCM LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3174% 8/1/29 (d)(e)(u)	2,743,481	2,726,334
Filtration Group Corp.:
1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6907% 10/19/28 (d)(e)(u)	2,014,910	2,015,293
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9407% 10/21/28 (d)(e)(u)	1,972,285	1,971,418
HomeServe U.S.A. Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3198% 10/13/30 (d)(e)(u)	2,405,000	2,401,994
KNS Acquisitions, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 6.250% 11.6907% 4/21/27 (d)(e)(u)	1,673,914	1,456,306
Madison IAQ LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6848% 6/21/28 (d)(e)(u)	4,406,742	4,387,485
Omnia Partners LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0741% 7/25/30 (d)(e)(u)	2,690,000	2,695,272
Optiv Security, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.250% 10.5741% 8/14/26 (d)(e)(u)	1,471,313	1,420,920
Pg Investment Co. 59 Sarl Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 2/23/31 (e)(u)(w)	2,675,000	2,676,124
Pilot Travel Centers LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.4263% 8/4/28 (d)(e)(u)	2,003,109	2,002,268
Pitney Bowes, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4407% 3/19/28 (d)(e)(u)	788,410	784,468
RLG Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6907% 7/8/28 (d)(e)(u)	1,004,500	980,221
The GEO Group, Inc. Tranche 1B 1LN, term loan CME Term SOFR 1 Month Index + 7.120% 12.2013% 3/23/27 (d)(e)(u)	1,218,963	1,246,767
Vestis Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 2/22/31 (e)(u)(w)	735,000	734,081
WMB Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.0763% 11/3/29 (d)(e)(u)	904,882	904,321
		84,377,905
Construction & Engineering - 0.0%
Rockwood Service Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.6907% 1/23/27 (d)(e)(u)	1,910,595	1,912,582
SRS Distribution, Inc. Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 3.500% 8.9407% 6/4/28 (d)(e)(u)	3,780,624	3,773,214
CME Term SOFR 3 Month Index + 3.250% 8.6763% 6/2/28 (d)(e)(u)	982,456	980,462
USIC Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 9.1059% 5/14/28 (d)(e)(u)	985,000	975,150
		7,641,408
Electrical Equipment - 0.0%
Alliance Laundry Systems LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.9261% 10/8/27 (d)(e)(u)	1,865,342	1,866,890
Vertiv Group Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.9444% 3/2/27 (d)(e)(u)	2,992,500	2,995,223
		4,862,113
Ground Transportation - 0.1%
Avis Budget Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1907% 8/6/27 (d)(e)(u)	668,260	662,245
Genesee & Wyoming, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 2.000% 7.4481% 12/30/26 (d)(e)(u)	2,914,717	2,914,367
Uber Technologies, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.000% 8.1346% 3/3/30 (d)(e)(u)	4,076,772	4,085,497
		7,662,109
Machinery - 0.0%
Chart Industries, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6735% 3/17/30 (d)(e)(u)	1,174,056	1,175,159
CPM Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8283% 9/28/28 (d)(e)(u)	992,843	992,634
TK Elevator U.S. Newco, Inc. Tranche B 1LN, term loan CME Term SOFR 6 Month Index + 3.500% 9.081% 7/31/27 (d)(e)(u)	1,434,190	1,435,165
TNT Crane & Rigging LLC 2LN, term loan 3 month U.S. LIBOR + 8.750% 14.3418% 4/16/25 (d)(e)(h)(u)	497,023	472,172
		4,075,130
Passenger Airlines - 0.1%
AAdvantage Loyalty IP Ltd. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.3294% 4/20/28 (d)(e)(u)	2,834,526	2,887,674
Air Canada Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.9349% 8/11/28 (d)(e)(u)	1,383,925	1,384,119
American Airlines, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8694% 6/4/29 (d)(e)(u)	1,380,000	1,378,565
Mileage Plus Holdings LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.250% 10.7704% 7/2/27 (d)(e)(u)	3,269,618	3,364,371
SkyMiles IP Ltd. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.0678% 10/20/27 (d)(e)(u)	2,265,000	2,326,767
United Airlines, Inc. Tranche 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0757% 2/15/31 (d)(e)(u)	2,670,000	2,666,663
		14,008,159
Professional Services - 0.2%
AlixPartners LLP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.9407% 2/4/28 (d)(e)(u)	3,151,197	3,150,409
Cast & Crew Payroll LLC Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 3.500% 9.1907% 2/7/26 (d)(e)(u)	748,037	748,141
CME Term SOFR 1 Month Index + 3.750% 9.0826% 12/30/28 (d)(e)(u)	1,795,420	1,795,420
CHG Healthcare Services, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6907% 9/30/28 (d)(e)(u)	726,936	725,213
CoreLogic, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9407% 6/2/28 (d)(e)(u)	9,610,374	9,329,558
Dayforce, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 2/16/31 (e)(u)(w)	1,115,000	1,112,213
EAB Global, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9407% 8/16/28 (d)(e)(u)	1,815,369	1,810,449
EmployBridge LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.343% 7/19/28 (d)(e)(u)	2,658,063	2,280,246
Galaxy U.S. Opco, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.0627% 4/29/29 (d)(e)(u)	2,418,904	2,116,541
KBR, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.5763% 1/21/31 (d)(e)(u)	600,000	600,750
Sedgwick Claims Management Services, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0763% 2/24/28 (d)(e)(u)	1,107,210	1,108,095
Verscend Holding Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4407% 8/27/25 (d)(e)(u)	5,642,873	5,639,375
		30,416,410
Trading Companies & Distributors - 0.0%
Foundation Building Materials, Inc. Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 1/29/31 (e)(u)(w)	2,990,000	2,986,263
United Rentals North America, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 2/7/31 (e)(u)(w)	1,315,000	1,317,880
		4,304,143
Transportation Infrastructure - 0.0%
ASP LS Acquisition Corp. 2LN, term loan CME Term SOFR 3 Month Index + 7.500% 13.3958% 5/7/29 (d)(e)(u)	295,000	243,620
Wwex Unified Topco Holdings LLC 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6098% 7/26/28 (d)(e)(u)	2,548,099	2,519,433
		2,763,053
TOTAL INDUSTRIALS		200,193,492
INFORMATION TECHNOLOGY - 1.0%
Communications Equipment - 0.0%
Anastasia Parent LLC Tranche B, term loan CME Term SOFR 3 Month Index + 3.750% 9.3598% 8/10/25 (d)(e)(u)	4,521,443	3,253,811
Eos U.S. Finco LLC 1LN, term loan CME Term SOFR 3 Month Index + 6.000% 11.3481% 10/6/29 (d)(e)(u)	1,611,260	1,439,564
		4,693,375
Electronic Equipment, Instruments & Components - 0.1%
Coherent Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1907% 7/1/29 (d)(e)(u)	3,855,858	3,850,074
DG Investment Intermediate Holdings, Inc.:
2LN, term loan CME Term SOFR 1 Month Index + 6.750% 12.1907% 3/31/29 (d)(e)(u)	315,000	292,950
Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 3.750% 9.1907% 3/31/28 (d)(e)(u)	1,490,062	1,486,962
CME Term SOFR 1 Month Index + 4.750% 10.0763% 3/31/28 (d)(e)(u)	592,002	589,966
Go Daddy Operating Co. LLC:
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.4407% 8/10/27 (d)(e)(u)	1,809,375	1,808,561
Tranche B5 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.3263% 11/12/29 (d)(e)(u)	1,859,468	1,856,214
TTM Technologies, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0783% 5/30/30 (d)(e)(u)	2,352,688	2,343,865
		12,228,592
IT Services - 0.1%
Acuris Finance U.S., Inc. 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.4981% 2/16/28 (d)(e)(u)	1,312,500	1,301,291
Ahead DB Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5686% 1/24/31 (d)(e)(u)	945,000	943,819
Constant Contact, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.5881% 2/10/28 (d)(e)(u)	1,458,710	1,414,045
GTT Communications, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 9.000% 14.4481% 6/30/28 (d)(e)(u)	1,769,548	1,238,684
Ion Trading Finance Ltd. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.1981% 4/1/28 (d)(e)(u)	2,942,431	2,921,422
Peraton Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1763% 2/1/28 (d)(e)(u)	12,541,843	12,541,843
		20,361,104
Semiconductors & Semiconductor Equipment - 0.0%
Entegris, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.8481% 7/6/29 (d)(e)(u)	2,044,391	2,046,701
MKS Instruments, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.8235% 8/17/29 (d)(e)(u)	3,701,239	3,691,320
		5,738,021
Software - 0.8%
A&V Holdings Midco LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.370% 10.987% 3/10/27 (d)(e)(u)	1,530,899	1,504,109
Applied Systems, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.821% 2/7/31 (d)(e)(u)	4,048,588	4,062,920
AppLovin Corp. Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 3.000% 8.4263% 10/25/28 (d)(e)(u)	511,141	511,300
CME Term SOFR 1 Month Index + 3.100% 8.4263% 8/15/30 (d)(e)(u)	3,758,895	3,761,827
Ascend Learning LLC:
2LN, term loan CME Term SOFR 1 Month Index + 5.750% 11.1763% 12/10/29 (d)(e)(u)	2,020,380	1,939,565
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9263% 12/10/28 (d)(e)(u)	9,808,532	9,631,390
Byju's Alpha, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 8.000% 15.5% 11/24/26 (d)(e)(u)	2,455,178	490,004
Camelot U.S. Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0763% 1/31/31 (d)(e)(u)	4,610,373	4,593,084
Central Parent, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.3481% 7/6/29 (d)(e)(u)	3,502,480	3,509,205
Cloud Software Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.9481% 3/30/29 (d)(e)(u)	6,962,817	6,896,113
ConnectWise LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 9.1098% 9/30/28 (d)(e)(u)	3,855,850	3,847,406
DCert Buyer, Inc.:
1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3263% 10/16/26 (d)(e)(u)	6,756,535	6,699,713
Tranche B 2LN, term loan CME Term SOFR 3 Month Index + 7.000% 12.3263% 2/19/29 (d)(e)(u)	1,330,000	1,208,398
DH Corp./Societe term loan CME Term SOFR 3 Month Index + 7.250% 12.7129% 9/13/29 (d)(e)(h)(u)	56,141	56,141
Epicor Software Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 8.6907% 7/31/27 (d)(e)(u)	3,783,708	3,791,995
Finastra U.S.A., Inc. term loan CME Term SOFR 1 Month Index + 7.250% 12.7129% 9/13/29 (d)(e)(h)(u)	2,403,859	2,403,859
Flexera Software LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1907% 3/3/28 (d)(e)(u)	2,299,648	2,296,773
Gen Digital, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.4263% 9/12/29 (d)(e)(u)	4,545,144	4,530,645
Greeneden U.S. Holdings II LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4407% 12/1/27 (d)(e)(u)	2,642,886	2,650,048
Helios Software Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0747% 7/15/30 (d)(e)(u)	823,550	814,285
McAfee Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1783% 3/1/29 (d)(e)(u)	6,371,837	6,332,013
MH Sub I LLC:
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5763% 5/3/28 (d)(e)(u)	11,242,791	11,048,853
Tranche B 2LN, term loan CME Term SOFR 1 Month Index + 6.250% 11.5763% 2/23/29 (d)(e)(u)	1,660,000	1,594,297
Open Text Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1763% 1/31/30 (d)(e)(u)	5,599,812	5,603,340
Polaris Newco LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.5743% 6/2/28 (d)(e)(u)	11,945,410	11,675,205
Project Alpha Intermediate Holding, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.0627% 10/26/30 (d)(e)(u)	3,420,000	3,428,071
Proofpoint, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6907% 8/31/28 (d)(e)(u)	4,414,900	4,405,099
Rackspace Technology Global, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1876% 2/15/28 (d)(e)(u)	6,409,214	2,782,304
RealPage, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4407% 4/22/28 (d)(e)(u)	3,971,131	3,861,448
Red Planet Borrower LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1763% 9/30/28 (d)(e)(u)	2,863,814	2,792,820
Renaissance Holdings Corp. Tranche 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5763% 4/8/30 (d)(e)(u)	5,477,313	5,458,471
Roper Industrial Products Investment Co. 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3481% 11/22/29 (d)(e)(u)	1,371,413	1,375,184
Sophia LP Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 3.500% 10/7/29 (e)(u)(w)	535,000	534,331
CME Term SOFR 1 Month Index + 3.500% 8.9326% 10/7/27 (d)(e)(u)	6,872,151	6,863,561
SS&C Technologies, Inc.:
Tranche B 3LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1907% 4/16/25 (d)(e)(u)	1,029,547	1,028,692
Tranche B 4LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1907% 4/16/25 (d)(e)(u)	972,055	971,249
Tranche B 5LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1907% 4/16/25 (d)(e)(u)	3,543,154	3,540,496
UKG, Inc.:
2LN, term loan CME Term SOFR 3 Month Index + 5.250% 10.6802% 5/3/27 (d)(e)(u)	2,223,000	2,242,451
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8143% 2/10/31 (d)(e)(u)	11,716,267	11,721,773
Veritas U.S., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.4407% 9/1/25 (d)(e)(u)	1,350,904	1,249,019
VS Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.6763% 2/28/27 (d)(e)(u)	3,171,045	3,164,449
		156,871,906
TOTAL INFORMATION TECHNOLOGY		199,892,998
MATERIALS - 0.5%
Chemicals - 0.3%
A-Gas Finco, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.250% 10.5965% 12/14/29 (d)(e)(u)	1,650,000	1,602,563
ARC Falcon I, Inc.:
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.9263% 9/30/28 (d)(e)(u)	3,871,089	3,836,675
Tranche B 2LN, term loan CME Term SOFR 1 Month Index + 7.000% 12.4263% 9/22/29 (d)(e)(u)	345,000	309,638
Aruba Investment Holdings LLC:
1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.0763% 11/24/27 (d)(e)(u)	1,069,200	1,058,508
2LN, term loan CME Term SOFR 1 Month Index + 7.750% 13.1763% 11/24/28 (d)(e)(u)	485,000	459,135
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4263% 11/24/27 (d)(e)(u)	4,005,583	3,975,541
Bakelite U.S. Holding Ltd. 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.4981% 5/27/29 (d)(e)(u)	1,471,266	1,463,909
Consolidated Energy Finance SA Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8214% 11/15/30 (d)(e)(u)	2,520,000	2,441,250
Cyanco Intermediate 2 Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.0763% 7/7/28 (d)(e)(u)	698,250	698,543
Derby Buyer LLC 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5783% 11/1/30 (d)(e)(u)	2,020,000	2,021,273
Discovery Purchaser Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.370% 9.7052% 10/4/29 (d)(e)(u)	7,606,170	7,560,989
Groupe Solmax, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.2816% 5/27/28 (d)(e)(u)	2,810,136	2,729,851
Herens U.S. Holdco Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.920% 9.3731% 7/3/28 (d)(e)(u)	1,645,000	1,536,907
Hexion Holdings Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.9757% 3/15/29 (d)(e)(u)	7,458,271	7,152,930
Hexion, Inc. 2LN, term loan CME Term SOFR 1 Month Index + 7.430% 12.8638% 3/15/30 (d)(e)(u)	675,000	575,019
INEOS U.S. Petrochem LLC 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1763% 3/1/30 (d)(e)(u)	900,475	887,715
Koppers, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8896% 4/10/30 (d)(e)(u)	2,134,288	2,140,969
Nouryon U.S.A. LLC Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 4.000% 9.4191% 4/3/28 (d)(e)(u)	3,343,723	3,340,246
CME Term SOFR 1 Month Index + 4.000% 9.4235% 4/3/28 (d)(e)(u)	1,144,250	1,143,541
Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 4.250% 9.5658% 11/9/28 (d)(e)(u)	2,957,588	2,961,284
CME Term SOFR 3 Month Index + 3.750% 9.3598% 11/9/28 (d)(e)(u)	4,266,442	4,258,719
The Chemours Co. LLC Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8263% 8/18/28 (d)(e)(u)	4,698,507	4,604,537
Touchdown Acquirer, Inc. Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 4.000% 2/7/31 (e)(u)(w)	1,197,725	1,197,725
CME Term SOFR 1 Month Index + 4.000% 2/7/31 (e)(u)(w)	262,275	262,275
W.R. Grace Holding LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.3598% 9/22/28 (d)(e)(u)	1,537,544	1,535,238
		59,754,980
Construction Materials - 0.0%
Janus International Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6226% 8/3/30 (d)(e)(u)	593,513	594,106
Smyrna Ready Mix LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8203% 4/2/29 (d)(e)(u)	368,042	368,502
VM Consolidated, Inc. Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0763% 3/27/28 (d)(e)(u)	1,682,252	1,684,355
White Capital Buyer LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 9.0763% 10/19/27 (d)(e)(u)	498,728	499,112
		3,146,075
Containers & Packaging - 0.2%
AOT Packaging Products AcquisitionCo LLC 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6907% 3/3/28 (d)(e)(u)	3,290,749	3,240,499
Berlin Packaging, LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.2001% 3/11/28 (d)(e)(u)	5,137,315	5,119,489
Berry Global, Inc. Tranche AA 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1825% 7/1/29 (d)(e)(u)	3,176,684	3,168,742
Charter Next Generation, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8263% 12/1/27 (d)(e)(u)	2,869,773	2,867,793
Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.670% 9.1013% 4/13/29 (d)(e)(u)	11,138,082	11,121,821
Graham Packaging Co., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4407% 8/4/27 (d)(e)(u)	3,470,198	3,465,513
Kloeckner Pentaplast of America, Inc. Tranche B 1LN, term loan CME Term SOFR 6 Month Index + 4.750% 10.2675% 2/9/26 (d)(e)(u)	2,241,017	2,151,376
Pregis TopCo Corp. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0763% 8/3/26 (d)(e)(u)	690,000	689,876
Reynolds Consumer Products LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1763% 1/30/27 (d)(e)(u)	982,234	981,497
		32,806,606
Paper & Forest Products - 0.0%
Ahlstrom-Munksjo OYJ 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.6098% 2/4/28 (d)(e)(u)	1,732,566	1,715,240
TOTAL MATERIALS		97,422,901
REAL ESTATE - 0.0%
Real Estate Management & Development - 0.0%
Cushman & Wakefield U.S. Borrower LLC Tranche B 1LN, term loan:
CME Term SOFR 1 Month Index + 2.750% 8.1907% 8/21/25 (d)(e)(u)	226,501	225,935
CME Term SOFR 1 Month Index + 3.250% 8.6763% 1/31/30 (d)(e)(u)	421,293	416,204
Greystar Real Estate Partners Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5757% 8/21/30 (d)(e)(u)	1,132,250	1,130,835
		1,772,974
UTILITIES - 0.1%
Electric Utilities - 0.1%
Brookfield WEC Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0763% 1/20/31 (d)(e)(u)	4,275,000	4,258,285
Generation Bridge Northeast LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5763% 8/7/29 (d)(e)(u)	1,399,078	1,401,709
PG&E Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 7.8263% 6/23/27 (d)(e)(u)	1,440,000	1,439,554
Vistra Operations Co. LLC Tranche B 3LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.3263% 12/20/30 (d)(e)(u)	3,949,291	3,929,940
		11,029,488
Independent Power and Renewable Electricity Producers - 0.0%
Calpine Construction Finance Co. LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.5763% 7/20/30 (d)(e)(u)	1,062,338	1,057,854
Esdec Solar Group BV Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.3598% 8/27/28 (d)(e)(u)	1,765,669	1,668,557
		2,726,411
Multi-Utilities - 0.0%
Osmose Utilities Services, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6907% 6/23/28 (d)(e)(u)	108,338	107,570
TOTAL UTILITIES		13,863,469
TOTAL BANK LOAN OBLIGATIONS (Cost $1,234,430,679)		1,219,176,752

Bank Notes - 0.1%
	Principal Amount (a)	Value ($)
Discover Bank 5.974% 8/9/28 (d)	5,039,000	4,959,996
KeyBank NA 6.95% 2/1/28	718,000	732,692
Regions Bank 6.45% 6/26/37	8,935,000	9,067,592
TOTAL BANK NOTES (Cost $15,870,325)		14,760,280

Preferred Securities - 0.5%
		Principal Amount (a)	Value ($)
COMMUNICATION SERVICES - 0.0%
Diversified Telecommunication Services - 0.0%
CAS Capital No 1 Ltd. 4% (Reg. S) (d)(i)		1,000,000	905,585
CONSUMER DISCRETIONARY - 0.0%
Automobiles - 0.0%
Volkswagen International Finance NV:
3.375% (Reg. S) (d)(i)	EUR	2,500,000	2,736,941
3.875% (Reg. S) (d)(i)	EUR	5,400,000	5,434,617
			8,171,558
CONSUMER STAPLES - 0.0%
Food Products - 0.0%
Cosan Overseas Ltd. 8.25% (i)		1,486,000	1,512,910
Tobacco - 0.0%
British American Tobacco PLC 3% (Reg. S) (d)(i)	EUR	5,510,000	5,525,495
TOTAL CONSUMER STAPLES			7,038,405
ENERGY - 0.1%
Oil, Gas & Consumable Fuels - 0.1%
Energy Transfer LP 3 month U.S. LIBOR + 4.020% 9.5966% (d)(e)(i)		12,463,000	12,362,193
EnLink Midstream Partners LP CME Term SOFR 3 Month Index + 4.370% 9.7562% (d)(e)(i)		1,825,000	1,815,633
Plains All American Pipeline LP CME Term SOFR 3 Month Index + 4.110% 9.6786% (d)(e)(i)		3,330,000	3,325,054
			17,502,880
FINANCIALS - 0.2%
Banks - 0.1%
AIB Group PLC 6.25% (Reg. S) (d)(i)	EUR	1,780,000	1,926,328
Banco de Credito e Inversiones 8.75% (b)(d)(i)		550,000	568,859
Banco Do Brasil SA 6.25% (b)(d)(i)		805,000	825,441
Banco Mercantil del Norte SA:
6.75% (b)(d)(i)		1,145,000	1,150,947
7.625% (b)(d)(i)		902,000	893,974
Bank of America Corp.:
CME Term SOFR 3 Month Index + 3.390% 8.7737% (d)(e)(i)		475,000	488,966
5.875% (d)(i)		2,585,000	2,574,844
6.25% (d)(i)		1,540,000	1,582,972
Barclays PLC:
5.875% (Reg. S) (d)(i)	GBP	1,000,000	1,257,397
7.125% (d)(i)	GBP	250,000	313,344
8.875% (d)(i)	GBP	1,000,000	1,282,778
BBVA Bancomer SA Texas Branch:
5.125% 1/18/33 (b)(d)		485,000	446,091
5.35% 11/12/29 (b)(d)		265,000	264,477
8.45% 6/29/38 (b)(d)		555,000	594,097
BNP Paribas SA 6.625% (Reg. S) (d)(i)		2,230,000	2,294,128
Georgia Bank Joint Stock Co. 11.125% (Reg. S) (d)(i)		200,000	205,571
JPMorgan Chase & Co.:
CME Term SOFR 3 Month Index + 3.560% 8.868% (d)(e)(i)		628,000	635,104
4.6% (d)(i)		1,090,000	1,065,101
6.1% (d)(i)		2,255,000	2,309,236
Lloyds Banking Group PLC 5.125% (d)(i)	GBP	220,000	272,548
NBK Tier 1 Ltd. 3.625% (b)(d)(i)		340,000	309,960
Tinkoff Credit Systems 6% (b)(c)(d)(h)(i)		390,000	19,500
Wells Fargo & Co. 5.9% (d)(i)		1,420,000	1,430,933
			22,712,596
Capital Markets - 0.0%
Charles Schwab Corp. 4% (d)(i)		1,655,000	1,379,573
Credit Suisse Group AG Claim (c)		7,755,000	911,213
UBS Group AG 7% (Reg. S) (d)(i)		644,000	643,686
			2,934,472
Consumer Finance - 0.0%
Ally Financial, Inc.:
4.7% (d)(i)		2,340,000	1,841,483
4.7% (d)(i)		740,000	636,035
			2,477,518
Insurance - 0.1%
QBE Insurance Group Ltd. 5.25% (Reg. S) (d)(i)		4,059,000	4,011,861
TOTAL FINANCIALS			32,136,447
INDUSTRIALS - 0.1%
Ground Transportation - 0.0%
Mobico Group PLC 4.25% (Reg. S) (d)(i)	GBP	900,000	1,030,943
Marine Transportation - 0.0%
DP World Salaam 6% (Reg. S) (d)(i)		1,325,000	1,332,744
Trading Companies & Distributors - 0.1%
AerCap Holdings NV 5.875% 10/10/79 (d)		5,039,000	5,102,359
Air Lease Corp. 4.125% (d)(i)		2,828,000	2,444,318
Aircastle Ltd. 5.25% (b)(d)(i)		2,610,000	2,482,258
			10,028,935
TOTAL INDUSTRIALS			12,392,622
INFORMATION TECHNOLOGY - 0.0%
IT Services - 0.0%
Network i2i Ltd.:
3.975% (b)(d)(i)		350,000	334,945
5.65% (b)(d)(i)		1,015,000	1,025,680
			1,360,625
MATERIALS - 0.0%
Construction Materials - 0.0%
CEMEX S.A.B. de CV:
5.125% (b)(d)(i)		2,015,000	1,968,936
9.125% (b)(d)(i)		485,000	526,199
			2,495,135
REAL ESTATE - 0.1%
Real Estate Management & Development - 0.1%
Aroundtown SA 3.375% (Reg. S) (d)(i)	EUR	6,000,000	3,218,926
AT Securities BV USD SWAP SEMI 30/360 5Y INDX + 3.540% 7.747% (Reg. S) (d)(e)(i)		5,250,000	3,030,444
Citycon Oyj 4.496% (Reg. S) (d)(i)	EUR	1,555,000	1,451,207
CPI Property Group SA 3.75% (Reg. S) (d)(i)	EUR	3,955,000	1,655,954
Grand City Properties SA 1.5% (Reg. S) (d)(i)	EUR	6,000,000	3,637,529
Heimstaden Bostad AB:
3.248% (Reg. S) (d)(i)	EUR	5,790,000	4,260,879
3.625% (Reg. S) (d)(i)	EUR	1,410,000	914,459
Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (d)(i)	EUR	2,605,000	582,390
			18,751,788
UTILITIES - 0.0%
Electric Utilities - 0.0%
SSE PLC 3.74% (Reg. S) (d)(i)	GBP	1,920,000	2,376,341
Multi-Utilities - 0.0%
ELM BV for Firmenich International SA 3.75% (Reg. S) (d)(i)	EUR	705,000	761,612
TOTAL UTILITIES			3,137,953
TOTAL PREFERRED SECURITIES (Cost $129,661,871)			103,892,998

Money Market Funds - 3.3%
	Shares	Value ($)
Fidelity Cash Central Fund 5.39% (x)	491,298,605	491,396,865
Fidelity Securities Lending Cash Central Fund 5.39% (x)(y)	178,048,934	178,066,739
TOTAL MONEY MARKET FUNDS (Cost $669,461,407)		669,463,604

Purchased Swaptions - 0.0%
	Expiration Date	Notional Amount (a)		Value ($)
Put Options - 0.0%
Option on an interest rate swap with Bank of America N.A. to pay annually a fixed rate of 3.7375% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.	2/26/25		14,100,000	493,694
Option on an interest rate swap with Citibank N.A. to pay annually a fixed rate of 3.778% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.	2/24/25		14,300,000	478,872
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.8225% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.	2/24/25		22,300,000	712,665

TOTAL PUT OPTIONS				1,685,231
Call Options - 0.0%
Option on an interest rate swap with Bank of America N.A. to receive annually a fixed rate of 3.7375% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.	2/26/25		14,100,000	513,577
Option on an interest rate swap with Citibank N.A. to receive annually a fixed rate of 3.778% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.	2/24/25		14,300,000	544,425
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.8225% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.	2/24/25		22,300,000	893,483

TOTAL CALL OPTIONS				1,951,485
TOTAL PURCHASED SWAPTIONS (Cost $3,689,118)				3,636,716

TOTAL INVESTMENT IN SECURITIES - 113.2% (Cost $24,341,554,633)	22,745,553,065
NET OTHER ASSETS (LIABILITIES) - (13.2)%	(2,645,743,243)
NET ASSETS - 100.0%	20,099,809,822

TBA Sale Commitments
	Principal Amount (a)	Value ($)
Ginnie Mae
2% 3/1/54	(85,000,000)	(69,173,506)
2% 3/1/54	(66,000,000)	(53,711,196)
2% 3/1/54	(6,525,000)	(5,310,084)
2% 3/1/54	(3,100,000)	(2,522,799)
2% 3/1/54	(33,675,000)	(27,404,917)
2% 3/1/54	(29,800,000)	(24,251,419)
2% 3/1/54	(59,600,000)	(48,502,838)
2% 3/1/54	(2,225,000)	(1,810,718)
2.5% 3/1/54	(17,050,000)	(14,427,060)
2.5% 3/1/54	(1,750,000)	(1,480,783)
3% 3/1/54	(77,150,000)	(67,656,662)
3% 3/1/54	(18,800,000)	(16,486,652)
6.5% 3/1/54	(42,550,000)	(43,131,739)
6.5% 3/1/54	(31,800,000)	(32,234,766)

TOTAL GINNIE MAE		(408,105,139)

Uniform Mortgage Backed Securities
2% 3/1/54	(112,700,000)	(88,587,925)
2% 3/1/54	(10,600,000)	(8,332,138)
2% 3/1/54	(22,025,000)	(17,312,769)
2% 3/1/54	(27,650,000)	(21,734,305)
2% 3/1/54	(13,750,000)	(10,808,199)
2% 3/1/54	(8,400,000)	(6,602,827)
2% 3/1/54	(5,900,000)	(4,637,700)
2% 3/1/54	(2,400,000)	(1,886,522)
2% 3/1/54	(59,100,000)	(46,455,602)
2% 3/1/54	(13,100,000)	(10,297,265)
2.5% 3/1/54	(21,650,000)	(17,786,828)
2.5% 3/1/54	(3,700,000)	(3,039,781)
3% 3/1/54	(108,550,000)	(92,869,616)
3% 3/1/54	(10,700,000)	(9,154,352)
3% 3/1/54	(13,900,000)	(11,892,102)
4.5% 3/1/54	(5,025,000)	(4,755,299)
5% 3/1/54	(4,225,000)	(4,097,590)
5% 3/1/54	(36,750,000)	(35,641,760)
5.5% 3/1/54	(2,975,000)	(2,943,158)
5.5% 3/1/54	(4,350,000)	(4,303,442)
5.5% 3/1/54	(4,900,000)	(4,847,555)
5.5% 3/1/54	(9,700,000)	(9,596,180)
6% 3/1/54	(7,700,000)	(7,733,688)
6% 3/1/54	(4,500,000)	(4,519,688)
6% 3/1/54	(9,500,000)	(9,541,563)
6% 3/1/54	(3,800,000)	(3,816,625)
6% 3/1/54	(9,700,000)	(9,742,438)
6% 3/1/54	(475,000)	(477,078)
6% 3/1/54	(4,700,000)	(4,720,563)
6% 3/1/54	(9,800,000)	(9,842,875)
6.5% 3/1/54	(12,700,000)	(12,922,250)
6.5% 3/1/54	(11,100,000)	(11,294,250)
6.5% 3/1/54	(11,100,000)	(11,294,250)
6.5% 3/1/54	(450,000)	(457,875)
6.5% 3/1/54	(350,000)	(356,125)

TOTAL UNIFORM MORTGAGE BACKED SECURITIES		(504,302,183)

TOTAL TBA SALE COMMITMENTS (Proceeds $913,608,706)		(912,407,322)

Written Swaptions
	Expiration Date	Notional Amount (a)		Value ($)
Put Swaptions
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index and receive annually a fixed rate of 3.7675%, expiring September 2033.	9/20/28		17,300,000	(672,451)
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.502% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring January 2034.	1/04/29		19,200,000	(849,973)

TOTAL PUT SWAPTIONS				(1,522,424)
Call Swaptions
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.7675 and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring September 2033.	9/20/28		17,300,000	(723,811)
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.502% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring January 2034.	1/04/29		19,200,000	(705,563)

TOTAL CALL SWAPTIONS				(1,429,374)
TOTAL WRITTEN SWAPTIONS				(2,951,798)

Futures Contracts
	Number of contracts	Expiration Date	Notional Amount ($)	Value ($)	Unrealized Appreciation/ (Depreciation) ($)
Purchased

Bond Index Contracts
ASX 10 Year Treasury Bond Index Contracts (Australia)	51	Mar 2024	3,812,786	46,384	46,384
TME 10 Year Canadian Note Contracts (Canada)	190	Jun 2024	16,781,712	45,188	45,188

TOTAL BOND INDEX CONTRACTS					91,572

Treasury Contracts
CBOT 10-Year U.S. Treasury Note Contracts (United States)	8	Jun 2024	883,500	3,176	3,176
CBOT 2-Year U.S. Treasury Note Contracts (United States)	1,030	Jun 2024	210,892,500	110,581	110,581
CBOT 5-Year U.S. Treasury Note Contracts (United States)	11,619	Jun 2024	1,242,143,719	2,299,516	2,299,516
CBOT Long Term U.S. Treasury Bond Contracts (United States)	117	Jun 2024	13,952,250	136,848	136,848

TOTAL TREASURY CONTRACTS					2,550,121

TOTAL PURCHASED					2,641,693

Sold

Bond Index Contracts
ICE Long Gilt Contracts (United Kingdom)	48	Jun 2024	5,943,312	(44,751)	(44,751)

Treasury Contracts
CBOT 10-Year U.S. Treasury Note Contracts (United States)	1,521	Jun 2024	167,975,438	(609,313)	(609,313)
CBOT 5-Year U.S. Treasury Note Contracts (United States)	428	Jun 2024	45,755,875	(87,796)	(87,796)

TOTAL TREASURY CONTRACTS					(697,109)

TOTAL SOLD					(741,860)

TOTAL FUTURES CONTRACTS					1,899,833
The notional amount of futures purchased as a percentage of Net Assets is 7.4%
The notional amount of futures sold as a percentage of Net Assets is 1.0%

Forward Foreign Currency Contracts
Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation/ (Depreciation) ($)

EUR	911,000	USD	985,702	Citibank, N. A.	3/04/24	(1,093)
GBP	2,052,000	USD	2,594,847	JPMorgan Chase Bank, N.A.	3/05/24	(4,592)
CAD	583,000	USD	436,743	JPMorgan Chase Bank, N.A.	4/12/24	(6,913)
CAD	297,000	USD	219,852	Royal Bank of Canada	4/12/24	(882)
EUR	1,139,000	USD	1,237,872	BNP Paribas S.A.	4/12/24	(4,804)
EUR	350,000	USD	377,665	Brown Brothers Harriman & Co	4/12/24	1,241
EUR	953,000	USD	1,028,934	Canadian Imperial Bk. of Comm.	4/12/24	2,773
EUR	431,000	USD	467,293	Canadian Imperial Bk. of Comm.	4/12/24	(697)
EUR	2,139,000	USD	2,318,248	Citibank, N. A.	4/12/24	(2,592)
EUR	1,956,000	USD	2,138,861	JPMorgan Chase Bank, N.A.	4/12/24	(21,318)
EUR	743,000	USD	804,999	State Street Bank and Trust Co	4/12/24	(636)
GBP	339,000	USD	429,859	Bank of America, N.A.	4/12/24	(1,835)
GBP	1,157,000	USD	1,466,869	Bank of America, N.A.	4/12/24	(6,033)
GBP	2,091,000	USD	2,666,596	Brown Brothers Harriman & Co	4/12/24	(26,484)
GBP	500,000	USD	636,775	Brown Brothers Harriman & Co	4/12/24	(5,471)
GBP	706,000	USD	895,944	Brown Brothers Harriman & Co	4/12/24	(4,544)
GBP	1,900,000	USD	2,400,972	Canadian Imperial Bk. of Comm.	4/12/24	(2,019)
GBP	508,000	USD	644,676	JPMorgan Chase Bank, N.A.	4/12/24	(3,271)
GBP	349,000	USD	443,393	JPMorgan Chase Bank, N.A.	4/12/24	(2,744)
GBP	233,000	USD	294,366	JPMorgan Chase Bank, N.A.	4/12/24	(178)
GBP	2,007,000	USD	2,525,866	JPMorgan Chase Bank, N.A.	4/12/24	8,187
GBP	2,071,000	USD	2,627,308	JPMorgan Chase Bank, N.A.	4/12/24	(12,449)
JPY	1,788,900,000	USD	12,455,032	JPMorgan Chase Bank, N.A.	4/12/24	(446,131)
USD	178,475	AUD	266,000	Brown Brothers Harriman & Co	4/12/24	5,356
USD	163,113	CAD	220,000	Brown Brothers Harriman & Co	4/12/24	913
USD	197,852	CAD	267,000	Brown Brothers Harriman & Co	4/12/24	1,000
USD	107,793	CAD	146,000	Brown Brothers Harriman & Co	4/12/24	151
USD	559,821	CAD	749,000	JPMorgan Chase Bank, N.A.	4/12/24	7,603
USD	906,955	EUR	823,000	BNP Paribas S.A.	4/12/24	15,985
USD	2,100,421	EUR	1,928,000	BNP Paribas S.A.	4/12/24	13,191
USD	358,257	EUR	333,000	BNP Paribas S.A.	4/12/24	(2,245)
USD	2,543,261	EUR	2,345,000	BNP Paribas S.A.	4/12/24	4,591
USD	4,138,234	EUR	3,767,000	Brown Brothers Harriman & Co	4/12/24	60,124
USD	2,266,840	EUR	2,080,000	Brown Brothers Harriman & Co	4/12/24	15,056
USD	548,079	EUR	503,000	Canadian Imperial Bk. of Comm.	4/12/24	3,538
USD	2,774,572	EUR	2,547,000	Canadian Imperial Bk. of Comm.	4/12/24	17,220
USD	648,664	EUR	594,000	Canadian Imperial Bk. of Comm.	4/12/24	5,606
USD	432,749	EUR	398,000	Canadian Imperial Bk. of Comm.	4/12/24	1,878
USD	236,810,345	EUR	215,689,000	Citibank, N. A.	4/12/24	3,307,946
USD	190,119	EUR	175,000	Goldman Sachs Bank USA	4/12/24	666
USD	507,172	EUR	468,000	Goldman Sachs Bank USA	4/12/24	520
USD	9,598,614	EUR	8,725,000	JPMorgan Chase Bank, N.A.	4/12/24	153,031
USD	185,379	EUR	170,000	JPMorgan Chase Bank, N.A.	4/12/24	1,339
USD	174,613	EUR	162,000	JPMorgan Chase Bank, N.A.	4/12/24	(766)
USD	815,280	EUR	755,000	JPMorgan Chase Bank, N.A.	4/12/24	(2,074)
USD	342,584	GBP	268,000	BNP Paribas S.A.	4/12/24	4,205
USD	107,244,345	GBP	84,299,000	Bank of America, N.A.	4/12/24	807,821
USD	1,940,258	GBP	1,534,000	JPMorgan Chase Bank, N.A.	4/12/24	3,418
USD	12,636,009	JPY	1,790,700,000	Royal Bank of Canada	4/12/24	615,024

TOTAL FORWARD FOREIGN CURRENCY CONTRACTS						4,498,612
Unrealized Appreciation						5,058,383
Unrealized Depreciation						(559,771)

Credit Default Swaps
Underlying Reference	Rating(1)	Maturity Date	Clearinghouse / Counterparty(2)	Fixed Payment Received/ (Paid)	Payment Frequency	Notional Amount(3)(4)		Value ($)(1)	Upfront Premium Received/ (Paid) ($)(5)	Unrealized Appreciation/ (Depreciation) ($)
Buy Protection
CMBX N.A. AAA Index Series 13		Dec 2072	Citigroup Global Markets Ltd.	(0.5%)	Monthly		20,000	160	(216)	(56)
CMBX N.A. BBB- Index Series 13		Dec 2072	Goldman Sachs & Co. LLC	(3%)	Monthly		1,760,000	394,925	(468,928)	(74,003)
CMBX N.A. BBB- Index Series 16		Apr 2065	Citigroup Global Markets Ltd.	(3%)	Monthly		1,710,000	272,606	(386,989)	(114,383)
CMBX N.A. BBB- Index Series 16		Apr 2065	Citigroup Global Markets Ltd.	(3%)	Monthly		630,000	100,434	(174,330)	(73,896)
CMBX N.A. BBB- Index Series 16		Apr 2065	Citigroup Global Markets Ltd.	(3%)	Monthly		590,000	94,057	(169,702)	(75,645)
CMBX N.A. BBB- Index Series 16		Apr 2065	Citigroup Global Markets Ltd.	(3%)	Monthly		930,000	148,259	(228,834)	(80,575)
CMBX N.A. BBB- Index Series 16		Apr 2065	Citigroup Global Markets Ltd.	(3%)	Monthly		1,760,000	280,577	(431,445)	(150,868)
CMBX N.A. BBB- Index Series 16		Apr 2065	Citigroup Global Markets Ltd.	(3%)	Monthly		1,710,000	272,606	(452,808)	(180,202)
CMBX N.A. BBB- Index Series 16		Apr 2065	Citigroup Global Markets Ltd.	(3%)	Monthly		290,000	46,231	(67,383)	(21,152)
CMBX N.A. BBB- Index Series 16		Apr 2065	Citigroup Global Markets Ltd.	(3%)	Monthly		530,000	84,492	(119,070)	(34,578)
CMBX N.A. BBB- Index Series 16		Apr 2065	Goldman Sachs & Co. LLC	(3%)	Monthly		1,480,000	235,940	(430,230)	(194,290)
CMBX N.A. BBB- Index Series 16		Apr 2065	Goldman Sachs & Co. LLC	(3%)	Monthly		5,980,000	953,324	(1,764,055)	(810,731)
CMBX N.A. BBB- Index Series 16		Apr 2065	Goldman Sachs & Co. LLC	(3%)	Monthly		620,000	98,840	(159,785)	(60,945)
CMBX N.A. BBB- Index Series 16		Apr 2065	Goldman Sachs & Co. LLC	(3%)	Monthly		550,000	87,680	(135,480)	(47,800)
CMBX N.A. BBB- Index Series 16		Apr 2065	Goldman Sachs & Co. LLC	(3%)	Monthly		550,000	87,680	(132,875)	(45,195)
CMBX N.A. BBB- Index Series 16		Apr 2065	Goldman Sachs & Co. LLC	(3%)	Monthly		250,000	39,855	(66,165)	(26,310)
CMBX N.A. BBB- Index Series 16		Apr 2065	JPMorgan Securities LLC	(3%)	Monthly		850,000	135,506	(258,983)	(123,477)
CMBX N.A. BBB- Index Series 16		Apr 2065	JPMorgan Securities LLC	(3%)	Monthly		1,160,000	184,926	(329,812)	(144,886)
CMBX N.A. BBB- Index Series 16		Apr 2065	JPMorgan Securities LLC	(3%)	Monthly		1,170,000	186,520	(329,819)	(143,299)
CMBX N.A. BBB- Index Series 16		Apr 2065	Morgan Stanley Capital Services LLC	(3%)	Monthly		1,200,000	191,303	(201,989)	(10,686)
CMBX N.A. BBB- Index Series 16		Apr 2065	Morgan Stanley Capital Services LLC	(3%)	Monthly		600,000	95,651	(101,756)	(6,105)
CMBX N.A. BBB- Index Series 16		Apr 2065	Morgan Stanley Capital Services LLC	(3%)	Monthly		620,000	98,840	(147,593)	(48,753)
CMBX N.A. BBB- Index Series 16		Apr 2065	Morgan Stanley Capital Services LLC	(3%)	Monthly		1,700,000	271,012	(393,825)	(122,813)
CMBX N.A. BBB- Index Series 16		Apr 2065	Morgan Stanley Capital Services LLC	(3%)	Monthly		1,080,000	172,172	(260,538)	(88,366)
CMBX N.A. BBB- Index Series 16		Apr 2065	Morgan Stanley Capital Services LLC	(3%)	Monthly		1,260,000	200,868	(320,783)	(119,915)
CMBX N.A. BBB- Index Series 16		Apr 2065	Morgan Stanley Capital Services LLC	(3%)	Monthly		1,080,000	172,172	(268,759)	(96,587)
CMBX N.A. BBB- Index Series 16		Apr 2065	Morgan Stanley Capital Services LLC	(3%)	Monthly		550,000	87,680	(137,544)	(49,864)
CMBX N.A. BBB- Index Series 17		Dec 2056	Citigroup Global Markets Ltd.	(3%)	Monthly		1,000,000	136,905	(164,252)	(27,347)
CMBX N.A. BBB- Index Series 17		Dec 2056	Goldman Sachs & Co. LLC	(3%)	Monthly		900,000	123,215	(130,467)	(7,252)
CMBX N.A. BBB- Index Series 17		Dec 2056	Morgan Stanley Capital Services LLC	(3%)	Monthly		1,000,000	136,905	(141,435)	(4,530)
CMBX N.A. BBB- Index Series 17		Dec 2056	Morgan Stanley Capital Services LLC	(3%)	Monthly		500,000	68,453	(72,482)	(4,029)
Intesa Sanpaolo SpA		Jun 2028	JPMorgan Chase Bank, N.A.	(1%)	Quarterly	EUR	4,770,000	(87,525)	5,941	(81,584)

TOTAL BUY PROTECTION								5,372,269	(8,442,391)	(3,070,122)
Sell Protection
5-Year CDX N.A. EM Series 40	NR	Dec 2028	ICE	1%	Quarterly		2,100,000	19,895	0	19,895
CMBX N.A. AAA Index Series 13	NR	Dec 2072	Morgan Stanley Capital Services LLC	0.5%	Monthly		20,000	(160)	469	309
CMBX N.A. AAA Index Series 15	NR	Nov 2064	Goldman Sachs & Co. LLC	0.5%	Monthly		3,990,000	(59,840)	107,261	47,421
CMBX N.A. AAA Index Series 16	NR	Apr 2065	Citigroup Global Markets Ltd.	0.5%	Monthly		3,770,000	(69,429)	112,855	43,426

TOTAL SELL PROTECTION								(109,534)	220,585	111,051
TOTAL CREDIT DEFAULT SWAPS								5,262,735	(8,221,806)	(2,959,071)

(2)Swaps with Intercontinental Exchange (ICE) are centrally cleared swaps.

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

(4)Notional amount is stated in U.S. Dollars unless otherwise noted.

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

Interest Rate Swaps
Payment Received	Payment Frequency	Payment Paid	Payment Frequency	Clearinghouse / Counterparty(1)	Maturity Date	Notional Amount(2)		Value ($)	Upfront Premium Received/ (Paid) ($)(3)	Unrealized Appreciation/ (Depreciation) ($)
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)	Annual	4%	Annual	LCH	Mar 2026		300,469,000	1,624,350	0	1,624,350
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)	Annual	4.5%	Annual	LCH	Mar 2027		110,177,000	603,401	0	603,401
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)	Annual	4.25%	Annual	LCH	Mar 2029		31,691,000	212,514	0	212,514
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)	Annual	4.25%	Annual	LCH	Mar 2031		86,550,000	714,520	0	714,520
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)	Annual	4%	Annual	LCH	Mar 2044		7,999,000	41,563	0	41,563
4%	Annual	U.S. Secured Overnight Fin. Rate (SOFR) Index(4)	Annual	LCH	Mar 2054		3,157,000	(21,511)	0	(21,511)
TOTAL INTEREST RATE SWAPS								3,174,837	0	3,174,837

(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.

(2)Notional amount is stated in U.S. Dollars unless otherwise noted.

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

(4)Represents floating rate.

Currency Abbreviations

AUD	-	Australian dollar
CAD	-	Canadian dollar
EUR	-	European Monetary Unit
GBP	-	British pound sterling
JPY	-	Japanese yen
USD	-	U.S. dollar

Legend

(a)	Amount is stated in United States dollars unless otherwise noted.

(b)

(c)	Non-income producing - Security is in default.

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

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

(f)	Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(g)	Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $883,559 or 0.0% of net assets.

(h)	Level 3 security

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

(j)	Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts, options and bi-lateral over the counter (OTC) swaps. At period end, the value of securities pledged amounted to $259,458.

(k)	Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $13,776,872.

(l)	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 $23,191,562.

(m)	Security or a portion of the security is on loan at period end.

(n)	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 $18,674,310.

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

(p)	Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

(q)	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.

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

(s)	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.

(t)	Non-income producing

(u)	Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.

(v)	Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $408,896 and $409,153, respectively.

(w)	The coupon rate will be determined upon settlement of the loan after period end.

(x)

(y)	Investment made with cash collateral received from securities on loan.

Additional information on each restricted holding is as follows:
Security	Acquisition Date	Acquisition Cost ($)
Chesapeake Energy Corp.	2/10/21	3,324

Jonah Energy Parent LLC 12% 11/5/25	5/05/23	791,880

Affiliated Central Funds

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

Affiliate	Value, beginning of period ($)	Purchases ($)	Sales Proceeds ($)	Dividend Income ($)	Realized Gain (loss) ($)	Change in Unrealized appreciation (depreciation) ($)	Value, end of period ($)	% ownership, end of period
Fidelity Cash Central Fund 5.39%	500,115,355	3,319,412,481	3,328,130,971	16,483,387	-	-	491,396,865	0.9%
Fidelity Securities Lending Cash Central Fund 5.39%	120,678,671	2,190,512,415	2,133,124,347	85,836	-	-	178,066,739	0.6%
Total	620,794,026	5,509,924,896	5,461,255,318	16,569,223	-	-	669,463,604

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

Investment Valuation

Valuation Inputs at Reporting Date:
Description	Total ($)	Level 1 ($)	Level 2 ($)	Level 3 ($)
Investments in Securities:

Equities:
Communication Services	1,175,878	-	-	1,175,878
Consumer Discretionary	1,832,749	1,096,962	-	735,787
Energy	16,796,102	11,385,095	-	5,411,007
Financials	4,240,122	2,297,102	-	1,943,020
Health Care	1,803,890	1,803,890	-	-
Industrials	1,795,135	1,406,218	-	388,917
Information Technology	3,003,016	1,730,868	-	1,272,148
Real Estate	2,183,176	1,901,183	281,993	-

Corporate Bonds	6,319,596,169	-	6,318,288,482	1,307,687

U.S. Government and Government Agency Obligations	5,850,867,985	-	5,850,867,985	-

U.S. Government Agency - Mortgage Securities	5,280,009,541	-	5,280,009,541	-

Asset-Backed Securities	1,380,655,981	-	1,380,655,977	4

Collateralized Mortgage Obligations	400,445,220	-	400,445,028	192

Commercial Mortgage Securities	1,185,009,662	-	1,175,765,170	9,244,492

Foreign Government and Government Agency Obligations	258,351,629	-	258,351,629	-

Supranational Obligations	26,856,460	-	26,856,460	-

Bank Loan Obligations	1,219,176,752	-	1,208,736,521	10,440,231

Bank Notes	14,760,280	-	14,760,280	-

Preferred Securities	103,892,998	-	103,873,498	19,500

Money Market Funds	669,463,604	669,463,604	-	-

Purchased Swaptions	3,636,716	-	3,636,716	-
Total Investments in Securities:	22,745,553,065	691,084,922	22,022,529,280	31,938,863
Derivative Instruments: Assets
Futures Contracts	2,641,693	2,641,693	-	-
Forward Foreign Currency Contracts	5,058,383	-	5,058,383	-
Swaps	8,676,037	-	8,676,037	-
Total Assets	16,376,113	2,641,693	13,734,420	-
Liabilities
Futures Contracts	(741,860)	(741,860)	-	-
Forward Foreign Currency Contracts	(559,771)	-	(559,771)	-
Swaps	(238,465)	-	(238,465)	-
Written Swaptions	(2,951,798)	-	(2,951,798)	-
Total Liabilities	(4,491,894)	(741,860)	(3,750,034)	-
Total Derivative Instruments:	11,884,219	1,899,833	9,984,386	-
Other Financial Instruments:
TBA Sale Commitments	(912,407,322)	-	(912,407,322)	-
Total Other Financial Instruments:	(912,407,322)	-	(912,407,322)	-

Value of Derivative Instruments

Primary Risk Exposure / Derivative Type	Value
	Asset ($)	Liability ($)
Credit Risk
Swaps (a)(b)	5,479,689	(216,954)
Total Credit Risk	5,479,689	(216,954)
Foreign Exchange Risk
Forward Foreign Currency Contracts (c)	5,058,383	(559,771)
Total Foreign Exchange Risk	5,058,383	(559,771)
Interest Rate Risk
Futures Contracts (d)	2,641,693	(741,860)
Purchased Swaptions (e)	3,636,716	0
Swaps (a)	3,196,348	(21,511)
Written Swaptions (f)	0	(2,951,798)
Total Interest Rate Risk	9,474,757	(3,715,169)
Total Value of Derivatives	20,012,829	(4,491,894)

(a)For centrally cleared swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).

(b)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.

(c)Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.

(d)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

(e)Gross value is presented in the Statement of Assets and Liabilities in the Investments in Securities at value line-item.

(f)Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.

Financial Statements (Unaudited)

Statement of Assets and Liabilities
				February 29, 2024 (Unaudited)

Assets
Investment in securities, at value (including securities loaned of $173,530,726) - See accompanying schedule:
Unaffiliated issuers (cost $23,672,093,226)	$	22,076,089,461
Fidelity Central Funds (cost $669,461,407)		669,463,604


Total Investment in Securities (cost $24,341,554,633)			$	22,745,553,065
Cash				2,077,361
Foreign currency held at value (cost $1,311,656)				1,308,769
Receivable for investments sold
Regular delivery				17,795,811
Delayed delivery				1,267,950
Receivable for premium on written options				3,041,800
Receivable for TBA sale commitments				913,608,706
Unrealized appreciation on forward foreign currency contracts				5,058,383
Dividends receivable				138,719
Interest receivable				162,674,632
Distributions receivable from Fidelity Central Funds				2,292,802
Receivable for daily variation margin on futures contracts				70,605
Bi-lateral OTC swaps, at value				5,459,794
Prepaid expenses				12,290
Total assets				23,860,360,687
Liabilities
Payable for investments purchased
Regular delivery	$	119,906,784
Delayed delivery		2,515,606,185
TBA sale commitments, at value		912,407,322
Unrealized depreciation on forward foreign currency contracts		559,771
Payable for fund shares redeemed		25,396,674
Bi-lateral OTC swaps, at value		216,954
Accrued management fee		4,963,566
Payable for daily variation margin on centrally cleared swaps		356,884
Written options, at value (premium receivable $3,041,800)		2,951,798
Other payables and accrued expenses		118,188
Collateral on securities loaned		178,066,739
Total Liabilities				3,760,550,865
Commitments and contingent liabilities (see Commitments note)
Net Assets			$	20,099,809,822
Net Assets consist of:
Paid in capital			$	22,589,028,652
Total accumulated earnings (loss)				(2,489,218,830)
Net Assets			$	20,099,809,822
Net Asset Value, offering price and redemption price per share ($20,099,809,822 ÷ 2,255,462,614 shares)			$	8.91

Statement of Operations
				Six months ended February 29, 2024 (Unaudited)
Investment Income
Dividends			$	3,773,712
Interest				489,214,560
Income from Fidelity Central Funds (including $85,836 from security lending)				16,569,223
Total Income				509,557,495
Expenses
Management fee	$	29,782,800
Custodian fees and expenses		22,595
Independent trustees' fees and expenses		32,745
Registration fees		128,456
Audit		77,890
Legal		202,376
Miscellaneous		72,548
Total expenses before reductions		30,319,410
Expense reductions		(577,265)
Total expenses after reductions				29,742,145
Net Investment income (loss)				479,815,350
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment Securities:
Unaffiliated issuers		(162,009,352)
Forward foreign currency contracts		3,375,960
Foreign currency transactions		364,677
Futures contracts		(13,473,882)
Swaps		(8,434,796)
Total net realized gain (loss)				(180,177,393)
Change in net unrealized appreciation (depreciation) on:
Investment Securities:
Unaffiliated issuers		335,407,154
Forward foreign currency contracts		168,359
Assets and liabilities in foreign currencies		(33,372)
Futures contracts		4,393,974
Swaps		1,442,689
Written options		90,002
TBA Sale commitments		6,088,382
Total change in net unrealized appreciation (depreciation)				347,557,188
Net gain (loss)				167,379,795
Net increase (decrease) in net assets resulting from operations			$	647,195,145

Statement of Changes in Net Assets

		Six months ended February 29, 2024 (Unaudited)		Year ended August 31, 2023
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	479,815,350	$	857,311,825
Net realized gain (loss)		(180,177,393)		(558,027,107)
Change in net unrealized appreciation (depreciation)		347,557,188		(211,280,553)
Net increase (decrease) in net assets resulting from operations		647,195,145		88,004,165
Distributions to shareholders		(455,967,285)		(846,069,933)

Share transactions
Proceeds from sales of shares		120,275,537		1,580,259,248
Reinvestment of distributions		455,967,287		846,069,933
Cost of shares redeemed		(1,018,926,852)		(620,848,447)

Net increase (decrease) in net assets resulting from share transactions		(442,684,028)		1,805,480,734
Total increase (decrease) in net assets		(251,456,168)		1,047,414,966

Net Assets
Beginning of period		20,351,265,990		19,303,851,024
End of period	$	20,099,809,822	$	20,351,265,990

Other Information
Shares
Sold		13,860,552		176,740,281
Issued in reinvestment of distributions		51,854,687		94,920,580
Redeemed		(115,010,683)		(69,223,263)
Net increase (decrease)		(49,295,444)		202,437,598

Financial Highlights

Fidelity® SAI Total Bond Fund

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022		2021		2020		2019 A
Selected Per-Share Data
Net asset value, beginning of period	$	8.83	$	9.18	$	10.67	$	11.01	$	10.76	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.209		.389		.265		.283		.328		.317
Net realized and unrealized gain (loss)		.070		(.355)		(1.421)		.011		.414		.734
Total from investment operations		.279		.034		(1.156)		.294		.742		1.051
Distributions from net investment income		(.199)		(.384)		(.264)		(.263)		(.317)		(.289)
Distributions from net realized gain		-		-		(.070)		(.371)		(.175)		(.002)
Total distributions		(.199)		(.384)		(.334)		(.634)		(.492)		(.291)
Net asset value, end of period	$	8.91	$	8.83	$	9.18	$	10.67	$	11.01	$	10.76
Total Return D,E		3.21%		.41%		(11.04)%		2.81%		7.16%		10.67%
Ratios to Average Net Assets B,F,G
Expenses before reductions		.30% H		.30%		.30%		.30%		.31%		.42% H
Expenses net of fee waivers, if any		.30% H		.30%		.30%		.30%		.31%		.36% H
Expenses net of all reductions		.30% H		.30%		.30%		.30%		.31%		.36% H
Net investment income (loss)		4.78% H		4.36%		2.68%		2.66%		3.08%		3.63% H
Supplemental Data
Net assets, end of period (000 omitted)	$	20,099,810	$	20,351,266	$	19,303,851	$	17,906,211	$	16,211,735	$	14,123,236
Portfolio turnover rate I		229% H		204%		132%		180%		214%		209% H,J

AFor the period October 25, 2018 (commencement of operations) through August 31, 2019.

CCalculated based on average shares outstanding during the period.

DTotal returns for periods of less than one year are not annualized.

ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

HAnnualized.

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

JPortfolio turnover rate excludes securities received or delivered in-kind.

Notes to Financial Statements (Unaudited)

For the period ended February 29, 2024

1. Organization.

Fidelity SAI Total Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

2. Investments in Fidelity Central Funds.

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices	Expense RatioA
Fidelity Money Market Central Funds	Fidelity Management & Research Company LLC (FMR)	Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.	Short-term Investments	Less than .005%

A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

3. Significant Accounting Policies.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value 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 services or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities, supranational obligations and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing services, 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 services. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. 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 service 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 foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be 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.

ETFs are valued at their last sale price or official closing price as reported by a third party pricing service 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 but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Foreign Currency. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in interest. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in interest receivable.

Book-tax differences are primarily due to swaps, futures and options transactions, foreign currency transactions, passive foreign investment companies (PFIC), partnerships, market discount, capital loss carryforwards and losses deferred due to wash sales, futures contracts and excise tax regulations.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation	$181,927,891
Gross unrealized depreciation	(1,711,061,226)
Net unrealized appreciation (depreciation)	$(1,529,133,335)
Tax cost	$24,282,591,998

Short-term	$(428,491,649)
Long-term	(378,063,451)
Total capital loss carryforward	$(806,555,100)

Loans and Other Direct Debt Instruments. Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.

Commitments. A commitment is an agreement to acquire an investment at a future date (subject to conditions) in connection with a potential public or non-public offering. Commitments outstanding at period end are presented in the table below. Unrealized appreciation (depreciation) on any commitments outstanding at period end is separately presented in the Statement of Assets and Liabilities as Unrealized appreciation (depreciation) on unfunded commitments, and any change in unrealized appreciation (depreciation) on unfunded commitments during the period is separately presented in the Statement of Operations, as applicable based on contractual conditions of each commitment.

	Investment to be Acquired	Commitment Amount	Unrealized Appreciation (Depreciation)
Fidelity SAI Total Bond Fund	Level 3 Financing, Inc. 1LN note 11% 11/15/29.	$1,055,151	$-

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, forward foreign currency contracts, options and swaps. 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.

Derivatives were used to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities and 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 objectives may not be achieved.

Derivatives were used to increase or decrease 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 a fund.
Foreign Exchange Risk	Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
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.

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts, options and bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. For OTC written options with upfront premiums received, a fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.

Primary Risk Exposure / Derivative Type	Net Realized Gain (Loss)($)	Change in Net Unrealized Appreciation (Depreciation)($)
Fidelity SAI Total Bond Fund
Credit Risk
Swaps	(345,033)	(2,187,089)
Total Credit Risk	(345,033)	(2,187,089)
Foreign Exchange Risk
Forward Foreign Currency Contracts	3,375,960	168,359
Total Foreign Exchange Risk	3,375,960	168,359
Interest Rate Risk
Futures Contracts	(13,473,882)	4,393,974
Purchased Options	342,021	(49,485)
Written Options	-	90,002
Swaps	(8,089,763)	3,629,778
Total Interest Rate Risk	(21,221,624)	8,064,269
Totals	(18,190,697)	6,045,539

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.

Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period unless an average contract value is presented.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

	Purchases ($)	Sales ($)
Fidelity SAI Total Bond Fund	13,481,019,231	13,608,329,887

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .30% of the Fund's average net assets.

Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:

	Amount
Fidelity SAI Total Bond Fund	$45

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.

	Amount
Fidelity SAI Total Bond Fund	$16,079

8. Security Lending.

	Total Security Lending Fees Paid to NFS	Security Lending Income From Securities Loaned to NFS	Value of Securities Loaned to NFS at Period End
Fidelity SAI Total Bond Fund	$8,967	$-	$-

9. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $21,220.

In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $556,045.

10. Other.

At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.

	Strategic Advisers Core Income Fund	Strategic Advisers Fidelity Core Income Fund
Fidelity SAI Total Bond Fund	22%	78%

Mutual funds managed by the investment adviser or its affiliates, in aggregate, were the owners of record of more than 20% of the total outstanding shares.

Fund	% of shares held
Fidelity SAI Total Bond Fund	100%

11. Risk and Uncertainties.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2023 to February 29, 2024).

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Expense Ratio- A	Beginning Account Value September 1, 2023	Ending Account Value February 29, 2024	Expenses Paid During Period- C September 1, 2023 to February 29, 2024

Fidelity® SAI Total Bond Fund	.30%
Actual		$ 1,000	$ 1,032.10	$ 1.52
Hypothetical-B		$ 1,000	$ 1,023.37	$ 1.51

A Annualized expense ratio reflects expenses net of applicable fee waivers.

B 5% return per year before expenses

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity SAI Total Bond Fund

At its September 2023 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by FMR and its affiliates (Fidelity) from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders. The Board also considered the broad range of investment choices available to shareholders from FMR's competitors and that the fund's shareholders have chosen to invest in the fund, which is part of the Fidelity family of funds. The Board's decision to renew the Advisory Contracts was not based on any single factor.

Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds and experience of investment personnel of Fidelity, and also considered the Investment Advisers' implementation of the fund's investment program. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, training, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Fidelity's supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted by Fidelity to, and the record of compliance with, the fund's compliance policies and procedures. The Board also considered the fund's securities lending activities and any payments made to Fidelity relating to securities lending.

Investment Performance. The Board took into account discussions that occur with representatives of the Investment Advisers, and reports that it receives, at Board meetings throughout the year relating to fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considered annualized return information for the fund for different time periods, measured against one or more appropriate securities market indices, including a customized blended index that reflects the respective weights of the fund's asset classes (each a benchmark index) and an appropriate peer group of funds with similar objectives (peer group). The Board also considered information about performance attribution. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds over different time periods and discussed with the Investment Advisers the reasons for such underperformance.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio. The Board was provided with information regarding industry trends in management fees and expenses. In its review of the fund's management fee and total expense ratio, the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund.

Comparisons of Management Fees and Total Expense Ratios. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "mapped groups") that were compiled by Fidelity based on combining similar investment objective categories (as classified by Lipper) that have comparable investment mandates. The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the total universe of funds within the mapped group; (ii) gross management fee comparisons relative to a subset of non-Fidelity funds in the mapped group that are similar in size and management fee structure to the fund (referred to as the "asset size peer group"); (iii) total expense comparisons of the fund relative to funds and classes in the mapped group that have a similar sales load structure to the fund (referred to as the "similar sales load structure group"); and (iv) total expense comparisons of the fund relative to funds and classes in the similar sales load structure group that are similar in size and management fee structure to the fund (referred to as the "total expense asset size peer group"). The total expense asset size peer group comparison excludes performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.

The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for 2022 and below the competitive median of the asset size peer group for 2022. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the similar sales load structure group for 2022 and below the competitive median of the total expense asset size peer group for 2022.

Other Contractual Arrangements. The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.36% through December 31, 2024.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered. Further, based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total "group assets" increase, and for higher group fee rates as total "group assets" decrease ("group assets" as defined in the management contract). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board also considered that Fidelity agreed to impose a temporary fee waiver in the form of additional breakpoints to the current breakpoint schedule. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as "group assets" increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.

The Board concluded, taking into account the analysis of the committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Board Approval of Investment Advisory Contracts

Fidelity SAI Total Bond Fund

At its January 2024 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), approved an amended and restated management contract with Fidelity Management & Research Company LLC (FMR) (the Management Contract), and amended and restated sub-advisory agreements (the Sub-Advisory Contracts, and together with the Management Contract, the Advisory Contracts) for the fund, including the fund's sub-advisory agreements with FMR Investment Management (UK) Limited (FMR UK), Fidelity Management & Research (Hong Kong) Limited (FMR H.K.), and Fidelity Management & Research (Japan) Limited (FMR Japan).The Advisory Contracts will be effective March 1, 2024. The Board will consider the annual renewal of the fund's Advisory Contracts in September 2024, following its review of additional materials provided by FMR.

Management Contract. The Board approved the Management Contract, which implements a new fee structure that eliminates the existing group fee schedule and fixes the management fee rate at the sum of the individual fee rate and the lowest marginal contractual group fee rate under the current management contract. The Board noted that shareholders in the affected funds are not currently impacted by changes in the group fee rates due to other arrangements such as fund expense caps or managed account fee crediting. The Board considered that the Management Contract would result in the same or lower fees for the fund.

Highly liquid investments - cash or convertible to cash within three business days or less
Moderately liquid investments - convertible to cash in three to seven calendar days
Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
Illiquid investments - cannot be sold or disposed of within seven calendar days

A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
Proposal 1
To elect a Board of Trustees.
	# of Votes	% of Votes
Abigail P. Johnson
Affirmative	378,729,502,260.01	97.58
Withheld	9,407,876,478.96	2.42
TOTAL	388,137,378,738.97	100.00
Jennifer Toolin McAuliffe
Affirmative	378,454,868,010.95	97.51
Withheld	9,682,510,728.02	2.49
TOTAL	388,137,378,738.97	100.00
Christine J. Thompson
Affirmative	378,837,121,274.52	97.60
Withheld	9,300,257,464.45	2.40
TOTAL	388,137,378,738.97	100.00
Elizabeth S. Acton
Affirmative	378,262,110,794.85	97.46
Withheld	9,875,267,944.12	2.54
TOTAL	388,137,378,738.97	100.00
Laura M. Bishop
Affirmative	380,482,113,171.06	98.03
Withheld	7,655,265,567.91	1.97
TOTAL	388,137,378,738.97	100.00
Ann E. Dunwoody
Affirmative	380,016,034,008.12	97.91
Withheld	8,121,344,730.85	2.09
TOTAL	388,137,378,738.97	100.00
John Engler
Affirmative	379,432,488,394.20	97.76
Withheld	8,704,890,344.77	2.24
TOTAL	388,137,378,738.97	100.00
Robert F. Gartland
Affirmative	378,741,819,600.60	97.58
Withheld	9,395,559,138.37	2.42
TOTAL	388,137,378,738.97	100.00
Robert W. Helm
Affirmative	380,389,324,755.07	98.00
Withheld	7,748,053,983.90	2.00
TOTAL	388,137,378,738.97	100.00
Arthur E. Johnson
Affirmative	378,427,694,151.67	97.50
Withheld	9,709,684,587.30	2.50
TOTAL	388,137,378,738.97	100.00
Michael E. Kenneally
Affirmative	377,842,228,145.18	97.35
Withheld	10,295,150,593.79	2.65
TOTAL	388,137,378,738.97	100.00
Mark A. Murray
Affirmative	380,158,432,703.37	97.94
Withheld	7,978,946,035.60	2.06
TOTAL	388,137,378,738.97	100.00
Carol J. Zierhoffer
Affirmative	380,522,113,360.24	98.04
Withheld	7,615,265,378.73	1.96
TOTAL	388,137,378,738.97	100.00

Proposal 1 reflects trust wide proposal and voting results.

1.9887628.105

STB-SANN-0424

Fidelity® Tactical Bond Fund

Semi-Annual Report

February 29, 2024

Includes Fidelity and Fidelity Advisor share classes

Contents

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Schedule of Investments February 29, 2024 (Unaudited)

The information in the following tables is based on the combined Investments of the Fund and its pro-rata share of investments in Fidelity's Central Funds, other than the Money Market Central Funds.

Quality Diversification (% of Fund's net assets)

Asset Allocation (% of Fund's net assets)

Futures and Swaps - 1.2%

Showing Percentage of Net Assets

Nonconvertible Bonds - 6.7%
	Principal Amount (a)	Value ($)
COMMUNICATION SERVICES - 1.4%
Media - 0.8%
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
3.7% 4/1/51	250,000	151,761
5.5% 4/1/63	130,000	100,555
Sirius XM Radio, Inc. 4.125% 7/1/30 (b)	140,000	120,450
Warnermedia Holdings, Inc.:
5.05% 3/15/42	10,000	8,409
5.141% 3/15/52	16,000	13,002
		394,177
Wireless Telecommunication Services - 0.6%
Millicom International Cellular SA:
4.5% 4/27/31 (b)	310,000	267,747
6.25% 3/25/29 (b)	72,000	69,552
		337,299
TOTAL COMMUNICATION SERVICES		731,476
CONSUMER DISCRETIONARY - 0.2%
Textiles, Apparel & Luxury Goods - 0.2%
Tapestry, Inc.:
7% 11/27/26	13,000	13,352
7.35% 11/27/28	20,000	20,920
7.7% 11/27/30	43,000	45,595
7.85% 11/27/33	43,000	46,515
		126,382
ENERGY - 2.5%
Oil, Gas & Consumable Fuels - 2.5%
Columbia Pipelines Operating Co. LLC:
5.927% 8/15/30 (b)	4,000	4,074
6.036% 11/15/33 (b)	12,000	12,322
6.497% 8/15/43 (b)	3,000	3,175
6.544% 11/15/53 (b)	6,000	6,392
6.714% 8/15/63 (b)	4,000	4,331
Kinder Morgan, Inc. 3.6% 2/15/51	600,000	411,794
MPLX LP:
5% 3/1/33	100,000	95,651
5.65% 3/1/53	100,000	95,093
Petroleos Mexicanos 7.69% 1/23/50	650,000	447,753
Targa Resources Corp.:
4.2% 2/1/33	130,000	117,014
4.95% 4/15/52	130,000	111,221
		1,308,820
FINANCIALS - 1.1%
Banks - 0.5%
Bank of America Corp. 2.299% 7/21/32 (c)	280,000	226,637
Consumer Finance - 0.6%
Capital One Financial Corp.:
5.468% 2/1/29 (c)	18,000	17,900
5.817% 2/1/34 (c)	32,000	31,640
7.624% 10/30/31 (c)	32,000	35,019
Ford Motor Credit Co. LLC 3.375% 11/13/25	250,000	239,856
		324,415
Financial Services - 0.0%
Corebridge Financial, Inc.:
3.9% 4/5/32	9,000	7,921
4.35% 4/5/42	2,000	1,651
4.4% 4/5/52	6,000	4,816
		14,388
TOTAL FINANCIALS		565,440
HEALTH CARE - 0.4%
Health Care Providers & Services - 0.4%
Centene Corp. 4.625% 12/15/29	120,000	113,586
Prime Healthcare Foundation, Inc. 7% 12/1/27	110,000	103,126
		216,712
REAL ESTATE - 0.3%
Equity Real Estate Investment Trusts (REITs) - 0.3%
American Homes 4 Rent LP:
3.625% 4/15/32	8,000	6,980
4.3% 4/15/52	6,000	4,655
Highwoods/Forsyth LP 7.65% 2/1/34	89,000	95,583
Piedmont Operating Partnership LP 9.25% 7/20/28	39,000	41,203
		148,421
UTILITIES - 0.8%
Electric Utilities - 0.8%
DPL, Inc.:
4.125% 7/1/25	200,000	193,952
4.35% 4/15/29	270,000	244,661
		438,613
Multi-Utilities - 0.0%
Puget Energy, Inc. 4.224% 3/15/32	15,000	13,419
TOTAL UTILITIES		452,032
TOTAL NONCONVERTIBLE BONDS (Cost $3,862,509)		3,549,283

U.S. Treasury Obligations - 53.4%
	Principal Amount (a)	Value ($)
U.S. Treasury Bonds:
2.875% 5/15/52	4,990,000	3,757,314
4.125% 8/15/53	4,215,000	4,035,204
U.S. Treasury Notes:
3.5% 2/15/33	930,000	877,288
3.75% 5/31/30	2,420,000	2,349,574
3.75% 12/31/30	2,100,000	2,035,031
4% 1/31/31	7,000,000	6,886,250
4.125% 11/15/32	8,130,000	8,043,933
4.5% 11/15/33	200,000	203,781
TOTAL U.S. TREASURY OBLIGATIONS (Cost $29,053,347)		28,188,375

Asset-Backed Securities - 4.6%
	Principal Amount (a)	Value ($)
AASET Trust:
Series 2021-1A Class A, 2.95% 11/16/41 (b)	178,013	160,704
Series 2021-2A Class A, 2.798% 1/15/47 (b)	200,333	174,306
DB Master Finance LLC Series 2021-1A Class A23, 2.791% 11/20/51 (b)	244,375	203,677
Dominos Pizza Master Issuer LLC Series 2021-1A Class A2II, 3.151% 4/25/51 (b)	923,875	797,785
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b)	339,673	303,864
Planet Fitness Master Issuer LLC Series 2022-1A Class A2II, 4.008% 12/5/51 (b)	491,250	431,248
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b)	434,100	370,092
TOTAL ASSET-BACKED SECURITIES (Cost $2,514,803)		2,441,676

Commercial Mortgage Securities - 1.7%
	Principal Amount (a)	Value ($)
BPR Trust floater Series 2022-OANA Class B, CME Term SOFR 1 Month Index + 2.440% 7.7646% 4/15/37 (b)(c)(d)	11,000	10,983
BX Commercial Mortgage Trust floater Series 2019-XL Class D, CME Term SOFR 1 Month Index + 1.560% 6.8821% 10/15/36 (b)(c)(d)	85,000	84,788
BX Trust floater Series 2022-IND:
Class C, CME Term SOFR 1 Month Index + 2.290% 7.6076% 4/15/37 (b)(c)(d)	206,686	206,427
Class D, CME Term SOFR 1 Month Index + 2.830% 8.1566% 4/15/37 (b)(c)(d)	7,655	7,641
Life Financial Services Trust floater Series 2022-BMR2:
Class B, CME Term SOFR 1 Month Index + 1.790% 7.1116% 5/15/39 (b)(c)(d)	100,000	98,875
Class C, CME Term SOFR 1 Month Index + 2.090% 7.4108% 5/15/39 (b)(c)(d)	100,000	98,750
Class D, CME Term SOFR 1 Month Index + 2.540% 7.8596% 5/15/39 (b)(c)(d)	100,000	95,438
Open Trust 2023-Air sequential payer Series 2023-AIR:
Class A, CME Term SOFR 1 Month Index + 3.080% 8.4067% 10/15/28 (b)(c)(d)	95,686	96,045
Class B, CME Term SOFR 1 Month Index + 3.830% 9.1556% 10/15/28 (b)(c)(d)	95,686	96,102
VLS Commercial Mortgage Trust sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b)	100,000	80,532
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $876,473)		875,581

Municipal Securities - 0.8%
	Principal Amount (a)	Value ($)
Chicago Board of Ed.:
Series 2009 G, 1.75% 12/15/25	400,000	368,202
Series 2010 C, 6.319% 11/1/29	60,000	59,304
TOTAL MUNICIPAL SECURITIES (Cost $430,057)		427,506

Foreign Government and Government Agency Obligations - 3.4%
		Principal Amount (a)	Value ($)
Brazilian Federative Republic:
5.625% 2/21/47		140,000	119,213
10% 1/1/27	BRL	1,000,000	200,914
10% 1/1/33	BRL	1,000,000	193,231
Dominican Republic:
4.875% 9/23/32 (b)		270,000	240,430
5.5% 2/22/29 (b)		250,000	241,818
Japan Government 0.1% 12/20/24	JPY	64,700,000	431,844
United Mexican States:
7.75% 5/29/31	MXN	3,372,000	182,908
7.75% 11/13/42	MXN	3,581,000	181,038
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,759,244)			1,791,396

Fixed-Income Funds - 27.2%
	Shares	Value ($)
Fidelity Floating Rate Central Fund (e)	76,631	7,558,090
Fidelity High Income Central Fund (e)	30,414	3,173,667
Fidelity International Credit Central Fund (e)	45,617	3,638,442
TOTAL FIXED-INCOME FUNDS (Cost $15,061,661)		14,370,199

Preferred Securities - 1.7%
	Principal Amount (a)	Value ($)
ENERGY - 0.4%
Oil, Gas & Consumable Fuels - 0.4%
Enbridge, Inc. 5.75% 7/15/80 (c)	250,000	234,951
FINANCIALS - 1.3%
Banks - 1.3%
Bank of Nova Scotia 4.9% (c)(f)	690,000	669,480
TOTAL PREFERRED SECURITIES (Cost $938,306)		904,431

Money Market Funds - 0.0%
	Shares	Value ($)
Fidelity Cash Central Fund 5.39% (g) (Cost $6,772)	6,771	6,772

TOTAL INVESTMENT IN SECURITIES - 99.5% (Cost $54,503,172)	52,555,219
NET OTHER ASSETS (LIABILITIES) - 0.5%	267,064
NET ASSETS - 100.0%	52,822,283

Currency Abbreviations

BRL	-	Brazilian real
JPY	-	Japanese yen
MXN	-	Mexican peso

Legend

(a)	Amount is stated in United States dollars unless otherwise noted.

(b)	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $4,287,548 or 8.1% of net assets.

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

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

(e)

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

(g)

Affiliated Central Funds

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

Affiliate	Value, beginning of period ($)	Purchases ($)	Sales Proceeds ($)	Dividend Income ($)	Realized Gain (loss) ($)	Change in Unrealized appreciation (depreciation) ($)	Value, end of period ($)	% ownership, end of period
Fidelity Cash Central Fund 5.39%	137,020	14,620,458	14,750,706	25,012	-	-	6,772	0.0%
Fidelity Floating Rate Central Fund	7,157,795	358,061	-	358,061	-	42,234	7,558,090	0.5%
Fidelity High Income Central Fund	2,393,318	715,573	-	115,573	-	64,776	3,173,667	0.2%
Fidelity International Credit Central Fund	3,427,248	63,537	-	63,537	-	147,657	3,638,442	1.5%
Total	13,115,381	15,757,629	14,750,706	562,183	-	254,667	14,376,971

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

Investment Valuation

Valuation Inputs at Reporting Date:
Description	Total ($)	Level 1 ($)	Level 2 ($)	Level 3 ($)
Investments in Securities:

Corporate Bonds	3,549,283	-	3,549,283	-

U.S. Government and Government Agency Obligations	28,188,375	-	28,188,375	-

Asset-Backed Securities	2,441,676	-	2,441,676	-

Commercial Mortgage Securities	875,581	-	875,581	-

Municipal Securities	427,506	-	427,506	-

Foreign Government and Government Agency Obligations	1,791,396	-	1,791,396	-

Fixed-Income Funds	14,370,199	14,370,199	-	-

Preferred Securities	904,431	-	904,431	-

Money Market Funds	6,772	6,772	-	-
Total Investments in Securities:	52,555,219	14,376,971	38,178,248	-

Financial Statements (Unaudited)

Statement of Assets and Liabilities
				February 29, 2024 (Unaudited)

Assets
Investment in securities, at value - See accompanying schedule:
Unaffiliated issuers (cost $39,434,739)	$	38,178,248
Fidelity Central Funds (cost $15,068,433)		14,376,971


Total Investment in Securities (cost $54,503,172)			$	52,555,219
Cash				1
Foreign currency held at value (cost $5)				5
Receivable for investments sold				485,313
Receivable for fund shares sold				53,602
Interest receivable				299,096
Distributions receivable from Fidelity Central Funds				6,052
Prepaid expenses				23
Receivable from investment adviser for expense reductions				8,650
Total assets				53,407,961
Liabilities
Payable for investments purchased	$	429,433
Payable for fund shares redeemed		49,154
Distributions payable		28,320
Accrued management fee		21,909
Distribution and service plan fees payable		3,372
Other affiliated payables		5,300
Audit fee payable		47,584
Other payables and accrued expenses		606
Total Liabilities				585,678
Net Assets			$	52,822,283
Net Assets consist of:
Paid in capital			$	56,370,780
Total accumulated earnings (loss)				(3,548,497)
Net Assets			$	52,822,283

Net Asset Value and Maximum Offering Price
Class A :
Net Asset Value and redemption price per share ($3,708,294 ÷ 421,526 shares)(a)			$	8.80
Maximum offering price per share (100/96.00 of $8.80)			$	9.17
Class M :
Net Asset Value and redemption price per share ($2,643,610 ÷ 300,500 shares)(a)			$	8.80
Maximum offering price per share (100/96.00 of $8.80)			$	9.17
Class C :
Net Asset Value and offering price per share ($2,452,509 ÷ 278,802 shares)(a)			$	8.80
Fidelity Tactical Bond Fund :
Net Asset Value, offering price and redemption price per share ($23,942,347 ÷ 2,721,408 shares)			$	8.80
Class I :
Net Asset Value, offering price and redemption price per share ($8,408,045 ÷ 955,714 shares)			$	8.80
Class Z :
Net Asset Value, offering price and redemption price per share ($11,667,478 ÷ 1,326,102 shares)			$	8.80
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

Statement of Operations
				Six months ended February 29, 2024 (Unaudited)
Investment Income
Dividends			$	18,581
Interest				670,747
Income from Fidelity Central Funds				562,183
Total Income				1,251,511
Expenses
Management fee	$	119,414
Transfer agent fees		20,435
Distribution and service plan fees		19,704
Accounting fees and expenses		9,085
Custodian fees and expenses		749
Independent trustees' fees and expenses		67
Registration fees		69,750
Audit		48,612
Legal		29
Miscellaneous		207
Total expenses before reductions		288,052
Expense reductions		(121,280)
Total expenses after reductions				166,772
Net Investment income (loss)				1,084,739
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment Securities:
Unaffiliated issuers		(355,605)
Forward foreign currency contracts		(911)
Foreign currency transactions		1,440
Total net realized gain (loss)				(355,076)
Change in net unrealized appreciation (depreciation) on:
Investment Securities:
Unaffiliated issuers		509,867
Fidelity Central Funds		254,667
Assets and liabilities in foreign currencies		110
Total change in net unrealized appreciation (depreciation)				764,644
Net gain (loss)				409,568
Net increase (decrease) in net assets resulting from operations			$	1,494,307

Statement of Changes in Net Assets

		Six months ended February 29, 2024 (Unaudited)		Year ended August 31, 2023
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	1,084,739	$	1,692,946
Net realized gain (loss)		(355,076)		(681,988)
Change in net unrealized appreciation (depreciation)		764,644		(862,918)
Net increase (decrease) in net assets resulting from operations		1,494,307		148,040
Distributions to shareholders		(1,079,443)		(1,640,372)

Share transactions - net increase (decrease)		12,685,234		12,336,907
Total increase (decrease) in net assets		13,100,098		10,844,575

Net Assets
Beginning of period		39,722,185		28,877,610
End of period	$	52,822,283	$	39,722,185

Financial Highlights

Fidelity Advisor® Tactical Bond Fund Class A

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022 A
Selected Per-Share Data
Net asset value, beginning of period	$	8.74	$	9.15	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.207		.431		.144
Net realized and unrealized gain (loss)		.059		(.412)		(.885)
Total from investment operations		.266		.019		(.741)
Distributions from net investment income		(.206)		(.429)		(.109)
Total distributions		(.206)		(.429)		(.109)
Net asset value, end of period	$	8.80	$	8.74	$	9.15
Total Return D,E,F		3.09%		.25%		(7.43)%
Ratios to Average Net Assets C,G,H
Expenses before reductions		1.51% I,J		1.65%		1.97% J
Expenses net of fee waivers, if any		.95% I,J		.95%		1.00% J
Expenses net of all reductions		.95% I,J		.95%		1.00% J
Net investment income (loss)		4.81% I,J		4.87%		2.73% J
Supplemental Data
Net assets, end of period (000 omitted)	$	3,708	$	3,703	$	2,432
Portfolio turnover rate K		29% J		39%		96% J

AFor the period February 10, 2022 (commencement of operations) through August 31, 2022

BCalculated based on average shares outstanding during the period.

DTotal returns for periods of less than one year are not annualized.

ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

FTotal returns do not include the effect of the sales charges.

GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.

HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.

IProxy expenses are not annualized.

JAnnualized.

KAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

Fidelity Advisor® Tactical Bond Fund Class M

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022 A
Selected Per-Share Data
Net asset value, beginning of period	$	8.74	$	9.15	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.207		.432		.144
Net realized and unrealized gain (loss)		.059		(.413)		(.885)
Total from investment operations		.266		.019		(.741)
Distributions from net investment income		(.206)		(.429)		(.109)
Total distributions		(.206)		(.429)		(.109)
Net asset value, end of period	$	8.80	$	8.74	$	9.15
Total Return D,E,F		3.09%		.26%		(7.43)%
Ratios to Average Net Assets C,G,H
Expenses before reductions		1.54% I,J		1.71%		1.97% J
Expenses net of fee waivers, if any		.95% I,J		.95%		1.00% J
Expenses net of all reductions		.95% I,J		.95%		1.00% J
Net investment income (loss)		4.81% I,J		4.87%		2.73% J
Supplemental Data
Net assets, end of period (000 omitted)	$	2,644	$	2,592	$	2,511
Portfolio turnover rate K		29% J		39%		96% J

AFor the period February 10, 2022 (commencement of operations) through August 31, 2022

BCalculated based on average shares outstanding during the period.

DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

ETotal returns do not include the effect of the sales charges.

FTotal returns for periods of less than one year are not annualized.

IProxy expenses are not annualized.

JAnnualized.

KAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

Fidelity Advisor® Tactical Bond Fund Class C

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022 A
Selected Per-Share Data
Net asset value, beginning of period	$	8.74	$	9.14	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.175		.365		.104
Net realized and unrealized gain (loss)		.059		(.402)		(.893)
Total from investment operations		.234		(.037)		(.789)
Distributions from net investment income		(.174)		(.363)		(.071)
Total distributions		(.174)		(.363)		(.071)
Net asset value, end of period	$	8.80	$	8.74	$	9.14
Total Return D,E,F		2.71%		(.38)%		(7.90)%
Ratios to Average Net Assets C,G,H
Expenses before reductions		2.29% I,J		2.46%		2.71% J
Expenses net of fee waivers, if any		1.70% I,J		1.70%		1.75% J
Expenses net of all reductions		1.70% I,J		1.70%		1.75% J
Net investment income (loss)		4.06% I,J		4.12%		1.98% J
Supplemental Data
Net assets, end of period (000 omitted)	$	2,453	$	2,362	$	2,344
Portfolio turnover rate K		29% J		39%		96% J

AFor the period February 10, 2022 (commencement of operations) through August 31, 2022

BCalculated based on average shares outstanding during the period.

DTotal returns for periods of less than one year are not annualized.

ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

FTotal returns do not include the effect of the contingent deferred sales charge.

IProxy expenses are not annualized.

JAnnualized.

KAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

Fidelity® Tactical Bond Fund

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022 A
Selected Per-Share Data
Net asset value, beginning of period	$	8.74	$	9.15	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.217		.454		.156
Net realized and unrealized gain (loss)		.060		(.413)		(.884)
Total from investment operations		.277		.041		(.728)
Distributions from net investment income		(.217)		(.451)		(.122)
Total distributions		(.217)		(.451)		(.122)
Net asset value, end of period	$	8.80	$	8.74	$	9.15
Total Return D,E		3.22%		.51%		(7.30)%
Ratios to Average Net Assets C,F,G
Expenses before reductions		1.19% H,I		1.36%		1.63% I
Expenses net of fee waivers, if any		.70% H,I		.70%		.75% I
Expenses net of all reductions		.70% H,I		.70%		.75% I
Net investment income (loss)		5.06% H,I		5.12%		2.98% I
Supplemental Data
Net assets, end of period (000 omitted)	$	23,942	$	17,403	$	16,048
Portfolio turnover rate J		29% I		39%		96% I

AFor the period February 10, 2022 (commencement of operations) through August 31, 2022

BCalculated based on average shares outstanding during the period.

DTotal returns for periods of less than one year are not annualized.

ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

HProxy expenses are not annualized.

IAnnualized.

JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

Fidelity Advisor® Tactical Bond Fund Class I

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022 A
Selected Per-Share Data
Net asset value, beginning of period	$	8.74	$	9.15	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.218		.449		.156
Net realized and unrealized gain (loss)		.059		(.408)		(.884)
Total from investment operations		.277		.041		(.728)
Distributions from net investment income		(.217)		(.451)		(.122)
Total distributions		(.217)		(.451)		(.122)
Net asset value, end of period	$	8.80	$	8.74	$	9.15
Total Return D,E		3.22%		.50%		(7.30)%
Ratios to Average Net Assets C,F,G
Expenses before reductions		1.29% H,I		1.30%		1.64% I
Expenses net of fee waivers, if any		.70% H,I		.70%		.75% I
Expenses net of all reductions		.70% H,I		.70%		.75% I
Net investment income (loss)		5.06% H,I		5.12%		2.98% I
Supplemental Data
Net assets, end of period (000 omitted)	$	8,408	$	7,398	$	2,924
Portfolio turnover rate J		29% I		39%		96% I

AFor the period February 10, 2022 (commencement of operations) through August 31, 2022

BCalculated based on average shares outstanding during the period.

DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

ETotal returns for periods of less than one year are not annualized.

HProxy expenses are not annualized.

IAnnualized.

JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

Fidelity Advisor® Tactical Bond Fund Class Z

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022 A
Selected Per-Share Data
Net asset value, beginning of period	$	8.74	$	9.15	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.221		.459		.161
Net realized and unrealized gain (loss)		.059		(.410)		(.884)
Total from investment operations		.280		.049		(.723)
Distributions from net investment income		(.220)		(.459)		(.127)
Total distributions		(.220)		(.459)		(.127)
Net asset value, end of period	$	8.80	$	8.74	$	9.15
Total Return D,E		3.26%		.59%		(7.25)%
Ratios to Average Net Assets C,F,G
Expenses before reductions		1.22% H,I		1.29%		1.62% I
Expenses net of fee waivers, if any		.61% H,I		.61%		.66% I
Expenses net of all reductions		.61% H,I		.61%		.66% I
Net investment income (loss)		5.15% H,I		5.21%		3.07% I
Supplemental Data
Net assets, end of period (000 omitted)	$	11,667	$	6,265	$	2,620
Portfolio turnover rate J		29% I		39%		96% I

AFor the period February 10, 2022 (commencement of operations) through August 31, 2022

BCalculated based on average shares outstanding during the period.

DTotal returns for periods of less than one year are not annualized.

ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

HProxy expenses are not annualized.

IAnnualized.

JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

Notes to Financial Statements (Unaudited)

For the period ended February 29, 2024

1. Organization.

Fidelity Tactical Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Tactical Bond, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Class A, Class M, Class C, Class I and Class Z are Fidelity Advisor classes. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.

2. Investments in Fidelity Central Funds.

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices	Expense RatioA
Fidelity Floating Rate Central Fund	Fidelity Management & Research Company LLC (FMR)	Seeks a high level of income by normally investing in floating rate loans and other floating rate securities.	Loans & Direct Debt Instruments Restricted Securities	Less than .005%
Fidelity High Income Central Fund	Fidelity Management & Research Company LLC (FMR)	Seeks a high level of income and may also seek capital appreciation by investing primarily in debt securities, preferred stocks, and convertible securities, with an emphasis on lower-quality debt securities.	Delayed Delivery & When Issued Securities Loans & Direct Debt Instruments Restricted Securities	Less than .005%
Fidelity International Credit Central Fund	Fidelity Management & Research Company LLC (FMR)	Seeks a high level of current income by normally investing in debt securities of foreign issuers, including debt securities of issuers located in emerging markets. Foreign currency exposure is hedged utilizing foreign currency contracts.	Foreign Securities Futures Restricted Securities Swap Agreements Forward Foreign Currency Contracts	Less than .005%
Fidelity Money Market Central Funds	Fidelity Management & Research Company LLC (FMR)	Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.	Short-term Investments	Less than .005%

A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

3. Significant Accounting Policies.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), futures transactions, foreign currency transactions, market discount, capital loss carryforwards and losses deferred due to wash sales.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation	$417,048
Gross unrealized depreciation	(2,399,645)
Net unrealized appreciation (depreciation)	$(1,982,597)
Tax cost	$54,537,816

Short-term	$(1,258,607)
Long-term	(53,893)
Total capital loss carryforward	$(1,312,500)

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including forward foreign currency 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.

Derivatives were used to increase returns, to facilitate transactions in foreign-denominated securities and 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 objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):


Foreign Exchange Risk	Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

	Purchases ($)	Sales ($)
Fidelity Tactical Bond Fund	4,213,966	1,126,450

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .55% of the Fund's average net assets.

	Distribution Fee	Service Fee	Total Fees	Retained by FDC
Class A	- %	.25%	$4,596	$2,988
Class M	- %	.25%	3,219	2,908
Class C	.75%	.25%	11,889	11,503
			$19,704	$17,399

For the period, sales charge amounts retained by FDC were as follows:

	Retained by FDC
Class A	$63
Class M	3
	$66

During November 2023, the Board approved a change in the transfer agent fees effective December 1, 2023 to a fixed annual rate of class-level average net assets as follows:

	% of Class-Level Average Net Assets
Class A	0.1208%
Class M	0.1502%
Class C	0.1511%
Fidelity Tactical Bond Fund	0.0673%
Class I	0.1481%

Prior to December 1, 2023, FIIOC received account fees and asset-based fees that varied according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class Z. FIIOC received an asset-based fee of Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

For the period, transfer agent fees for each class were as follows:

	Amount	% of Class-Level Average Net AssetsA
Class A	$2,292	.13
Class M	1,971	.15
Class C	1,815	.15
Fidelity Tactical Bond Fund	6,023	.07
Class I	5,953	.15
Class Z	2,381	.05
	$20,435

A Annualized

Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records.

During November 2023, the Board approved a change in the accounting fees effective December 1, 2023 to a fixed annual rate of average net assets as follows:

	% of Average Net Assets
Fidelity Tactical Bond Fund	0.0415%

Prior to December 1, 2023, the accounting fee was based on the level of average net assets for each month. For the period, the fees were equivalent to the following annualized rates:

	% of Average Net Assets
Fidelity Tactical Bond Fund	.04

Subsequent Event - Management Fee. Effective March 1, 2024, the Fund's management contract will be amended to incorporate administrative services previously covered under separate services agreements (Transfer Agent and Accounting agreements). The amended contract incorporates a management fee rate that may vary by class. The investment adviser or an affiliate will pay certain expenses of managing and operating the Fund out of each class's management fee.

Each class of the Fund will pay a management fee to the investment adviser. The management fee will be calculated and paid to the investment adviser every month.

When determining a class's management fee, a mandate rate will be calculated based on the monthly average net assets of a group of funds advised by FMR within a designated asset class. A discount rate will be subtracted from the mandate rate once the Fund's monthly average net assets reach a certain level. The mandate rate and discount rate may vary by class.

The annual management fee rate for a class of shares of the Fund will be the lesser of (1) the class's mandate rate reduced by the class's discount rate (if applicable) or (2) the amount set forth in the following table.

	Maximum Management Fee Rate %
Class A	0.68
Class M	0.71
Class C	0.71
Fidelity Tactical Bond Fund	0.63
Class I	0.71
Class Z	0.61

One-twelfth of the management fee rate for a class will be applied to the average net assets of the class for the month, giving a dollar amount which is the management fee for the class for that month.

A different management fee rate may be applicable to each class of the Fund. The difference between classes is the result of separate arrangements for class-level services and/or waivers of certain expenses. It is not the result of any difference in advisory or custodial fees or other expenses related to the management of the Fund's assets, which do not vary by class.

Effective March 1, 2024, the Fund's sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Hong Kong) Limited, and Fidelity Management & Research (Japan) Limited will be amended to provide that the investment adviser will pay each sub-adviser monthly fees equal to 110% of the sub-adviser's costs for providing sub-advisory services.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.

	Amount
Fidelity Tactical Bond Fund	$33

8. Expense Reductions.

The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through December 31, 2024. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

	Expense Limitations	Reimbursement
Class A	.95%	$10,254
Class M	.95%	7,554
Class C	1.70%	7,025
Fidelity Tactical Bond Fund	.70%	43,240
Class I	.70%	23,425
Class Z	.61%	28,683
		$120,181

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $119.

In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of fund-level operating expenses in the amount of $980.

9. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

	Six months ended February 29, 2024	Year ended August 31, 2023
Fidelity Tactical Bond Fund
Distributions to shareholders
Class A	$87,376	$155,477
Class M	61,188	122,587
Class C	47,653	95,955
Fidelity Tactical Bond Fund	440,431	821,788
Class I	199,943	214,851
Class Z	242,852	229,714
Total	$1,079,443	$1,640,372

10. Share Transactions.

Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:

	Shares	Shares	Dollars	Dollars
	Six months ended February 29, 2024	Year ended August 31, 2023	Six months ended February 29, 2024	Year ended August 31, 2023
Fidelity Tactical Bond Fund
Class A
Shares sold	16,150	201,447	$140,426	$1,780,217
Reinvestment of distributions	9,943	17,538	86,603	155,229
Shares redeemed	(28,196)	(61,309)	(244,344)	(541,213)
Net increase (decrease)	(2,103)	157,676	$(17,315)	$1,394,233
Class M
Shares sold	2,423	22,872	$21,138	$206,484
Reinvestment of distributions	7,025	13,851	61,184	122,571
Shares redeemed	(5,480)	(14,723)	(46,926)	(128,600)
Net increase (decrease)	3,968	22,000	$35,396	$200,455
Class C
Shares sold	3,743	7,249	$32,054	$64,385
Reinvestment of distributions	5,468	10,844	47,653	95,946
Shares redeemed	(646)	(4,175)	(5,493)	(37,288)
Net increase (decrease)	8,565	13,918	$74,214	$123,043
Fidelity Tactical Bond Fund
Shares sold	811,134	579,340	$7,114,572	$5,158,976
Reinvestment of distributions	47,061	88,859	409,874	786,429
Shares redeemed	(127,854)	(431,854)	(1,108,435)	(3,830,568)
Net increase (decrease)	730,341	236,345	$6,416,011	$2,114,837
Class I
Shares sold	122,631	617,643	$1,062,726	$5,482,124
Reinvestment of distributions	22,935	24,078	199,883	213,103
Shares redeemed	(36,234)	(115,024)	(314,424)	(1,021,985)
Net increase (decrease)	109,332	526,697	$948,185	$4,673,242
Class Z
Shares sold	621,842	447,644	$5,339,390	$3,986,404
Reinvestment of distributions	12,069	14,480	105,531	128,164
Shares redeemed	(24,566)	(31,794)	(216,178)	(283,471)
Net increase (decrease)	609,345	430,330	$5,228,743	$3,831,097

11. Other.

At the end of the period, the investment adviser or its affiliates were owners of record of more than 10% of the outstanding shares as follows:

Fund	Affiliated %
Fidelity Tactical Bond Fund	45%

12. Risk and Uncertainties.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2023 to February 29, 2024).

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Expense Ratio- A	Beginning Account Value September 1, 2023	Ending Account Value February 29, 2024	Expenses Paid During Period- C September 1, 2023 to February 29, 2024
Fidelity® Tactical Bond Fund
Class A	.95%
Actual		$ 1,000	$ 1,030.90	$ 4.80
Hypothetical-B		$ 1,000	$ 1,020.14	$ 4.77
Class M	.95%
Actual		$ 1,000	$ 1,030.90	$ 4.80
Hypothetical-B		$ 1,000	$ 1,020.14	$ 4.77
Class C	1.70%
Actual		$ 1,000	$ 1,027.10	$ 8.57
Hypothetical-B		$ 1,000	$ 1,016.41	$ 8.52
Fidelity® Tactical Bond Fund	.70%
Actual		$ 1,000	$ 1,032.20	$ 3.54
Hypothetical-B		$ 1,000	$ 1,021.38	$ 3.52
Class I	.70%
Actual		$ 1,000	$ 1,032.20	$ 3.54
Hypothetical-B		$ 1,000	$ 1,021.38	$ 3.52
Class Z	.61%
Actual		$ 1,000	$ 1,032.60	$ 3.08
Hypothetical-B		$ 1,000	$ 1,021.83	$ 3.07

A Annualized expense ratio reflects expenses net of applicable fee waivers.

B 5% return per year before expenses

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Tactical Bond Fund

At its September 2023 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and the total expense ratio of a representative class (retail class, which was selected because it is the largest class without 12b-1 fees in 2022); (iii) the total costs of the services provided by and the profits realized by FMR and its affiliates (Fidelity) from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders. The Board also considered the broad range of investment choices available to shareholders from FMR's competitors and that the fund's shareholders have chosen to invest in the fund, which is part of the Fidelity family of funds. The Board's decision to renew the Advisory Contracts was not based on any single factor.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio. The Board was provided with information regarding industry trends in management fees and expenses. In its review of the fund's management fee and total expense ratio of the retail class, the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund.

The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for 2022 and below the competitive median of the asset size peer group for 2022. Further, the information provided to the Board indicated that the total expense ratio of the fund's retail class ranked below the competitive median of the similar sales load structure group for 2022 and below the competitive median of the total expense asset size peer group for 2022.

Other Contractual Arrangements. The Board further considered that FMR has contractually agreed to reimburse Class A, Class M, Class C, Class I, Class Z, and the retail class of the fund to the extent that total operating expenses, with certain exceptions, as a percentage of their respective average net assets, exceed 0.95%, 0.95%, 1.70%, 0.70%, 0.61% and 0.70% through December 31, 2024.

The Board concluded, taking into account the analysis of the committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Board Approval of Investment Advisory Contracts

Fidelity Tactical Bond Fund

At its January 2024 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), approved an amended and restated management contract with Fidelity Management & Research Company LLC (FMR) (the Management Contract), and amended and restated sub-advisory agreements (the Sub-Advisory Contracts, and together with the Management Contract, the Advisory Contracts) for the fund, including the fund's sub-advisory agreements with FMR Investment Management (UK) Limited (FMR UK), Fidelity Management & Research (Hong Kong) Limited (FMR H.K.), and Fidelity Management & Research (Japan) Limited (FMR Japan). The Advisory Contracts will be effective March 1, 2024. The Board will consider the annual renewal of the fund's Advisory Contracts in September 2024, following its review of additional materials provided by FMR.

Management Contract. The Board approved the Management Contract, which implements a new fee structure combining the management fee, transfer agent fee (TA Fee), and pricing and bookkeeping fee (P&B Fee) of the fund and each class into a single class-level fee based on tiered schedules and subject to a maximum class-level rate (the Unified Fee). In exchange for the Unified Fee, the fund will receive investment advisory, management, administrative, transfer agent, pricing and bookkeeping services under a single agreement - the Management Contract.

In its consideration of the Management Contract over several meetings, the Board received, reviewed and discussed a comprehensive set of analyses regarding the Unified Fee including (i) the legal framework, (ii) design goals for the Unified Fee, (iii) calculation methodology for the Unified Fee and illustrative examples, (iv) annual and cumulative projected impacts under various scenarios, both in the aggregate and at the fund/class level, (v) explanations of schedules, rate levers and maximum rates and (vi) shareholder benefits and projected savings.

The Board considered that the maximum Unified Fee for each class of the fund would be no higher than the sum of (i) the lowest contractual management fee under the fund's existing management contract, which is the individual fund fee, if any, plus the lowest contractual marginal group fee rate and (ii) the TA and P&B Fee rates, which are fixed fee rates since December 1, 2023 (together, the Unified Fee Cap). The Board noted that, as a result of this Unified Fee Cap, the Unified Fee would be no greater than the fees previously authorized to be charged for the same services. The Board noted that certain expenses such as third-party expenses, Rule 12b-1 fees, and certain other miscellaneous expenses would be outside the scope of the Unified Fee and the calculation of such fees would not change as a result of the Unified Fee. The Board considered that, under the Management Contract, a different management fee rate will be applicable to each class of the fund. The Board noted that Fidelity has represented that the difference in expenses between classes is based on differences in class-specific expenses and not due to any difference in advisory or third-party custodial fees or other expenses related to the management of the fund's assets.

The Board considered that implementation of the Unified Fee, which includes the Unified Fee Cap, would cause all funds subject to a Unified Fee, including the fund, to experience an immediate reduction on contractual fee rates for services provided under the current management contracts. The Board considered that some funds would not experience lower fees as a result of existing fee caps. The Board further considered that, in addition to the contractual fee savings, the Unified Fee offers funds and their shareholders greater protection from future rate increases for services previously offered under separate agreements that are now covered by the Management Contract because such rate increases would require shareholder, as well as Board, approval.

Sub-Advisory Contracts. In connection with the Unified Fee changes, the Board considered the Sub-Advisory Contracts, which changed the arrangements for fees paid by FMR to the sub-advisers under the agreements. The Board noted that the agreements with FMR UK, FMR H.K., and FMR Japan were amended to provide that FMR will compensate each sub-adviser at a fee equal to 110% of the sub-adviser's costs incurred in providing services under the agreement. The Board considered that, under the Sub-Advisory Contracts, FMR, and not the fund, will continue to pay the sub-advisory fees to each applicable sub-adviser.

Highly liquid investments - cash or convertible to cash within three business days or less
Moderately liquid investments - convertible to cash in three to seven calendar days
Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
Illiquid investments - cannot be sold or disposed of within seven calendar days

A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
Proposal 1
To elect a Board of Trustees.
	# of Votes	% of Votes
Abigail P. Johnson
Affirmative	378,729,502,260.01	97.58
Withheld	9,407,876,478.96	2.42
TOTAL	388,137,378,738.97	100.00
Jennifer Toolin McAuliffe
Affirmative	378,454,868,010.95	97.51
Withheld	9,682,510,728.02	2.49
TOTAL	388,137,378,738.97	100.00
Christine J. Thompson
Affirmative	378,837,121,274.52	97.60
Withheld	9,300,257,464.45	2.40
TOTAL	388,137,378,738.97	100.00
Elizabeth S. Acton
Affirmative	378,262,110,794.85	97.46
Withheld	9,875,267,944.12	2.54
TOTAL	388,137,378,738.97	100.00
Laura M. Bishop
Affirmative	380,482,113,171.06	98.03
Withheld	7,655,265,567.91	1.97
TOTAL	388,137,378,738.97	100.00
Ann E. Dunwoody
Affirmative	380,016,034,008.12	97.91
Withheld	8,121,344,730.85	2.09
TOTAL	388,137,378,738.97	100.00
John Engler
Affirmative	379,432,488,394.20	97.76
Withheld	8,704,890,344.77	2.24
TOTAL	388,137,378,738.97	100.00
Robert F. Gartland
Affirmative	378,741,819,600.60	97.58
Withheld	9,395,559,138.37	2.42
TOTAL	388,137,378,738.97	100.00
Robert W. Helm
Affirmative	380,389,324,755.07	98.00
Withheld	7,748,053,983.90	2.00
TOTAL	388,137,378,738.97	100.00
Arthur E. Johnson
Affirmative	378,427,694,151.67	97.50
Withheld	9,709,684,587.30	2.50
TOTAL	388,137,378,738.97	100.00
Michael E. Kenneally
Affirmative	377,842,228,145.18	97.35
Withheld	10,295,150,593.79	2.65
TOTAL	388,137,378,738.97	100.00
Mark A. Murray
Affirmative	380,158,432,703.37	97.94
Withheld	7,978,946,035.60	2.06
TOTAL	388,137,378,738.97	100.00
Carol J. Zierhoffer
Affirmative	380,522,113,360.24	98.04
Withheld	7,615,265,378.73	1.96
TOTAL	388,137,378,738.97	100.00

Proposal 1 reflects trust wide proposal and voting results.

1.9904497.102

TBF-SANN-0424

Fidelity® Sustainable Core Plus Bond Fund

Semi-Annual Report

February 29, 2024

Includes Fidelity and Fidelity Advisor share classes

Contents

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Schedule of Investments February 29, 2024 (Unaudited)

Quality Diversification (% of Fund's net assets)

Short-Term Investments and Net Other Assets (Liabilities) - (1.6)%

Asset Allocation (% of Fund's net assets)

Short-Term Investments and Net Other Assets (Liabilities) - (1.6)%

Futures - 1.2%

Forward foreign currency contracts - (2.9)%

Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.

Geographic Diversification (% of Fund's net assets)

* Includes Short-Term investments and Net Other Assets (Liabilities).

Percentages are adjusted for the effect of derivatives, if applicable.

Showing Percentage of Net Assets

Corporate Bonds - 36.7%
		Principal Amount (a)	Value ($)
Convertible Bonds - 0.2%
COMMUNICATION SERVICES - 0.1%
Media - 0.1%
DISH Network Corp.:
0% 12/15/25		4,000	2,898
2.375% 3/15/24		17,000	16,725
3.375% 8/15/26		28,000	16,555
			36,178
CONSUMER DISCRETIONARY - 0.0%
Specialty Retail - 0.0%
Wayfair LLC 0.625% 10/1/25		3,000	2,768

INFORMATION TECHNOLOGY - 0.1%
Semiconductors & Semiconductor Equipment - 0.0%
Wolfspeed, Inc. 1.875% 12/1/29		12,000	6,252

Software - 0.0%
MicroStrategy, Inc. 0% 2/15/27		5,000	5,168

Technology Hardware, Storage & Peripherals - 0.1%
Seagate HDD Cayman 3.5% 6/1/28 (b)		3,000	3,759
Western Digital Corp. 3% 11/15/28 (b)		3,000	3,960
			7,719
TOTAL INFORMATION TECHNOLOGY			19,139

REAL ESTATE - 0.0%
Real Estate Management & Development - 0.0%
Redfin Corp. 0.5% 4/1/27		18,000	10,277

UTILITIES - 0.0%
Electric Utilities - 0.0%
PG&E Corp. 4.25% 12/1/27 (b)		3,000	2,997

Independent Power and Renewable Electricity Producers - 0.0%
NextEra Energy Partners LP 2.5% 6/15/26 (b)		5,000	4,500
Sunnova Energy International, Inc. 0.25% 12/1/26		4,000	2,001
			6,501
TOTAL UTILITIES			9,498

TOTAL CONVERTIBLE BONDS			77,860
Nonconvertible Bonds - 36.5%
COMMUNICATION SERVICES - 2.8%
Diversified Telecommunication Services - 1.2%
Altice France SA 5.125% 7/15/29 (b)		25,000	18,879
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b)		10,000	9,425
Frontier Communications Holdings LLC 8.75% 5/15/30 (b)		10,000	10,200
Level 3 Financing, Inc. 3.75% 7/15/29 (b)		17,000	9,945
TELUS Corp. 3.4% 5/13/32		130,000	112,832
Verizon Communications, Inc. 5.05% 5/9/33		250,000	247,570
Virgin Media Finance PLC 5% 7/15/30 (b)		8,000	6,906
Zayo Group Holdings, Inc. 4% 3/1/27 (b)		7,000	5,828
			421,585
Entertainment - 0.4%
The Walt Disney Co. 2.65% 1/13/31		140,000	121,766

Media - 1.2%
Altice Financing SA 5.75% 8/15/29 (b)		29,000	24,977
Altice France Holding SA 6% 2/15/28 (b)		12,000	6,057
CCO Holdings LLC/CCO Holdings Capital Corp.:
4.25% 1/15/34(b)		27,000	20,187
4.75% 2/1/32(b)		26,000	20,976
5.5% 5/1/26(b)		12,000	11,790
Clear Channel Outdoor Holdings, Inc.:
5.125% 8/15/27(b)		12,000	11,220
7.5% 6/1/29(b)		2,000	1,655
9% 9/15/28(b)		15,000	15,645
CSC Holdings LLC:
3.375% 2/15/31(b)		13,000	9,177
4.625% 12/1/30(b)		16,000	8,898
DIRECTV Financing LLC / DIRECTV Financing Co-Obligor, Inc. 5.875% 8/15/27 (b)		12,000	11,326
DISH DBS Corp. 5.75% 12/1/28 (b)		2,000	1,385
DISH Network Corp. 11.75% 11/15/27 (b)		8,000	8,341
Mcgraw-Hill Education, Inc. 8% 8/1/29 (b)		7,000	6,388
Outfront Media Capital LLC / Corp. 7.375% 2/15/31 (b)		5,000	5,218
Univision Communications, Inc.:
7.375% 6/30/30(b)		15,000	14,488
8% 8/15/28(b)		5,000	5,027
Warnermedia Holdings, Inc.:
4.279% 3/15/32		135,000	119,095
5.141% 3/15/52		141,000	114,576
Ziggo Bond Co. BV 6% 1/15/27 (b)		5,000	4,888
			421,314
Wireless Telecommunication Services - 0.0%
Millicom International Cellular SA 4.5% 4/27/31 (b)		13,000	11,228

TOTAL COMMUNICATION SERVICES			975,893

CONSUMER DISCRETIONARY - 3.2%
Automobile Components - 0.1%
Hertz Corp. 4.625% 12/1/26 (b)		14,000	12,393
Macquarie AirFinance Holdings 8.375% 5/1/28 (b)		5,000	5,237
PECF USS Intermediate Holding III Corp. 8% 11/15/29 (b)		5,000	2,182
			19,812
Automobiles - 0.2%
General Motors Co. 5.4% 10/15/29		40,000	39,903
Rivian Holdco & Rivian LLC & Rivian Automotive LLC 6 month U.S. LIBOR + 5.620% 11.4932% 10/15/26 (b)(c)(d)		21,000	19,983
			59,886
Broadline Retail - 0.0%
Kohl's Corp. 4.25% 7/17/25		3,000	2,915
Macy's Retail Holdings LLC 5.875% 4/1/29 (b)		4,000	3,852
Nordstrom, Inc. 4.375% 4/1/30		8,000	7,068
			13,835
Diversified Consumer Services - 0.1%
GEMS MENASA Cayman Ltd./GEMS Education Delaware LLC 7.125% 7/31/26 (b)		11,000	10,899
Sotheby's 7.375% 10/15/27 (b)		10,000	9,605
StoneMor, Inc. 8.5% 5/15/29 (b)		6,000	4,355
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (b)		26,000	25,220
			50,079
Hotels, Restaurants & Leisure - 0.5%
1011778 BC Unlimited Liability Co./New Red Finance, Inc. 4% 10/15/30 (b)		5,000	4,392
Aramark Services, Inc. 5% 2/1/28 (b)		5,000	4,792
Carnival Corp. 6% 5/1/29 (b)		38,000	37,073
ClubCorp Holdings, Inc. 8.5% 9/15/25 (b)		10,000	9,000
Hilton Domestic Operating Co., Inc. 3.625% 2/15/32 (b)		26,000	22,211
Life Time, Inc.:
5.75% 1/15/26(b)		11,000	10,908
8% 4/15/26(b)		24,000	24,220
MajorDrive Holdings IV LLC 6.375% 6/1/29 (b)		14,000	12,075
Royal Caribbean Cruises Ltd.:
5.375% 7/15/27(b)		10,000	9,808
5.5% 4/1/28(b)		28,000	27,488
6.25% 3/15/32(b)(e)		7,000	7,020
Yum! Brands, Inc. 4.625% 1/31/32		14,000	12,852
			181,839
Household Durables - 0.1%
Tempur Sealy International, Inc. 4% 4/15/29 (b)		11,000	9,860
TRI Pointe Homes, Inc.:
5.25% 6/1/27		4,000	3,900
5.7% 6/15/28		2,000	1,967
			15,727
Leisure Products - 0.0%
Amer Sports Co. 6.75% 2/16/31 (b)		5,000	4,976

Specialty Retail - 1.6%
At Home Group, Inc. 4.875% 7/15/28 (b)		8,000	3,360
Bath & Body Works, Inc.:
6.75% 7/1/36		9,000	8,845
6.95% 3/1/33		8,000	7,788
Carvana Co.:
4.875% 9/1/29(b)		5,000	3,350
12% 12/1/28 pay-in-kind(b)(c)		4,218	4,054
13% 6/1/30 pay-in-kind(b)(c)		3,177	2,970
14% 6/1/31 pay-in-kind(b)(c)		6,382	6,210
Champions Financing, Inc. 8.75% 2/15/29 (b)		10,000	10,215
LBM Acquisition LLC 6.25% 1/15/29 (b)		12,000	10,811
Lowe's Companies, Inc.:
3.75% 4/1/32		130,000	118,127
4.25% 4/1/52		130,000	104,445
Michaels Companies, Inc. 5.25% 5/1/28 (b)		24,000	18,634
Sally Holdings LLC 6.75% 3/1/32		5,000	4,986
Staples, Inc.:
7.5% 4/15/26(b)		3,000	2,884
10.75% 4/15/27(b)		4,000	3,660
The Home Depot, Inc. 3.25% 4/15/32		130,000	115,481
TJX Companies, Inc. 3.875% 4/15/30		120,000	113,812
Upbound Group, Inc. 6.375% 2/15/29 (b)		16,000	15,314
Victoria's Secret & Co. 4.625% 7/15/29 (b)		3,000	2,531
			557,477
Textiles, Apparel & Luxury Goods - 0.6%
Crocs, Inc. 4.125% 8/15/31 (b)		18,000	15,314
Hanesbrands, Inc. 4.875% 5/15/26 (b)		5,000	4,825
Tapestry, Inc.:
3.05% 3/15/32		140,000	113,441
7% 11/27/26		11,000	11,298
7.05% 11/27/25		4,000	4,075
7.35% 11/27/28		18,000	18,828
7.7% 11/27/30		19,000	20,147
7.85% 11/27/33		19,000	20,553
			208,481
TOTAL CONSUMER DISCRETIONARY			1,112,112

CONSUMER STAPLES - 1.5%
Beverages - 0.0%
Triton Water Holdings, Inc. 6.25% 4/1/29 (b)		14,000	12,222

Consumer Staples Distribution & Retail - 0.4%
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:
3.25% 3/15/26(b)		12,000	11,402
4.875% 2/15/30(b)		6,000	5,632
Alimentation Couche-Tard, Inc. 3.625% 5/13/51 (b)		150,000	109,382
C&S Group Enterprises LLC 5% 12/15/28 (b)		4,000	3,169
KeHE Distributor / Nextwave 9% 2/15/29 (b)		5,000	5,015
Performance Food Group, Inc. 4.25% 8/1/29 (b)		6,000	5,445
U.S. Foods, Inc. 4.625% 6/1/30 (b)		8,000	7,331
			147,376
Food Products - 0.8%
Darling Ingredients, Inc. 6% 6/15/30 (b)		5,000	4,927
General Mills, Inc. 2.25% 10/14/31		290,000	237,879
Post Holdings, Inc.:
4.5% 9/15/31(b)		10,000	8,903
4.625% 4/15/30(b)		6,000	5,459
6.25% 2/15/32(b)		5,000	5,026
			262,194
Household Products - 0.3%
Reckitt Benckiser Treasury Services PLC 3.875% 9/14/33 (Reg. S)	EUR	100,000	110,467

TOTAL CONSUMER STAPLES			532,259

ENERGY - 0.9%
Energy Equipment & Services - 0.1%
Archrock Partners LP / Archrock Partners Finance Corp. 6.25% 4/1/28 (b)		12,000	11,701
CGG SA 8.75% 4/1/27 (b)		18,000	16,056
Oceaneering International, Inc. 6% 2/1/28		14,000	13,767
			41,524
Oil, Gas & Consumable Fuels - 0.8%
California Resources Corp. 7.125% 2/1/26 (b)		26,000	26,137
CNX Midstream Partners LP 4.75% 4/15/30 (b)		2,000	1,750
CNX Resources Corp.:
6% 1/15/29(b)		6,000	5,767
7.25% 3/1/32(b)		5,000	4,983
7.375% 1/15/31(b)		5,000	5,041
CVR Energy, Inc. 5.75% 2/15/28 (b)		6,000	5,569
Delek Logistics Partners LP/Delek Logistics Finance Corp. 8.625% 3/15/29 (b)(e)		5,000	5,005
EG Global Finance PLC 12% 11/30/28 (b)		10,000	10,558
Energean PLC 6.5% 4/30/27 (b)		10,000	9,122
Global Partners LP/GLP Finance Corp. 6.875% 1/15/29		11,000	10,842
Golar LNG Ltd. 7% 10/20/25 (b)		4,000	3,952
Harbour Energy PLC 5.5% 10/15/26 (b)		6,000	5,848
Howard Midstream Energy Partners LLC 8.875% 7/15/28 (b)		5,000	5,269
MEG Energy Corp. 5.875% 2/1/29 (b)		35,000	34,124
Murphy Oil Corp. 6.375% 7/15/28		5,000	5,007
Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (b)		5,000	4,266
New Fortress Energy, Inc. 6.5% 9/30/26 (b)		48,000	46,346
NGL Energy Operating LLC/NGL Energy Finance Corp. 8.375% 2/15/32 (b)		5,000	5,079
Northern Oil & Gas, Inc. 8.125% 3/1/28 (b)		10,000	10,126
Permian Resources Operating LLC 5.875% 7/1/29 (b)		10,000	9,750
Prairie Acquiror LP 9% 8/1/29 (b)(e)		5,000	5,038
Southwestern Energy Co. 5.375% 3/15/30		6,000	5,735
Sunoco LP/Sunoco Finance Corp. 4.5% 5/15/29		28,000	25,865
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 6% 3/1/27 (b)		12,000	11,844
Talos Production, Inc.:
9% 2/1/29(b)		5,000	5,110
9.375% 2/1/31(b)		5,000	5,165
			273,298
TOTAL ENERGY			314,822

FINANCIALS - 10.6%
Banks - 6.0%
AIB Group PLC 2.875% 5/30/31 (Reg. S) (c)	EUR	100,000	103,427
Bank of America Corp.:
2.456% 10/22/25(c)		260,000	254,536
2.687% 4/22/32(c)		70,000	58,620
5.015% 7/22/33(c)		168,000	163,753
6.204% 11/10/28(c)		50,000	51,585
BNP Paribas SA 4.042% 1/10/32 (Reg. S) (c)	EUR	100,000	108,215
Citigroup, Inc.:
2.014% 1/25/26(c)		260,000	251,202
4.91% 5/24/33(c)		90,000	86,174
HAT Holdings I LLC/HAT Holdings II LLC:
3.375% 6/15/26(b)		11,000	10,286
6% 4/15/25(b)		12,000	11,878
8% 6/15/27(b)		5,000	5,192
ING Groep NV:
1.4% 7/1/26(b)(c)		200,000	189,390
4.5% 5/23/29 (Reg. S)(c)	EUR	100,000	110,253
JPMorgan Chase & Co.:
0.768% 8/9/25(c)		260,000	254,120
2.963% 1/25/33(c)		70,000	59,121
4.586% 4/26/33(c)		142,000	134,734
4.912% 7/25/33(c)		28,000	27,162
NatWest Group PLC 2.057% 11/9/28 (Reg. S) (c)	GBP	100,000	111,816
Santander Holdings U.S.A., Inc.:
5.807% 9/9/26(c)		35,000	34,954
6.499% 3/9/29(c)		27,000	27,413
UniCredit SpA:
5.459% 6/30/35(b)(c)		1,000	924
5.861% 6/19/32(b)(c)		4,000	3,877
Western Alliance Bancorp. 3% 6/15/31 (c)		9,000	7,893
			2,066,525
Capital Markets - 2.1%
AssuredPartners, Inc. 7.5% 2/15/32 (b)		5,000	4,914
Coinbase Global, Inc. 3.625% 10/1/31 (b)		5,000	3,915
Goldman Sachs Group, Inc.:
3.102% 2/24/33(c)		109,000	92,434
3.615% 3/15/28(c)		130,000	123,946
Hightower Holding LLC 6.75% 4/15/29 (b)		5,000	4,692
Morgan Stanley:
0.864% 10/21/25(c)		270,000	261,587
2.943% 1/21/33(c)		70,000	58,708
4.889% 7/20/33(c)		68,000	65,317
State Street Corp. 3.031% 11/1/34 (c)		130,000	114,694
StoneX Group, Inc. 7.875% 3/1/31 (b)(e)		8,000	8,102
			738,309
Consumer Finance - 0.5%
Ally Financial, Inc.:
2.2% 11/2/28		140,000	119,054
5.75% 11/20/25		5,000	4,975
OneMain Finance Corp.:
3.5% 1/15/27		11,000	10,125
3.875% 9/15/28		31,000	27,085
9% 1/15/29		5,000	5,251
SLM Corp. 4.2% 10/29/25		6,000	5,818
			172,308
Financial Services - 0.2%
Block, Inc. 3.5% 6/1/31		42,000	35,829
GGAM Finance Ltd.:
7.75% 5/15/26(b)		5,000	5,081
8% 2/15/27(b)		15,000	15,375
8% 6/15/28(b)		5,000	5,173
Gn Bondco LLC 9.5% 10/15/31 (b)		2,000	1,980
			63,438
Insurance - 1.8%
AIA Group Ltd. 3.375% 4/7/30 (b)		200,000	182,799
Equitable Financial Life Global Funding 1.3% 7/12/26 (b)		200,000	180,998
Marsh & McLennan Companies, Inc. 2.375% 12/15/31		210,000	174,470
Swiss Re Finance Luxembourg SA 2.534% 4/30/50 (Reg. S) (c)	EUR	100,000	98,003
			636,270
Mortgage Real Estate Investment Trusts - 0.0%
Rithm Capital Corp. 6.25% 10/15/25 (b)		3,000	2,961
Starwood Property Trust, Inc. 3.75% 12/31/24 (b)		7,000	6,860
			9,821
TOTAL FINANCIALS			3,686,671

HEALTH CARE - 2.8%
Biotechnology - 0.7%
Amgen, Inc. 3% 2/22/29		260,000	238,462
Emergent BioSolutions, Inc. 3.875% 8/15/28 (b)		10,000	4,050
			242,512
Health Care Equipment & Supplies - 0.0%
AdaptHealth LLC 5.125% 3/1/30 (b)		8,000	6,690

Health Care Providers & Services - 1.2%
Akumin, Inc. 8% 8/1/28 (b)		10,000	8,250
Cano Health, Inc. 6.25% (b)(f)		8,000	80
Cigna Group 3.4% 3/15/51		150,000	104,869
Community Health Systems, Inc.:
4.75% 2/15/31(b)		40,000	30,438
5.25% 5/15/30(b)		17,000	13,563
6.875% 4/15/29(b)		9,000	5,743
8% 3/15/26(b)		2,000	1,980
DaVita, Inc. 3.75% 2/15/31 (b)		18,000	14,770
Encompass Health Corp. 4.625% 4/1/31		10,000	9,052
Humana, Inc. 3.7% 3/23/29		130,000	121,579
Modivcare, Inc. 5.875% 11/15/25 (b)		10,000	9,764
Owens & Minor, Inc. 6.625% 4/1/30 (b)		6,000	5,798
Pediatrix Medical Group, Inc. 5.375% 2/15/30 (b)		12,000	10,785
Radiology Partners, Inc. 8.5% 1/31/29 pay-in-kind (b)(c)		5,000	4,806
RegionalCare Hospital Partners Holdings, Inc.:
5.375% 1/15/29(b)		8,000	6,378
9.875% 8/15/30(b)		5,000	5,187
Tenet Healthcare Corp. 6.125% 10/1/28		54,000	53,393
			406,435
Health Care Technology - 0.0%
IQVIA, Inc.:
5% 10/15/26(b)		2,000	1,955
5% 5/15/27(b)		7,000	6,815
			8,770
Life Sciences Tools & Services - 0.0%
Charles River Laboratories International, Inc. 3.75% 3/15/29 (b)		3,000	2,706

Pharmaceuticals - 0.9%
AstraZeneca Finance LLC 1.75% 5/28/28		140,000	123,768
Bristol-Myers Squibb Co. 2.95% 3/15/32		70,000	60,493
Jazz Securities DAC 4.375% 1/15/29 (b)		6,000	5,528
Organon & Co. / Organon Foreign Debt Co-Issuer BV 5.125% 4/30/31 (b)		15,000	12,857
Zoetis, Inc. 2% 5/15/30		140,000	117,490
			320,136
TOTAL HEALTH CARE			987,249

INDUSTRIALS - 2.7%
Aerospace & Defense - 0.1%
Bombardier, Inc. 6% 2/15/28 (b)		32,000	31,065
Spirit Aerosystems, Inc. 9.75% 11/15/30 (b)		5,000	5,357
TransDigm, Inc. 5.5% 11/15/27		5,000	4,825
			41,247
Air Freight & Logistics - 0.1%
Aercap Global Aviation Trust 6.5% 6/15/45 (b)(c)		11,000	10,909
Rand Parent LLC 8.5% 2/15/30 (b)		15,000	14,568
			25,477
Building Products - 0.4%
Advanced Drain Systems, Inc. 6.375% 6/15/30 (b)		5,000	5,000
Builders FirstSource, Inc. 6.375% 3/1/34 (b)		5,000	4,988
Carrier Global Corp.:
2.493% 2/15/27		130,000	120,732
5.9% 3/15/34		3,000	3,112
6.2% 3/15/54		4,000	4,366
Cornerstone Building Brands, Inc. 6.125% 1/15/29 (b)		8,000	7,210
Oscar Acquisition Co. LLC / Oscar Finance, Inc. 9.5% 4/15/30 (b)		4,000	3,890
			149,298
Commercial Services & Supplies - 0.4%
APX Group, Inc. 5.75% 7/15/29 (b)		14,000	13,313
Artera Services LLC 8.5% 2/15/31 (b)		15,000	15,323
Brand Industrial Services, Inc. 10.375% 8/1/30 (b)		12,000	12,761
Covanta Holding Corp. 4.875% 12/1/29 (b)		33,000	28,839
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (b)		5,000	4,970
Madison IAQ LLC 5.875% 6/30/29 (b)		12,000	10,714
Neptune BidCo U.S., Inc. 9.29% 4/15/29 (b)		3,000	2,813
Stericycle, Inc.:
3.875% 1/15/29(b)		28,000	25,198
5.375% 7/15/24(b)		16,000	15,992
			129,923
Construction & Engineering - 0.2%
AECOM 5.125% 3/15/27		32,000	31,346
ATP Tower Holdings LLC/Andean Tower Partners 4.05% 4/27/26 (b)		4,000	3,710
Pike Corp. 8.625% 1/31/31 (b)		5,000	5,280
Railworks Holdings LP 8.25% 11/15/28 (b)		10,000	9,933
			50,269
Electrical Equipment - 0.1%
Atkore, Inc. 4.25% 6/1/31 (b)		8,000	7,028
GrafTech Global Enterprises, Inc. 9.875% 12/15/28 (b)		5,000	3,970
Sensata Technologies BV:
4% 4/15/29(b)		8,000	7,255
5% 10/1/25(b)		10,000	9,907
			28,160
Ground Transportation - 0.2%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.:
5.375% 3/1/29(b)		5,000	4,552
5.75% 7/15/27(b)		13,000	12,387
Uber Technologies, Inc.:
4.5% 8/15/29(b)		65,000	60,861
8% 11/1/26(b)		2,000	2,035
XPO, Inc. 7.125% 2/1/32 (b)		5,000	5,083
			84,918
Industrial Conglomerates - 0.8%
Honeywell International, Inc. 1.75% 9/1/31		140,000	112,580
Trane Technologies Financing Ltd.:
3.8% 3/21/29		130,000	122,912
5.25% 3/3/33		50,000	50,424
			285,916
Machinery - 0.4%
Chart Industries, Inc. 9.5% 1/1/31 (b)		5,000	5,372
Otis Worldwide Corp. 2.565% 2/15/30		140,000	122,092
Vertical Holdco GmbH 7.625% 7/15/28 (b)		7,000	6,849
			134,313
Marine Transportation - 0.0%
Seaspan Corp. 5.5% 8/1/29 (b)		7,000	5,968

Passenger Airlines - 0.0%
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. 5.75% 1/20/26 (b)		3,000	2,831
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd. 8% 9/20/25 (b)		3,000	2,170
			5,001
Professional Services - 0.0%
Dun & Bradstreet Corp. 5% 12/15/29 (b)		3,000	2,760

Trading Companies & Distributors - 0.0%
Beacon Roofing Supply, Inc. 6.5% 8/1/30 (b)		5,000	5,027
FLY Leasing Ltd. 7% 10/15/24 (b)		1,000	980
			6,007
TOTAL INDUSTRIALS			949,257

INFORMATION TECHNOLOGY - 1.6%
Communications Equipment - 0.0%
HTA Group Ltd. 7% 12/18/25 (b)		12,000	11,891
IHS Netherlands Holdco BV 8% 9/18/27 (b)		5,000	4,483
			16,374
Electronic Equipment, Instruments & Components - 0.4%
Dell International LLC/EMC Corp. 6.2% 7/15/30		110,000	115,116
TTM Technologies, Inc. 4% 3/1/29 (b)		8,000	7,121
			122,237
IT Services - 0.1%
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.5% 3/1/29 (b)		28,000	24,931
Rackspace Hosting, Inc. 3.5% 2/15/28 (b)		4,000	1,611
Virtusa Corp. 7.125% 12/15/28 (b)		14,000	12,416
			38,958
Semiconductors & Semiconductor Equipment - 0.8%
Entegris, Inc.:
3.625% 5/1/29(b)		28,000	24,780
5.95% 6/15/30(b)		24,000	23,533
Micron Technology, Inc. 2.703% 4/15/32		140,000	114,918
NXP BV/NXP Funding LLC/NXP U.S.A., Inc. 2.5% 5/11/31		140,000	115,559
ON Semiconductor Corp. 3.875% 9/1/28 (b)		2,000	1,829
			280,619
Software - 0.2%
Cloud Software Group, Inc. 9% 9/30/29 (b)		5,000	4,667
Elastic NV 4.125% 7/15/29 (b)		15,000	13,473
Gen Digital, Inc.:
5% 4/15/25(b)		4,000	3,960
7.125% 9/30/30(b)		12,000	12,260
MicroStrategy, Inc. 6.125% 6/15/28 (b)		4,000	3,857
NCR Voyix Corp. 5.125% 4/15/29 (b)		6,000	5,563
Open Text Corp.:
3.875% 2/15/28(b)		10,000	9,189
3.875% 12/1/29(b)		16,000	14,142
Open Text Holdings, Inc.:
4.125% 2/15/30(b)		5,000	4,414
4.125% 12/1/31(b)		6,000	5,136
UKG, Inc. 6.875% 2/1/31 (b)		5,000	5,052
Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (b)		2,000	1,834
			83,547
Technology Hardware, Storage & Peripherals - 0.1%
Seagate HDD Cayman:
4.125% 1/15/31		6,000	5,270
4.75% 1/1/25		10,000	9,858
5.75% 12/1/34		4,000	3,845
8.25% 12/15/29(b)		5,000	5,358
Western Digital Corp.:
2.85% 2/1/29		2,000	1,684
3.1% 2/1/32		2,000	1,565
			27,580
TOTAL INFORMATION TECHNOLOGY			569,315

MATERIALS - 1.4%
Chemicals - 0.8%
Axalta Coating Systems LLC 3.375% 2/15/29 (b)		6,000	5,332
Consolidated Energy Finance SA 12% 2/15/31 (b)		5,000	5,110
International Flavors & Fragrances, Inc. 2.3% 11/1/30 (b)		150,000	123,096
Kobe U.S. Midco 2, Inc. 9.25% 11/1/26 pay-in-kind (b)(c)		5,250	4,407
Methanex Corp.:
5.125% 10/15/27		12,000	11,529
5.65% 12/1/44		35,000	29,664
NOVA Chemicals Corp.:
4.25% 5/15/29(b)		4,000	3,309
5.25% 6/1/27(b)		10,000	9,262
8.5% 11/15/28(b)		5,000	5,279
9% 2/15/30(b)		5,000	5,016
Olympus Water U.S. Holding Corp.:
6.25% 10/1/29(b)		18,000	15,966
9.75% 11/15/28(b)		4,000	4,250
SCIH Salt Holdings, Inc. 6.625% 5/1/29 (b)		2,000	1,819
The Chemours Co. LLC 4.625% 11/15/29 (b)		51,000	41,936
Tronox, Inc. 4.625% 3/15/29 (b)		7,000	6,196
			272,171
Construction Materials - 0.0%
Eco Material Technologies, Inc. 7.875% 1/31/27 (b)		7,000	6,984
VM Consolidated, Inc. 5.5% 4/15/29 (b)		3,000	2,827
			9,811
Containers & Packaging - 0.2%
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:
5.25% 4/30/25(b)		8,000	7,911
5.25% 8/15/27(b)		2,000	1,450
Ball Corp. 6% 6/15/29		5,000	5,024
Berry Global, Inc. 5.625% 7/15/27 (b)		30,000	29,577
Clydesdale Acquisition Holdings, Inc. 6.625% 4/15/29 (b)		10,000	9,942
Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26		10,000	9,784
Graphic Packaging International, Inc. 4.75% 7/15/27 (b)		6,000	5,804
OI European Group BV 4.75% 2/15/30 (b)		6,000	5,524
			75,016
Metals & Mining - 0.4%
ATI, Inc.:
4.875% 10/1/29		14,000	12,855
7.25% 8/15/30		5,000	5,139
Eldorado Gold Corp. 6.25% 9/1/29 (b)		12,000	11,244
ERO Copper Corp. 6.5% 2/15/30 (b)		24,000	22,512
First Quantum Minerals Ltd.:
6.875% 10/15/27(b)		5,000	4,763
7.5% 4/1/25(b)		1,000	990
FMG Resources Pty Ltd. 6.125% 4/15/32 (b)		24,000	23,716
HudBay Minerals, Inc. 6.125% 4/1/29 (b)		5,000	4,906
IAMGOLD Corp. 5.75% 10/15/28 (b)		8,000	7,116
Mineral Resources Ltd. 8.5% 5/1/30 (b)		28,000	28,756
			121,997
Paper & Forest Products - 0.0%
Domtar Corp. 6.75% 10/1/28 (b)		8,000	7,390
LABL, Inc.:
6.75% 7/15/26(b)		1,000	970
10.5% 7/15/27(b)		2,000	1,942
Mercer International, Inc. 5.125% 2/1/29		8,000	6,892
			17,194
TOTAL MATERIALS			496,189

REAL ESTATE - 3.7%
Equity Real Estate Investment Trusts (REITs) - 3.0%
Alexandria Real Estate Equities, Inc. 2% 5/18/32		220,000	170,107
Boston Properties, Inc.:
2.45% 10/1/33		220,000	162,197
6.75% 12/1/27		19,000	19,620
Corporate Office Properties LP 2% 1/15/29		150,000	124,237
Hudson Pacific Properties LP 5.95% 2/15/28		122,000	109,485
MPT Operating Partnership LP/MPT Finance Corp.:
4.625% 8/1/29		10,000	7,449
5% 10/15/27		52,000	42,539
Omega Healthcare Investors, Inc. 3.25% 4/15/33		4,000	3,184
Prologis LP 2.875% 11/15/29		200,000	179,242
Safehold Operating Partnership LP 2.85% 1/15/32		2,000	1,608
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC 6% 1/15/30 (b)		34,000	24,822
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC 10.5% 2/15/28 (b)		13,000	13,456
WP Carey, Inc. 2.45% 2/1/32		220,000	175,226
			1,033,172
Real Estate Management & Development - 0.7%
Anywhere Real Estate Group LLC 7% 4/15/30 (b)		2,400	2,175
CBRE Group, Inc. 2.5% 4/1/31		140,000	115,235
Howard Hughes Corp. 4.375% 2/1/31 (b)		18,000	15,334
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.125% 8/1/30 (b)		17,000	16,045
Vonovia SE 0.625% 3/24/31 (Reg. S)	EUR	100,000	84,588
			233,377
TOTAL REAL ESTATE			1,266,549

UTILITIES - 5.3%
Electric Utilities - 2.2%
DPL, Inc. 4.35% 4/15/29		10,000	9,062
Duke Energy Carolinas LLC 3.95% 11/15/28		170,000	163,766
EnBW International Finance BV 3.85% 5/23/30 (Reg. S)	EUR	100,000	109,528
NextEra Energy Partners LP 4.5% 9/15/27 (b)		2,000	1,866
Northern States Power Co. 2.25% 4/1/31		210,000	175,931
Oncor Electric Delivery Co. LLC 4.15% 6/1/32		130,000	121,651
PG&E Corp.:
5% 7/1/28		14,000	13,353
5.25% 7/1/30		7,000	6,580
Wisconsin Electric Power Co. 4.75% 9/30/32		160,000	156,895
			758,632
Independent Power and Renewable Electricity Producers - 1.1%
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (b)		34,000	31,069
Sunnova Energy Corp. 5.875% 9/1/26 (b)		22,000	17,883
TerraForm Power Operating LLC 4.75% 1/15/30 (b)		8,000	7,233
The AES Corp.:
1.375% 1/15/26		140,000	129,328
2.45% 1/15/31		228,000	185,987
			371,500
Multi-Utilities - 2.0%
Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30		190,000	173,701
Dominion Energy, Inc. 2.25% 8/15/31		220,000	178,107
NiSource, Inc. 1.7% 2/15/31		230,000	182,678
Puget Energy, Inc. 4.224% 3/15/32		190,000	169,979
			704,465
TOTAL UTILITIES			1,834,597

TOTAL NONCONVERTIBLE BONDS			12,724,913
TOTAL CORPORATE BONDS (Cost $13,492,660)			12,802,773

U.S. Treasury Obligations - 34.8%
	Principal Amount (a)	Value ($)
U.S. Treasury Bonds:
2.25% 5/15/41 (g)	60,000	43,809
2.25% 2/15/52	2,500,000	1,635,351
2.875% 5/15/52	250,000	188,242
3.25% 5/15/42	200,000	168,188
3.375% 8/15/42	700,000	598,664
4% 11/15/42	100,000	93,348
4.125% 8/15/53	100,000	95,734
4.25% 2/15/54	160,000	157,000
4.75% 11/15/53	150,000	159,586
U.S. Treasury Notes:
3.375% 5/15/33	1,525,000	1,422,658
3.5% 2/15/33	275,000	259,413
3.75% 12/31/30	940,000	910,919
3.875% 8/15/33	500,000	485,078
4% 6/30/28	1,550,000	1,531,291
4% 1/31/29	1,050,000	1,037,859
4% 1/31/31	182,000	179,043
4% 2/15/34	248,000	243,156
4.125% 10/31/27	600,000	595,078
4.125% 8/31/30	680,000	673,864
4.375% 11/30/30	913,000	917,850
4.625% 9/30/30	500,000	509,727
4.875% 10/31/30	200,000	206,750
TOTAL U.S. TREASURY OBLIGATIONS (Cost $12,942,971)		12,112,608

U.S. Government Agency - Mortgage Securities - 26.8%
	Principal Amount (a)	Value ($)
Fannie Mae - 2.4%
2% 10/1/35 to 11/1/40	228,743	199,995
2.5% 7/1/51 to 1/1/52	233,836	193,109
3% 10/1/51 to 5/1/52	316,922	272,863
4% 1/1/51 to 4/1/52	69,700	64,959
5% 11/1/52 to 12/1/52	93,097	91,015
TOTAL FANNIE MAE		821,941
Freddie Mac - 2.3%
1.5% 4/1/51	118,610	88,918
2% 7/1/35	89,168	79,304
2.5% 7/1/36 to 8/1/52	303,868	256,545
3% 5/1/35	128,158	119,819
4% 5/1/50 to 10/1/52	68,966	64,259
4.5% 11/1/52	140,937	133,519
5% 12/1/52	45,788	44,960
TOTAL FREDDIE MAC		787,324
Ginnie Mae - 6.1%
2% 1/20/51 to 6/20/52	167,561	136,416
2% 3/1/54 (e)	50,000	40,690
2% 3/1/54 (e)	100,000	81,381
2% 3/1/54 (e)	50,000	40,690
2% 3/1/54 (e)	50,000	40,690
2% 3/1/54 (e)	50,000	40,690
2% 3/1/54 (e)	50,000	40,690
2% 3/1/54 (e)	50,000	40,690
2% 4/1/54 (e)	150,000	122,153
2% 4/1/54 (e)	150,000	122,153
2% 4/1/54 (e)	75,000	61,076
2% 4/1/54 (e)	50,000	40,718
2% 4/1/54 (e)	75,000	61,076
2.5% 3/1/54 (e)	100,000	84,616
2.5% 3/1/54 (e)	100,000	84,616
2.5% 3/1/54 (e)	75,000	63,462
3% 3/1/54 (e)	75,000	65,771
3% 3/1/54 (e)	50,000	43,847
3% 3/1/54 (e)	100,000	87,695
3% 3/1/54 (e)	25,000	21,924
3% 4/1/54 (e)	100,000	87,757
3% 4/1/54 (e)	25,000	21,939
3.5% 3/1/54 (e)	50,000	45,222
3.5% 3/1/54 (e)	75,000	67,833
4% 10/20/52	100,027	93,092
4.5% 4/20/53	99,601	95,168
5% 3/1/54 (e)	50,000	48,837
5.5% 3/1/54 (e)	50,000	49,680
6.5% 3/1/54 (e)	200,000	202,734
6.5% 4/1/54 (e)	50,000	50,648
6.5% 4/1/54 (e)	50,000	50,648
TOTAL GINNIE MAE		2,134,602
Uniform Mortgage Backed Securities - 16.0%
2% 3/1/54 (e)	400,000	314,420
2% 3/1/54 (e)	300,000	235,815
2% 3/1/54 (e)	400,000	314,420
2% 3/1/54 (e)	200,000	157,210
2% 3/1/54 (e)	150,000	117,908
2% 4/1/54 (e)	550,000	432,887
2% 4/1/54 (e)	100,000	78,707
2% 4/1/54 (e)	150,000	118,060
2% 4/1/54 (e)	50,000	39,353
2% 4/1/54 (e)	300,000	236,120
2% 4/1/54 (e)	50,000	39,353
2.5% 3/1/54 (e)	100,000	82,156
2.5% 3/1/54 (e)	50,000	41,078
2.5% 3/1/54 (e)	175,000	143,773
2.5% 3/1/54 (e)	100,000	82,156
2.5% 3/1/54 (e)	50,000	41,078
2.5% 3/1/54 (e)	200,000	164,313
2.5% 3/1/54 (e)	100,000	82,156
2.5% 3/1/54 (e)	150,000	123,234
2.5% 4/1/54 (e)	400,000	329,031
3% 3/1/54 (e)	100,000	85,555
3% 3/1/54 (e)	50,000	42,777
3% 3/1/54 (e)	75,000	64,166
3% 3/1/54 (e)	250,000	213,887
3% 3/1/54 (e)	75,000	64,166
3% 3/1/54 (e)	100,000	85,555
3% 3/1/54 (e)	150,000	128,332
3% 4/1/54 (e)	400,000	342,594
3.5% 3/1/54 (e)	150,000	133,436
3.5% 3/1/54 (e)	325,000	289,110
4% 3/1/54 (e)	200,000	184,055
4.5% 3/1/54 (e)	75,000	70,975
6% 3/1/54 (e)	25,000	25,109
6% 3/1/54 (e)	25,000	25,109
6% 3/1/54 (e)	50,000	50,219
6.5% 3/1/54 (e)	600,000	610,500
TOTAL UNIFORM MORTGAGE BACKED SECURITIES		5,588,773
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $9,459,623)		9,332,640

Asset-Backed Securities - 8.0%
	Principal Amount (a)	Value ($)
Aimco Series 2024-BA Class ARR, CME Term SOFR 3 Month Index + 0.000% 0% 4/16/37 (b)(c)(d)	250,000	250,088
Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.500% 6.8178% 7/20/35 (b)(c)(d)	250,000	250,346
Ares LIX CLO Ltd. Series 2021-59A Class A, CME Term SOFR 3 Month Index + 1.290% 6.6163% 4/25/34 (b)(c)(d)	250,000	249,431
CEDF Series 2021-6A Class ARR, CME Term SOFR 3 Month Index + 1.310% 6.6294% 4/20/34 (b)(c)(d)	200,000	199,868
Dryden CLO, Ltd. Series 2021-76A Class A1R, CME Term SOFR 3 Month Index + 1.410% 6.7294% 10/20/34 (b)(c)(d)	320,000	320,026
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6756% 4/15/31 (b)(c)(d)	250,000	250,098
Planet Fitness Master Issuer LLC Series 2022-1A Class A2I, 3.251% 12/5/51 (b)	98,250	91,485
RR Ltd. Series 2024-28RA Class A1R, CME Term SOFR 3 Month Index + 1.550% 0% 4/15/37 (b)(c)(d)	250,000	250,088
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, CME Term SOFR 3 Month Index + 1.340% 6.6594% 4/20/33 (b)(c)(d)	570,000	570,675
Verizon Master Trust Series 2021-2 Class A, 0.99% 4/20/28	109,000	105,951
Voya Clo 2023-1 Ltd. Series 2023-1A Class A1, CME Term SOFR 3 Month Index + 1.800% 7.1702% 1/20/37 (b)(c)(d)	250,000	250,231
TOTAL ASSET-BACKED SECURITIES (Cost $2,771,914)		2,788,287

Commercial Mortgage Securities - 1.0%
	Principal Amount (a)	Value ($)
BXHPP Trust floater Series 2021-FILM Class A, CME Term SOFR 1 Month Index + 0.760% 6.0825% 8/15/36 (b)(c)(d)	250,000	240,452
District of Columbia Commercial Mtg Trust 2023-District of Columbia sequential payer Series 2023-DC Class A, 6.3143% 9/12/40 (b)	100,000	102,447
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $344,977)		342,899

Foreign Government and Government Agency Obligations - 0.1%
		Principal Amount (a)	Value ($)
United Kingdom, Great Britain and Northern Ireland:
1% 4/22/24(Reg. S)	GBP	3,000	3,765
4.25% 6/7/32	GBP	17,000	21,849
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $22,417)			25,614

Common Stocks - 0.1%
	Shares	Value ($)
CONSUMER DISCRETIONARY - 0.0%
Automobile Components - 0.0%
Aptiv PLC (h)	25	1,987
ENERGY - 0.0%
Oil, Gas & Consumable Fuels - 0.0%
New Fortress Energy, Inc.	114	4,007
HEALTH CARE - 0.1%
Health Care Providers & Services - 0.1%
Centene Corp. (h)	52	4,078
INDUSTRIALS - 0.0%
Electrical Equipment - 0.0%
Regal Rexnord Corp.	19	3,258
INFORMATION TECHNOLOGY - 0.0%
Electronic Equipment, Instruments & Components - 0.0%
Coherent Corp. (h)	68	4,045
TOTAL COMMON STOCKS (Cost $16,096)		17,375

Bank Loan Obligations - 0.1%
	Principal Amount (a)	Value ($)
CONSUMER DISCRETIONARY - 0.1%
Automobile Components - 0.0%
PECF USS Intermediate Holding III Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.8239% 12/17/28 (c)(d)(i)	3,987	3,082
Diversified Consumer Services - 0.0%
AI Aqua Merger Sub, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 8.5934% 7/31/28 (c)(d)(i)(j)	5,000	5,003
Hotels, Restaurants & Leisure - 0.1%
ClubCorp Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.6098% 9/18/26 (c)(d)(i)	6,852	6,822
United PF Holdings LLC 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.5743% 12/30/26 (c)(d)(i)	7,984	7,140
		13,962
TOTAL CONSUMER DISCRETIONARY		22,047
HEALTH CARE - 0.0%
Health Care Providers & Services - 0.0%
Cano Health, Inc.:
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4626% (c)(d)(f)(i)	5,970	1,754
Tranche DD, term loan CME Term SOFR 1 Month Index + 11.000% 16.3225% 10/2/24 (c)(i)	619	616
		2,370
INDUSTRIALS - 0.0%
Commercial Services & Supplies - 0.0%
Artera Services LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 2/7/31 (d)(i)(k)	5,000	5,013
Brand Industrial Services, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 10.8064% 8/1/30 (c)(d)(i)	3,990	3,996
		9,009
Professional Services - 0.0%
Galaxy U.S. Opco, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.0627% 4/29/29 (c)(d)(i)	5,000	4,375
TOTAL INDUSTRIALS		13,384
INFORMATION TECHNOLOGY - 0.0%
Software - 0.0%
Ascend Learning LLC 2LN, term loan CME Term SOFR 1 Month Index + 5.750% 11.1763% 12/10/29 (c)(d)(i)	3,000	2,880
McAfee Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1783% 3/1/29 (c)(d)(i)	997	991
UKG, Inc. 2LN, term loan CME Term SOFR 3 Month Index + 5.250% 10.6802% 5/3/27 (c)(d)(i)	1,310	1,322
		5,193
MATERIALS - 0.0%
Chemicals - 0.0%
Hexion Holdings Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.9757% 3/15/29 (c)(d)(i)	3,000	2,877
TOTAL BANK LOAN OBLIGATIONS (Cost $47,535)		45,871

Preferred Securities - 0.4%
		Principal Amount (a)	Value ($)
COMMUNICATION SERVICES - 0.3%
Diversified Telecommunication Services - 0.3%
Telefonica Europe BV 2.502% (Reg. S) (c)(l)	EUR	100,000	101,934
ENERGY - 0.1%
Oil, Gas & Consumable Fuels - 0.1%
Energy Transfer LP 3 month U.S. LIBOR + 4.020% 9.5966% (c)(d)(l)		19,000	18,846
FINANCIALS - 0.0%
Consumer Finance - 0.0%
Ally Financial, Inc. 4.7% (c)(l)		17,000	14,612
INDUSTRIALS - 0.0%
Trading Companies & Distributors - 0.0%
AerCap Holdings NV 5.875% 10/10/79 (c)		10,000	10,126
TOTAL PREFERRED SECURITIES (Cost $145,554)			145,518

Money Market Funds - 14.5%
	Shares	Value ($)
Fidelity Cash Central Fund 5.39% (m) (Cost $5,049,376)	5,048,367	5,049,376

TOTAL INVESTMENT IN SECURITIES - 122.5% (Cost $44,293,123)	42,662,961
NET OTHER ASSETS (LIABILITIES) - (22.5)%	(7,823,353)
NET ASSETS - 100.0%	34,839,608

TBA Sale Commitments
	Principal Amount (a)	Value ($)
Ginnie Mae
2% 3/1/54	(150,000)	(122,070)
2% 3/1/54	(150,000)	(122,071)
2% 3/1/54	(75,000)	(61,035)
2% 3/1/54	(50,000)	(40,690)
2% 3/1/54	(75,000)	(61,035)
3% 3/1/54	(100,000)	(87,695)
3% 3/1/54	(25,000)	(21,924)
6.5% 3/1/54	(50,000)	(50,684)
6.5% 3/1/54	(50,000)	(50,684)

TOTAL GINNIE MAE		(617,888)

Uniform Mortgage Backed Securities
2% 3/1/54	(550,000)	(432,328)
2% 3/1/54	(100,000)	(78,605)
2% 3/1/54	(150,000)	(117,908)
2% 3/1/54	(50,000)	(39,303)
2% 3/1/54	(300,000)	(235,815)
2% 3/1/54	(50,000)	(39,303)
2.5% 3/1/54	(400,000)	(328,625)
3% 3/1/54	(400,000)	(342,219)

TOTAL UNIFORM MORTGAGE BACKED SECURITIES		(1,614,106)

TOTAL TBA SALE COMMITMENTS (Proceeds $2,237,806)		(2,231,994)

Futures Contracts
	Number of contracts	Expiration Date	Notional Amount ($)	Value ($)	Unrealized Appreciation/ (Depreciation) ($)
Purchased

Treasury Contracts
CBOT 2-Year U.S. Treasury Note Contracts (United States)	1	Jun 2024	204,750	107	107
CBOT 5-Year U.S. Treasury Note Contracts (United States)	1	Jun 2024	106,906	198	198
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States)	2	Jun 2024	228,344	1,339	1,339

TOTAL PURCHASED					1,644

Sold

Bond Index Contracts
Eurex Euro-Bund Contracts (Germany)	1	Jun 2024	142,947	10	10

TOTAL FUTURES CONTRACTS					1,654
The notional amount of futures purchased as a percentage of Net Assets is 1.6%
The notional amount of futures sold as a percentage of Net Assets is 0.4%

Forward Foreign Currency Contracts
Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation/ (Depreciation) ($)

EUR	2,000	USD	2,180	Bank of America, N.A.	4/12/24	(14)
EUR	10,000	USD	10,839	Brown Brothers Harriman & Co	4/12/24	(13)
EUR	7,000	USD	7,587	Citibank, N. A.	4/12/24	(8)
EUR	2,000	USD	2,180	JPMorgan Chase Bank, N.A.	4/12/24	(15)
EUR	4,000	USD	4,297	JPMorgan Chase Bank, N.A.	4/12/24	33
GBP	2,000	USD	2,531	Canadian Imperial Bk. of Comm.	4/12/24	(5)
USD	3,306	EUR	3,000	BNP Paribas S.A.	4/12/24	58
USD	2,190	EUR	2,000	Canadian Imperial Bk. of Comm.	4/12/24	24
USD	879,438	EUR	801,000	Citibank, N. A.	4/12/24	12,285
USD	2,167	EUR	2,000	JPMorgan Chase Bank, N.A.	4/12/24	2
USD	161,568	GBP	127,000	Bank of America, N.A.	4/12/24	1,217

TOTAL FORWARD FOREIGN CURRENCY CONTRACTS						13,564
Unrealized Appreciation						13,619
Unrealized Depreciation						(55)

Currency Abbreviations

EUR	-	European Monetary Unit
GBP	-	British pound sterling
USD	-	U.S. dollar

Legend

(a)	Amount is stated in United States dollars unless otherwise noted.

(b)

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

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

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

(f)	Non-income producing - Security is in default.

(g)	Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $25,785.

(h)	Non-income producing

(i)	Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.

(j)	Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $513 and $513, respectively.

(k)	The coupon rate will be determined upon settlement of the loan after period end.

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

(m)

Affiliated Central Funds

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

Affiliate	Value, beginning of period ($)	Purchases ($)	Sales Proceeds ($)	Dividend Income ($)	Realized Gain (loss) ($)	Change in Unrealized appreciation (depreciation) ($)	Value, end of period ($)	% ownership, end of period
Fidelity Cash Central Fund 5.39%	3,268,690	7,850,914	6,070,228	132,347	-	-	5,049,376	0.0%
Total	3,268,690	7,850,914	6,070,228	132,347	-	-	5,049,376

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

Investment Valuation

Valuation Inputs at Reporting Date:
Description	Total ($)	Level 1 ($)	Level 2 ($)	Level 3 ($)
Investments in Securities:

Equities:
Consumer Discretionary	1,987	1,987	-	-
Energy	4,007	4,007	-	-
Health Care	4,078	4,078	-	-
Industrials	3,258	3,258	-	-
Information Technology	4,045	4,045	-	-

Corporate Bonds	12,802,773	-	12,802,773	-

U.S. Government and Government Agency Obligations	12,112,608	-	12,112,608	-

U.S. Government Agency - Mortgage Securities	9,332,640	-	9,332,640	-

Asset-Backed Securities	2,788,287	-	2,788,287	-

Commercial Mortgage Securities	342,899	-	342,899	-

Foreign Government and Government Agency Obligations	25,614	-	25,614	-

Bank Loan Obligations	45,871	-	45,871	-

Preferred Securities	145,518	-	145,518	-

Money Market Funds	5,049,376	5,049,376	-	-
Total Investments in Securities:	42,662,961	5,066,751	37,596,210	-
Derivative Instruments: Assets
Futures Contracts	1,654	1,654	-	-
Forward Foreign Currency Contracts	13,619	-	13,619	-
Total Assets	15,273	1,654	13,619	-
Liabilities
Forward Foreign Currency Contracts	(55)	-	(55)	-
Total Liabilities	(55)	-	(55)	-
Total Derivative Instruments:	15,218	1,654	13,564	-
Other Financial Instruments:
TBA Sale Commitments	(2,231,994)	-	(2,231,994)	-
Total Other Financial Instruments:	(2,231,994)	-	(2,231,994)	-

Value of Derivative Instruments

Primary Risk Exposure / Derivative Type	Value
	Asset ($)	Liability ($)
Foreign Exchange Risk
Forward Foreign Currency Contracts (a)	13,619	(55)
Total Foreign Exchange Risk	13,619	(55)
Interest Rate Risk
Futures Contracts (b)	1,654	0
Total Interest Rate Risk	1,654	0
Total Value of Derivatives	15,273	(55)

(a)Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.

Financial Statements (Unaudited)

Statement of Assets and Liabilities
				February 29, 2024 (Unaudited)

Assets
Investment in securities, at value - See accompanying schedule:
Unaffiliated issuers (cost $39,243,747)	$	37,613,585
Fidelity Central Funds (cost $5,049,376)		5,049,376


Total Investment in Securities (cost $44,293,123)			$	42,662,961
Cash				32,791
Foreign currency held at value (cost $23,510)				23,322
Receivable for investments sold				18,001
Receivable for TBA sale commitments				2,237,806
Unrealized appreciation on forward foreign currency contracts				13,619
Receivable for fund shares sold				1,168
Interest receivable				250,626
Distributions receivable from Fidelity Central Funds				22,706
Receivable for daily variation margin on futures contracts				2
Receivable from investment adviser for expense reductions				197
Total assets				45,263,199
Liabilities
Payable for investments purchased
Regular delivery	$	674,926
Delayed delivery		7,493,171
TBA sale commitments, at value		2,231,994
Unrealized depreciation on forward foreign currency contracts		55
Payable for fund shares redeemed		245
Distributions payable		9,121
Accrued management fee		10,115
Distribution and service plan fees payable		1,433
Other affiliated payables		2,524
Other payables and accrued expenses		7
Total Liabilities				10,423,591
Commitments and contingent liabilities (see Commitments note)
Net Assets			$	34,839,608
Net Assets consist of:
Paid in capital			$	37,156,614
Total accumulated earnings (loss)				(2,317,006)
Net Assets			$	34,839,608

Net Asset Value and Maximum Offering Price
Class A :
Net Asset Value and redemption price per share ($1,675,973 ÷ 182,686 shares)(a)			$	9.17
Maximum offering price per share (100/96.00 of $9.17)			$	9.55
Class M :
Net Asset Value and redemption price per share ($1,198,029 ÷ 130,590 shares)(a)			$	9.17
Maximum offering price per share (100/96.00 of $9.17)			$	9.55
Class C :
Net Asset Value and offering price per share ($1,002,897 ÷ 109,331 shares)(a)			$	9.17
Fidelity Sustainable Core Plus Bond Fund :
Net Asset Value, offering price and redemption price per share ($25,859,567 ÷ 2,818,729 shares)			$	9.17
Class I :
Net Asset Value, offering price and redemption price per share ($992,528 ÷ 108,187 shares)			$	9.17
Class Z :
Net Asset Value, offering price and redemption price per share ($4,110,614 ÷ 448,055 shares)			$	9.17
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

Statement of Operations
				Six months ended February 29, 2024 (Unaudited)
Investment Income
Dividends			$	2,537
Interest				657,180
Income from Fidelity Central Funds				132,347
Total Income				792,064
Expenses
Management fee	$	57,946
Transfer agent fees		14,879
Distribution and service plan fees		8,126
Independent trustees' fees and expenses		53
Total expenses before reductions		81,004
Expense reductions		(1,220)
Total expenses after reductions				79,784
Net Investment income (loss)				712,280
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment Securities:
Unaffiliated issuers		(261,408)
Forward foreign currency contracts		11,025
Foreign currency transactions		1,261
Futures contracts		(9,298)
Total net realized gain (loss)				(258,420)
Change in net unrealized appreciation (depreciation) on:
Investment Securities:
Unaffiliated issuers		372,017
Forward foreign currency contracts		(1,054)
Assets and liabilities in foreign currencies		(161)
Futures contracts		(82)
TBA Sale commitments		14,742
Total change in net unrealized appreciation (depreciation)				385,462
Net gain (loss)				127,042
Net increase (decrease) in net assets resulting from operations			$	839,322

Statement of Changes in Net Assets

		Six months ended February 29, 2024 (Unaudited)		Year ended August 31, 2023
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	712,280	$	1,146,275
Net realized gain (loss)		(258,420)		(603,031)
Change in net unrealized appreciation (depreciation)		385,462		(647,831)
Net increase (decrease) in net assets resulting from operations		839,322		(104,587)
Distributions to shareholders		(630,177)		(1,118,812)

Share transactions - net increase (decrease)		1,631,992		7,076,707
Total increase (decrease) in net assets		1,841,137		5,853,308

Net Assets
Beginning of period		32,998,471		27,145,163
End of period	$	34,839,608	$	32,998,471

Financial Highlights

Fidelity Advisor® Sustainable Core Plus Bond Fund Class A

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022 A
Selected Per-Share Data
Net asset value, beginning of period	$	9.11	$	9.51	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.186		.340		.094
Net realized and unrealized gain (loss)		.038		(.408)		(.508)
Total from investment operations		.224		(.068)		(.414)
Distributions from net investment income		(.164)		(.332)		(.076)
Total distributions		(.164)		(.332)		(.076)
Net asset value, end of period	$	9.17	$	9.11	$	9.51
Total Return D,E,F		2.49%		(.70)%		(4.15)%
Ratios to Average Net Assets C,G,H
Expenses before reductions		.68% I		.68%		.65% I
Expenses net of fee waivers, if any		.68% I		.68%		.65% I
Expenses net of all reductions		.68% I		.67%		.65% I
Net investment income (loss)		4.13% I		3.68%		2.54% I
Supplemental Data
Net assets, end of period (000 omitted)	$	1,676	$	1,279	$	1,226
Portfolio turnover rate J		375% I		266%		118% K

AFor the period April 13, 2022 (commencement of operations) through August 31, 2022

BCalculated based on average shares outstanding during the period.

DTotal returns for periods of less than one year are not annualized.

ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

FTotal returns do not include the effect of the sales charges.

IAnnualized.

JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

KAmount not annualized.

Fidelity Advisor® Sustainable Core Plus Bond Fund Class M

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022 A
Selected Per-Share Data
Net asset value, beginning of period	$	9.11	$	9.51	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.186		.342		.095
Net realized and unrealized gain (loss)		.038		(.408)		(.509)
Total from investment operations		.224		(.066)		(.414)
Distributions from net investment income		(.164)		(.334)		(.076)
Total distributions		(.164)		(.334)		(.076)
Net asset value, end of period	$	9.17	$	9.11	$	9.51
Total Return D,E,F		2.49%		(.68)%		(4.15)%
Ratios to Average Net Assets C,G,H
Expenses before reductions		.67% I		.66%		.65% I
Expenses net of fee waivers, if any		.67% I		.66%		.65% I
Expenses net of all reductions		.66% I		.65%		.65% I
Net investment income (loss)		4.14% I		3.71%		2.54% I
Supplemental Data
Net assets, end of period (000 omitted)	$	1,198	$	1,016	$	1,020
Portfolio turnover rate J		375% I		266%		118% K

AFor the period April 13, 2022 (commencement of operations) through August 31, 2022

BCalculated based on average shares outstanding during the period.

DTotal returns for periods of less than one year are not annualized.

ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

FTotal returns do not include the effect of the sales charges.

IAnnualized.

JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

KAmount not annualized.

Fidelity Advisor® Sustainable Core Plus Bond Fund Class C

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022 A
Selected Per-Share Data
Net asset value, beginning of period	$	9.11	$	9.51	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.153		.273		.067
Net realized and unrealized gain (loss)		.037		(.408)		(.508)
Total from investment operations		.190		(.135)		(.441)
Distributions from net investment income		(.130)		(.265)		(.049)
Total distributions		(.130)		(.265)		(.049)
Net asset value, end of period	$	9.17	$	9.11	$	9.51
Total Return D,E,F		2.12%		(1.42)%		(4.41)%
Ratios to Average Net Assets C,G,H
Expenses before reductions		1.42% I		1.40%		1.39% I
Expenses net of fee waivers, if any		1.42% I		1.40%		1.39% I
Expenses net of all reductions		1.41% I		1.40%		1.39% I
Net investment income (loss)		3.40% I		2.96%		1.79% I
Supplemental Data
Net assets, end of period (000 omitted)	$	1,003	$	956	$	955
Portfolio turnover rate J		375% I		266%		118% K

AFor the period April 13, 2022 (commencement of operations) through August 31, 2022

BCalculated based on average shares outstanding during the period.

DTotal returns for periods of less than one year are not annualized.

ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

FTotal returns do not include the effect of the contingent deferred sales charge.

IAnnualized.

JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

KAmount not annualized.

Fidelity® Sustainable Core Plus Bond Fund

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022 A
Selected Per-Share Data
Net asset value, beginning of period	$	9.11	$	9.51	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.196		.360		.102
Net realized and unrealized gain (loss)		.038		(.407)		(.509)
Total from investment operations		.234		(.047)		(.407)
Distributions from net investment income		(.174)		(.353)		(.083)
Total distributions		(.174)		(.353)		(.083)
Net asset value, end of period	$	9.17	$	9.11	$	9.51
Total Return D,E		2.60%		(.47)%		(4.08)%
Ratios to Average Net Assets C,F,G
Expenses before reductions		.45% H		.45%		.45% H
Expenses net of fee waivers, if any		.45% H		.45%		.45% H
Expenses net of all reductions		.45% H		.44%		.44% H
Net investment income (loss)		4.36% H		3.91%		2.74% H
Supplemental Data
Net assets, end of period (000 omitted)	$	25,860	$	25,950	$	21,580
Portfolio turnover rate I		375% H		266%		118% J

AFor the period April 13, 2022 (commencement of operations) through August 31, 2022

BCalculated based on average shares outstanding during the period.

DTotal returns for periods of less than one year are not annualized.

ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

HAnnualized.

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

JAmount not annualized.

Fidelity Advisor® Sustainable Core Plus Bond Fund Class I

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022 A
Selected Per-Share Data
Net asset value, beginning of period	$	9.11	$	9.51	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.198		.365		.104
Net realized and unrealized gain (loss)		.038		(.408)		(.509)
Total from investment operations		.236		(.043)		(.405)
Distributions from net investment income		(.176)		(.357)		(.085)
Total distributions		(.176)		(.357)		(.085)
Net asset value, end of period	$	9.17	$	9.11	$	9.51
Total Return D,E		2.62%		(.43)%		(4.06)%
Ratios to Average Net Assets C,F,G
Expenses before reductions		.41% H		.41%		.40% H
Expenses net of fee waivers, if any		.41% H		.41%		.40% H
Expenses net of all reductions		.41% H		.40%		.40% H
Net investment income (loss)		4.40% H		3.95%		2.79% H
Supplemental Data
Net assets, end of period (000 omitted)	$	993	$	957	$	959
Portfolio turnover rate I		375% H		266%		118% J

AFor the period April 13, 2022 (commencement of operations) through August 31, 2022

BCalculated based on average shares outstanding during the period.

DTotal returns for periods of less than one year are not annualized.

ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

HAnnualized.

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

JAmount not annualized.

Fidelity Advisor® Sustainable Core Plus Bond Fund Class Z

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022 A
Selected Per-Share Data
Net asset value, beginning of period	$	9.11	$	9.51	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.201		.368		.105
Net realized and unrealized gain (loss)		.037		(.407)		(.509)
Total from investment operations		.238		(.039)		(.404)
Distributions from net investment income		(.178)		(.361)		(.086)
Total distributions		(.178)		(.361)		(.086)
Net asset value, end of period	$	9.17	$	9.11	$	9.51
Total Return D,E		2.65%		(.38)%		(4.05)%
Ratios to Average Net Assets C,F,G
Expenses before reductions		.40% H		.40%		.40% H
Expenses net of fee waivers, if any		.36% H		.36%		.36% H
Expenses net of all reductions		.36% H		.35%		.36% H
Net investment income (loss)		4.45% H		4.00%		2.82% H
Supplemental Data
Net assets, end of period (000 omitted)	$	4,111	$	2,841	$	1,404
Portfolio turnover rate I		375% H		266%		118% J

AFor the period April 13, 2022 (commencement of operations) through August 31, 2022

BCalculated based on average shares outstanding during the period.

DTotal returns for periods of less than one year are not annualized.

ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

HAnnualized.

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

JAmount not annualized.

Notes to Financial Statements (Unaudited)

For the period ended February 29, 2024

1. Organization.

Fidelity Sustainable Core Plus Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Fidelity Sustainable Core Plus Bond Fund, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Class A, Class M, Class C, Class I and Class Z are Fidelity Advisor classes. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.

2. Investments in Fidelity Central Funds.

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices	Expense RatioA
Fidelity Money Market Central Funds	Fidelity Management & Research Company LLC (FMR)	Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.	Short-term Investments	Less than .005%

A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

3. Significant Accounting Policies.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value 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 services or from brokers who make markets in such securities. Corporate bonds, bank loan obligations, foreign government and government agency obligations, preferred securities and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Book-tax differences are primarily due to futures contracts, foreign currency transactions, market discount, capital loss carryforwards and losses deferred due to wash sales.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation	$249,421
Gross unrealized depreciation	(1,623,093)
Net unrealized appreciation (depreciation)	$(1,373,672)
Tax cost	$44,057,663

Short-term	$(531,371)
Long-term	(94,797)
Total capital loss carryforward	$(626,168)

	Investment to be Acquired	Commitment Amount	Unrealized Appreciation (Depreciation)
Fidelity Sustainable Core Plus Bond Fund	Level 3 Financing, Inc. 1LN note 11% 11/15/29	$1,855	$-

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures contracts and forward foreign currency 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.

Derivatives were used to increase or decrease exposure to the following risk(s):


Foreign Exchange Risk	Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
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.

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade.

Primary Risk Exposure / Derivative Type	Net Realized Gain (Loss) ($)	Change in Net Unrealized Appreciation (Depreciation) ($)
Fidelity Sustainable Core Plus Bond Fund
Foreign Exchange Risk
Forward Foreign Currency Contracts	11,025	(1,054)
Total Foreign Exchange Risk	11,025	(1,054)
Interest Rate Risk
Futures Contracts	(9,298)	(82)
Total Interest Rate Risk	(9,298)	(82)
Totals	1,727	(1,136)

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

	Purchases ($)	Sales ($)
Fidelity Sustainable Core Plus Bond Fund	43,309,810	40,490,580

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .35% of the Fund's average net assets. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain other expenses such as proxy and shareholder meeting expenses.

	Distribution Fee	Service Fee	Total Fees	Retained by FDC
Class A	-%	.25%	$1,898	$1,191
Class M	-%	.25%	1,416	1,190
Class C	.75%	.25%	4,812	4,801
			$8,126	$7,182

For the period, sales charge amounts retained by FDC were as follows:

	Retained by FDC
Class A	$229
Class M	5
	$234

Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class Z. FIIOC receives an asset-based fee of Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

For the period, transfer agent fees for each class were as follows:

	Amount	% of Class-Level Average Net AssetsA
Class A	$564	.07
Class M	361	.06
Class C	279	.06
Fidelity Sustainable Core Plus Bond Fund	12,519	.10
Class I	288	.06
Class Z	868	.05
	$14,879

A Annualized

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.

8. Expense Reductions.

The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through December 31, 2024. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

	Expense Limitations	Reimbursement
Class Z	.36%	$729

9. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

	Six months ended February 29, 2024	Year ended August 31, 2023
Fidelity Sustainable Core Plus Bond Fund
Distributions to shareholders
Class A	$27,436	$44,240
Class M	20,535	36,431
Class C	13,860	27,042
Fidelity Sustainable Core Plus Bond Fund	481,083	879,001
Class I	18,898	36,669
Class Z	68,365	95,429
Total	$630,177	$ 1,118,812

10. Share Transactions.

Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:

	Shares	Shares	Dollars	Dollars
	Six months ended February 29, 2024	Year ended August 31, 2023	Six months ended February 29, 2024	Year ended August 31, 2023
Fidelity Sustainable Core Plus Bond Fund
Class A
Shares sold	43,694	11,550	$390,202	$106,435
Reinvestment of distributions	2,675	4,800	24,267	44,221
Shares redeemed	(4,081)	(4,941)	(36,406)	(44,491)
Net increase (decrease)	42,288	11,409	$378,063	$106,165
Class M
Shares sold	23,571	282	$206,275	$2,586
Reinvestment of distributions	2,262	3,955	20,535	36,431
Shares redeemed	(6,823)	-	(60,312)	-
Net increase (decrease)	19,010	4,237	$166,498	$39,017
Class C
Shares sold	2,847	1,510	$26,546	$13,933
Reinvestment of distributions	1,528	2,935	13,860	27,042
Net increase (decrease)	4,375	4,445	$40,406	$40,975
Fidelity Sustainable Core Plus Bond Fund
Shares sold	381,776	651,637	$3,474,047	$6,008,332
Reinvestment of distributions	51,583	91,488	467,554	842,757
Shares redeemed	(463,774)	(163,965)	(4,156,922)	(1,507,484)
Net increase (decrease)	(30,415)	579,160	$(215,321)	$5,343,605
Class I
Shares sold	2,689	165	$24,000	$1,500
Reinvestment of distributions	2,061	3,981	18,689	36,669
Shares redeemed	(1,593)	-	(14,589)	-
Net increase (decrease)	3,157	4,146	$28,100	$38,169
Class Z
Shares sold	139,633	193,280	$1,265,443	$1,767,500
Reinvestment of distributions	4,261	6,742	38,669	62,181
Shares redeemed	(7,809)	(35,780)	(69,866)	(320,905)
Net increase (decrease)	136,085	164,242	$1,234,246	$1,508,776

11. Other.

At the end of the period, the investment adviser or its affiliates were owners of record of more than 10% of the outstanding shares as follows:

Fund	Affiliated %
Fidelity Sustainable Core Plus Bond Fund	63%

12. Risk and Uncertainties.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2023 to February 29, 2024).

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Expense Ratio- A	Beginning Account Value September 1, 2023	Ending Account Value February 29, 2024	Expenses Paid During Period- C September 1, 2023 to February 29, 2024
Fidelity® Sustainable Core Plus Bond Fund
Class A	.68%
Actual		$ 1,000	$ 1,024.90	$ 3.42
Hypothetical-B		$ 1,000	$ 1,021.48	$ 3.42
Class M	.67%
Actual		$ 1,000	$ 1,024.90	$ 3.37
Hypothetical-B		$ 1,000	$ 1,021.53	$ 3.37
Class C	1.42%
Actual		$ 1,000	$ 1,021.20	$ 7.14
Hypothetical-B		$ 1,000	$ 1,017.80	$ 7.12
Fidelity® Sustainable Core Plus Bond Fund	.45%
Actual		$ 1,000	$ 1,026.00	$ 2.27
Hypothetical-B		$ 1,000	$ 1,022.63	$ 2.26
Class I	.41%
Actual		$ 1,000	$ 1,026.20	$ 2.07
Hypothetical-B		$ 1,000	$ 1,022.82	$ 2.06
Class Z	.36%
Actual		$ 1,000	$ 1,026.50	$ 1.81
Hypothetical-B		$ 1,000	$ 1,023.07	$ 1.81

A Annualized expense ratio reflects expenses net of applicable fee waivers.

B 5% return per year before expenses

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Sustainable Core Plus Bond Fund

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity and technology and operations capabilities and resources, which are integral parts of the investment management process.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for 2022 and below the competitive median of the asset size peer group for 2022. Further, the information provided to the Board indicated that the total expense ratio of the retail class of the fund ranked below the competitive median of the similar sales load structure group for 2022 and below the competitive median of the total expense asset size peer group for 2022.

Other Contractual Arrangements. These contractual arrangements may not be amended to increase the fees or expenses payable except by a vote of a majority of the Board. The Board considered that FMR has contractually agreed to reimburse Class I of the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.45% through December 31, 2024.

The Board concluded, taking into account the analysis of the committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Board Approval of Investment Advisory Contracts

Fidelity Sustainable Core Plus Bond Fund

Highly liquid investments - cash or convertible to cash within three business days or less
Moderately liquid investments - convertible to cash in three to seven calendar days
Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
Illiquid investments - cannot be sold or disposed of within seven calendar days

A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
Proposal 1
To elect a Board of Trustees.
	# of Votes	% of Votes
Abigail P. Johnson
Affirmative	378,729,502,260.01	97.58
Withheld	9,407,876,478.96	2.42
TOTAL	388,137,378,738.97	100.00
Jennifer Toolin McAuliffe
Affirmative	378,454,868,010.95	97.51
Withheld	9,682,510,728.02	2.49
TOTAL	388,137,378,738.97	100.00
Christine J. Thompson
Affirmative	378,837,121,274.52	97.60
Withheld	9,300,257,464.45	2.40
TOTAL	388,137,378,738.97	100.00
Elizabeth S. Acton
Affirmative	378,262,110,794.85	97.46
Withheld	9,875,267,944.12	2.54
TOTAL	388,137,378,738.97	100.00
Laura M. Bishop
Affirmative	380,482,113,171.06	98.03
Withheld	7,655,265,567.91	1.97
TOTAL	388,137,378,738.97	100.00
Ann E. Dunwoody
Affirmative	380,016,034,008.12	97.91
Withheld	8,121,344,730.85	2.09
TOTAL	388,137,378,738.97	100.00
John Engler
Affirmative	379,432,488,394.20	97.76
Withheld	8,704,890,344.77	2.24
TOTAL	388,137,378,738.97	100.00
Robert F. Gartland
Affirmative	378,741,819,600.60	97.58
Withheld	9,395,559,138.37	2.42
TOTAL	388,137,378,738.97	100.00
Robert W. Helm
Affirmative	380,389,324,755.07	98.00
Withheld	7,748,053,983.90	2.00
TOTAL	388,137,378,738.97	100.00
Arthur E. Johnson
Affirmative	378,427,694,151.67	97.50
Withheld	9,709,684,587.30	2.50
TOTAL	388,137,378,738.97	100.00
Michael E. Kenneally
Affirmative	377,842,228,145.18	97.35
Withheld	10,295,150,593.79	2.65
TOTAL	388,137,378,738.97	100.00
Mark A. Murray
Affirmative	380,158,432,703.37	97.94
Withheld	7,978,946,035.60	2.06
TOTAL	388,137,378,738.97	100.00
Carol J. Zierhoffer
Affirmative	380,522,113,360.24	98.04
Withheld	7,615,265,378.73	1.96
TOTAL	388,137,378,738.97	100.00

Proposal 1 reflects trust wide proposal and voting results.

1.9904880.101

SCB-SANN-0424

Fidelity® SAI Low Duration Income Fund

Semi-Annual Report

February 29, 2024

Contents

You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Schedule of Investments February 29, 2024 (Unaudited)

Quality Diversification (% of Fund's net assets)

Asset Allocation (% of Fund's net assets)

Percentages shown as 0.0% may reflect amounts less than 0.05%.

Geographic Diversification (% of Fund's net assets)

* Includes Short-Term investments and Net Other Assets (Liabilities).

Percentages are adjusted for the effect of derivatives, if applicable.

Showing Percentage of Net Assets

Nonconvertible Bonds - 45.2%
	Principal Amount (a)	Value ($)
COMMUNICATION SERVICES - 0.9%
Diversified Telecommunication Services - 0.4%
AT&T, Inc. 0.9% 3/25/24	20,000,000	19,941,513
NTT Finance Corp. 0.583% 3/1/24 (b)	3,719,000	3,719,000
		23,660,513
Media - 0.2%
Warnermedia Holdings, Inc. 3.428% 3/15/24	12,200,000	12,189,751
Wireless Telecommunication Services - 0.3%
Sprint Corp. 7.625% 2/15/25	18,400,000	18,624,944
TOTAL COMMUNICATION SERVICES		54,475,208
CONSUMER DISCRETIONARY - 4.1%
Automobiles - 3.8%
American Honda Finance Corp. 4.95% 1/9/26	13,259,000	13,213,124
BMW U.S. Capital LLC:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.530% 5.8732% 4/1/24 (b)(c)(d)	23,993,000	24,001,062
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.840% 6.1832% 4/1/25 (b)(c)(d)	13,000,000	13,066,365
Daimler Finance North America LLC:
0.75% 3/1/24 (b)	16,000,000	16,000,000
2.7% 6/14/24 (b)	5,000,000	4,960,214
4.9% 1/9/26 (b)	12,000,000	11,956,389
5.5% 11/27/24 (b)	18,800,000	18,789,614
General Motors Financial Co., Inc.:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.300% 6.6319% 4/7/25 (c)(d)	13,000,000	13,091,875
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 5.949% 10/15/24 (c)(d)	13,310,000	13,319,801
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.760% 6.1126% 3/8/24 (c)(d)	12,606,000	12,606,764
1.05% 3/8/24	15,000,000	14,992,181
1.2% 10/15/24	12,700,000	12,349,424
2.75% 6/20/25	4,670,000	4,506,416
3.95% 4/13/24	8,000,000	7,979,754
Toyota Motor Corp. 0.681% 3/25/24	8,000,000	7,977,216
Volkswagen Group of America Finance LLC:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.950% 6.3031% 6/7/24 (b)(c)(d)	13,000,000	13,024,492
3.35% 5/13/25 (b)	6,200,000	6,039,540
5.8% 9/12/25 (b)	19,000,000	19,080,835
		226,955,066
Broadline Retail - 0.3%
Amazon.com, Inc. 0.45% 5/12/24	19,000,000	18,822,217
Textiles, Apparel & Luxury Goods - 0.0%
Tapestry, Inc. 7.05% 11/27/25	855,000	870,963
TOTAL CONSUMER DISCRETIONARY		246,648,246
CONSUMER STAPLES - 2.1%
Beverages - 0.5%
Keurig Dr. Pepper, Inc. 0.75% 3/15/24	16,500,000	16,474,755
PepsiCo, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.400% 5.7136% 11/12/24 (c)(d)	14,429,000	14,443,064
		30,917,819
Consumer Staples Distribution & Retail - 0.5%
Dollar General Corp. 4.25% 9/20/24	21,487,000	21,305,275
Dollar Tree, Inc. 4% 5/15/25	6,100,000	5,990,817
		27,296,092
Personal Care Products - 0.2%
Kenvue, Inc. 5.5% 3/22/25	13,500,000	13,528,572
Tobacco - 0.9%
BAT Capital Corp. 3.222% 8/15/24	25,000,000	24,704,983
Philip Morris International, Inc.:
2.875% 5/1/24	11,814,000	11,759,114
5.125% 11/15/24	12,200,000	12,168,729
Reynolds American, Inc. 4.45% 6/12/25	9,100,000	8,960,387
		57,593,213
TOTAL CONSUMER STAPLES		129,335,696
ENERGY - 1.2%
Oil, Gas & Consumable Fuels - 1.2%
Devon Energy Corp. 5.25% 9/15/24	3,300,000	3,290,047
Enbridge, Inc.:
2.5% 2/14/25	9,300,000	9,039,202
5.969% 3/8/26	11,900,000	11,896,807
Energy Transfer LP 4.05% 3/15/25	12,200,000	12,004,200
Kinder Morgan Energy Partners LP 4.3% 5/1/24	2,000,000	1,993,669
Spectra Energy Partners LP 4.75% 3/15/24	5,000,000	4,996,002
The Williams Companies, Inc.:
3.9% 1/15/25	6,000,000	5,911,717
4.3% 3/4/24	4,000,000	4,000,000
TransCanada PipeLines Ltd. 1% 10/12/24	18,700,000	18,161,234
		71,292,878
FINANCIALS - 30.1%
Banks - 20.3%
AIB Group PLC 4.263% 4/10/25 (b)(c)	18,000,000	17,956,820
Bank of America Corp.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.410% 5.7599% 6/14/24 (c)(d)	12,000,000	11,997,000
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 6.0159% 4/22/25 (c)(d)	17,950,000	17,960,106
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.100% 6.424% 4/25/25 (c)(d)	18,000,000	18,019,040
0.981% 9/25/25 (c)	12,700,000	12,364,586
3.841% 4/25/25 (c)	15,000,000	14,954,181
Bank of America NA 5.65% 8/18/25	20,000,000	20,144,433
Bank of Montreal 5.92% 9/25/25	18,000,000	18,186,178
Bank of Nova Scotia:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.440% 5.774% 4/15/24 (c)(d)	15,000,000	15,001,050
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 5.7004% 7/31/24 (c)(d)	17,300,000	17,314,384
5.45% 6/12/25	24,400,000	24,410,825
Barclays PLC:
2.852% 5/7/26 (c)	16,239,000	15,699,348
3.65% 3/16/25	10,000,000	9,793,664
BPCE SA:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.570% 5.899% 1/14/25 (b)(c)(d)	9,396,000	9,409,812
2.375% 1/14/25 (b)	7,962,000	7,731,074
4% 4/15/24	12,200,000	12,171,976
Canadian Imperial Bank of Commerce:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.940% 6.2719% 4/7/25 (c)(d)	18,000,000	18,104,032
3.1% 4/2/24	2,000,000	1,995,704
Citibank NA 5.864% 9/29/25	18,750,000	18,970,291
Citigroup, Inc.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 6.018% 1/25/26 (c)(d)	17,500,000	17,511,654
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.370% 6.6826% 5/24/25 (c)(d)	16,000,000	16,050,619
0.981% 5/1/25 (c)	22,080,000	21,887,000
3.352% 4/24/25 (c)	18,000,000	17,931,629
Credit Agricole SA 3.875% 4/15/24 (b)	16,000,000	15,963,375
Danske Bank A/S:
3.773% 3/28/25 (b)(c)	17,745,000	17,710,761
6.259% 9/22/26 (b)(c)	19,404,000	19,604,048
6.466% 1/9/26 (b)(c)	14,604,000	14,661,627
DNB Bank ASA:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.830% 6.1756% 3/28/25 (b)(c)(d)	13,000,000	13,003,218
2.968% 3/28/25 (b)(c)	13,050,000	13,023,720
5.896% 10/9/26 (b)(c)	11,900,000	11,962,307
Federation des caisses Desjardin U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.430% 5.7388% 5/21/24 (b)(c)(d)	12,811,000	12,816,729
HSBC Holdings PLC:
2.633% 11/7/25 (c)	12,500,000	12,224,965
3.803% 3/11/25 (c)	10,000,000	9,994,974
4.18% 12/9/25 (c)	15,000,000	14,795,330
Huntington National Bank:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.190% 6.4997% 5/16/25 (c)(d)	18,000,000	17,988,300
5.699% 11/18/25 (c)	16,200,000	16,065,382
JPMorgan Chase & Co.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.530% 5.8928% 6/1/25 (c)(d)	18,475,000	18,474,581
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.920% 6.2306% 2/24/26 (c)(d)	15,958,000	16,025,343
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.970% 6.3202% 6/14/25 (c)(d)	17,000,000	17,030,142
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.320% 6.6436% 4/26/26 (c)(d)	14,956,000	15,112,043
0.824% 6/1/25 (c)	15,000,000	14,802,320
0.969% 6/23/25 (c)	24,600,000	24,220,665
1.561% 12/10/25 (c)	9,000,000	8,716,339
3.22% 3/1/25 (c)	19,000,000	18,998,440
5.546% 12/15/25 (c)	15,000,000	14,999,405
KeyBank NA U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.320% 5.6702% 6/14/24 (c)(d)	26,050,000	25,944,009
Lloyds Banking Group PLC 3.9% 3/12/24	17,800,000	17,792,093
Mitsubishi UFJ Financial Group, Inc.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.380% 6.7373% 9/12/25 (c)(d)	12,955,000	13,022,850
0.962% 10/11/25 (c)	12,400,000	12,032,863
2.801% 7/18/24	12,300,000	12,166,909
4.788% 7/18/25 (c)	10,000,000	9,957,519
5.063% 9/12/25 (c)	12,000,000	11,949,471
Mizuho Financial Group, Inc.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.960% 6.267% 5/22/26 (c)(d)	21,000,000	21,067,686
2.555% 9/13/25 (c)	18,750,000	18,432,027
Morgan Stanley Bank, West Valley City Utah 5.479% 7/16/25	20,000,000	20,083,092
NatWest Markets PLC:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.530% 5.8436% 8/12/24 (b)(c)(d)	19,209,000	19,217,520
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.450% 6.7976% 3/22/25 (b)(c)(d)	11,324,000	11,434,183
0.8% 8/12/24 (b)	6,300,000	6,164,393
PNC Financial Services Group, Inc. 5.671% 10/28/25 (c)	9,000,000	8,989,823
Rabobank Nederland:
1.339% 6/24/26 (b)(c)	6,400,000	6,047,604
2.625% 7/22/24 (b)	11,000,000	10,873,379
Rabobank Nederland New York Branch 3.875% 8/22/24	18,000,000	17,854,162
Royal Bank of Canada:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.340% 5.6719% 10/7/24 (c)(d)	2,000,000	2,000,993
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.360% 5.6832% 7/29/24 (c)(d)	3,000,000	3,002,017
2.55% 7/16/24	10,000,000	9,882,437
3.97% 7/26/24	20,733,000	20,602,154
Santander Holdings U.S.A., Inc. 3.5% 6/7/24	17,200,000	17,091,912
Societe Generale:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.050% 6.3759% 1/21/26 (b)(c)(d)	18,000,000	18,017,280
2.625% 1/22/25 (b)	13,000,000	12,630,373
Sumitomo Mitsui Financial Group, Inc. 2.696% 7/16/24	20,300,000	20,083,118
Sumitomo Mitsui Trust Bank Ltd. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.440% 5.7897% 9/16/24 (b)(c)(d)	2,000,000	2,001,503
Swedbank AB U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.910% 6.2456% 4/4/25 (b)(c)(d)	11,081,000	11,112,397
The Toronto-Dominion Bank:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.350% 5.7128% 3/4/24 (c)(d)	21,000,000	21,000,000
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.2626% 3/8/24 (c)(d)	15,914,000	15,915,273
2.35% 3/8/24	12,000,000	11,995,333
2.65% 6/12/24	10,000,000	9,922,755
3.25% 3/11/24	18,640,000	18,631,611
Truist Financial Corp.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.400% 5.7522% 6/9/25 (c)(d)	16,000,000	15,956,670
4.26% 7/28/26 (c)	12,300,000	12,049,507
U.S. Bancorp 1.45% 5/12/25	15,000,000	14,352,828
Wells Fargo & Co.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.320% 6.644% 4/25/26 (c)(d)	13,951,000	14,071,270
2.406% 10/30/25 (c)	12,500,000	12,230,151
3.3% 9/9/24	25,400,000	25,103,521
Wells Fargo Bank NA U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.800% 6.12% 8/1/25 (c)(d)	15,000,000	15,052,788
		1,239,494,894
Capital Markets - 5.5%
Athene Global Funding:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.560% 5.8697% 8/19/24 (b)(c)(d)	2,000,000	1,999,788
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.700% 6.0106% 5/24/24 (b)(c)(d)	16,500,000	16,512,191
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.710% 6.0487% 1/7/25 (b)(c)(d)	20,600,000	20,586,738
1% 4/16/24 (b)	10,000,000	9,939,921
5.684% 2/23/26 (b)	20,000,000	19,990,400
Bank of New York, New York 5.224% 11/21/25 (c)	8,260,000	8,243,786
Credit Suisse AG U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.260% 6.5688% 2/21/25 (c)(d)	14,000,000	14,044,256
Deutsche Bank AG New York Branch:
0.898% 5/28/24	5,000,000	4,947,032
3.961% 11/26/25 (c)	28,000,000	27,545,886
Goldman Sachs Group, Inc.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.390% 6.7399% 3/15/24 (c)(d)	14,000,000	14,004,928
3% 3/15/24	16,893,000	16,877,289
3.272% 9/29/25 (c)	12,200,000	12,029,676
4% 3/3/24	19,000,000	19,000,000
5.7% 11/1/24	28,500,000	28,515,855
Morgan Stanley:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.500% 5.8338% 1/22/25 (c)(d)	9,000,000	9,007,920
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.160% 6.4929% 4/17/25 (c)(d)	18,000,000	18,019,403
0.79% 5/30/25 (c)	22,950,000	22,626,993
2.63% 2/18/26 (c)	14,000,000	13,593,701
3.7% 10/23/24	15,900,000	15,704,987
UBS AG London Branch:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.7642% 8/9/24 (b)(c)(d)	10,000,000	10,009,000
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.470% 5.799% 1/13/25 (b)(c)(d)	24,000,000	24,010,430
UBS Group AG 2.193% 6/5/26 (b)(c)	6,300,000	6,027,985
		333,238,165
Consumer Finance - 3.0%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 1.65% 10/29/24	24,000,000	23,351,149
Ally Financial, Inc. 3.875% 5/21/24	5,000,000	4,977,495
American Express Co.:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.720% 6.0387% 5/3/24 (c)(d)	15,230,000	15,243,544
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.930% 6.2876% 3/4/25 (c)(d)	20,000,000	20,112,841
3.625% 12/5/24	18,000,000	17,756,283
6.338% 10/30/26 (c)	15,655,000	15,893,209
Capital One Financial Corp.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.350% 6.6652% 5/9/25 (c)(d)	18,000,000	18,021,954
3.3% 10/30/24	7,000,000	6,893,395
3.75% 4/24/24	12,634,000	12,594,880
4.166% 5/9/25 (c)	6,100,000	6,075,932
John Deere Capital Corp. 3.35% 6/12/24	8,000,000	7,950,516
Toyota Motor Credit Corp.:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.260% 5.6097% 6/18/24 (c)(d)	2,000,000	2,000,651
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 5.9676% 3/22/24 (c)(d)	16,000,000	16,003,360
5.6% 9/11/25	19,000,000	19,163,494
		186,038,703
Financial Services - 0.3%
Corebridge Financial, Inc. 3.5% 4/4/25	16,000,000	15,626,839
Insurance - 1.0%
Marsh & McLennan Companies, Inc. 3.875% 3/15/24	20,800,000	20,788,465
New York Life Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.310% 5.6336% 4/26/24 (b)(c)(d)	8,000,000	8,001,793
Northwestern Mutual Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.330% 5.6771% 3/25/24 (b)(c)(d)	9,564,000	9,564,191
Pacific Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 5.7103% 4/12/24 (b)(c)(d)	7,300,000	7,299,270
Protective Life Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.980% 6.3256% 3/28/25 (b)(c)(d)	13,000,000	13,078,232
		58,731,951
TOTAL FINANCIALS		1,833,130,552
HEALTH CARE - 2.5%
Biotechnology - 0.8%
AbbVie, Inc. 2.6% 11/21/24	18,000,000	17,627,428
Amgen, Inc.:
3.625% 5/22/24	15,500,000	15,428,183
5.25% 3/2/25	16,415,000	16,374,291
		49,429,902
Health Care Equipment & Supplies - 0.2%
Becton, Dickinson & Co. 3.363% 6/6/24	11,000,000	10,928,515
Health Care Providers & Services - 1.4%
Cigna Group 0.613% 3/15/24	24,758,000	24,718,281
CVS Health Corp. 3.375% 8/12/24	20,000,000	19,781,029
Elevance Health, Inc. 3.35% 12/1/24	18,263,000	17,952,778
HCA Holdings, Inc. 5.875% 2/15/26	5,900,000	5,924,453
Humana, Inc. 3.85% 10/1/24	15,640,000	15,471,628
		83,848,169
Pharmaceuticals - 0.1%
Bristol-Myers Squibb Co. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.490% 5.7995% 2/20/26 (c)(d)	10,569,000	10,606,748
TOTAL HEALTH CARE		154,813,334
INDUSTRIALS - 1.7%
Aerospace & Defense - 0.2%
BAE Systems Holdings, Inc. 3.8% 10/7/24 (b)	12,100,000	11,955,453
Ground Transportation - 0.2%
Canadian Pacific Railway Co. 1.35% 12/2/24	13,000,000	12,593,656
Industrial Conglomerates - 0.3%
Siemens Financieringsmaatschappij NV U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.430% 5.7822% 3/11/24 (b)(c)(d)	17,000,000	17,000,556
Machinery - 0.8%
Caterpillar Financial Services Corp.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.240% 5.5546% 5/17/24 (c)(d)	4,000,000	4,001,080
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.7611% 11/14/24 (c)(d)	20,800,000	20,834,882
Daimler Trucks Finance North America LLC:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.750% 6.1017% 12/13/24 (b)(c)(d)	2,000,000	2,005,984
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 6.3337% 4/5/24 (b)(c)(d)	11,000,000	11,006,221
5.2% 1/17/25 (b)	5,340,000	5,324,050
Parker Hannifin Corp. 3.65% 6/15/24	5,000,000	4,971,336
		48,143,553
Trading Companies & Distributors - 0.2%
Air Lease Corp. 0.8% 8/18/24	12,000,000	11,720,147
TOTAL INDUSTRIALS		101,413,365
INFORMATION TECHNOLOGY - 0.2%
Electronic Equipment, Instruments & Components - 0.1%
Dell International LLC/EMC Corp. 4% 7/15/24	9,000,000	8,939,229
Semiconductors & Semiconductor Equipment - 0.1%
Analog Devices, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.250% 5.5932% 10/1/24 (c)(d)	5,416,000	5,415,715
TOTAL INFORMATION TECHNOLOGY		14,354,944
MATERIALS - 0.4%
Chemicals - 0.4%
Celanese U.S. Holdings LLC:
3.5% 5/8/24	3,524,000	3,508,348
6.05% 3/15/25	6,000,000	6,014,847
Nutrien Ltd. 5.9% 11/7/24	17,256,000	17,278,823
		26,802,018
REAL ESTATE - 0.5%
Equity Real Estate Investment Trusts (REITs) - 0.5%
Ventas Realty LP:
2.65% 1/15/25	12,000,000	11,667,704
3.75% 5/1/24	15,600,000	15,542,087
		27,209,791
UTILITIES - 1.5%
Electric Utilities - 0.7%
Duke Energy Corp. 3.75% 4/15/24	6,000,000	5,984,572
Mississippi Power Co. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.300% 5.6456% 6/28/24 (c)(d)	15,012,000	15,008,523
Southern California Edison Co. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.830% 6.1732% 4/1/24 (c)(d)	12,000,000	12,006,119
Tampa Electric Co. 3.875% 7/12/24	11,110,000	11,037,660
		44,036,874
Multi-Utilities - 0.8%
CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 5.963% 5/13/24 (c)(d)	7,219,000	7,220,140
DTE Energy Co.:
1.05% 6/1/25	12,700,000	12,025,333
2.529% 10/1/24	12,975,000	12,725,291
Public Service Enterprise Group, Inc. 2.875% 6/15/24	2,000,000	1,982,709
WEC Energy Group, Inc.:
0.8% 3/15/24	9,300,000	9,285,515
5% 9/27/25	6,000,000	5,966,749
		49,205,737
TOTAL UTILITIES		93,242,611
TOTAL NONCONVERTIBLE BONDS (Cost $2,746,923,829)		2,752,718,643

U.S. Treasury Obligations - 16.6%
	Principal Amount (a)	Value ($)
U.S. Treasury Notes:
3% 6/30/24 (e)	358,450,000	355,663,605
4.125% 1/31/25	336,500,000	333,581,912
4.25% 1/31/26 (e)	25,100,000	24,912,730
4.75% 7/31/25	298,000,000	297,615,860
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,015,977,405)		1,011,774,107

Asset-Backed Securities - 22.8%
	Principal Amount (a)	Value ($)
Aimco:
Series 2018-BA Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6756% 1/15/32 (b)(c)(d)	10,292,000	10,305,791
Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.6394% 7/22/32 (b)(c)(d)	10,424,000	10,439,104
AIMCO CLO Ltd. Series 2022-12A Class AR, CME Term SOFR 3 Month Index + 1.170% 6.4865% 1/17/32 (b)(c)(d)	12,657,000	12,666,619
Ally Auto Receivables Trust Series 2022-2 Class A2, 4.62% 10/15/25	2,605,722	2,603,214
American Express Credit Account Master Trust Series 2022-3 Class A, 3.75% 8/15/27	20,000,000	19,600,162
Ares LII CLO Ltd. Series 2021-52A Class A1R, CME Term SOFR 3 Month Index + 1.310% 6.6294% 4/22/31 (b)(c)(d)	8,970,000	8,980,091
Ares XXXIV CLO Ltd. Series 2024-2A Class AR3, CME Term SOFR 3 Month Index + 1.320% 1.32% 4/17/33 (b)(c)(d)	26,524,000	26,524,000
ARI Fleet Lease Trust Series 2024-A Class A2, 5.3% 11/15/32 (b)	12,866,000	12,840,061
BMW Vechicle Lease Trust Series 2023-1:
Class A2, 5.27% 2/25/25	2,837,735	2,837,069
Class A3, 5.16% 11/25/25	19,283,000	19,234,899
BMW Vehicle Lease Trust:
Series 2022-1 Class A3, 1.1% 3/25/25	358,200	357,123
Series 2023-2 Class A3, 5.99% 9/25/26	12,000,000	12,098,238
Series 2024-1 Class A2A, 5.1% 7/27/26	13,024,000	12,998,849
BMW Vehicle Owner Trust:
Series 2022-A Class A3, 3.21% 8/25/26	2,220,382	2,185,974
Series 2023-A Class A2A, 5.72% 4/27/26	17,670,647	17,686,288
Capital One Multi-Asset Execution Trust Series 2022-A2 Class A, 3.49% 5/15/27	20,000,000	19,588,504
Capital One Prime Auto Receivables Series 2023-1 Class A2, 5.2% 5/15/26	13,405,424	13,386,750
CarMax Auto Owner Trust:
Series 2020-4 Class A3, 0.5% 8/15/25	807,012	802,105
Series 2021-3 Class A3, 0.55% 6/15/26	10,539,340	10,231,613
Series 2022-3 Class A2A, 3.81% 9/15/25	1,417,525	1,415,174
Carmax Auto Owner Trust Series 2022-4 Class A2A, 5.34% 12/15/25	2,329,679	2,328,499
CarMax Auto Owner Trust Series 2023 2 Class A2A, 5.5% 6/15/26	13,528,595	13,521,202
Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A2A, 6.08% 12/15/26	14,012,000	14,086,541
Carmax Auto Owner Trust 2024-1 Series 2024-1 Class A2A, 5.3% 3/15/27	15,111,000	15,099,463
Carmax Owner Trust Series 2023-1 Class A2A, 5.23% 1/15/26	3,814,772	3,810,071
Cedar Funding Ltd.:
Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6794% 10/20/32 (b)(c)(d)	2,864,000	2,865,409
Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.360% 6.6756% 7/15/33 (b)(c)(d)	10,797,000	10,805,206
Cent CLO LP Series 2021-21A Class A1R3, CME Term SOFR 3 Month Index + 1.230% 6.5512% 7/27/30 (b)(c)(d)	4,985,653	4,988,505
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b)	1,686,225	1,647,380
Chesapeake Funding II LLC:
Series 2021-1A Class A2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.340% 5.6692% 4/15/33 (b)(c)(d)	2,052,106	2,046,360
Series 2023 1A Class A1, 5.65% 5/15/35 (b)	9,916,380	9,916,650
Series 2023-2A Class A1, 6.16% 10/15/35 (b)	1,915,136	1,926,467
Citizens Auto Receivables Trust Series 2024-1 Class A2A, 5.43% 10/15/26 (b)	16,140,000	16,142,574
Daimler Trucks Retail Trust Series 2022-1 Class A2, 5.07% 9/16/24	375,109	374,995
Daimler Trucks Retail Trust 20 Series 2023-1 Class A2, 6.03% 9/15/25	6,734,000	6,741,034
Dell Equipment Finance Trust 2 Series 2023-3 Class A2, 6.1% 4/23/29 (b)	14,737,000	14,793,836
Dell Equipment Finance Trust 2022-2 Series 2022-2 Class A2, 4.03% 7/22/27 (b)	2,714,562	2,711,248
Dell Equipment Finance Trust 2023-2 Series 2023-2 Class A2, 5.84% 1/22/29 (b)	9,294,000	9,303,798
Discover Card Execution Note Trust:
Series 2022-A1 Class A1, 1.96% 2/15/27	18,000,000	17,440,369
Series 2022-A3 Class A3, 3.56% 7/15/27	18,430,000	18,027,354
Dllaa 2023-1A Series 2023-1A Class A2, 5.93% 7/20/26 (b)	1,602,174	1,605,876
DLLAD Series 2023-1A Class A2, 5.19% 4/20/26 (b)	7,894,240	7,873,304
Dllmt 2023-1 LLC Series 2023-1A Class A2, 5.78% 11/20/25 (b)	12,695,264	12,694,182
DLLST 2024-1 LLC Series 2024-1A Class A2, 5.33% 1/20/26 (b)	9,067,000	9,051,102
Donlen Fleet Lease Funding Series 2021-2 Class A1, CME Term SOFR 1 Month Index + 0.440% 5.7625% 12/11/34 (b)(c)(d)	799,477	799,971
Drive Auto Receivables Trust Series 2024-1 Class A2, 5.83% 12/15/26	10,482,000	10,485,209
Dryden CLO, Ltd. / Dryden CLO, LLC Series 2021-86A Class A1R, CME Term SOFR 3 Month Index + 1.360% 6.6781% 7/17/34 (b)(c)(d)	4,908,000	4,913,301
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6756% 4/15/31 (b)(c)(d)	9,297,000	9,300,654
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b)	4,527,000	4,595,689
Enterprise Fleet Financing LLC:
Series 2021-1 Class A2, 0.44% 12/21/26 (b)	190,187	188,862
Series 2021-2 Class A2, 0.48% 5/20/27 (b)	2,116,338	2,079,317
Series 2022-3 Class A2, 4.38% 7/20/29 (b)	1,227,144	1,213,740
Series 2023-1 Class A2, 5.51% 1/22/29 (b)	8,626,557	8,627,502
Series 2024-1 Class A2, 5.23% 3/20/30 (b)	15,485,000	15,448,057
Ford Credit Auto Lease Trust:
Series 2023-B Class A2A, 5.9% 2/15/26	8,716,000	8,730,017
Series 2024-A Class A2A, 5.24% 7/15/26	10,738,000	10,720,332
Ford Credit Auto Owner Trust:
Series 2020-1 Class A, 2.04% 8/15/31 (b)	12,000,000	11,617,423
Series 2022-C Class A2A, 4.52% 4/15/25	831,525	831,012
Series 2022-D, Class A2A, 5.37% 8/15/25	6,092,374	6,091,603
Series 2023-B Class A2A, 5.57% 6/15/26	21,177,350	21,184,034
Ford Credit Floorplan Master Owner Trust Series 2019-4 Class A, 2.44% 9/15/26	19,000,000	18,692,341
Fordl 2023-A Series 2023-A Class A2A, 5.19% 6/15/25	2,245,562	2,244,218
FORDO Series 2022-B Class A3, 3.74% 9/15/26	8,214,603	8,110,442
GM Financial Automobile Leasing Series 2023-2 Class A2A, 5.44% 10/20/25	1,152,094	1,151,123
GM Financial Automobile Leasing Trust:
Series 2022-2 Class A3, 3.42% 6/20/25	9,826,057	9,783,586
Series 2023-1 Class A3, 5.16% 4/20/26	22,061,000	22,017,368
Series 2023-A Class A2A, 5.27% 6/20/25	5,658,841	5,654,811
GM Financial Consumer Automobile Series 2024-1 Class ASB, 5.12% 2/16/27	13,080,000	13,054,120
Gm Financial Consumer Automobile Re:
Series 2023-1 Class A2A, 5.19% 3/16/26	3,409,307	3,404,522
Series 2023-3 Class A2A, 5.74% 9/16/26	14,608,026	14,623,398
GM Financial Consumer Automobile Receivables Series 2023 2 Class A2A, 5.1% 5/18/26	9,278,537	9,258,752
GM Financial Consumer Automobile Receivables Trust:
Series 2020-4 Class A3, 0.38% 8/18/25	401,299	399,587
Series 2022-2 Class A3, 3.1% 2/16/27	19,169,472	18,814,822
Series 2022-3 Class A2A, 3.5% 9/16/25	3,117,935	3,110,136
Series 2022-4 Class A2A, 4.6% 11/17/25	2,470,671	2,465,745
GM Financial Leasing Trust Series 2024-1 Class A2A, 5.18% 6/22/26	19,202,000	19,169,239
Gm Financial Leasing Trust 202 Series 2023-3 Class A2A, 5.58% 1/20/26	17,466,095	17,467,498
Harot 2023-4 Series 2023-4 Class A2, 5.87% 6/22/26	14,563,000	14,622,777
Honda Auto Receivables:
Series 2023-1 Class A2, 5.22% 10/21/25	10,929,830	10,913,946
Series 2023-2 Class A2, 5.41% 4/15/26	16,993,065	16,981,916
Honda Auto Receivables 2023-3 Series 2023-3 Class A2, 5.71% 3/18/26	14,065,000	14,083,135
HPEFS Eqipment Trust 2024-1 Series 2024-1A Class A2, 5.38% 5/20/31 (b)	24,540,000	24,519,072
HPEFS Equipment Trust Series 2022-3A Class A2, 5.26% 8/20/29 (b)	2,963,668	2,961,034
Huntington Auto Trust Series 2024-1A Class A2, 5.5% 3/15/27 (b)	17,946,000	17,960,402
Hyundai Auto Lease Securitizat:
Series 2023-B Class A2A, 5.47% 9/15/25 (b)	3,000,482	2,998,702
Series 2023-C Class A2A, 5.85% 3/16/26 (b)	16,800,755	16,841,259
Hyundai Auto Lease Securitization:
Series 2022-C Class A2A, 4.34% 1/15/25 (b)	1,115,709	1,114,993
Series 2024-A Class A2A, 5.15% 6/15/26 (b)	11,454,000	11,426,190
Hyundai Auto Lease Securitization Trust Series 2023-A Class A2A, 5.2% 4/15/25 (b)	4,718,624	4,716,013
Hyundai Auto Receivables Trust:
Series 2020-C Class A3, 0.38% 5/15/25	233,186	232,717
Series 2022-B Class A2A, 3.64% 5/15/25	1,413,403	1,411,408
Series 2022-C, Class A2A, 5.35% 11/17/25	5,479,737	5,477,394
Series 2023 A Class A2A, 5.19% 12/15/25	10,792,622	10,776,830
Series 2023-B Class A2A, 5.77% 5/15/26	13,268,841	13,285,752
Series 2023-C Class A2A, 5.8% 1/15/27	12,797,000	12,840,038
John Deere Owner Trust:
Series 2021-A Class A3, 0.36% 9/15/25	3,105,854	3,060,092
Series 2022-B Class A2, 3.73% 6/16/25	2,376,203	2,372,358
John Deere Owner Trust 2023-B Series 2023-B Class A2, 5.59% 6/15/26	16,150,000	16,145,967
John Deere Owner Trust 23-C Series 2023-C Class A2, 5.76% 8/17/26	17,502,000	17,524,130
Juniper Valley Park CLO LLC Series 2023-1A Class A1, CME Term SOFR 3 Month Index + 1.850% 7.1678% 7/20/35 (b)(c)(d)	19,000,000	19,047,063
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, CME Term SOFR 3 Month Index + 1.260% 6.5794% 1/22/31 (b)(c)(d)	7,538,000	7,544,829
Marlette Funding Trust 2023-3 Series 2023-3A Class A, 6.49% 9/15/33 (b)	1,877,545	1,880,267
Mercedes-Benz Auto Receivables:
Series 2022-1, Class A2, 5.26% 10/15/25	4,847,061	4,845,246
Series 2023-1 Class A2, 5.09% 1/15/26	3,234,707	3,230,849
Series 2024-1 Class A2A, 5.06% 5/17/27	15,907,000	15,864,116
MMAF Equipment Finance LLC Series 2022-B Class A2, 5.57% 9/9/25 (b)	690,242	690,234
Mmaf Equipment Finance LLC 202 Series 2023-A Class A2, 5.79% 11/13/26 (b)	12,207,916	12,230,976
Niagara Park CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.260% 6.5781% 7/17/32 (b)(c)(d)	11,000,000	11,025,278
Nissan Auto Receivables Series 2022-B Class A2, 4.5% 8/15/25	4,242,417	4,234,292
OneMain Direct Auto Receivables Trust Series 2021-1A Class A, 0.87% 7/14/28 (b)	12,964,437	12,482,806
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, CME Term SOFR 3 Month Index + 1.060% 6.3807% 5/20/29 (b)(c)(d)	3,300,920	3,302,032
Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME Term SOFR 3 Month Index + 1.050% 6.3665% 4/15/30 (b)(c)(d)	7,702,502	7,702,510
SBNA Auto Lease Trust 2024-A Series 2024-A Class A2, 5.45% 1/20/26 (b)	11,106,000	11,098,084
Sfs Auto Receivables Securitiz Series 2023-1A Class A2A, 5.89% 3/22/27 (b)	1,754,474	1,757,182
SFS Auto Receivables Securitization Series 2024-1A Class A2, 5.35% 6/21/27 (b)	6,441,000	6,437,359
Sofi Consumer Loan Program Series 2023-1S Class A, 5.81% 5/15/31 (b)	1,811,673	1,810,411
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.6356% 7/15/32 (b)(c)(d)	7,764,000	7,769,140
Symphony CLO XXIII Ltd. Series 2021-23A Class AR, CME Term SOFR 3 Month Index + 1.280% 6.5956% 1/15/34 (b)(c)(d)	10,901,568	10,911,314
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.220% 6.5407% 11/18/30 (b)(c)(d)	6,199,193	6,210,500
TCI-Symphony CLO Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.190% 6.5056% 7/15/30 (b)(c)(d)	10,219,263	10,229,461
Tesla Auto Lease Trust 2023-B Series 2023-B Class A2, 6.02% 9/22/25 (b)	5,385,000	5,397,208
Tesla Auto Lease Trust 23-A Series 2023-A:
Class A2, 5.86% 8/20/25 (b)	12,454,480	12,476,274
Class A3, 5.89% 6/22/26 (b)	7,780,000	7,824,457
Tesla Electric Vehicle Trust 2023-1 Series 2023-1 Class A2A, 5.54% 12/21/26 (b)	17,890,000	17,903,759
Toyota Auto Loan Extended Note Trust Series 2019-1A Class A, 2.56% 11/25/31 (b)	22,650,000	22,493,527
Toyota Auto Receivables:
Series 2021-D Class A3, 0.71% 4/15/26	1,955,967	1,905,615
Series 2022-D Class A2A, 5.27% 1/15/26	7,246,072	7,240,232
Toyota Auto Receivables 2023-C Series 2023-C Class A2A, 5.6% 8/17/26	16,425,503	16,426,868
Toyota Auto Receivables 2023-D Series 2023-D Class A2A, 5.8% 11/16/26	10,228,000	10,260,992
Toyota Auto Receivables Owner Trust:
Series 2022-C Class A2A, 3.83% 8/15/25	1,094,287	1,091,380
Series 2023-A Class A2, 5.05% 1/15/26	6,658,749	6,649,191
Toyota Lease Owner Trust Series 2024-A Class A2A, 5.33% 7/20/26 (b)	23,392,000	23,385,460
Toyota Lease Owner Trust 2023- Series 2023-B Class A2A, 5.73% 4/20/26 (b)	11,062,055	11,094,353
Upstart Securitization Trust Series 2021-5 Class A, 1.31% 11/20/31 (b)	435,287	433,745
Upstart Securitization Trust 2 Series 2023-3 Class A, 6.9% 10/20/33 (b)	8,822,108	8,868,988
Usaa Auto Owner Trust 2023-A Series 2023-A Class A2, 5.83% 7/15/26 (b)	11,206,000	11,220,919
Verizon Master Trust:
Series 2022-4 Class A, 3.4% 11/20/28 (c)	23,454,000	22,908,115
Series 2023-5 Class A1A, 5.61% 9/8/28	13,296,000	13,361,149
Volkswagen Auto Lease Trust 20 Series 2023-A Class A2A, 5.87% 1/20/26	18,800,000	18,839,147
Volkswagen Auto Loan Enhanced Series 2023-1 Class A2A, 5.5% 12/21/26	14,063,272	14,062,519
Voya CLO Ltd. Series 2021-1A Class A1R, CME Term SOFR 3 Month Index + 1.210% 6.5281% 4/17/30 (b)(c)(d)	6,146,064	6,149,678
Wheels Fleet Lease Funding 1 L Series 2023-2A Class A, 6.46% 8/18/38 (b)	13,813,000	13,936,175
Wheels SPV LLC Series 2021-1A Class A, CME Term SOFR 1 Month Index + 0.390% 5.7143% 8/20/29 (b)(c)(d)	1,513,619	1,512,424
WOART 2023-A Series 2023-A Class A2A, 5.18% 7/15/26	12,589,006	12,572,702
World Omni Auto Receivables Trust:
Series 2021 D Class A3, 0.81% 10/15/26	10,235,107	9,949,278
Series 2022-D, Class A2A, 5.51% 3/16/26	3,646,578	3,647,003
Series 2023-C Class A2A, 5.57% 12/15/26	14,024,000	14,023,746
Series 2023-D Class A2A, 5.91% 2/16/27	7,750,000	7,786,565
World Omni Automobile Lease Series 2023-A Class A2A, 5.47% 11/17/25	2,332,166	2,330,401
TOTAL ASSET-BACKED SECURITIES (Cost $1,389,277,175)		1,391,153,428

Collateralized Mortgage Obligations - 0.4%
	Principal Amount (a)	Value ($)
Private Sponsor - 0.4%
Cascade Funding Mortgage Trust:
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c)	1,183,522	1,102,286
Series 2021-HB6 Class A, 0.8983% 6/25/36 (b)	1,114,960	1,100,218
Series 2021-HB7 Class A, 1.1512% 10/27/31 (b)	1,673,715	1,621,036
Cfmt 2022-Ebo2 sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b)	286,017	284,005
CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b)	4,804,335	4,724,102
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c)	4,072,605	3,959,878
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b)	682,524	651,653
Ocwen Loan Invest Trust Series 2024-HB1 Class A, 3% 2/25/37 (b)	638,000	605,781
RMF Buyout Issuance Trust sequential payer Series 2021-HB1 Class A, 1.2586% 11/25/31 (b)	1,326,210	1,284,868
Silverstone Master Issuer PLC floater Series 2022-1A Class 1A, U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 5.7071% 1/21/70 (b)(c)(d)	10,440,000	10,437,620

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $26,112,112)		25,771,447

Commercial Mortgage Securities - 1.8%
	Principal Amount (a)	Value ($)
BAMLL Commercial Mortgage Securities Trust floater Series 2022-DKLX Class A, CME Term SOFR 1 Month Index + 1.150% 6.468% 1/15/39 (b)(c)(d)	2,702,000	2,666,536
BANK Trust sequential payer Series 2017-BNK5 Class ASB, 3.179% 6/15/60	2,139,504	2,073,098
Benchmark Mortgage Trust sequential payer Series 2018-B2 Class ASB, 3.7802% 2/15/51	3,456,513	3,374,646
BLP Commercial Mortgage Trust sequential payer Series 2024-IND2 Class A, CME Term SOFR 1 Month Index + 1.340% 6.6422% 3/15/41 (b)(c)(d)	2,606,000	2,603,930
BX Commercial Mortgage Trust floater:
Series 2021-ACNT Class A, CME Term SOFR 1 Month Index + 0.960% 6.2825% 11/15/38 (b)(c)(d)	4,684,377	4,653,636
Series 2021-BXMF Class A, CME Term SOFR 1 Month Index + 0.750% 6.0684% 10/15/26 (b)(c)(d)	4,243,739	4,193,345
Series 2021-LBA Class AJV, CME Term SOFR 1 Month Index + 0.910% 6.2325% 2/15/36 (b)(c)(d)	591,000	586,937
Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 6.3305% 2/15/39 (b)(c)(d)	7,538,789	7,484,604
Series 2023-XL3 Class A, CME Term SOFR 1 Month Index + 1.760% 7.0791% 12/9/40 (b)(c)(d)	3,965,000	3,992,259
BX Commercial Mortgage Trust 2024-Xl4 floater sequential payer Series 2024-XL4 Class A, CME Term SOFR 1 Month Index + 1.440% 6.7597% 2/15/39 (b)(c)(d)	5,950,000	5,950,000
BX Trust floater Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4826% 8/15/39 (b)(c)(d)	2,278,342	2,284,055
Citigroup Commercial Mortgage Trust Series 2015-GC27 Class A5, 3.137% 2/10/48	18,000,000	17,659,152
COMM Mortgage Trust sequential payer Series 2017-CD4 Class ASB, 3.317% 5/10/50	1,448,841	1,403,970
CSAIL Commercial Mortgage Trust sequential payer Series 2017-CX10 Class ASB, 3.3269% 11/15/50	1,383,096	1,345,908
DBJPM Mortgage Trust sequential payer Series 2017-C6 Class ASB, 3.121% 6/10/50	2,589,585	2,507,296
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, CME Term SOFR 1 Month Index + 0.810% 6.1335% 11/15/38 (b)(c)(d)	6,587,332	6,521,459
GS Mortgage Securities Trust sequential payer Series 2017-GS8 Class AAB, 3.313% 11/10/50	1,615,247	1,567,378
JPMDB Commercial Mortgage Securities Trust sequential payer Series 2016-C4 Class ASB, 2.9941% 12/15/49	749,890	724,523
Life Financial Services Trust floater Series 2022-BMR2 Class A1, CME Term SOFR 1 Month Index + 1.290% 6.6129% 5/15/39 (b)(c)(d)	7,914,000	7,844,753
LIFE Mortgage Trust floater Series 2021-BMR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1325% 3/15/38 (b)(c)(d)	3,836,532	3,794,570
Merit floater Series 2021-STOR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1325% 7/15/38 (b)(c)(d)	2,275,000	2,255,094
Morgan Stanley Bank of America Merrill Lynch Trust sequential payer Series 2017-C34 Class ASB, 3.354% 11/15/52	3,598,761	3,481,290
Open Trust 2023-Air sequential payer Series 2023-AIR Class A, CME Term SOFR 1 Month Index + 3.080% 8.4067% 10/15/28 (b)(c)(d)	3,617,896	3,631,463
SREIT Trust floater Series 2021-MFP Class A, CME Term SOFR 1 Month Index + 0.840% 6.1629% 11/15/38 (b)(c)(d)	5,130,699	5,107,476
Ubs Commercial Mortgage Trust sequential payer Series 2017-C4 Class ASB, 3.366% 10/15/50	2,697,552	2,615,774
UBS Commercial Mortgage Trust sequential payer Series 2017-C7 Class ASB, 3.586% 12/15/50	6,043,942	5,871,235
Wells Fargo Commercial Mortgage Trust sequential payer:
Series 2017-C38 Class ASB, 3.261% 7/15/50	1,302,189	1,268,347
Series 2017-C42 Class ASB, 3.488% 12/15/50	1,347,684	1,312,007
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $108,814,107)		108,774,741

Certificates of Deposit - 7.6%
	Principal Amount (a)	Value ($)
BMO Harris Bank NA U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.670% 5.98% 7/8/24 (c)(d)	23,700,000	23,699,938
Canadian Imperial Bank of Commerce yankee:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6.01% 4/1/24 (c)(d)	20,000,000	20,011,310
5.95% 9/19/24	23,600,000	23,653,376
Citibank NA:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.96% 6/17/24 (c)(d)	19,000,000	19,025,511
5.78% 3/8/24	23,700,000	23,701,173
Lloyds Bank Corporate Markets PLC yankee:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 6% 7/8/24 (c)(d)	23,700,000	23,699,351
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6.01% 6/7/24 (c)(d)	23,700,000	23,739,363
5.91% 6/17/24	23,700,000	23,719,787
Mizuho Corporate Bank Ltd. yankee U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.560% 5.87% 5/24/24 (c)(d)	23,700,000	23,724,861
Rabobank Nederland New York Branch yankee 6.05% 7/10/24	23,700,000	23,723,136
Royal Bank of Canada yankee U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.96% 7/3/24 (c)(d)	23,700,000	23,737,685
Sumitomo Mitsui Banking Corp. yankee:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.96% 5/1/24 (c)(d)	24,700,000	24,722,386
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6.01% 7/11/24 (c)(d)	23,700,000	23,748,834
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6.01% 7/26/24 (c)(d)	23,500,000	23,552,602
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6.01% 8/14/24 (c)(d)	23,700,000	23,756,719
Svenska Handelsbanken, Inc. yankee:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.570% 5.88% 8/29/24 (c)(d)	23,700,000	23,746,798
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.96% 3/28/24 (c)(d)	20,000,000	20,008,696
Toronto-Dominion Bank yankee U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.670% 5.98% 3/25/24 (c)(d)	21,000,000	21,008,087
Wells Fargo Bank NA:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.630% 5.94% 7/18/24 (c)(d)	23,700,000	23,740,454
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.96% 7/5/24 (c)(d)	23,700,000	23,739,124
TOTAL CERTIFICATES OF DEPOSIT (Cost $459,900,000)		460,459,191

Commercial Paper - 3.9%
	Principal Amount (a)	Value ($)
Bank of Montreal yankee 6.01% 4/4/24 (c)(d)	30,000,000	30,016,134
Barclays Bank PLC U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.730% 6.04% 6/5/24 (b)(c)(d)	23,700,000	23,699,945
Bayer Corp.:
5.9% 8/15/24	23,700,000	23,075,465
5.93% 7/9/24	23,700,000	23,211,256
5.93% 7/24/24	23,500,000	22,960,654
5.94% 9/10/24	23,700,000	22,983,075
BPCE SA yankee 5.66% 7/19/24	23,700,000	23,208,678
HSBC U.S.A., Inc.:
yankee 6.05% 8/14/24	23,700,000	23,095,212
5.9% 11/21/24	23,700,000	22,722,335
J.P. Morgan Securities, LLC 5.95% 7/12/24 (c)(d)	23,700,000	23,699,929
TOTAL COMMERCIAL PAPER (Cost $238,415,687)		238,672,683

Money Market Funds - 7.4%
	Shares	Value ($)
Fidelity Cash Central Fund 5.39% (f)	99,830,109	99,850,075
Fidelity Securities Lending Cash Central Fund 5.39% (f)(g)	350,977,402	351,012,500
TOTAL MONEY MARKET FUNDS (Cost $450,862,575)		450,862,575

TOTAL INVESTMENT IN SECURITIES - 105.7% (Cost $6,436,282,890)	6,440,186,815
NET OTHER ASSETS (LIABILITIES) - (5.7)%	(349,500,186)
NET ASSETS - 100.0%	6,090,686,629

Legend

(a)	Amount is stated in United States dollars unless otherwise noted.

(b)

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

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

(e)	Security or a portion of the security is on loan at period end.

(f)

(g)	Investment made with cash collateral received from securities on loan.

Affiliated Central Funds

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

Affiliate	Value, beginning of period ($)	Purchases ($)	Sales Proceeds ($)	Dividend Income ($)	Realized Gain (loss) ($)	Change in Unrealized appreciation (depreciation) ($)	Value, end of period ($)	% ownership, end of period
Fidelity Cash Central Fund 5.39%	259,111,099	1,397,546,775	1,556,807,799	4,014,491	-	-	99,850,075	0.2%
Fidelity Securities Lending Cash Central Fund 5.39%	-	416,604,450	65,591,950	15,050	-	-	351,012,500	1.1%
Total	259,111,099	1,814,151,225	1,622,399,749	4,029,541	-	-	450,862,575

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

Investment Valuation

Valuation Inputs at Reporting Date:
Description	Total ($)	Level 1 ($)	Level 2 ($)	Level 3 ($)
Investments in Securities:

Corporate Bonds	2,752,718,643	-	2,752,718,643	-

U.S. Government and Government Agency Obligations	1,011,774,107	-	1,011,774,107	-

Asset-Backed Securities	1,391,153,428	-	1,391,153,428	-

Collateralized Mortgage Obligations	25,771,447	-	25,771,447	-

Commercial Mortgage Securities	108,774,741	-	108,774,741	-

Certificates of Deposit	460,459,191	-	460,459,191	-

Commercial Paper	238,672,683	-	238,672,683	-

Money Market Funds	450,862,575	450,862,575	-	-
Total Investments in Securities:	6,440,186,815	450,862,575	5,989,324,240	-

Financial Statements (Unaudited)

Statement of Assets and Liabilities
				February 29, 2024 (Unaudited)

Assets
Investment in securities, at value (including securities loaned of $342,325,550) - See accompanying schedule:
Unaffiliated issuers (cost $5,985,420,315)	$	5,989,324,240
Fidelity Central Funds (cost $450,862,575)		450,862,575


Total Investment in Securities (cost $6,436,282,890)			$	6,440,186,815
Cash				29,733
Receivable for fund shares sold				8,464,686
Interest receivable				40,427,971
Distributions receivable from Fidelity Central Funds				776,874
Prepaid expenses				3,720
Receivable from investment adviser for expense reductions				69,206
Total assets				6,489,959,005
Liabilities
Payable for investments purchased	$	31,534,307
Payable for fund shares redeemed		13,307,361
Distributions payable		2,355,613
Accrued management fee		1,009,185
Other payables and accrued expenses		53,410
Collateral on securities loaned		351,012,500
Total Liabilities				399,272,376
Net Assets			$	6,090,686,629
Net Assets consist of:
Paid in capital			$	6,031,773,946
Total accumulated earnings (loss)				58,912,683
Net Assets			$	6,090,686,629
Net Asset Value, offering price and redemption price per share ($6,090,686,629 ÷ 604,484,309 shares)			$	10.08

Statement of Operations
				Six months ended February 29, 2024 (Unaudited)
Investment Income
Interest			$	157,532,856
Income from Fidelity Central Funds (including $15,050 from security lending)				4,029,541
Total Income				161,562,397
Expenses
Management fee	$	6,053,526
Custodian fees and expenses		27,858
Independent trustees' fees and expenses		9,956
Registration fees		122,608
Audit		29,732
Legal		4,339
Miscellaneous		11,518
Total expenses before reductions		6,259,537
Expense reductions		(236,712)
Total expenses after reductions				6,022,825
Net Investment income (loss)				155,539,572
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment Securities:
Unaffiliated issuers		686,346
Total net realized gain (loss)				686,346
Change in net unrealized appreciation (depreciation) on investment securities				22,567,585
Net gain (loss)				23,253,931
Net increase (decrease) in net assets resulting from operations			$	178,793,503

Statement of Changes in Net Assets

		Six months ended February 29, 2024 (Unaudited)		Year ended August 31, 2023
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	155,539,572	$	228,554,733
Net realized gain (loss)		686,346		(1,821,505)
Change in net unrealized appreciation (depreciation)		22,567,585		19,040,747
Net increase (decrease) in net assets resulting from operations		178,793,503		245,773,975
Distributions to shareholders		(139,209,782)		(186,664,051)

Share transactions
Proceeds from sales of shares		1,179,132,095		3,752,146,215
Reinvestment of distributions		124,808,835		167,508,419
Cost of shares redeemed		(1,518,253,965)		(1,890,194,258)

Net increase (decrease) in net assets resulting from share transactions		(214,313,035)		2,029,460,376
Total increase (decrease) in net assets		(174,729,314)		2,088,570,300

Net Assets
Beginning of period		6,265,415,943		4,176,845,643
End of period	$	6,090,686,629	$	6,265,415,943

Other Information
Shares
Sold		117,274,244		377,957,109
Issued in reinvestment of distributions		12,411,934		16,825,725
Redeemed		(151,123,692)		(190,245,521)
Net increase (decrease)		(21,437,514)		204,537,313

Financial Highlights

Fidelity® SAI Low Duration Income Fund

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022		2021 A
Selected Per-Share Data
Net asset value, beginning of period	$	10.01	$	9.91	$	10.01	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.258		.426		.063		.016
Net realized and unrealized gain (loss)		.044		.016		(.102)		.007
Total from investment operations		.302		.442		(.039)		.023
Distributions from net investment income		(.232)		(.342)		(.059)		(.013)
Distributions from net realized gain		-		-		(.002)		-
Total distributions		(.232)		(.342)		(.061)		(.013)
Net asset value, end of period	$	10.08	$	10.01	$	9.91	$	10.01
Total Return D,E		3.04%		4.54%		(.38)%		.23%
Ratios to Average Net Assets C,F,G
Expenses before reductions		.21% H,I		.26%		.30%		.34% I
Expenses net of fee waivers, if any		.20% H,I		.21%		.22%		.22% I
Expenses net of all reductions		.20% H,I		.21%		.22%		.22% I
Net investment income (loss)		5.17% H,I		4.30%		.63%		.17% I
Supplemental Data
Net assets, end of period (000 omitted)	$	6,090,687	$	6,265,416	$	4,176,846	$	4,227,685
Portfolio turnover rate J		49% I		46%		59%		15% I,K

AFor the period September 15, 2020 (commencement of operations) through August 31, 2021.

BCalculated based on average shares outstanding during the period.

DTotal returns for periods of less than one year are not annualized.

ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

HProxy expenses are not annualized.

IAnnualized.

JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

KPortfolio turnover rate excludes securities received or delivered in-kind.

Notes to Financial Statements (Unaudited)

For the period ended February 29, 2024

1. Organization.

Fidelity SAI Low Duration Income Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

2. Investments in Fidelity Central Funds.

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices	Expense RatioA
Fidelity Money Market Central Funds	Fidelity Management & Research Company LLC (FMR)	Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.	Short-term Investments	Less than .005%

A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

3. Significant Accounting Policies.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value 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 services or from brokers who make markets in such securities. Corporate bonds, U.S. government and government agency obligations, commercial paper and certificates of deposit are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations and commercial mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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

Book-tax differences are primarily due to market discount and capital loss carryforwards.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation	$42,740,172
Gross unrealized depreciation	(5,403,294)
Net unrealized appreciation (depreciation)	$37,336,878
Tax cost	$6,402,849,937

Short-term	$(2,768,798)
Long-term	(1,857,056)
Total capital loss carryforward	$(4,625,854)

4. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

	Purchases ($)	Sales ($)
Fidelity SAI Low Duration Income Fund	1,308,957,306	1,057,426,579

5. Fees and Other Transactions with Affiliates.

6. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.

	Amount
Fidelity SAI Low Duration Income Fund	$4,894

7. Security Lending.

	Total Security Lending Fees Paid to NFS	Security Lending Income From Securities Loaned to NFS	Value of Securities Loaned to NFS at Period End
Fidelity SAI Low Duration Income Fund	$1,740	$-	$-

8. Expense Reductions.

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .20% of average net assets. This reimbursement will remain in place through December 31, 2024. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $228,668.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $8,044.

9. Other.

10. Risk and Uncertainties.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2023 to February 29, 2024).

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Expense Ratio- A	Beginning Account Value September 1, 2023	Ending Account Value February 29, 2024	Expenses Paid During Period- C September 1, 2023 to February 29, 2024

Fidelity® SAI Low Duration Income Fund	.20%
Actual		$ 1,000	$ 1,030.40	$ 1.01
Hypothetical-B		$ 1,000	$ 1,023.87	$ 1.01

A Annualized expense ratio reflects expenses net of applicable fee waivers.

B 5% return per year before expenses

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity SAI Low Duration Income Fund

At its September 2023 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by FMR and its affiliates (Fidelity) from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders. The Board also considered the broad range of investment choices available to shareholders from FMR's competitors and that the fund's shareholders have chosen to invest in the fund, which is part of the Fidelity family of funds. The Board's decision to renew the Advisory Contracts was not based on any single factor.

Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds and experience of investment personnel of Fidelity, and also considered the Investment Advisers' implementation of the fund's investment program. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

Investment Performance. The Board took into account discussions that occur with representatives of the Investment Advisers, and reports that it receives, at Board meetings throughout the year relating to fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considered annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index). The Board also considered information about performance attribution. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds over different time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio. The Board was provided with information regarding industry trends in management fees and expenses. In its review of the fund's management fee and total expense ratio, the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund.

Comparisons of Management Fees and Total Expense Ratios. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "mapped groups") that were compiled by Fidelity based on combining similar investment objective categories (as classified by Lipper) that have comparable investment mandates. The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the total universe of funds within the mapped group; (ii) gross management fee comparisons relative to a subset of non-Fidelity funds in the mapped group that are similar in size and management fee structure to the fund (referred to as the "asset size peer group"); (iii) total expense comparisons of the fund relative to funds and classes in the mapped group that have a similar sales load structure to the fund (referred to as the "similar sales load structure group"); and (iv) total expense comparisons of the fund relative to funds and classes in the similar sales load structure group that are similar in size and management fee structure to the fund (referred to as the "total expense asset size peer group"). The total expense asset size peer group comparison excludes performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.

The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for 2022 and below the competitive median of the asset size peer group for 2022. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the similar sales load structure group for 2022 and below the competitive median of the total expense asset size peer group for 2022.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered. Further, based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

The Board concluded, taking into account the analysis of the committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Board Approval of Investment Advisory Contracts

Fidelity SAI Low Duration Income Fund

Highly liquid investments - cash or convertible to cash within three business days or less
Moderately liquid investments - convertible to cash in three to seven calendar days
Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
Illiquid investments - cannot be sold or disposed of within seven calendar days

A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
Proposal 1
To elect a Board of Trustees.
	# of Votes	% of Votes
Abigail P. Johnson
Affirmative	378,729,502,260.01	97.58
Withheld	9,407,876,478.96	2.42
TOTAL	388,137,378,738.97	100.00
Jennifer Toolin McAuliffe
Affirmative	378,454,868,010.95	97.51
Withheld	9,682,510,728.02	2.49
TOTAL	388,137,378,738.97	100.00
Christine J. Thompson
Affirmative	378,837,121,274.52	97.60
Withheld	9,300,257,464.45	2.40
TOTAL	388,137,378,738.97	100.00
Elizabeth S. Acton
Affirmative	378,262,110,794.85	97.46
Withheld	9,875,267,944.12	2.54
TOTAL	388,137,378,738.97	100.00
Laura M. Bishop
Affirmative	380,482,113,171.06	98.03
Withheld	7,655,265,567.91	1.97
TOTAL	388,137,378,738.97	100.00
Ann E. Dunwoody
Affirmative	380,016,034,008.12	97.91
Withheld	8,121,344,730.85	2.09
TOTAL	388,137,378,738.97	100.00
John Engler
Affirmative	379,432,488,394.20	97.76
Withheld	8,704,890,344.77	2.24
TOTAL	388,137,378,738.97	100.00
Robert F. Gartland
Affirmative	378,741,819,600.60	97.58
Withheld	9,395,559,138.37	2.42
TOTAL	388,137,378,738.97	100.00
Robert W. Helm
Affirmative	380,389,324,755.07	98.00
Withheld	7,748,053,983.90	2.00
TOTAL	388,137,378,738.97	100.00
Arthur E. Johnson
Affirmative	378,427,694,151.67	97.50
Withheld	9,709,684,587.30	2.50
TOTAL	388,137,378,738.97	100.00
Michael E. Kenneally
Affirmative	377,842,228,145.18	97.35
Withheld	10,295,150,593.79	2.65
TOTAL	388,137,378,738.97	100.00
Mark A. Murray
Affirmative	380,158,432,703.37	97.94
Withheld	7,978,946,035.60	2.06
TOTAL	388,137,378,738.97	100.00
Carol J. Zierhoffer
Affirmative	380,522,113,360.24	98.04
Withheld	7,615,265,378.73	1.96
TOTAL	388,137,378,738.97	100.00

Proposal 1 reflects trust wide proposal and voting results.

1.9900848.103

LDI-SANN-0424

Fidelity® Corporate Bond Fund

Semi-Annual Report

February 29, 2024

Includes Fidelity and Fidelity Advisor share classes

Contents

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Schedule of Investments February 29, 2024 (Unaudited)

Quality Diversification (% of Fund's net assets)

Asset Allocation (% of Fund's net assets)

Geographic Diversification (% of Fund's net assets)

* Includes Short-Term investments and Net Other Assets (Liabilities).

Percentages are adjusted for the effect of derivatives, if applicable.

Showing Percentage of Net Assets

Nonconvertible Bonds - 87.7%
	Principal Amount (a)	Value ($)
COMMUNICATION SERVICES - 5.9%
Diversified Telecommunication Services - 2.1%
AT&T, Inc.:
2.25% 2/1/32	4,905,000	3,933,656
3.55% 9/15/55	2,075,000	1,413,549
3.65% 9/15/59	1,452,000	982,140
3.8% 12/1/57	6,174,000	4,345,166
4.3% 2/15/30	1,886,000	1,798,694
4.5% 5/15/35	1,446,000	1,331,514
Verizon Communications, Inc.:
2.355% 3/15/32	5,282,000	4,282,585
2.55% 3/21/31	1,827,000	1,539,844
3% 11/20/60	3,160,000	1,922,455
3.15% 3/22/30	272,000	243,222
3.7% 3/22/61	4,527,000	3,198,738
4.016% 12/3/29	3,773,000	3,575,187
4.329% 9/21/28	856,000	830,815
4.4% 11/1/34	4,919,000	4,575,292
4.5% 8/10/33	395,000	372,763
		34,345,620
Entertainment - 0.2%
The Walt Disney Co. 6.65% 11/15/37	3,552,000	4,023,489
Media - 2.5%
CCO Holdings LLC/CCO Holdings Capital Corp. 4.5% 8/15/30 (b)	4,980,000	4,131,010
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
3.7% 4/1/51	2,754,000	1,671,803
3.85% 4/1/61	3,207,000	1,862,748
5.25% 4/1/53	2,495,000	1,937,075
5.375% 5/1/47	2,622,000	2,070,569
5.5% 4/1/63	1,396,000	1,079,804
Comcast Corp.:
2.937% 11/1/56	977,000	601,179
2.987% 11/1/63	3,786,000	2,274,575
3.999% 11/1/49	538,000	427,656
Discovery Communications LLC:
3.95% 3/20/28	4,905,000	4,592,157
4.65% 5/15/50	2,188,000	1,659,231
Time Warner Cable LLC:
5.5% 9/1/41	212,000	174,770
5.875% 11/15/40	2,823,000	2,434,745
6.55% 5/1/37	728,000	685,724
6.75% 6/15/39	470,000	443,483
7.3% 7/1/38	2,609,000	2,601,217
Warnermedia Holdings, Inc.:
3.755% 3/15/27	794,000	751,314
4.054% 3/15/29	275,000	254,724
4.279% 3/15/32	6,748,000	5,952,998
5.05% 3/15/42	1,147,000	964,533
5.141% 3/15/52	5,092,000	4,137,737
5.391% 3/15/62	2,071,000	1,670,729
		42,379,781
Wireless Telecommunication Services - 1.1%
Rogers Communications, Inc.:
3.8% 3/15/32	4,507,000	4,005,447
4.55% 3/15/52	4,154,000	3,428,108
T-Mobile U.S.A., Inc.:
2.4% 3/15/29	1,197,000	1,054,351
2.7% 3/15/32	8,119,000	6,757,324
5.65% 1/15/53	1,509,000	1,500,769
Vodafone Group PLC 3.25% 6/4/81 (c)	1,094,000	1,015,303
		17,761,302
TOTAL COMMUNICATION SERVICES		98,510,192
CONSUMER DISCRETIONARY - 4.2%
Automobiles - 1.8%
Ford Motor Co. 3.25% 2/12/32	4,150,000	3,403,236
General Motors Co.:
5% 4/1/35	860,000	803,551
5.2% 4/1/45	981,000	865,842
5.4% 4/1/48	396,000	354,578
5.6% 10/15/32	1,886,000	1,882,128
5.95% 4/1/49	1,871,000	1,802,264
General Motors Financial Co., Inc.:
3.1% 1/12/32	4,550,000	3,800,846
4.3% 4/6/29	4,225,000	4,008,730
Stellantis Finance U.S., Inc.:
1.711% 1/29/27 (b)	2,261,000	2,055,253
2.691% 9/15/31 (b)	4,207,000	3,481,653
Volkswagen Group of America Finance LLC:
1.625% 11/24/27 (b)	4,527,000	3,999,752
4.75% 11/13/28 (b)	3,045,000	3,008,259
		29,466,092
Distributors - 0.1%
Genuine Parts Co. 2.75% 2/1/32	2,276,000	1,876,225
Diversified Consumer Services - 0.1%
Ingersoll-Rand Global Holding Co. Ltd. 5.75% 6/15/43	135,000	138,838
Massachusetts Institute of Technology 3.885% 7/1/2116	2,494,000	1,886,628
		2,025,466
Specialty Retail - 1.5%
Advance Auto Parts, Inc. 1.75% 10/1/27	1,890,000	1,633,041
AutoNation, Inc.:
1.95% 8/1/28	4,659,000	3,984,858
2.4% 8/1/31	2,075,000	1,643,403
3.85% 3/1/32	2,037,000	1,778,633
4.75% 6/1/30	134,000	127,452
AutoZone, Inc. 4% 4/15/30	3,622,000	3,409,133
Lowe's Companies, Inc.:
3% 10/15/50	4,414,000	2,847,821
3.75% 4/1/32	3,773,000	3,428,409
5.625% 4/15/53	2,433,000	2,414,663
O'Reilly Automotive, Inc. 3.9% 6/1/29	1,101,000	1,045,142
The Home Depot, Inc. 5.95% 4/1/41	319,000	340,292
Triton Container International Ltd. 1.15% 6/7/24 (b)	2,056,000	2,020,986
		24,673,833
Textiles, Apparel & Luxury Goods - 0.7%
Tapestry, Inc.:
3.05% 3/15/32	4,631,000	3,752,476
7% 11/27/26	643,000	660,395
7.35% 11/27/28	1,029,000	1,076,336
7.7% 11/27/30	3,300,000	3,499,152
7.85% 11/27/33	3,300,000	3,569,762
		12,558,121
TOTAL CONSUMER DISCRETIONARY		70,599,737
CONSUMER STAPLES - 5.1%
Beverages - 0.2%
Anheuser-Busch InBev Finance, Inc. 4.7% 2/1/36	189,000	180,894
Constellation Brands, Inc. 2.875% 5/1/30	3,254,000	2,857,781
		3,038,675
Consumer Staples Distribution & Retail - 0.8%
Alimentation Couche-Tard, Inc. 2.95% 1/25/30 (b)	3,630,000	3,235,513
Dollar General Corp. 3.5% 4/3/30	4,214,000	3,812,917
Dollar Tree, Inc.:
2.65% 12/1/31	4,527,000	3,767,826
4.2% 5/15/28	2,406,000	2,320,512
		13,136,768
Food Products - 1.4%
JBS U.S.A. Lux SA/JBS Food Co./JBS U.S.A. Finance, Inc.:
2.5% 1/15/27	4,986,000	4,574,367
3% 5/15/32	4,771,000	3,819,931
4.375% 2/2/52	2,067,000	1,487,057
5.5% 1/15/30	4,848,000	4,725,063
6.5% 12/1/52	3,018,000	2,901,832
JDE Peet's BV 2.25% 9/24/31 (b)	1,612,000	1,261,106
Smithfield Foods, Inc. 3% 10/15/30 (b)	798,000	657,003
Viterra Finance BV 4.9% 4/21/27 (b)	5,018,000	4,912,129
		24,338,488
Tobacco - 2.7%
Altria Group, Inc. 2.45% 2/4/32	2,216,000	1,774,771
BAT Capital Corp.:
2.259% 3/25/28	4,358,000	3,856,487
2.726% 3/25/31	5,810,000	4,789,767
3.215% 9/6/26	4,258,000	4,037,697
3.557% 8/15/27	795,000	751,556
3.984% 9/25/50	1,886,000	1,287,267
4.7% 4/2/27	759,000	742,822
5.834% 2/20/31	1,415,000	1,410,107
7.75% 10/19/32	3,622,000	4,047,910
BAT International Finance PLC 4.448% 3/16/28	2,886,000	2,783,220
Imperial Tobacco Finance PLC:
3.5% 7/26/26 (b)	2,929,000	2,786,262
4.25% 7/21/25 (b)	1,778,000	1,742,547
6.125% 7/27/27 (b)	725,000	738,042
Philip Morris International, Inc.:
4.375% 11/15/41	712,000	605,221
5.125% 2/15/30	6,763,000	6,730,266
5.625% 11/17/29	3,301,000	3,379,984
5.75% 11/17/32	3,508,000	3,578,364
Reynolds American, Inc. 5.7% 8/15/35	103,000	98,385
		45,140,675
TOTAL CONSUMER STAPLES		85,654,606
ENERGY - 6.5%
Oil, Gas & Consumable Fuels - 6.5%
Boardwalk Pipelines LP 4.95% 12/15/24	1,396,000	1,385,588
Canadian Natural Resources Ltd.:
2.95% 7/15/30	5,193,000	4,511,388
5.85% 2/1/35	180,000	179,803
6.25% 3/15/38	1,474,000	1,514,969
Cenovus Energy, Inc.:
2.65% 1/15/32	465,000	380,151
3.75% 2/15/52	1,441,000	1,029,312
4.25% 4/15/27	982,000	951,221
5.25% 6/15/37	376,000	348,825
5.375% 7/15/25	3,447,000	3,431,907
5.4% 6/15/47	899,000	823,588
6.75% 11/15/39	262,000	283,945
Columbia Pipelines Operating Co. LLC:
5.927% 8/15/30 (b)	242,000	246,502
6.036% 11/15/33 (b)	652,000	669,475
6.497% 8/15/43 (b)	195,000	206,350
6.544% 11/15/53 (b)	351,000	373,911
DCP Midstream Operating LP:
5.125% 5/15/29	3,085,000	3,046,506
5.6% 4/1/44	116,000	110,468
6.75% 9/15/37 (b)	726,000	772,810
Eastern Gas Transmission & Storage, Inc.:
3% 11/15/29	2,833,000	2,521,042
3.9% 11/15/49	2,641,000	1,921,794
Enbridge, Inc. 6.7% 11/15/53	1,300,000	1,453,175
Energy Transfer LP:
3.75% 5/15/30	4,020,000	3,666,304
4% 10/1/27	1,530,000	1,464,401
4.95% 6/15/28	333,000	327,986
5% 5/15/50	6,282,000	5,415,636
5.4% 10/1/47	661,000	599,532
5.75% 2/15/33	1,509,000	1,519,406
5.8% 6/15/38	186,000	183,894
6% 6/15/48	121,000	118,598
EQT Corp. 5.75% 2/1/34	8,593,000	8,452,168
Florida Gas Transmission Co. LLC 4.35% 7/15/25 (b)	1,702,000	1,669,921
Hess Corp.:
5.6% 2/15/41	2,853,000	2,872,896
5.8% 4/1/47	4,188,000	4,255,908
7.3% 8/15/31	1,198,000	1,347,632
7.875% 10/1/29	2,092,000	2,344,031
MPLX LP:
2.65% 8/15/30	4,527,000	3,854,386
4.95% 9/1/32	1,461,000	1,399,311
5.65% 3/1/53	5,304,000	5,043,741
Occidental Petroleum Corp. 5.55% 3/15/26	253,000	253,278
ONEOK, Inc. 3.25% 6/1/30	3,848,000	3,441,157
Ovintiv, Inc.:
5.15% 11/15/41	611,000	520,515
7.375% 11/1/31	393,000	428,297
8.125% 9/15/30	1,754,000	1,965,428
Petroleos Mexicanos:
4.5% 1/23/26	2,641,000	2,458,771
6.49% 1/23/27	374,000	349,574
6.5% 3/13/27	3,234,000	3,016,190
Plains All American Pipeline LP/PAA Finance Corp. 3.8% 9/15/30	639,000	582,336
Southeast Supply Header LLC 4.25% 6/15/24 (b)	252,000	246,522
Spectra Energy Partners LP 4.5% 3/15/45	329,000	275,968
Suncor Energy, Inc. 6.5% 6/15/38	1,289,000	1,349,410
The Williams Companies, Inc.:
2.6% 3/15/31	4,640,000	3,912,589
3.5% 11/15/30	1,436,000	1,295,912
4.65% 8/15/32	1,460,000	1,388,951
5.3% 8/15/52	323,000	302,222
5.75% 6/24/44	1,664,000	1,632,283
TransCanada PipeLines Ltd. 4.25% 5/15/28	3,697,000	3,561,425
Transcontinental Gas Pipe Line Co. LLC 3.25% 5/15/30	169,000	152,015
Western Gas Partners LP:
4.05% 2/1/30	7,975,000	7,372,605
4.65% 7/1/26	90,000	88,050
6.15% 4/1/33	2,655,000	2,698,075
		107,990,054
FINANCIALS - 34.8%
Banks - 18.2%
AIB Group PLC:
4.263% 4/10/25 (b)(c)	1,955,000	1,950,310
7.583% 10/14/26 (b)(c)	3,792,000	3,888,916
Banco Santander SA 2.749% 12/3/30	6,600,000	5,368,285
Bank of America Corp.:
1.898% 7/23/31 (c)	4,225,000	3,429,061
2.592% 4/29/31 (c)	4,716,000	4,030,706
2.972% 2/4/33 (c)	11,318,000	9,506,056
3.194% 7/23/30 (c)	6,399,000	5,760,548
3.705% 4/24/28 (c)	2,372,000	2,261,476
4.571% 4/27/33 (c)	5,282,000	4,965,777
5.015% 7/22/33 (c)	6,866,000	6,692,437
6.11% 1/29/37	812,000	851,409
Barclays PLC:
3.65% 3/16/25	1,473,000	1,442,607
3.811% 3/10/42 (c)	4,527,000	3,394,787
5.088% 6/20/30 (c)	4,072,000	3,857,587
5.746% 8/9/33 (c)	1,257,000	1,245,956
7.437% 11/2/33 (c)	4,452,000	4,870,489
BNP Paribas SA:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 1.323% 1/13/27 (b)(c)(d)	2,450,000	2,265,923
1.904% 9/30/28 (b)(c)	4,433,000	3,922,880
2.159% 9/15/29 (b)(c)	2,375,000	2,055,015
2.591% 1/20/28 (b)(c)	1,660,000	1,531,320
2.824% 1/26/41 (b)	3,509,000	2,367,925
BPCE SA:
2.277% 1/20/32 (b)(c)	4,556,000	3,646,747
3.116% 10/19/32 (b)(c)	3,697,000	2,981,468
6.508% 1/18/35 (b)(c)	4,250,000	4,211,080
Citigroup, Inc.:
2.666% 1/29/31 (c)	3,094,000	2,654,453
3.785% 3/17/33 (c)	3,773,000	3,338,478
3.98% 3/20/30 (c)	4,527,000	4,243,433
4.412% 3/31/31 (c)	3,773,000	3,564,141
4.6% 3/9/26	347,000	341,315
4.91% 5/24/33 (c)	1,983,000	1,898,702
6.174% 5/25/34 (c)	975,000	982,308
8.125% 7/15/39	652,000	827,967
Citizens Financial Group, Inc. 2.638% 9/30/32	2,619,000	1,988,601
Commonwealth Bank of Australia 3.784% 3/14/32 (b)	9,980,000	8,730,051
Credit Agricole SA 2.811% 1/11/41 (b)	2,524,000	1,694,852
Fifth Third Bancorp 8.25% 3/1/38	1,305,000	1,543,009
HSBC Holdings PLC:
2.251% 11/22/27 (c)	3,246,000	2,973,481
2.357% 8/18/31 (c)	9,356,000	7,698,142
2.848% 6/4/31 (c)	3,697,000	3,146,656
4.041% 3/13/28 (c)	2,266,000	2,172,328
4.762% 3/29/33 (c)	4,735,000	4,351,604
4.95% 3/31/30	200,000	195,862
5.402% 8/11/33 (c)	3,062,000	3,008,926
Huntington Bancshares, Inc.:
2.487% 8/15/36 (c)	3,756,000	2,841,284
4.443% 8/4/28 (c)	1,702,000	1,634,611
6.208% 8/21/29 (c)	5,300,000	5,389,361
ING Groep NV:
4.017% 3/28/28 (c)	5,659,000	5,433,787
4.252% 3/28/33 (c)	3,773,000	3,473,249
Intesa Sanpaolo SpA 5.71% 1/15/26 (b)	7,182,000	7,116,427
JPMorgan Chase & Co.:
2.739% 10/15/30 (c)	5,659,000	4,964,596
2.956% 5/13/31 (c)	711,000	617,555
2.963% 1/25/33 (c)	5,659,000	4,779,546
4.586% 4/26/33 (c)	5,659,000	5,369,450
4.912% 7/25/33 (c)	7,546,000	7,320,136
5.717% 9/14/33 (c)	11,714,000	11,860,780
KBC Group NV 5.796% 1/19/29 (b)(c)	3,826,000	3,849,229
Lloyds Banking Group PLC:
3.87% 7/9/25 (c)	2,075,000	2,059,651
4.375% 3/22/28	2,617,000	2,526,248
4.976% 8/11/33 (c)	3,773,000	3,590,814
7.953% 11/15/33 (c)	3,754,000	4,175,732
Mizuho Financial Group, Inc. 2.564% 9/13/31	6,414,000	5,208,826
PNC Financial Services Group, Inc.:
5.068% 1/24/34 (c)	9,168,000	8,815,914
5.582% 6/12/29 (c)	4,400,000	4,424,264
Rabobank Nederland:
3.649% 4/6/28 (b)(c)	4,207,000	3,985,888
3.75% 7/21/26	2,548,000	2,442,276
Royal Bank of Canada 4.65% 1/27/26	400,000	396,337
Santander Holdings U.S.A., Inc.:
2.49% 1/6/28 (c)	1,044,000	944,098
5.807% 9/9/26 (c)	2,250,000	2,247,053
6.499% 3/9/29 (c)	1,662,000	1,687,400
Societe Generale:
1.488% 12/14/26 (b)(c)	1,736,000	1,601,083
3.625% 3/1/41 (b)	4,716,000	3,157,864
4.25% 4/14/25 (b)	1,018,000	995,954
4.75% 11/24/25 (b)	2,438,000	2,387,346
6.221% 6/15/33 (b)(c)	5,093,000	4,993,014
6.446% 1/10/29 (b)(c)	4,150,000	4,239,113
7.367% 1/10/53 (b)	1,886,000	1,930,311
Standard Chartered PLC 3.785% 5/21/25 (b)(c)	2,617,000	2,603,049
Truist Financial Corp. 5.122% 1/26/34 (c)	2,565,000	2,433,077
U.S. Bancorp 5.775% 6/12/29 (c)	6,700,000	6,769,922
UniCredit SpA 1.982% 6/3/27 (b)(c)	3,735,000	3,427,688
Wells Fargo & Co.:
3.068% 4/30/41 (c)	4,716,000	3,482,656
4.897% 7/25/33 (c)	3,944,000	3,771,050
6.491% 10/23/34 (c)	4,100,000	4,360,388
Westpac Banking Corp. U.S. TREASURY 1 YEAR INDEX + 2.680% 5.405% 8/10/33 (c)(d)	6,036,000	5,917,290
Zions Bancorp. NA 3.25% 10/29/29	3,105,000	2,532,523
		303,609,914
Capital Markets - 6.8%
Ares Capital Corp.:
2.15% 7/15/26	10,800,000	9,810,714
2.875% 6/15/27	5,125,000	4,655,726
3.25% 7/15/25	5,300,000	5,090,734
3.875% 1/15/26	6,017,000	5,772,624
4.25% 3/1/25	5,162,000	5,062,475
Athene Global Funding:
1.45% 1/8/26 (b)	6,772,000	6,250,904
2.5% 3/24/28 (b)	4,225,000	3,745,606
Blackstone Holdings Finance Co. LLC:
2.8% 9/30/50 (b)	755,000	458,690
3.5% 9/10/49 (b)	2,795,000	1,974,480
Blackstone Private Credit Fund:
4.7% 3/24/25	9,805,000	9,652,812
7.05% 9/29/25	4,993,000	5,058,580
Deutsche Bank AG 4.5% 4/1/25	5,744,000	5,633,886
Deutsche Bank AG New York Branch:
2.129% 11/24/26 (c)	4,762,000	4,462,888
3.035% 5/28/32 (c)	2,440,000	2,017,609
6.72% 1/18/29 (c)	1,056,000	1,084,920
Morgan Stanley:
1.794% 2/13/32 (c)	4,433,000	3,509,915
2.699% 1/22/31 (c)	3,773,000	3,268,352
6.342% 10/18/33 (c)	9,055,000	9,597,065
Peachtree Corners Funding Trust 3.976% 2/15/25 (b)	2,552,000	2,501,215
S&P Global, Inc. 3.9% 3/1/62	1,462,000	1,137,487
UBS Group AG:
3.091% 5/14/32 (b)(c)	3,207,000	2,694,964
3.126% 8/13/30 (b)(c)	3,246,000	2,869,340
4.194% 4/1/31 (b)(c)	3,632,000	3,340,353
4.55% 4/17/26	1,838,000	1,805,903
4.988% 8/5/33 (b)(c)	6,338,000	6,041,744
6.537% 8/12/33 (b)(c)	4,339,000	4,524,953
9.016% 11/15/33 (b)(c)	1,264,000	1,520,864
		113,544,803
Consumer Finance - 4.0%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
1.65% 10/29/24	444,000	431,996
1.75% 1/30/26	2,343,000	2,176,758
2.45% 10/29/26	3,344,000	3,084,475
3% 10/29/28	2,623,000	2,356,939
3.3% 1/30/32	788,000	666,398
3.4% 10/29/33	1,630,000	1,354,167
3.85% 10/29/41	2,664,000	2,068,166
6.15% 9/30/30	5,100,000	5,267,975
6.45% 4/15/27 (b)	1,131,000	1,157,647
Ally Financial, Inc.:
2.2% 11/2/28	1,496,000	1,272,172
3.875% 5/21/24	743,000	739,656
5.75% 11/20/25	2,910,000	2,895,495
5.8% 5/1/25	753,000	751,812
8% 11/1/31	7,762,000	8,520,633
Capital One Financial Corp.:
2.359% 7/29/32 (c)	5,230,000	3,953,782
5.247% 7/26/30 (c)	2,443,000	2,382,203
5.268% 5/10/33 (c)	6,791,000	6,596,862
5.468% 2/1/29 (c)	1,251,000	1,244,082
5.817% 2/1/34 (c)	2,175,000	2,150,564
6.312% 6/8/29 (c)	4,200,000	4,299,258
Discover Financial Services:
4.5% 1/30/26	393,000	386,724
6.7% 11/29/32	384,000	401,900
Ford Motor Credit Co. LLC:
3.375% 11/13/25	3,301,000	3,167,058
3.625% 6/17/31	200,000	170,498
4.063% 11/1/24	3,018,000	2,976,449
4.95% 5/28/27	6,187,000	6,015,091
Synchrony Financial 4.375% 3/19/24	194,000	193,855
		66,682,615
Financial Services - 2.1%
Aon Corp. / Aon Global Holdings PLC 2.6% 12/2/31	1,246,000	1,035,791
Aviation Capital Group LLC 6.75% 10/25/28 (b)	4,100,000	4,248,561
Brixmor Operating Partnership LP:
2.25% 4/1/28	1,426,000	1,261,666
4.05% 7/1/30	819,000	753,576
4.125% 5/15/29	420,000	392,712
Corebridge Financial, Inc.:
3.65% 4/5/27	564,000	535,166
3.85% 4/5/29	554,000	513,753
3.9% 4/5/32	659,000	579,986
4.35% 4/5/42	150,000	123,792
4.4% 4/5/52	443,000	355,560
6.05% 9/15/33 (b)	6,000,000	6,125,577
Equitable Holdings, Inc.:
4.35% 4/20/28	2,304,000	2,218,491
5% 4/20/48	1,124,000	1,016,331
Fiserv, Inc. 3.5% 7/1/29	1,423,000	1,307,399
Jackson Financial, Inc.:
3.125% 11/23/31	7,409,000	6,125,524
4% 11/23/51	2,264,000	1,620,251
5.17% 6/8/27	611,000	607,037
5.67% 6/8/32	2,914,000	2,904,147
Rexford Industrial Realty LP 2.15% 9/1/31	1,749,000	1,382,318
Voya Financial, Inc.:
4.7% 1/23/48 (c)	1,897,000	1,592,005
5.7% 7/15/43	883,000	856,222
		35,555,865
Insurance - 3.7%
AIA Group Ltd.:
3.2% 9/16/40 (b)	658,000	491,029
3.375% 4/7/30 (b)	1,030,000	941,413
3.6% 4/9/29 (b)	1,320,000	1,238,667
3.9% 4/6/28 (b)	1,589,000	1,529,654
American International Group, Inc. 5.75% 4/1/48 (c)	2,168,000	2,129,855
AmFam Holdings, Inc. 2.805% 3/11/31 (b)	3,311,000	2,503,396
Aon Corp. 6.25% 9/30/40	86,000	91,362
Assurant, Inc. 2.65% 1/15/32	4,697,000	3,814,209
Athene Holding Ltd.:
3.45% 5/15/52	4,150,000	2,721,181
3.95% 5/25/51	971,000	708,384
6.65% 2/1/33	3,056,000	3,198,291
Brown & Brown, Inc. 2.375% 3/15/31	2,151,000	1,761,046
Empower Finance 2020 LP 3.075% 9/17/51 (b)	2,134,000	1,421,735
Fairfax Financial Holdings Ltd.:
3.375% 3/3/31	2,081,000	1,804,021
5.625% 8/16/32	8,111,000	7,977,183
Hartford Financial Services Group, Inc. 4.3% 4/15/43	411,000	351,467
Intact Financial Corp. 5.459% 9/22/32 (b)	4,464,000	4,437,429
Liberty Mutual Group, Inc. 5.5% 6/15/52 (b)	3,214,000	3,073,915
Massachusetts Mutual Life Insurance Co.:
3.2% 12/1/61 (b)	3,669,000	2,290,828
3.729% 10/15/70 (b)	982,000	664,735
Pacific LifeCorp:
3.35% 9/15/50 (b)	4,263,000	2,944,797
5.125% 1/30/43 (b)	436,000	405,311
Principal Financial Group, Inc. 3.7% 5/15/29	477,000	444,974
Prudential Financial, Inc. 6% 9/1/52 (c)	2,597,000	2,589,976
Reliance Standard Life Global Funding II 2.75% 5/7/25 (b)	3,387,000	3,260,468
Unum Group:
4.125% 6/15/51	5,196,000	3,819,107
5.75% 8/15/42	1,270,000	1,232,810
Willis Group North America, Inc. 5.35% 5/15/33	4,000,000	3,932,315
		61,779,558
TOTAL FINANCIALS		581,172,755
HEALTH CARE - 6.0%
Biotechnology - 0.5%
Amgen, Inc.:
4.663% 6/15/51	2,264,000	1,970,333
5.25% 3/2/30	856,000	862,361
5.25% 3/2/33	966,000	963,351
5.65% 3/2/53	457,000	456,810
5.75% 3/2/63	832,000	832,077
Regeneron Pharmaceuticals, Inc.:
1.75% 9/15/30	2,226,000	1,800,679
2.8% 9/15/50	1,509,000	939,194
		7,824,805
Health Care Providers & Services - 3.7%
Centene Corp.:
2.625% 8/1/31	6,274,000	5,133,826
3% 10/15/30	5,857,000	5,004,045
4.25% 12/15/27	609,000	579,309
4.625% 12/15/29	2,218,000	2,099,448
Cigna Group:
3.4% 3/15/50	2,641,000	1,849,515
3.4% 3/15/51	2,641,000	1,846,399
4.8% 8/15/38	1,634,000	1,515,443
4.9% 12/15/48	314,000	282,203
CVS Health Corp.:
4.78% 3/25/38	1,312,000	1,192,228
5% 1/30/29	698,000	695,723
5.125% 2/21/30	8,572,000	8,518,604
5.25% 1/30/31	286,000	285,667
5.3% 6/1/33	5,000,000	4,963,958
Elevance Health, Inc. 2.25% 5/15/30	3,292,000	2,794,972
HCA Holdings, Inc.:
3.375% 3/15/29	1,332,000	1,214,819
3.625% 3/15/32	4,729,000	4,131,046
4.625% 3/15/52	2,003,000	1,639,982
5.125% 6/15/39	1,137,000	1,056,595
5.25% 6/15/49	1,254,000	1,129,165
Quest Diagnostics, Inc. 2.95% 6/30/30	3,773,000	3,326,237
Sabra Health Care LP:
3.2% 12/1/31	3,672,000	2,977,217
3.9% 10/15/29	476,000	423,122
UnitedHealth Group, Inc. 4.625% 7/15/35	253,000	244,213
Universal Health Services, Inc.:
2.65% 10/15/30	5,690,000	4,750,445
2.65% 1/15/32	5,770,000	4,690,639
		62,344,820
Pharmaceuticals - 1.8%
Bayer U.S. Finance II LLC:
4.25% 12/15/25 (b)	5,031,000	4,891,666
4.375% 12/15/28 (b)	3,207,000	2,987,362
4.875% 6/25/48 (b)	3,224,000	2,554,727
Bristol-Myers Squibb Co.:
5.1% 2/22/31	1,669,000	1,675,830
5.2% 2/22/34	3,300,000	3,326,810
5.5% 2/22/44	689,000	697,281
5.55% 2/22/54	2,339,000	2,366,729
5.65% 2/22/64	3,400,000	3,431,117
Elanco Animal Health, Inc. 6.65% 8/28/28 (c)	4,309,000	4,341,122
Perrigo Finance PLC 4.65% 6/15/30	3,924,000	3,512,396
		29,785,040
TOTAL HEALTH CARE		99,954,665
INDUSTRIALS - 5.1%
Aerospace & Defense - 2.0%
BAE Systems PLC 3.4% 4/15/30 (b)	326,000	295,268
RTX Corp.:
6.1% 3/15/34	3,600,000	3,800,988
6.4% 3/15/54	3,500,000	3,874,502
The Boeing Co.:
2.75% 2/1/26	1,254,000	1,190,840
3.25% 2/1/28	2,641,000	2,450,276
5.04% 5/1/27	9,998,000	9,903,755
5.15% 5/1/30	6,225,000	6,120,830
5.805% 5/1/50	4,905,000	4,727,832
		32,364,291
Building Products - 0.4%
Carlisle Companies, Inc. 2.75% 3/1/30	3,773,000	3,279,039
Carrier Global Corp.:
2.7% 2/15/31	3,848,000	3,284,220
5.9% 3/15/34	192,000	199,173
6.2% 3/15/54	200,000	218,298
		6,980,730
Ground Transportation - 0.2%
Burlington Northern Santa Fe LLC:
4.15% 4/1/45	342,000	288,953
4.4% 3/15/42	847,000	753,717
CSX Corp. 4.3% 3/1/48	3,346,000	2,866,802
		3,909,472
Industrial Conglomerates - 0.0%
Trane Technologies Financing Ltd. 4.65% 11/1/44	190,000	170,853
Machinery - 0.4%
Ingersoll Rand, Inc.:
5.4% 8/14/28	2,129,000	2,146,157
5.7% 8/14/33	2,250,000	2,288,274
Westinghouse Air Brake Tech Co. 3.2% 6/15/25	2,421,000	2,347,779
		6,782,210
Passenger Airlines - 0.2%
American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29	728,181	670,223
American Airlines, Inc. 3.75% 4/15/27	945,504	910,162
British Airways 2021-1 Class A Pass Through Trust equipment trust certificate 2.9% 9/15/36 (b)	797,227	690,304
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29	532,928	493,627
United Airlines, Inc. equipment trust certificate 4.6% 9/1/27	462,709	446,876
		3,211,192
Professional Services - 0.2%
Booz Allen Hamilton, Inc. 5.95% 8/4/33	3,095,000	3,174,747
Trading Companies & Distributors - 0.7%
Air Lease Corp.:
2.875% 1/15/26	2,641,000	2,518,548
2.875% 1/15/32	5,772,000	4,791,669
5.3% 2/1/28	4,263,000	4,242,576
		11,552,793
Transportation Infrastructure - 1.0%
Avolon Holdings Funding Ltd.:
2.875% 2/15/25 (b)	9,228,000	8,956,195
4.25% 4/15/26 (b)	529,000	510,077
4.375% 5/1/26 (b)	380,000	366,659
5.5% 1/15/26 (b)	679,000	671,977
5.75% 3/1/29 (b)	5,000,000	4,927,864
6.375% 5/4/28 (b)	1,538,000	1,560,690
		16,993,462
TOTAL INDUSTRIALS		85,139,750
INFORMATION TECHNOLOGY - 3.5%
Electronic Equipment, Instruments & Components - 0.9%
Dell International LLC/EMC Corp.:
3.375% 12/15/41	2,264,000	1,654,896
3.45% 12/15/51	1,091,000	749,167
5.3% 10/1/29	3,773,000	3,781,846
Vontier Corp.:
2.4% 4/1/28	4,659,000	4,071,288
2.95% 4/1/31	5,228,000	4,301,274
		14,558,471
IT Services - 0.2%
CDW LLC/CDW Finance Corp. 2.67% 12/1/26	3,241,000	3,001,782
Semiconductors & Semiconductor Equipment - 1.8%
Broadcom, Inc.:
1.95% 2/15/28 (b)	318,000	282,325
2.45% 2/15/31 (b)	2,716,000	2,268,981
2.6% 2/15/33 (b)	2,750,000	2,210,358
3.137% 11/15/35 (b)	4,150,000	3,294,212
3.5% 2/15/41 (b)	2,186,000	1,671,662
3.75% 2/15/51 (b)	1,026,000	767,062
Marvell Technology, Inc.:
2.45% 4/15/28	3,018,000	2,709,704
5.75% 2/15/29	2,365,000	2,409,480
5.95% 9/15/33	1,909,000	1,971,790
Micron Technology, Inc.:
2.703% 4/15/32	1,236,000	1,014,561
3.366% 11/1/41	1,347,000	981,480
3.477% 11/1/51	1,351,000	939,322
4.185% 2/15/27	5,236,000	5,089,999
5.3% 1/15/31	4,778,000	4,729,019
		30,339,955
Software - 0.6%
Oracle Corp.:
2.875% 3/25/31	4,527,000	3,904,197
3.95% 3/25/51	3,211,000	2,395,253
4.375% 5/15/55	1,405,000	1,102,969
5.375% 7/15/40	81,000	77,536
Roper Technologies, Inc.:
1.75% 2/15/31	2,264,000	1,810,599
2.95% 9/15/29	1,714,000	1,534,697
		10,825,251
TOTAL INFORMATION TECHNOLOGY		58,725,459
MATERIALS - 1.7%
Chemicals - 1.5%
Celanese U.S. Holdings LLC:
6.165% 7/15/27	7,168,000	7,277,068
6.33% 7/15/29	2,264,000	2,325,017
6.35% 11/15/28	831,000	854,646
6.55% 11/15/30	841,000	874,372
6.7% 11/15/33	493,000	517,889
International Flavors & Fragrances, Inc.:
1.832% 10/15/27 (b)	3,188,000	2,801,783
2.3% 11/1/30 (b)	3,207,000	2,631,794
LYB International Finance III LLC 2.25% 10/1/30	1,964,000	1,635,726
The Dow Chemical Co.:
4.55% 11/30/25	51,000	50,230
5.15% 2/15/34	5,900,000	5,814,054
		24,782,579
Metals & Mining - 0.2%
Anglo American Capital PLC 3.875% 3/16/29 (b)	3,773,000	3,500,627
TOTAL MATERIALS		28,283,206
REAL ESTATE - 5.4%
Equity Real Estate Investment Trusts (REITs) - 5.0%
Agree LP 4.8% 10/1/32	4,123,000	3,852,152
Alexandria Real Estate Equities, Inc.:
1.875% 2/1/33	6,131,000	4,587,924
4.7% 7/1/30	521,000	500,951
American Tower Corp. 2.1% 6/15/30	2,150,000	1,769,203
Corporate Office Properties LP:
2% 1/15/29	2,896,000	2,398,605
2.25% 3/15/26	314,000	293,648
2.75% 4/15/31	1,519,000	1,226,055
2.9% 12/1/33	4,982,000	3,800,461
Crown Castle, Inc. 3.3% 7/1/30	5,282,000	4,663,105
Hudson Pacific Properties LP:
3.95% 11/1/27	1,559,000	1,346,194
5.95% 2/15/28	10,874,000	9,758,499
Invitation Homes Operating Partnership LP:
2% 8/15/31	1,752,000	1,368,479
4.15% 4/15/32	886,000	799,248
Kite Realty Group LP 5.5% 3/1/34	269,000	262,857
Kite Realty Group Trust:
4% 3/15/25	85,000	83,169
4.75% 9/15/30	1,720,000	1,622,768
LXP Industrial Trust (REIT) 4.4% 6/15/24	85,000	84,390
MPT Operating Partnership LP/MPT Finance Corp. 3.5% 3/15/31	7,168,000	4,800,398
Omega Healthcare Investors, Inc.:
3.25% 4/15/33	1,168,000	929,703
3.375% 2/1/31	4,399,000	3,703,629
4.75% 1/15/28	1,886,000	1,809,298
Piedmont Operating Partnership LP 2.75% 4/1/32	253,000	179,026
Realty Income Corp.:
2.1% 3/15/28	1,856,000	1,647,320
2.85% 12/15/32	181,000	149,145
Store Capital Corp. 2.7% 12/1/31	4,905,000	3,818,848
Store Capital LLC 2.75% 11/18/30	369,000	291,025
Sun Communities Operating LP:
2.3% 11/1/28	288,000	249,948
2.7% 7/15/31	733,000	597,824
4.2% 4/15/32	5,659,000	5,028,180
5.7% 1/15/33	4,680,000	4,606,567
UDR, Inc. 2.1% 8/1/32	2,714,000	2,098,345
Ventas Realty LP:
2.5% 9/1/31	2,126,000	1,728,919
3% 1/15/30	3,071,000	2,680,761
4.4% 1/15/29	3,773,000	3,614,510
VICI Properties LP:
4.75% 2/15/28	1,217,000	1,178,553
4.95% 2/15/30	3,641,000	3,466,293
5.125% 5/15/32	309,000	289,954
Vornado Realty LP:
2.15% 6/1/26	316,000	283,573
3.4% 6/1/31	1,142,000	886,397
WP Carey, Inc. 2.4% 2/1/31	2,127,000	1,750,604
		84,206,528
Real Estate Management & Development - 0.4%
Brandywine Operating Partnership LP:
4.1% 10/1/24	1,016,000	1,004,511
4.55% 10/1/29	682,000	568,955
7.8% 3/15/28	1,600,000	1,584,921
Tanger Properties LP 2.75% 9/1/31	3,679,000	2,968,329
		6,126,716
TOTAL REAL ESTATE		90,333,244
UTILITIES - 9.5%
Electric Utilities - 5.8%
Alabama Power Co. 3.05% 3/15/32	1,154,000	999,164
American Transmission Systems, Inc. 2.65% 1/15/32 (b)	3,542,000	2,908,637
Cleco Corporate Holdings LLC:
3.375% 9/15/29	4,212,000	3,634,245
3.743% 5/1/26	10,569,000	10,153,692
Cleveland Electric Illuminating Co.:
3.5% 4/1/28 (b)	1,357,000	1,263,723
5.95% 12/15/36	1,245,000	1,240,669
Duke Energy Corp.:
2.45% 6/1/30	479,000	409,589
2.55% 6/15/31	2,641,000	2,201,866
4.5% 8/15/32	7,595,000	7,129,946
5% 8/15/52	7,595,000	6,766,440
Duke Energy Industries, Inc. 4.9% 7/15/43	1,016,000	935,922
Duquesne Light Holdings, Inc.:
2.532% 10/1/30 (b)	440,000	363,283
2.775% 1/7/32 (b)	1,619,000	1,312,670
3.616% 8/1/27 (b)	1,658,000	1,543,439
Edison International 3.55% 11/15/24	1,603,000	1,577,858
Exelon Corp.:
3.35% 3/15/32	7,856,000	6,848,678
4.05% 4/15/30	2,862,000	2,684,180
4.1% 3/15/52	230,000	178,338
5.45% 3/15/34	3,500,000	3,482,975
5.6% 3/15/53	3,400,000	3,311,153
FirstEnergy Corp.:
2.05% 3/1/25	828,000	797,463
2.25% 9/1/30	3,488,000	2,870,649
2.65% 3/1/30	6,250,000	5,342,711
Georgia Power Co. 5.25% 3/15/34	4,300,000	4,280,576
IPALCO Enterprises, Inc.:
3.7% 9/1/24	162,000	160,066
4.25% 5/1/30	5,433,000	5,002,096
Southern Co.:
3.7% 4/30/30	5,591,000	5,154,414
4.4% 7/1/46	4,905,000	4,134,206
5.113% 8/1/27 (e)	6,980,000	6,962,462
Tampa Electric Co. 6.55% 5/15/36	169,000	179,346
Xcel Energy, Inc.:
3.5% 12/1/49	2,768,000	1,904,947
4.8% 9/15/41	188,000	161,916
		95,897,319
Gas Utilities - 0.2%
Boston Gas Co. 4.487% 2/15/42 (b)	678,000	553,203
ONE Gas, Inc. 2% 5/15/30	1,965,000	1,636,798
Southern Co. Gas Capital Corp. 3.15% 9/30/51	1,845,000	1,195,076
		3,385,077
Independent Power and Renewable Electricity Producers - 1.5%
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (b)	3,773,000	3,447,757
Emera U.S. Finance LP:
2.639% 6/15/31	4,782,000	3,877,596
3.55% 6/15/26	5,527,000	5,300,405
4.75% 6/15/46	3,302,000	2,702,991
The AES Corp.:
1.375% 1/15/26	1,815,000	1,676,648
2.45% 1/15/31	6,228,000	5,080,376
3.3% 7/15/25 (b)	1,482,000	1,428,962
3.95% 7/15/30 (b)	2,106,000	1,913,380
		25,428,115
Multi-Utilities - 2.0%
Berkshire Hathaway Energy Co. 2.85% 5/15/51	2,452,000	1,574,720
Consolidated Edison Co. of New York, Inc. 5.2% 3/1/33	4,905,000	4,941,935
Dominion Energy, Inc. 3.071% 8/15/24 (c)	3,337,000	3,297,915
NiSource, Inc.:
1.7% 2/15/31	1,886,000	1,497,959
2.95% 9/1/29	678,000	609,285
3.6% 5/1/30	3,080,000	2,818,468
4.375% 5/15/47	1,886,000	1,564,085
4.8% 2/15/44	3,018,000	2,679,689
5% 6/15/52	1,320,000	1,197,150
5.25% 2/15/43	80,000	75,648
5.95% 6/15/41	386,000	390,353
Puget Energy, Inc.:
2.379% 6/15/28	3,992,000	3,546,498
3.65% 5/15/25	994,000	968,332
4.1% 6/15/30	1,049,000	949,682
4.224% 3/15/32	6,457,000	5,776,601
WEC Energy Group, Inc.:
CME Term SOFR 3 Month Index + 2.110% 7.6811% 5/15/67 (c)(d)	40,000	38,099
2.2% 12/15/28	1,886,000	1,656,940
		33,583,359
TOTAL UTILITIES		158,293,870
TOTAL NONCONVERTIBLE BONDS (Cost $1,630,399,357)		1,464,657,538

U.S. Treasury Obligations - 8.8%
	Principal Amount (a)	Value ($)
U.S. Treasury Bonds:
1.75% 8/15/41	8,036,000	5,351,788
1.875% 2/15/41	7,545,500	5,199,616
2% 11/15/41	4,695,500	3,250,900
2.25% 2/15/52	22,300	14,587
2.875% 5/15/52	848,700	639,045
3.625% 2/15/53	448,300	391,947
3.625% 5/15/53	39,200,000	34,296,938
4.125% 8/15/53	27,270,000	26,106,764
4.25% 2/15/54	16,200,000	15,896,250
4.75% 11/15/53	47,000,000	50,003,595
U.S. Treasury Notes 4.5% 11/15/33	5,000,000	5,094,531
TOTAL U.S. TREASURY OBLIGATIONS (Cost $155,187,138)		146,245,961

Asset-Backed Securities - 0.1%
	Principal Amount (a)	Value ($)
Dominos Pizza Master Issuer LLC Series 2018-1A Class A2I, 4.116% 7/25/48 (b) (Cost $2,177,355)	2,177,355	2,119,394

Municipal Securities - 0.1%
	Principal Amount (a)	Value ($)
American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50	525,000	700,067
California Gen. Oblig. Series 2010, 7.625% 3/1/40	115,000	139,448
TOTAL MUNICIPAL SECURITIES (Cost $928,912)		839,515

Foreign Government and Government Agency Obligations - 0.1%
	Principal Amount (a)	Value ($)
United Mexican States 4.5% 4/22/29 (Cost $2,066,483)	1,886,000	1,813,200

Bank Notes - 0.1%
	Principal Amount (a)	Value ($)
Regions Bank 6.45% 6/26/37 (Cost $1,046,316)	985,000	999,617

Preferred Securities - 0.3%
	Principal Amount (a)	Value ($)
ENERGY - 0.1%
Oil, Gas & Consumable Fuels - 0.1%
Enbridge, Inc. 5.75% 7/15/80 (c)	2,153,000	2,023,401
FINANCIALS - 0.2%
Capital Markets - 0.2%
UBS Group AG:
4.375% (b)(c)(f)	1,356,000	1,086,019
4.875% (b)(c)(f)	2,890,000	2,638,371
		3,724,390
TOTAL PREFERRED SECURITIES (Cost $6,399,000)		5,747,791

Money Market Funds - 2.4%
	Shares	Value ($)
Fidelity Cash Central Fund 5.39% (g) (Cost $39,759,581)	39,752,903	39,760,853

TOTAL INVESTMENT IN SECURITIES - 99.6% (Cost $1,837,964,142)	1,662,183,869
NET OTHER ASSETS (LIABILITIES) - 0.4%	7,375,975
NET ASSETS - 100.0%	1,669,559,844

Legend

(a)	Amount is stated in United States dollars unless otherwise noted.

(b)

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

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

(e)	Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

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

(g)

Affiliated Central Funds

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

Affiliate	Value, beginning of period ($)	Purchases ($)	Sales Proceeds ($)	Dividend Income ($)	Realized Gain (loss) ($)	Change in Unrealized appreciation (depreciation) ($)	Value, end of period ($)	% ownership, end of period
Fidelity Cash Central Fund 5.39%	55,375,813	192,344,747	207,959,707	906,695	-	-	39,760,853	0.1%
Total	55,375,813	192,344,747	207,959,707	906,695	-	-	39,760,853

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

Investment Valuation

Valuation Inputs at Reporting Date:
Description	Total ($)	Level 1 ($)	Level 2 ($)	Level 3 ($)
Investments in Securities:

Corporate Bonds	1,464,657,538	-	1,464,657,538	-

U.S. Government and Government Agency Obligations	146,245,961	-	146,245,961	-

Asset-Backed Securities	2,119,394	-	2,119,394	-

Municipal Securities	839,515	-	839,515	-

Foreign Government and Government Agency Obligations	1,813,200	-	1,813,200	-

Bank Notes	999,617	-	999,617	-

Preferred Securities	5,747,791	-	5,747,791	-

Money Market Funds	39,760,853	39,760,853	-	-
Total Investments in Securities:	1,662,183,869	39,760,853	1,622,423,016	-

Financial Statements (Unaudited)

Statement of Assets and Liabilities
				February 29, 2024 (Unaudited)

Assets
Investment in securities, at value - See accompanying schedule:
Unaffiliated issuers (cost $1,798,204,561)	$	1,622,423,016
Fidelity Central Funds (cost $39,759,581)		39,760,853


Total Investment in Securities (cost $1,837,964,142)			$	1,662,183,869
Receivable for fund shares sold				2,724,782
Interest receivable				18,739,131
Distributions receivable from Fidelity Central Funds				176,182
Receivable from investment adviser for expense reductions				26,949
Total assets				1,683,850,913
Liabilities
Payable for investments purchased	$	9,972,094
Payable for fund shares redeemed		3,237,362
Distributions payable		447,951
Accrued management fee		485,431
Distribution and service plan fees payable		21,074
Other affiliated payables		126,643
Other payables and accrued expenses		514
Total Liabilities				14,291,069
Net Assets			$	1,669,559,844
Net Assets consist of:
Paid in capital			$	1,939,750,221
Total accumulated earnings (loss)				(270,190,377)
Net Assets			$	1,669,559,844

Net Asset Value and Maximum Offering Price
Class A :
Net Asset Value and redemption price per share ($61,456,748 ÷ 5,944,349 shares)(a)			$	10.34
Maximum offering price per share (100/96.00 of $10.34)			$	10.77
Class M :
Net Asset Value and redemption price per share ($8,125,431 ÷ 785,871 shares)(a)			$	10.34
Maximum offering price per share (100/96.00 of $10.34)			$	10.77
Class C :
Net Asset Value and offering price per share ($7,770,469 ÷ 751,692 shares)(a)			$	10.34
Corporate Bond :
Net Asset Value, offering price and redemption price per share ($890,185,062 ÷ 86,104,409 shares)			$	10.34
Class I :
Net Asset Value, offering price and redemption price per share ($135,597,864 ÷ 13,115,515 shares)			$	10.34
Class Z :
Net Asset Value, offering price and redemption price per share ($566,424,270 ÷ 54,808,126 shares)			$	10.33
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

Statement of Operations
				Six months ended February 29, 2024 (Unaudited)
Investment Income
Dividends			$	162,005
Interest				35,393,863
Income from Fidelity Central Funds				906,695
Total Income				36,462,563
Expenses
Management fee	$	2,909,459
Transfer agent fees		751,626
Distribution and service plan fees		122,662
Independent trustees' fees and expenses		2,703
Total expenses before reductions		3,786,450
Expense reductions		(122,065)
Total expenses after reductions				3,664,385
Net Investment income (loss)				32,798,178
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment Securities:
Unaffiliated issuers		(24,585,412)
Total net realized gain (loss)				(24,585,412)
Change in net unrealized appreciation (depreciation) on investment securities				60,815,895
Net gain (loss)				36,230,483
Net increase (decrease) in net assets resulting from operations			$	69,028,661

Statement of Changes in Net Assets

		Six months ended February 29, 2024 (Unaudited)		Year ended August 31, 2023
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	32,798,178	$	122,900,826
Net realized gain (loss)		(24,585,412)		(353,341,567)
Change in net unrealized appreciation (depreciation)		60,815,895		279,032,878
Net increase (decrease) in net assets resulting from operations		69,028,661		48,592,137
Distributions to shareholders		(33,274,836)		(119,460,178)

Share transactions - net increase (decrease)		(45,416,512)		(2,482,173,322)
Total increase (decrease) in net assets		(9,662,687)		(2,553,041,363)

Net Assets
Beginning of period		1,679,222,531		4,232,263,894
End of period	$	1,669,559,844	$	1,679,222,531

Financial Highlights

Fidelity Advisor® Corporate Bond Fund Class A

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	10.13	$	10.41	$	12.76	$	12.86	$	12.24	$	11.22
Income from Investment Operations
Net investment income (loss) A,B		.183		.358		.287		.277		.311		.376
Net realized and unrealized gain (loss)		.213		(.290)		(2.270)		.004		.624		1.018
Total from investment operations		.396		.068		(1.983)		.281		.935		1.394
Distributions from net investment income		(.186)		(.348)		(.280)		(.274)		(.315)		(.374)
Distributions from net realized gain		-		-		(.087)		(.107)		-		-
Total distributions		(.186)		(.348)		(.367)		(.381)		(.315)		(.374)
Net asset value, end of period	$	10.34	$	10.13	$	10.41	$	12.76	$	12.86	$	12.24
Total Return C,D,E		3.95%		.70%		(15.81)%		2.24%		7.78%		12.72%
Ratios to Average Net Assets A,F,G
Expenses before reductions		.78% H		.78%		.77%		.77%		.77%		.79%
Expenses net of fee waivers, if any		.78% H		.78%		.77%		.77%		.77%		.79%
Expenses net of all reductions		.78% H		.78%		.77%		.77%		.77%		.79%
Net investment income (loss)		3.63% H		3.52%		2.47%		2.19%		2.53%		3.31%
Supplemental Data
Net assets, end of period (000 omitted)	$	61,457	$	57,501	$	59,296	$	81,746	$	74,657	$	48,410
Portfolio turnover rate I		27% H		24% J		26%		46%		31% J		28%

BCalculated based on average shares outstanding during the period.

CTotal returns for periods of less than one year are not annualized.

DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

ETotal returns do not include the effect of the sales charges.

HAnnualized.

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

JPortfolio turnover rate excludes securities received or delivered in-kind.

Fidelity Advisor® Corporate Bond Fund Class M

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	10.13	$	10.41	$	12.76	$	12.86	$	12.24	$	11.22
Income from Investment Operations
Net investment income (loss) A,B		.180		.353		.282		.274		.304		.368
Net realized and unrealized gain (loss)		.213		(.290)		(2.270)		.004		.624		1.017
Total from investment operations		.393		.063		(1.988)		.278		.928		1.385
Distributions from net investment income		(.183)		(.343)		(.275)		(.271)		(.308)		(.365)
Distributions from net realized gain		-		-		(.087)		(.107)		-		-
Total distributions		(.183)		(.343)		(.362)		(.378)		(.308)		(.365)
Net asset value, end of period	$	10.34	$	10.13	$	10.41	$	12.76	$	12.86	$	12.24
Total Return C,D,E		3.93%		.65%		(15.85)%		2.21%		7.72%		12.64%
Ratios to Average Net Assets B,F,G
Expenses before reductions		.83% H		.84%		.81%		.79%		.82%		.87%
Expenses net of fee waivers, if any		.83% H		.84%		.81%		.79%		.82%		.87%
Expenses net of all reductions		.83% H		.83%		.81%		.79%		.82%		.87%
Net investment income (loss)		3.58% H		3.47%		2.42%		2.16%		2.47%		3.24%
Supplemental Data
Net assets, end of period (000 omitted)	$	8,125	$	8,061	$	8,439	$	12,127	$	11,858	$	9,093
Portfolio turnover rate I		27% H		24% J		26%		46%		31% J		28%

ACalculated based on average shares outstanding during the period.

CTotal returns for periods of less than one year are not annualized.

DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

ETotal returns do not include the effect of the sales charges.

HAnnualized.

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

JPortfolio turnover rate excludes securities received or delivered in-kind.

Fidelity Advisor® Corporate Bond Fund Class C

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	10.13	$	10.41	$	12.76	$	12.86	$	12.23	$	11.22
Income from Investment Operations
Net investment income (loss) A,B		.144		.280		.199		.180		.215		.292
Net realized and unrealized gain (loss)		.213		(.290)		(2.271)		.003		.634		1.005
Total from investment operations		.357		(.010)		(2.072)		.183		.849		1.297
Distributions from net investment income		(.147)		(.270)		(.191)		(.176)		(.219)		(.287)
Distributions from net realized gain		-		-		(.087)		(.107)		-		-
Total distributions		(.147)		(.270)		(.278)		(.283)		(.219)		(.287)
Net asset value, end of period	$	10.34	$	10.13	$	10.41	$	12.76	$	12.86	$	12.23
Total Return C,D,E		3.56%		(.07)%		(16.46)%		1.46%		7.04%		11.78%
Ratios to Average Net Assets B,F,G
Expenses before reductions		1.55% H		1.54%		1.54%		1.54%		1.54%		1.55%
Expenses net of fee waivers, if any		1.55% H		1.54%		1.54%		1.54%		1.54%		1.55%
Expenses net of all reductions		1.55% H		1.54%		1.54%		1.54%		1.54%		1.55%
Net investment income (loss)		2.86% H		2.75%		1.70%		1.42%		1.75%		2.56%
Supplemental Data
Net assets, end of period (000 omitted)	$	7,770	$	8,171	$	9,756	$	17,010	$	17,956	$	14,009
Portfolio turnover rate I		27% H		24% J		26%		46%		31% J		28%

ACalculated based on average shares outstanding during the period.

CTotal returns for periods of less than one year are not annualized.

DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

ETotal returns do not include the effect of the contingent deferred sales charge.

HAnnualized.

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

JPortfolio turnover rate excludes securities received or delivered in-kind.

Fidelity® Corporate Bond Fund

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	10.13	$	10.41	$	12.76	$	12.86	$	12.24	$	11.22
Income from Investment Operations
Net investment income (loss) A,B		.199		.391		.325		.318		.350		.415
Net realized and unrealized gain (loss)		.213		(.290)		(2.270)		.003		.624		1.017
Total from investment operations		.412		.101		(1.945)		.321		.974		1.432
Distributions from net investment income		(.202)		(.381)		(.318)		(.314)		(.354)		(.412)
Distributions from net realized gain		-		-		(.087)		(.107)		-		-
Total distributions		(.202)		(.381)		(.405)		(.421)		(.354)		(.412)
Net asset value, end of period	$	10.34	$	10.13	$	10.41	$	12.76	$	12.86	$	12.24
Total Return C,D		4.12%		1.03%		(15.54)%		2.56%		8.12%		13.10%
Ratios to Average Net Assets B,E,F
Expenses before reductions		.45% G		.45%		.44%		.45%		.45%		.45%
Expenses net of fee waivers, if any		.45% G		.45%		.44%		.45%		.45%		.45%
Expenses net of all reductions		.45% G		.45%		.44%		.45%		.45%		.45%
Net investment income (loss)		3.96% G		3.85%		2.79%		2.50%		2.84%		3.65%
Supplemental Data
Net assets, end of period (000 omitted)	$	890,185	$	863,480	$	975,308	$	1,481,426	$	2,179,540	$	1,411,052
Portfolio turnover rate H		27% G		24% I		26%		46%		31% I		28%

ACalculated based on average shares outstanding during the period.

CTotal returns for periods of less than one year are not annualized.

DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

GAnnualized.

HAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

IPortfolio turnover rate excludes securities received or delivered in-kind.

Fidelity Advisor® Corporate Bond Fund Class I

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	10.13	$	10.41	$	12.76	$	12.86	$	12.24	$	11.22
Income from Investment Operations
Net investment income (loss) A,B		.197		.386		.322		.311		.344		.412
Net realized and unrealized gain (loss)		.213		(.289)		(2.273)		.004		.624		1.015
Total from investment operations		.410		.097		(1.951)		.315		.968		1.427
Distributions from net investment income		(.200)		(.377)		(.312)		(.308)		(.348)		(.407)
Distributions from net realized gain		-		-		(.087)		(.107)		-		-
Total distributions		(.200)		(.377)		(.399)		(.415)		(.348)		(.407)
Net asset value, end of period	$	10.34	$	10.13	$	10.41	$	12.76	$	12.86	$	12.24
Total Return C,D		4.10%		.98%		(15.58)%		2.51%		8.07%		13.06%
Ratios to Average Net Assets B,E,F
Expenses before reductions		.50% G		.50%		.50%		.50%		.50%		.49%
Expenses net of fee waivers, if any		.50% G		.50%		.50%		.50%		.50%		.49%
Expenses net of all reductions		.50% G		.50%		.50%		.50%		.50%		.49%
Net investment income (loss)		3.91% G		3.80%		2.74%		2.45%		2.80%		3.63%
Supplemental Data
Net assets, end of period (000 omitted)	$	135,598	$	127,334	$	111,046	$	200,288	$	183,627	$	122,654
Portfolio turnover rate H		27% G		24% I		26%		46%		31% I		28%

ACalculated based on average shares outstanding during the period.

CTotal returns for periods of less than one year are not annualized.

DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

GAnnualized.

HAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

IPortfolio turnover rate excludes securities received or delivered in-kind.

Fidelity Advisor® Corporate Bond Fund Class Z

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022		2021		2020		2019 A
Selected Per-Share Data
Net asset value, beginning of period	$	10.12	$	10.41	$	12.76	$	12.86	$	12.23	$	11.16
Income from Investment Operations
Net investment income (loss) B,C		.204		.404		.326		.328		.360		.358
Net realized and unrealized gain (loss)		.213		(.304)		(2.262)		.005		.635		1.097
Total from investment operations		.417		.100		(1.936)		.333		.995		1.455
Distributions from net investment income		(.207)		(.390)		(.327)		(.326)		(.365)		(.385)
Distributions from net realized gain		-		-		(.087)		(.107)		-		-
Total distributions		(.207)		(.390)		(.414)		(.433)		(.365)		(.385)
Net asset value, end of period	$	10.33	$	10.12	$	10.41	$	12.76	$	12.86	$	12.23
Total Return D,E		4.17%		1.02%		(15.47)%		2.66%		8.30%		13.34%
Ratios to Average Net Assets C,F,G
Expenses before reductions		.40% H		.40%		.40%		.40%		.40%		.40% H
Expenses net of fee waivers, if any		.36% H		.36%		.36%		.36%		.36%		.36% H
Expenses net of all reductions		.36% H		.36%		.36%		.36%		.36%		.36% H
Net investment income (loss)		4.05% H		3.94%		2.87%		2.59%		2.93%		3.54% H
Supplemental Data
Net assets, end of period (000 omitted)	$	566,424	$	614,675	$	3,068,418	$	1,673,604	$	852,967	$	100,483
Portfolio turnover rate I		27% H		24% J		26%		46%		31% J		28%

AFor the period October 2, 2018 (commencement of sale of shares) through August 31, 2019.

BCalculated based on average shares outstanding during the period.

DTotal returns for periods of less than one year are not annualized.

ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

HAnnualized.

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

JPortfolio turnover rate excludes securities received or delivered in-kind.

Notes to Financial Statements (Unaudited)

For the period ended February 29, 2024

1. Organization.

Fidelity Corporate Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Corporate Bond, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Class A, Class M, Class C, Class I and Class Z are Fidelity Advisor classes. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.

2. Investments in Fidelity Central Funds.

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices	Expense RatioA
Fidelity Money Market Central Funds	Fidelity Management & Research Company LLC (FMR)	Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.	Short-term Investments	Less than .005%

A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

3. Significant Accounting Policies.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

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

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Book-tax differences are primarily due market discount, redemptions in-kind, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation	$8,984,455
Gross unrealized depreciation	(182,946,608)
Net unrealized appreciation (depreciation)	$(173,962,153)
Tax cost	$1,836,146,022

Short-term	$(57,192,474)
Long-term	(13,568,303)
Total capital loss carryforward	$(70,760,777)

Due to large redemptions in the prior period, the Fund is subject to an annual limit on its use of some of its unrealized capital losses to offset capital gains in future periods. If those losses are realized and the limitation prevents the Fund from using any of those losses in a future period, those capital losses will be available to offset capital gains in subsequent periods.

4. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

	Purchases ($)	Sales ($)
Fidelity Corporate Bond Fund	101,600,506	147,059,806

5. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .35% of the Fund's average net assets. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain other expenses such as transfer agent and distribution and service plan fees, and other expenses such as interest expense.

	Distribution Fee	Service Fee	Total Fees	Retained by FDC
Class A	- %	.25%	$73,590	$2,951
Class M	- %	.25%	9,975	35
Class C	.75%	.25%	39,097	4,150
			$122,662	$7,136

For the period, sales charge amounts retained by FDC were as follows:

	Retained by FDC
Class A	$5,418
Class M	374
Class C A	254
	$6,046

A When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Corporate Bond and Class Z. FIIOC receives an asset-based fee of Corporate Bond's and Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:

	Amount	% of Class-Level Average Net AssetsA
Class A	$51,553	.18
Class M	9,117	.23
Class C	7,490	.19
Corporate Bond	428,763	.10
Class I	109,200	.15
Class Z	145,503	.05
	$751,626

A Annualized

Prior Fiscal Year Affiliated Redemptions In-Kind. Shares that were redeemed in-kind for investments, including accrued interest and cash, if any, are shown in the table below; along with realized gain or loss on investments delivered through in-kind redemptions. The amount of the in-kind redemptions is included in share transactions in the accompanying Statement of Changes in Net Assets. There was no gain or loss for federal income tax purposes.

	Shares	Total net realized gain or loss ($)	Total Proceeds ($)	Participating classes
Fidelity Corporate Bond Fund	271,635,650	(306,798,495)	2,797,847,189	Class Z

6. Committed Line of Credit.

7. Expense Reductions.

The following classes were in reimbursement during the period:

	Expense Limitations	Reimbursement
Class Z	.36%	$121,583

Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $457. During the period, transfer agent credits reduced each class' expenses as noted in the table below.

	Expense reduction

Class M	$25

8. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

	Six months ended February 29, 2024	Year ended August 31, 2023
Fidelity Corporate Bond Fund
Distributions to shareholders
Class A	$1,078,580	$1,955,268
Class M	144,244	274,530
Class C	113,334	235,971
Corporate Bond	17,150,840	33,206,920
Class I	2,896,351	4,114,668
Class Z	11,891,487	79,672,821
Total	$33,274,836	$119,460,178

9. Share Transactions.

Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:

	Shares	Shares	Dollars	Dollars
	Six months ended February 29, 2024	Year ended August 31, 2023	Six months ended February 29, 2024	Year ended August 31, 2023
Fidelity Corporate Bond Fund
Class A
Shares sold	933,476	1,423,074	$9,505,278	$14,514,579
Reinvestment of distributions	105,339	190,673	1,069,383	1,937,063
Shares redeemed	(771,888)	(1,633,205)	(7,773,904)	(16,602,695)
Net increase (decrease)	266,927	(19,458)	$2,800,757	$(151,053)
Class M
Shares sold	55,463	96,681	$561,885	$988,404
Reinvestment of distributions	14,126	26,868	143,395	272,953
Shares redeemed	(79,592)	(138,360)	(807,881)	(1,403,006)
Net increase (decrease)	(10,003)	(14,811)	$(102,601)	$(141,649)
Class C
Shares sold	94,526	156,679	$966,901	$1,597,652
Reinvestment of distributions	11,117	23,099	112,818	234,588
Shares redeemed	(160,815)	(310,353)	(1,626,315)	(3,149,840)
Net increase (decrease)	(55,172)	(130,575)	$(546,596)	$(1,317,600)
Corporate Bond
Shares sold	11,480,791	13,930,427	$117,571,295	$142,011,626
Reinvestment of distributions	1,479,552	2,893,315	15,016,813	29,373,877
Shares redeemed	(12,113,921)	(25,270,881)	(123,001,135)	(254,078,941)
Net increase (decrease)	846,422	(8,447,139)	$9,586,973	$(82,693,438)
Class I
Shares sold	6,371,913	9,044,481	$63,691,101	$92,367,489
Reinvestment of distributions	280,621	376,245	2,852,593	3,824,737
Shares redeemed	(6,109,286)	(7,517,022)	(63,308,663)	(76,536,603)
Net increase (decrease)	543,248	1,903,704	$3,235,031	$19,655,623
Class Z
Shares sold	6,532,403	44,097,392	$66,144,582	$448,830,214
Reinvestment of distributions	1,117,092	7,070,433	11,322,973	71,397,858
Shares redeemed	(13,555,076)	(285,342,930)	(137,857,631)	(2,937,753,277)
Net increase (decrease)	(5,905,581)	(234,175,105)	$(60,390,076)	$(2,417,525,205)

10. Other.

11. Risk and Uncertainties.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2023 to February 29, 2024).

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Expense Ratio- A	Beginning Account Value September 1, 2023	Ending Account Value February 29, 2024	Expenses Paid During Period- C September 1, 2023 to February 29, 2024
Fidelity® Corporate Bond Fund
Class A	.78%
Actual		$ 1,000	$ 1,039.50	$ 3.96
Hypothetical-B		$ 1,000	$ 1,020.98	$ 3.92
Class M	.83%
Actual		$ 1,000	$ 1,039.30	$ 4.21
Hypothetical-B		$ 1,000	$ 1,020.74	$ 4.17
Class C	1.55%
Actual		$ 1,000	$ 1,035.60	$ 7.84
Hypothetical-B		$ 1,000	$ 1,017.16	$ 7.77
Fidelity® Corporate Bond Fund	.45%
Actual		$ 1,000	$ 1,041.20	$ 2.28
Hypothetical-B		$ 1,000	$ 1,022.63	$ 2.26
Class I	.50%
Actual		$ 1,000	$ 1,041.00	$ 2.54
Hypothetical-B		$ 1,000	$ 1,022.38	$ 2.51
Class Z	.36%
Actual		$ 1,000	$ 1,041.70	$ 1.83
Hypothetical-B		$ 1,000	$ 1,023.07	$ 1.81

A Annualized expense ratio reflects expenses net of applicable fee waivers.

B 5% return per year before expenses

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Corporate Bond Fund

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools, and capabilities that allow them to conduct quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties, and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for 2022 and below the competitive median of the asset size peer group for 2022. Further, the information provided to the Board indicated that the total expense ratio of the retail class of the fund ranked below the competitive median of the similar sales load structure group for 2022 and below the competitive median of the total expense asset size peer group for 2022.

Other Contractual Arrangements. The Board further considered that FMR has contractually agreed to reimburse Class Z of the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.36% through December 31, 2024.

The Board concluded, taking into account the analysis of the committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Board Approval of Investment Advisory Contracts

Fidelity Corporate Bond Fund

Highly liquid investments - cash or convertible to cash within three business days or less
Moderately liquid investments - convertible to cash in three to seven calendar days
Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
Illiquid investments - cannot be sold or disposed of within seven calendar days

A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
Proposal 1
To elect a Board of Trustees.
	# of Votes	% of Votes
Abigail P. Johnson
Affirmative	378,729,502,260.01	97.58
Withheld	9,407,876,478.96	2.42
TOTAL	388,137,378,738.97	100.00
Jennifer Toolin McAuliffe
Affirmative	378,454,868,010.95	97.51
Withheld	9,682,510,728.02	2.49
TOTAL	388,137,378,738.97	100.00
Christine J. Thompson
Affirmative	378,837,121,274.52	97.60
Withheld	9,300,257,464.45	2.40
TOTAL	388,137,378,738.97	100.00
Elizabeth S. Acton
Affirmative	378,262,110,794.85	97.46
Withheld	9,875,267,944.12	2.54
TOTAL	388,137,378,738.97	100.00
Laura M. Bishop
Affirmative	380,482,113,171.06	98.03
Withheld	7,655,265,567.91	1.97
TOTAL	388,137,378,738.97	100.00
Ann E. Dunwoody
Affirmative	380,016,034,008.12	97.91
Withheld	8,121,344,730.85	2.09
TOTAL	388,137,378,738.97	100.00
John Engler
Affirmative	379,432,488,394.20	97.76
Withheld	8,704,890,344.77	2.24
TOTAL	388,137,378,738.97	100.00
Robert F. Gartland
Affirmative	378,741,819,600.60	97.58
Withheld	9,395,559,138.37	2.42
TOTAL	388,137,378,738.97	100.00
Robert W. Helm
Affirmative	380,389,324,755.07	98.00
Withheld	7,748,053,983.90	2.00
TOTAL	388,137,378,738.97	100.00
Arthur E. Johnson
Affirmative	378,427,694,151.67	97.50
Withheld	9,709,684,587.30	2.50
TOTAL	388,137,378,738.97	100.00
Michael E. Kenneally
Affirmative	377,842,228,145.18	97.35
Withheld	10,295,150,593.79	2.65
TOTAL	388,137,378,738.97	100.00
Mark A. Murray
Affirmative	380,158,432,703.37	97.94
Withheld	7,978,946,035.60	2.06
TOTAL	388,137,378,738.97	100.00
Carol J. Zierhoffer
Affirmative	380,522,113,360.24	98.04
Withheld	7,615,265,378.73	1.96
TOTAL	388,137,378,738.97	100.00

Proposal 1 reflects trust wide proposal and voting results.

1.907007.113

CBD-SANN-0424

Fidelity® Series Short-Term Credit Fund

Semi-Annual Report

February 29, 2024

Contents

You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Schedule of Investments February 29, 2024 (Unaudited)

Quality Diversification (% of Fund's net assets)

Asset Allocation (% of Fund's net assets)

Futures - 12%

Geographic Diversification (% of Fund's net assets)

* Includes Short-Term investments and Net Other Assets (Liabilities).

Percentages are adjusted for the effect of derivatives, if applicable.

Showing Percentage of Net Assets

Nonconvertible Bonds - 71.6%
	Principal Amount (a)	Value ($)
COMMUNICATION SERVICES - 6.8%
Diversified Telecommunication Services - 2.7%
AT&T, Inc.:
1.7% 3/25/26	3,100,000	2,882,959
2.3% 6/1/27	2,000,000	1,831,339
NTT Finance Corp.:
0.583% 3/1/24 (b)	2,527,000	2,527,000
1.162% 4/3/26 (b)	5,299,000	4,881,431
Verizon Communications, Inc. 2.625% 8/15/26	1,460,000	1,376,489
		13,499,218
Media - 2.1%
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 6.15% 11/10/26	1,870,000	1,886,345
Comcast Corp. 3.95% 10/15/25	3,500,000	3,438,966
Discovery Communications LLC 4.9% 3/11/26	1,460,000	1,437,748
Warnermedia Holdings, Inc. 3.788% 3/15/25	3,700,000	3,627,045
		10,390,104
Wireless Telecommunication Services - 2.0%
Rogers Communications, Inc. 3.2% 3/15/27	2,000,000	1,883,149
T-Mobile U.S.A., Inc.:
1.5% 2/15/26	1,170,000	1,086,862
2.25% 2/15/26	1,600,000	1,507,383
3.5% 4/15/25	4,500,000	4,399,185
3.75% 4/15/27	1,540,000	1,476,177
		10,352,756
TOTAL COMMUNICATION SERVICES		34,242,078
CONSUMER DISCRETIONARY - 7.6%
Automobiles - 6.1%
American Honda Finance Corp.:
1% 9/10/25	3,100,000	2,913,126
4.75% 1/12/26	1,100,000	1,092,978
Daimler Finance North America LLC:
4.8% 3/30/26 (b)	2,000,000	1,985,845
5.5% 11/27/24 (b)	1,460,000	1,459,193
General Motors Financial Co., Inc.:
1.05% 3/8/24	1,414,000	1,413,263
1.25% 1/8/26	4,954,000	4,590,622
5.25% 3/1/26	3,100,000	3,090,037
5.4% 5/8/27	1,500,000	1,500,673
Hyundai Capital America:
1% 9/17/24 (b)	5,519,000	5,375,960
5.8% 6/26/25 (b)	1,500,000	1,505,632
Volkswagen Group of America Finance LLC:
3.2% 9/26/26 (b)	3,919,000	3,722,476
5.8% 9/12/25 (b)	1,500,000	1,506,382
6% 11/16/26 (b)	550,000	560,400
		30,716,587
Hotels, Restaurants & Leisure - 0.2%
Starbucks Corp. 4.75% 2/15/26	1,200,000	1,192,042
Specialty Retail - 1.2%
Advance Auto Parts, Inc. 5.9% 3/9/26	574,000	572,821
AutoNation, Inc. 4.5% 10/1/25	1,460,000	1,434,295
AutoZone, Inc.:
3.625% 4/15/25	1,460,000	1,433,211
5.05% 7/15/26	1,000,000	997,868
Lowe's Companies, Inc.:
4.4% 9/8/25	716,000	707,196
4.8% 4/1/26	215,000	213,686
O'Reilly Automotive, Inc. 5.75% 11/20/26	393,000	398,560
		5,757,637
Textiles, Apparel & Luxury Goods - 0.1%
Tapestry, Inc.:
7.05% 11/27/25	77,000	78,438
7.35% 11/27/28	500,000	523,001
		601,439
TOTAL CONSUMER DISCRETIONARY		38,267,705
CONSUMER STAPLES - 4.1%
Consumer Staples Distribution & Retail - 0.3%
Dollar General Corp. 4.25% 9/20/24	1,370,000	1,358,413
Food Products - 1.2%
Conagra Brands, Inc. 4.6% 11/1/25	1,800,000	1,773,524
McCormick & Co., Inc. 0.9% 2/15/26	5,000,000	4,597,589
		6,371,113
Tobacco - 2.6%
BAT Capital Corp. 3.222% 8/15/24	350,000	345,870
BAT International Finance PLC 1.668% 3/25/26	6,600,000	6,114,729
Imperial Tobacco Finance PLC 3.125% 7/26/24 (b)	5,257,000	5,200,646
Philip Morris International, Inc. 2.75% 2/25/26	1,460,000	1,394,031
		13,055,276
TOTAL CONSUMER STAPLES		20,784,802
ENERGY - 4.4%
Oil, Gas & Consumable Fuels - 4.4%
Canadian Natural Resources Ltd. 2.05% 7/15/25	4,381,000	4,180,607
Devon Energy Corp. 5.25% 9/15/24	1,200,000	1,196,381
Enbridge, Inc.:
2.5% 2/14/25	584,000	567,623
5.9% 11/15/26	549,000	559,263
Energy Transfer LP 2.9% 5/15/25	1,800,000	1,742,884
Equinor ASA 1.75% 1/22/26	909,000	855,992
MPLX LP 1.75% 3/1/26	5,000,000	4,664,544
Occidental Petroleum Corp. 2.9% 8/15/24	2,098,000	2,067,138
Phillips 66 Co.:
1.3% 2/15/26	1,750,000	1,619,360
3.85% 4/9/25	3,100,000	3,047,119
The Williams Companies, Inc.:
4% 9/15/25	1,460,000	1,431,558
5.4% 3/2/26	290,000	290,674
		22,223,143
FINANCIALS - 31.9%
Banks - 17.5%
Bank of America Corp.:
0.976% 4/22/25 (c)	10,000,000	9,926,749
4.948% 7/22/28 (c)	5,000,000	4,950,346
5.202% 4/25/29 (c)	1,000,000	994,583
Barclays PLC:
3.932% 5/7/25 (c)	10,000,000	9,961,225
6.496% 9/13/27 (c)	2,370,000	2,411,663
Citigroup, Inc.:
3.887% 1/10/28 (c)	2,000,000	1,922,245
4.075% 4/23/29 (c)	1,700,000	1,622,482
Danske Bank A/S 6.259% 9/22/26 (b)(c)	1,228,000	1,240,660
HSBC Holdings PLC:
0.976% 5/24/25 (c)	6,000,000	5,932,159
1.645% 4/18/26 (c)	4,469,000	4,265,267
5.887% 8/14/27 (c)	2,390,000	2,405,854
JPMorgan Chase & Co.:
0.824% 6/1/25 (c)	9,763,000	9,634,336
2.083% 4/22/26 (c)	5,000,000	4,810,582
4.851% 7/25/28 (c)	5,000,000	4,944,591
Lloyds Banking Group PLC 5.871% 3/6/29 (c)	1,070,000	1,080,168
Mitsubishi UFJ Financial Group, Inc.:
0.953% 7/19/25 (c)	5,000,000	4,908,202
5.422% 2/22/29 (c)	1,000,000	1,007,094
Morgan Stanley Bank, West Valley City Utah 5.882% 10/30/26	2,000,000	2,036,765
NatWest Group PLC 5.516% 9/30/28 (c)	820,000	820,171
PNC Financial Services Group, Inc. 5.3% 1/21/28 (c)	568,000	567,292
Santander Holdings U.S.A., Inc. 3.5% 6/7/24	4,731,000	4,701,270
Societe Generale 2.625% 10/16/24 (b)	908,000	890,240
Truist Financial Corp. 4.873% 1/26/29 (c)	1,120,000	1,092,349
Wells Fargo & Co.:
2.164% 2/11/26 (c)	5,000,000	4,836,194
2.393% 6/2/28 (c)	1,780,000	1,623,505
		88,585,992
Capital Markets - 5.8%
Athene Global Funding 1% 4/16/24 (b)	5,000,000	4,969,961
Deutsche Bank AG New York Branch:
1.447% 4/1/25 (c)	4,153,000	4,136,794
5.706% 2/8/28 (c)	1,500,000	1,489,617
6.72% 1/18/29 (c)	790,000	811,635
Goldman Sachs Group, Inc.:
2.64% 2/24/28 (c)	3,000,000	2,778,403
4.223% 5/1/29 (c)	1,130,000	1,083,489
Morgan Stanley:
0.79% 5/30/25 (c)	11,000,000	10,845,182
5.164% 4/20/29 (c)	1,630,000	1,620,677
NASDAQ, Inc. 5.65% 6/28/25	287,000	287,952
UBS Group AG 6.442% 8/11/28 (b)(c)	1,509,000	1,550,894
		29,574,604
Consumer Finance - 6.3%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
1.65% 10/29/24	788,000	766,696
1.75% 1/30/26	4,184,000	3,887,134
6.45% 4/15/27 (b)	2,006,000	2,053,262
American Express Co.:
5.098% 2/16/28 (c)	1,000,000	996,230
6.338% 10/30/26 (c)	500,000	507,608
Capital One Financial Corp. 7.149% 10/29/27 (c)	2,000,000	2,073,105
Ford Motor Credit Co. LLC:
5.8% 3/5/27	1,500,000	1,497,095
6.95% 6/10/26	5,000,000	5,099,490
John Deere Capital Corp.:
3.4% 9/11/25	3,100,000	3,026,520
4.8% 1/9/26	1,700,000	1,695,723
Synchrony Financial:
4.25% 8/15/24	5,352,000	5,302,837
4.375% 3/19/24	5,198,000	5,194,103
		32,099,803
Financial Services - 0.8%
AIG Global Funding 5.75% 7/2/26 (b)	1,200,000	1,200,910
Aon Corp. / Aon Global Holdings PLC 2.85% 5/28/27	2,000,000	1,863,389
The Western Union Co. 2.85% 1/10/25	1,063,000	1,037,067
		4,101,366
Insurance - 1.5%
Equitable Financial Life Global Funding 1.7% 11/12/26 (b)	2,000,000	1,808,055
Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 (b)	2,318,000	2,175,795
MassMutual Global Funding II 4.5% 4/10/26 (b)	1,500,000	1,482,494
New York Life Global Funding 5.45% 9/18/26 (b)	2,000,000	2,018,200
		7,484,544
TOTAL FINANCIALS		161,846,309
HEALTH CARE - 3.1%
Biotechnology - 0.6%
AbbVie, Inc. 3.2% 5/14/26	1,460,000	1,405,527
Amgen, Inc. 5.25% 3/2/25	2,000,000	1,995,040
		3,400,567
Health Care Providers & Services - 1.0%
Cigna Group 1.25% 3/15/26	728,000	672,525
CVS Health Corp.:
3% 8/15/26	1,460,000	1,386,271
5% 2/20/26	1,500,000	1,493,192
HCA Holdings, Inc. 5.875% 2/15/26	1,400,000	1,405,802
		4,957,790
Pharmaceuticals - 1.5%
AstraZeneca Finance LLC 4.8% 2/26/27	1,500,000	1,496,460
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b)	6,250,000	6,076,905
		7,573,365
TOTAL HEALTH CARE		15,931,722
INDUSTRIALS - 5.7%
Aerospace & Defense - 1.6%
L3Harris Technologies, Inc. 5.4% 1/15/27	2,000,000	2,012,444
RTX Corp.:
5% 2/27/26	824,000	822,004
5.75% 11/8/26	593,000	601,481
The Boeing Co.:
2.196% 2/4/26	1,750,000	1,641,718
4.875% 5/1/25	3,000,000	2,972,225
		8,049,872
Building Products - 0.5%
Carrier Global Corp.:
2.242% 2/15/25	1,750,000	1,695,645
5.8% 11/30/25	913,000	919,433
		2,615,078
Commercial Services & Supplies - 1.1%
Republic Services, Inc. 0.875% 11/15/25	6,080,000	5,641,777
Machinery - 0.8%
Daimler Trucks Finance North America LLC:
1.625% 12/13/24 (b)	1,475,000	1,430,303
5% 1/15/27 (b)	1,000,000	996,180
5.15% 1/16/26 (b)	1,700,000	1,694,788
		4,121,271
Passenger Airlines - 1.0%
Delta Air Lines, Inc. 2.9% 10/28/24	4,794,000	4,696,946
Trading Companies & Distributors - 0.5%
Air Lease Corp. 0.8% 8/18/24	2,623,000	2,561,829
Transportation Infrastructure - 0.2%
Avolon Holdings Funding Ltd. 2.875% 2/15/25 (b)	1,000,000	970,546
TOTAL INDUSTRIALS		28,657,319
INFORMATION TECHNOLOGY - 3.2%
Communications Equipment - 0.4%
Cisco Systems, Inc. 4.8% 2/26/27	2,000,000	2,001,664
Electronic Equipment, Instruments & Components - 0.3%
Dell International LLC/EMC Corp. 6.02% 6/15/26	1,600,000	1,617,550
Semiconductors & Semiconductor Equipment - 0.9%
Microchip Technology, Inc. 0.983% 9/1/24	3,079,000	3,005,076
NXP BV/NXP Funding LLC/NXP U.S.A., Inc. 3.875% 6/18/26	1,460,000	1,412,214
		4,417,290
Software - 1.6%
Oracle Corp. 5.8% 11/10/25	4,400,000	4,436,273
VMware, Inc. 1% 8/15/24	3,937,000	3,852,158
		8,288,431
TOTAL INFORMATION TECHNOLOGY		16,324,935
MATERIALS - 0.7%
Chemicals - 0.7%
Celanese U.S. Holdings LLC 6.05% 3/15/25	1,460,000	1,463,613
Nutrien Ltd. 5.9% 11/7/24	782,000	783,034
Westlake Corp. 3.6% 8/15/26	1,460,000	1,404,706
		3,651,353
REAL ESTATE - 0.8%
Equity Real Estate Investment Trusts (REITs) - 0.8%
American Tower Corp. 1.3% 9/15/25	1,905,000	1,791,067
Crown Castle, Inc.:
1.35% 7/15/25	444,000	420,124
4% 3/1/27	2,000,000	1,926,483
		4,137,674
UTILITIES - 3.3%
Electric Utilities - 1.5%
Duke Energy Corp. 5% 12/8/25	1,100,000	1,096,264
Exelon Corp. 5.15% 3/15/29	286,000	284,776
FirstEnergy Corp.:
1.6% 1/15/26	476,000	440,323
2.05% 3/1/25	2,724,000	2,623,539
Georgia Power Co. 5.004% 2/23/27	425,000	424,200
Pennsylvania Electric Co. 5.15% 3/30/26 (b)	550,000	544,930
Southern Co. 5.15% 10/6/25	1,400,000	1,398,083
Tampa Electric Co. 3.875% 7/12/24	881,000	875,264
		7,687,379
Independent Power and Renewable Electricity Producers - 0.6%
Emera U.S. Finance LP 0.833% 6/15/24	2,827,000	2,781,464
Multi-Utilities - 1.2%
CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 5.963% 5/13/24 (c)(d)	2,148,000	2,148,339
DTE Energy Co. 4.22% 11/1/24	1,600,000	1,582,709
NiSource, Inc. 0.95% 8/15/25	1,953,000	1,832,190
WEC Energy Group, Inc. 5% 9/27/25	570,000	566,841
		6,130,079
TOTAL UTILITIES		16,598,922
TOTAL NONCONVERTIBLE BONDS (Cost $368,382,925)		362,665,962

U.S. Treasury Obligations - 7.0%
	Principal Amount (a)	Value ($)
U.S. Treasury Notes:
4.5% 11/15/25 (e)	28,014,600	27,907,365
4.625% 3/15/26	7,725,700	7,726,002
TOTAL U.S. TREASURY OBLIGATIONS (Cost $35,717,864)		35,633,367

U.S. Government Agency - Mortgage Securities - 0.9%
	Principal Amount (a)	Value ($)
Fannie Mae - 0.9%
4.5% 3/1/39 to 9/1/49	3,571,671	3,452,057
5.5% 11/1/34	825,784	838,459
7.5% 11/1/31	159	166
TOTAL FANNIE MAE		4,290,682
Freddie Mac - 0.0%
8.5% 5/1/26 to 7/1/28	6,062	6,221
Ginnie Mae - 0.0%
7% to 7% 11/15/27 to 8/15/32	79,887	81,801
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $4,795,073)		4,378,704

Asset-Backed Securities - 14.3%
	Principal Amount (a)	Value ($)
American Express Credit Account Master Trust:
Series 2022-4 Class A, 4.95% 10/15/27	947,000	944,709
Series 2023-1 Class A, 4.87% 5/15/28	792,000	790,443
Series 2023-3 Class A, 5.23% 9/15/28	1,594,000	1,605,621
Ares XXXIV CLO Ltd. Series 2024-2A Class AR3, CME Term SOFR 3 Month Index + 1.320% 1.32% 4/17/33 (b)(c)(d)	2,206,000	2,206,000
Ari Fleet Lease Trust 2023-B Series 2023-B Class A2, 6.05% 7/15/32 (b)	963,000	969,872
Bank of America Credit Card Master Trust:
Series 2023-A1 Class A1, 4.79% 5/15/28	575,000	572,928
Series 2023-A2 Class A2, 4.98% 11/15/28	767,000	768,789
BMW Vehicle Lease Trust Series 2023-2 Class A3, 5.99% 9/25/26	856,000	863,008
Capital One Multi-Asset Execution Trust Series 2022-A3 Class A, 4.95% 10/15/27	1,170,000	1,166,915
Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28	253,000	257,562
Carmax Auto Owner Trust 2024-1 Series 2024-1 Class A3, 4.92% 10/16/28	571,000	568,347
Carvana Auto Receivables Trust Series 2021-P2 Class A3, 0.49% 3/10/26	1,106,318	1,093,922
Cent CLO LP Series 2021-21A Class A1R3, CME Term SOFR 3 Month Index + 1.230% 6.5512% 7/27/30 (b)(c)(d)	2,784,100	2,785,693
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b)	169,256	165,357
Chase Issuance Trust:
Series 2022-A1 Class A, 3.97% 9/15/27	1,450,000	1,424,718
Series 2023-A1 Class A, 5.16% 9/15/28	1,866,000	1,876,326
Chesapeake Funding II LLC:
Series 2023 1A Class A1, 5.65% 5/15/35 (b)	987,747	987,774
Series 2023-2A Class A1, 6.16% 10/15/35 (b)	168,795	169,793
Citibank Credit Card Issuance Trust Series 2023-A1 Class A1, 5.23% 12/8/27	591,000	592,082
Citizens Auto Receivables Trust Series 2024-1 Class A3, 5.11% 4/17/28 (b)	574,000	573,150
Countrywide Home Loans, Inc. Series 2004-2 Class 3A4, CME Term SOFR 1 Month Index + 0.610% 5.9354% 7/25/34 (c)(d)	97,809	94,588
Dell Equipment Finance Trust 2 Series 2023-3 Class A3, 5.93% 4/23/29 (b)	648,000	656,009
Dell Equipment Finance Trust 2023-2 Series 2023-2 Class A3, 5.65% 1/22/29 (b)	456,000	457,890
Dllaa 2023-1A Series 2023-1A Class A3, 5.64% 2/22/28 (b)	114,000	115,182
Donlen Fleet Lease Funding Series 2021-2 Class A2, 0.56% 12/11/34 (b)	308,549	306,463
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6756% 4/15/31 (b)(c)(d)	3,350,000	3,351,317
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b)	407,000	413,175
Enterprise Fleet Financing LLC:
Series 2021-1 Class A2, 0.44% 12/21/26 (b)	139,097	138,127
Series 2022-3 Class A2, 4.38% 7/20/29 (b)	181,019	179,042
Series 2024-1 Class A2, 5.23% 3/20/30 (b)	1,313,000	1,309,868
Ford Credit Auto Owner Trust Series 2023-B Class A3, 5.23% 5/15/28	886,000	888,699
GM Financial Consumer Automobile Receivables Series 2023 2 Class A3, 4.47% 2/16/28	376,000	371,833
Gm Financial Leasing Trust 202 Series 2023-3 Class A3, 5.38% 11/20/26	116,000	116,229
Gm Financial Securitized Term Series 2023-4 Class A3, 5.78% 8/16/28	1,043,000	1,057,576
GMF Floorplan Owner Revolving Trust Series 2023-1 Class A1, 5.34% 6/15/28 (b)	1,306,000	1,310,957
Harot 2023-4 Series 2023-4 Class A3, 5.67% 6/21/28	934,000	944,189
Hyundai Auto Lease Securitizat:
Series 2023-B Class A3, 5.15% 6/15/26 (b)	1,500,000	1,496,560
Series 2023-C Class A3, 5.8% 12/15/26 (b)	1,100,000	1,108,946
Hyundai Auto Receivables Trust Series 2023 A Class A3, 4.58% 4/15/27	456,000	451,489
MMAF Equipment Finance LLC Series 2019-B Class A3, 2.01% 12/12/24 (b)	130,007	129,811
Niagara Park CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.260% 6.5781% 7/17/32 (b)(c)(d)	6,160,000	6,174,156
Park Place Securities, Inc. Series 2005-WCH1 Class M4, CME Term SOFR 1 Month Index + 1.350% 6.6804% 1/25/36 (c)(d)	69,582	68,417
Porsche Financial Auto Securitizati Series 2023-2A Class A3, 5.79% 1/22/29 (b)	564,000	570,728
Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (b)(c)	2,869,361	2,768,841
Santander Drive Auto Receivables Trust Series 2022-5 Class A3, 4.11% 8/17/26	404,279	402,929
Sfs Auto Receivables Securitiz Series 2023-1A Class A3, 5.47% 10/20/28 (b)	1,424,000	1,430,336
SFS Auto Receivables Securitization Series 2024-1A Class A3, 4.95% 5/21/29 (b)	440,000	437,643
Sofi Consumer Loan Program Series 2023-1S Class A, 5.81% 5/15/31 (b)	196,579	196,442
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.220% 6.5407% 11/18/30 (b)(c)(d)	2,075,387	2,079,173
Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 Month Index + 0.970% 6.2954% 9/25/34 (c)(d)	115,132	114,685
Tesla Auto Lease Trust 2023-B Series 2023-B Class A3, 6.13% 9/21/26 (b)	1,417,000	1,431,423
Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (b)	276,000	277,577
Tesla Electric Vehicle Trust 2023-1 Series 2023-1 Class A3, 5.38% 6/20/28 (b)	606,000	609,153
TMUST Series 2024-1A Class A, 5.05% 9/20/29 (b)	1,036,000	1,035,601
Toyota Lease Owner Trust Series 2024-A Class A3, 5.25% 4/20/27 (b)	250,000	249,936
Toyota Lease Owner Trust 2023- Series 2023-B Class A3, 5.66% 11/20/26 (b)	1,198,000	1,207,062
Upstart Securitization Trust 2 Series 2023-3 Class A, 6.9% 10/20/33 (b)	797,935	802,175
Usaa Auto Owner Trust 2023-A Series 2023-A Class A3, 5.58% 5/15/28 (b)	1,345,000	1,354,197
VCAT Asset Securitization, LLC:
Series 2021-NPL1 Class A1, 5.2891% 12/26/50 (b)	395,590	392,932
Series 2021-NPL2 Class A1, 2.115% 3/27/51 (b)	2,237,436	2,210,600
Series 2021-NPL3 Class A1, 1.743% 5/25/51 (b)(c)	3,261,129	3,136,827
Verizon Master Trust:
Series 2023 2 Class A, 4.89% 4/13/28	1,137,000	1,130,951
Series 2023-4 Class A1A, 5.16% 6/20/29	1,416,000	1,418,807
Series 2023-5 Class A1A, 5.61% 9/8/28	1,170,000	1,175,733
Volkswagen Auto Lease Trust 20 Series 2023-A Class A3, 5.81% 10/20/26	1,380,000	1,390,300
Volkswagen Auto Loan Enhanced:
Series 2023-1 Class A3, 5.02% 6/20/28	650,000	648,701
Series 2023-2 Class A3, 5.48% 12/20/28	878,000	887,737
Wheels Fleet Lease Funding 1 L Series 2023-2A Class A, 6.46% 8/18/38 (b)	1,241,000	1,252,066
World Omni Auto Receivables Trust:
Series 2023-C Class A3, 5.15% 11/15/28	142,000	142,091
Series 2023-D Class A3, 5.79% 2/15/29	851,000	864,295
Series 2024-A Class A3, 4.86% 3/15/29	1,300,000	1,293,739
TOTAL ASSET-BACKED SECURITIES (Cost $72,512,294)		72,436,212

Collateralized Mortgage Obligations - 1.0%
	Principal Amount (a)	Value ($)
Private Sponsor - 0.7%
Ajax Mortgage Loan Trust sequential payer Series 2021-B Class A, 2.239% 6/25/66 (b)(c)	1,561,555	1,521,419
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c)	346,260	337,237
Cascade Funding Mortgage Trust Series 2021-HB6 Class A, 0.8983% 6/25/36 (b)	681,577	672,564
Preston Ridge Partners Mortgage Trust Series 2021-2 Class A1, 2.115% 3/25/26 (b)	1,301,772	1,274,317
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, CME Term SOFR 6 Month Index + 1.300% 6.5595% 7/20/34 (c)(d)	1,000	900
TOTAL PRIVATE SPONSOR		3,806,437
U.S. Government Agency - 0.3%
Fannie Mae:
floater Series 2015-27 Class KF, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.410% 5.7361% 5/25/45 (c)(d)	368,306	362,204
sequential payer Series 2001-40 Class Z, 6% 8/25/31	28,663	28,655
Series 2016-27:
Class HK, 3% 1/25/41	426,915	396,852
Class KG, 3% 1/25/40	193,825	180,333
Series 2016-42 Class FL, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.460% 5.7861% 7/25/46 (c)(d)	407,842	404,732
Freddie Mac Series 3949 Class MK, 4.5% 10/15/34	213,462	208,294
TOTAL U.S. GOVERNMENT AGENCY		1,581,070
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $5,555,275)		5,387,507

Commercial Mortgage Securities - 4.5%
	Principal Amount (a)	Value ($)
BAMLL Commercial Mortgage Securities Trust sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b)	1,502,000	1,387,699
BLOX Trust floater sequential payer Series 2021-BLOX Class A, CME Term SOFR 1 Month Index + 0.860% 6.1825% 9/15/26 (b)(c)(d)	3,055,000	2,948,889
BLP Commercial Mortgage Trust sequential payer Series 2024-IND2 Class A, CME Term SOFR 1 Month Index + 1.340% 6.6422% 3/15/41 (b)(c)(d)	219,000	218,826
BX Commercial Mortgage Trust 2024-Xl4 floater sequential payer Series 2024-XL4 Class A, CME Term SOFR 1 Month Index + 1.440% 6.7597% 2/15/39 (b)(c)(d)	519,000	519,000
BX Trust floater Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4826% 8/15/39 (b)(c)(d)	327,462	328,283
CF Hippolyta Issuer LLC sequential payer:
Series 2020-1 Class A1, 1.69% 7/15/60 (b)	4,794,079	4,457,651
Series 2021-1A Class A1, 1.53% 3/15/61 (b)	3,194,897	2,866,595
CGDB Commercial Mortgage Trust floater Series 2019-MOB Class A, CME Term SOFR 1 Month Index + 1.060% 6.3825% 11/15/36 (b)(c)(d)	1,128,000	1,115,281
COMM Mortgage Trust sequential payer Series 2015 LC19 Class A3, 2.922% 2/10/48	477,229	469,026
CSAIL Commercial Mortgage Trust sequential payer Series 19-C15 Class A2, 3.4505% 3/15/52	28,281	28,190
CSMC Trust Series 2017-CHOP Class A, PRIME RATE - 2.300% 6.194% 7/15/32 (b)(c)(d)	304,511	292,933
GS Mortgage Securities Trust Series 2011-GC5 Class A/S, 5.1526% 8/10/44 (b)(c)	3,247,668	3,147,663
JPMorgan Chase Commercial Mortgage Securities Trust floater Series 2019-BKWD Class A, CME Term SOFR 1 Month Index + 1.610% 6.9325% 9/15/29 (b)(c)(d)	1,524,262	1,433,015
Morgan Stanley Capital I Trust sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b)	3,286,000	3,085,527
Open Trust 2023-Air sequential payer Series 2023-AIR Class A, CME Term SOFR 1 Month Index + 3.080% 8.4067% 10/15/28 (b)(c)(d)	327,247	328,474
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $24,146,736)		22,627,052

Money Market Funds - 0.4%
	Shares	Value ($)
Fidelity Cash Central Fund 5.39% (f) (Cost $2,067,447)	2,067,034	2,067,447

TOTAL INVESTMENT IN SECURITIES - 99.7% (Cost $513,177,614)	505,196,251
NET OTHER ASSETS (LIABILITIES) - 0.3%	1,305,526
NET ASSETS - 100.0%	506,501,777

Futures Contracts
	Number of contracts	Expiration Date	Notional Amount ($)	Value ($)	Unrealized Appreciation/ (Depreciation) ($)
Purchased

Treasury Contracts
CBOT 2-Year U.S. Treasury Note Contracts (United States)	166	Jun 2024	33,988,500	7,686	7,686
CBOT 5-Year U.S. Treasury Note Contracts (United States)	251	Jun 2024	26,833,469	49,675	49,675

TOTAL FUTURES CONTRACTS					57,361
The notional amount of futures purchased as a percentage of Net Assets is 12.0%

For the period, the average monthly notional amount at value for futures contracts in the aggregate was $58,163,422.

Legend

(a)	Amount is stated in United States dollars unless otherwise noted.

(b)

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

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

(e)	Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $590,427.

(f)

Affiliated Central Funds

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

Affiliate	Value, beginning of period ($)	Purchases ($)	Sales Proceeds ($)	Dividend Income ($)	Realized Gain (loss) ($)	Change in Unrealized appreciation (depreciation) ($)	Value, end of period ($)	% ownership, end of period
Fidelity Cash Central Fund 5.39%	2,455,314	111,215,795	111,603,662	151,610	-	-	2,067,447	0.0%
Total	2,455,314	111,215,795	111,603,662	151,610	-	-	2,067,447

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

Investment Valuation

Valuation Inputs at Reporting Date:
Description	Total ($)	Level 1 ($)	Level 2 ($)	Level 3 ($)
Investments in Securities:

Corporate Bonds	362,665,962	-	362,665,962	-

U.S. Government and Government Agency Obligations	35,633,367	-	35,633,367	-

U.S. Government Agency - Mortgage Securities	4,378,704	-	4,378,704	-

Asset-Backed Securities	72,436,212	-	72,436,212	-

Collateralized Mortgage Obligations	5,387,507	-	5,387,507	-

Commercial Mortgage Securities	22,627,052	-	22,627,052	-

Money Market Funds	2,067,447	2,067,447	-	-
Total Investments in Securities:	505,196,251	2,067,447	503,128,804	-
Derivative Instruments: Assets
Futures Contracts	57,361	57,361	-	-
Total Assets	57,361	57,361	-	-
Total Derivative Instruments:	57,361	57,361	-	-

Value of Derivative Instruments

Primary Risk Exposure / Derivative Type	Value
	Asset ($)	Liability ($)
Interest Rate Risk
Futures Contracts (a)	57,361	0
Total Interest Rate Risk	57,361	0
Total Value of Derivatives	57,361	0

(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

Financial Statements (Unaudited)

Statement of Assets and Liabilities
				February 29, 2024 (Unaudited)

Assets
Investment in securities, at value - See accompanying schedule:
Unaffiliated issuers (cost $511,110,167)	$	503,128,804
Fidelity Central Funds (cost $2,067,447)		2,067,447


Total Investment in Securities (cost $513,177,614)			$	505,196,251
Receivable for fund shares sold				33,268,221
Interest receivable				3,874,713
Distributions receivable from Fidelity Central Funds				12,937
Total assets				542,352,122
Liabilities
Payable for investments purchased	$	2,206,000
Payable for fund shares redeemed		33,638,149
Payable for daily variation margin on futures contracts		1,752
Other payables and accrued expenses		4,444
Total Liabilities				35,850,345
Net Assets			$	506,501,777
Net Assets consist of:
Paid in capital			$	545,685,086
Total accumulated earnings (loss)				(39,183,309)
Net Assets			$	506,501,777
Net Asset Value, offering price and redemption price per share ($506,501,777 ÷ 51,550,068 shares)			$	9.83

Statement of Operations
				Six months ended February 29, 2024 (Unaudited)
Investment Income
Interest			$	9,164,809
Income from Fidelity Central Funds				151,610
Total Income				9,316,419
Expenses
Custodian fees and expenses	$	5,292
Independent trustees' fees and expenses		888
Miscellaneous		1
Total expenses before reductions		6,181
Expense reductions		(1,319)
Total expenses after reductions				4,862
Net Investment income (loss)				9,311,557
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment Securities:
Unaffiliated issuers		(2,065,910)
Futures contracts		(159,126)
Total net realized gain (loss)				(2,225,036)
Change in net unrealized appreciation (depreciation) on:
Investment Securities:
Unaffiliated issuers		10,564,009
Futures contracts		(243,071)
Total change in net unrealized appreciation (depreciation)				10,320,938
Net gain (loss)				8,095,902
Net increase (decrease) in net assets resulting from operations			$	17,407,459

Statement of Changes in Net Assets

		Six months ended February 29, 2024 (Unaudited)		Year ended August 31, 2023
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	9,311,557	$	15,878,783
Net realized gain (loss)		(2,225,036)		(5,957,751)
Change in net unrealized appreciation (depreciation)		10,320,938		7,333,893
Net increase (decrease) in net assets resulting from operations		17,407,459		17,254,925
Distributions to shareholders		(8,531,567)		(14,431,421)

Share transactions
Proceeds from sales of shares		46,553,060		204,291,280
Reinvestment of distributions		8,531,567		14,141,415
Cost of shares redeemed		(112,078,507)		(270,179,944)

Net increase (decrease) in net assets resulting from share transactions		(56,993,880)		(51,747,249)
Total increase (decrease) in net assets		(48,117,988)		(48,923,745)

Net Assets
Beginning of period		554,619,765		603,543,510
End of period	$	506,501,777	$	554,619,765

Other Information
Shares
Sold		4,744,174		21,337,155
Issued in reinvestment of distributions		873,946		1,472,731
Redeemed		(11,469,898)		(28,209,874)
Net increase (decrease)		(5,851,778)		(5,399,988)

Financial Highlights

Fidelity® Series Short-Term Credit Fund

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	9.66	$	9.61	$	10.17	$	10.27	$	10.09	$	9.88
Income from Investment Operations
Net investment income (loss) A,B		.171		.261		.136		.170		.252		.272
Net realized and unrealized gain (loss)		.156		.027		(.511)		(.073)		.180		.216
Total from investment operations		.327		.288		(.375)		.097		.432		.488
Distributions from net investment income		(.157)		(.238)		(.143) C		(.169)		(.252)		(.278)
Distributions from net realized gain		-		-		(.042) C		(.028)		-		-
Total distributions		(.157)		(.238)		(.185)		(.197)		(.252)		(.278)
Net asset value, end of period	$	9.83	$	9.66	$	9.61	$	10.17	$	10.27	$	10.09
Total Return D,E		3.41%		3.04%		(3.73)%		.95%		4.35%		5.02%
Ratios to Average Net Assets B,F,G
Expenses before reductions H		-% I,J		-%		-%		-%		-%		-%
Expenses net of fee waivers, if any H		-% I,J		-%		-%		-%		-%		-%
Expenses net of all reductions H		-% I,J		-%		-%		-%		-%		-%
Net investment income (loss)		3.57% I,J		2.72%		1.36%		1.67%		2.49%		2.74%
Supplemental Data
Net assets, end of period (000 omitted)	$	506,502	$	554,620	$	603,544	$	2,304,598	$	2,393,482	$	1,870,061
Portfolio turnover rate K		50% I		41%		36%		60%		62% L		67%

ACalculated based on average shares outstanding during the period.

CThe amount shown reflects reclassifications related to book to tax differences that were made in the year shown.

DTotal returns for periods of less than one year are not annualized.

ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

HAmount represents less than .005%.

IAnnualized.

JProxy expenses are not annualized.

KAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

LPortfolio turnover rate excludes securities received or delivered in-kind.

Notes to Financial Statements (Unaudited)

For the period ended February 29, 2024

1. Organization.

Fidelity Series Short-Term Credit Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered only to certain other Fidelity funds, Fidelity managed 529 plans, and Fidelity managed collective investment trusts. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

2. Investments in Fidelity Central Funds.

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices	Expense RatioA
Fidelity Money Market Central Funds	Fidelity Management & Research Company LLC (FMR)	Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.	Short-term Investments	Less than .005%

A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

3. Significant Accounting Policies.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value 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 services or from brokers who make markets in such securities. Corporate bonds and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Book-tax differences are primarily due to futures contracts, market discount and losses deferred due to wash sales and excise tax regulations.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation	$2,461,439
Gross unrealized depreciation	(8,774,327)
Net unrealized appreciation (depreciation)	$(6,312,888)
Tax cost	$511,566,500

Short-term	$(8,938,580)
Long-term	(21,627,114)
Total capital loss carryforward	$(30,565,694)

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures 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.

Derivatives were used to increase returns and 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 objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):


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

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

	Purchases ($)	Sales ($)
Fidelity Series Short-Term Credit Fund	97,895,096	148,543,272

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund does not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Fund, except custody fees, fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

7. Committed Line of Credit.

8. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $1,319.

9. Other.

At the end of the period, mutual funds and accounts managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.

10. Risk and Uncertainties.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2023 to February 29, 2024).

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Expense Ratio- A	Beginning Account Value September 1, 2023	Ending Account Value February 29, 2024	Expenses Paid During Period- C September 1, 2023 to February 29, 2024

Fidelity® Series Short-Term Credit Fund	-%-D
Actual		$ 1,000	$ 1,034.10	$-E
Hypothetical-B		$ 1,000	$ 1,024.86	$-E

A Annualized expense ratio reflects expenses net of applicable fee waivers.

B 5% return per year before expenses

D Amount represents less than .005%.

E Amount represents less than $.005.

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Series Short-Term Credit Fund

At its September 2023 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. The Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable in light of all of the surrounding circumstances.

Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Fidelity's supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted by Fidelity to, and the record of compliance with, the fund's compliance policies and procedures. The Board also considered the fund's securities lending activities and any payments made to Fidelity relating to securities lending.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds.

Board Approval of Investment Advisory Contracts

Fidelity Series Short-Term Credit Fund

Highly liquid investments - cash or convertible to cash within three business days or less
Moderately liquid investments - convertible to cash in three to seven calendar days
Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
Illiquid investments - cannot be sold or disposed of within seven calendar days

A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
Proposal 1
To elect a Board of Trustees.
	# of Votes	% of Votes
Abigail P. Johnson
Affirmative	378,729,502,260.01	97.58
Withheld	9,407,876,478.96	2.42
TOTAL	388,137,378,738.97	100.00
Jennifer Toolin McAuliffe
Affirmative	378,454,868,010.95	97.51
Withheld	9,682,510,728.02	2.49
TOTAL	388,137,378,738.97	100.00
Christine J. Thompson
Affirmative	378,837,121,274.52	97.60
Withheld	9,300,257,464.45	2.40
TOTAL	388,137,378,738.97	100.00
Elizabeth S. Acton
Affirmative	378,262,110,794.85	97.46
Withheld	9,875,267,944.12	2.54
TOTAL	388,137,378,738.97	100.00
Laura M. Bishop
Affirmative	380,482,113,171.06	98.03
Withheld	7,655,265,567.91	1.97
TOTAL	388,137,378,738.97	100.00
Ann E. Dunwoody
Affirmative	380,016,034,008.12	97.91
Withheld	8,121,344,730.85	2.09
TOTAL	388,137,378,738.97	100.00
John Engler
Affirmative	379,432,488,394.20	97.76
Withheld	8,704,890,344.77	2.24
TOTAL	388,137,378,738.97	100.00
Robert F. Gartland
Affirmative	378,741,819,600.60	97.58
Withheld	9,395,559,138.37	2.42
TOTAL	388,137,378,738.97	100.00
Robert W. Helm
Affirmative	380,389,324,755.07	98.00
Withheld	7,748,053,983.90	2.00
TOTAL	388,137,378,738.97	100.00
Arthur E. Johnson
Affirmative	378,427,694,151.67	97.50
Withheld	9,709,684,587.30	2.50
TOTAL	388,137,378,738.97	100.00
Michael E. Kenneally
Affirmative	377,842,228,145.18	97.35
Withheld	10,295,150,593.79	2.65
TOTAL	388,137,378,738.97	100.00
Mark A. Murray
Affirmative	380,158,432,703.37	97.94
Withheld	7,978,946,035.60	2.06
TOTAL	388,137,378,738.97	100.00
Carol J. Zierhoffer
Affirmative	380,522,113,360.24	98.04
Withheld	7,615,265,378.73	1.96
TOTAL	388,137,378,738.97	100.00

Proposal 1 reflects trust wide proposal and voting results.

1.9863240.108

SS1-SANN-0424

Fidelity® SAI Short-Term Bond Fund

Semi-Annual Report

February 29, 2024

Contents

You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Schedule of Investments February 29, 2024 (Unaudited)

Quality Diversification (% of Fund's net assets)

Asset Allocation (% of Fund's net assets)

Futures - 9.8%

Geographic Diversification (% of Fund's net assets)

* Includes Short-Term investments and Net Other Assets (Liabilities).

Percentages are adjusted for the effect of derivatives, if applicable.

Showing Percentage of Net Assets

Nonconvertible Bonds - 46.8%
	Principal Amount (a)	Value ($)
COMMUNICATION SERVICES - 1.8%
Diversified Telecommunication Services - 0.4%
AT&T, Inc. 0.9% 3/25/24	5,000,000	4,985,378
NTT Finance Corp. 0.583% 3/1/24 (b)	1,597,000	1,597,000
Verizon Communications, Inc.:
0.75% 3/22/24	1,969,000	1,964,204
2.625% 8/15/26	4,600,000	4,336,883
		12,883,465
Media - 0.8%
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 6.15% 11/10/26	10,910,000	11,005,359
Discovery Communications LLC 4.9% 3/11/26	4,500,000	4,431,416
Warnermedia Holdings, Inc.:
3.428% 3/15/24	1,045,000	1,044,122
3.638% 3/15/25	9,872,000	9,663,681
		26,144,578
Wireless Telecommunication Services - 0.6%
Rogers Communications, Inc. 2.95% 3/15/25	3,029,000	2,948,315
T-Mobile U.S.A., Inc.:
1.5% 2/15/26	4,800,000	4,458,919
2.625% 4/15/26	8,000,000	7,570,806
3.5% 4/15/25	3,440,000	3,362,933
		18,340,973
TOTAL COMMUNICATION SERVICES		57,369,016
CONSUMER DISCRETIONARY - 4.4%
Automobiles - 3.7%
American Honda Finance Corp. 4.6% 4/17/25	6,350,000	6,306,109
Daimler Finance North America LLC:
0.75% 3/1/24 (b)	8,927,000	8,927,000
4.8% 1/11/27 (b)	9,500,000	9,452,895
4.95% 3/30/25 (b)	5,000,000	4,986,158
5.5% 11/27/24 (b)	4,250,000	4,247,652
General Motors Financial Co., Inc.:
1.05% 3/8/24	984,000	983,487
1.2% 10/15/24	8,300,000	8,070,883
1.25% 1/8/26	15,696,000	14,544,693
5.4% 4/6/26	5,000,000	5,002,265
5.4% 5/8/27	10,000,000	10,004,489
Hyundai Capital America:
1% 9/17/24 (b)	9,287,000	9,046,302
5.8% 6/26/25 (b)	10,000,000	10,037,546
Volkswagen Group of America Finance LLC:
3.35% 5/13/25 (b)	7,300,000	7,111,072
3.95% 6/6/25 (b)	5,735,000	5,616,455
5.7% 9/12/26 (b)	8,000,000	8,074,208
6% 11/16/26 (b)	5,000,000	5,094,544
		117,505,758
Distributors - 0.1%
Genuine Parts Co. 1.75% 2/1/25	3,041,000	2,935,478
Specialty Retail - 0.5%
Advance Auto Parts, Inc. 5.9% 3/9/26	2,251,000	2,246,376
AutoZone, Inc. 5.05% 7/15/26	8,000,000	7,982,940
Lowe's Companies, Inc.:
4.4% 9/8/25	2,188,000	2,161,095
4.8% 4/1/26	993,000	986,933
O'Reilly Automotive, Inc. 5.75% 11/20/26	2,294,000	2,326,453
		15,703,797
Textiles, Apparel & Luxury Goods - 0.1%
Tapestry, Inc.:
7.05% 11/27/25	447,000	455,345
7.35% 11/27/28	3,500,000	3,661,008
		4,116,353
TOTAL CONSUMER DISCRETIONARY		140,261,386
CONSUMER STAPLES - 2.5%
Beverages - 0.3%
Constellation Brands, Inc. 3.6% 5/9/24	4,900,000	4,880,171
Keurig Dr. Pepper, Inc. 0.75% 3/15/24	5,000,000	4,992,350
		9,872,521
Consumer Staples Distribution & Retail - 0.5%
7-Eleven, Inc. 0.95% 2/10/26 (b)	4,000,000	3,686,245
Dollar General Corp. 4.25% 9/20/24	9,185,000	9,107,318
Mondelez International Holdings Netherlands BV 0.75% 9/24/24 (b)	4,326,000	4,206,891
		17,000,454
Food Products - 0.3%
JDE Peet's BV 0.8% 9/24/24 (b)	3,828,000	3,715,235
Mondelez International, Inc. 2.125% 3/17/24	5,000,000	4,993,091
		8,708,326
Tobacco - 1.4%
Altria Group, Inc. 2.35% 5/6/25	621,000	599,663
BAT Capital Corp. 3.222% 8/15/24	9,886,000	9,769,338
BAT International Finance PLC 1.668% 3/25/26	5,786,000	5,360,579
Imperial Tobacco Finance PLC:
3.125% 7/26/24 (b)	3,612,000	3,573,280
3.5% 7/26/26 (b)	4,800,000	4,566,083
Philip Morris International, Inc.:
2.875% 5/1/24	3,258,000	3,242,864
4.75% 2/12/27	7,037,000	6,949,605
5% 11/17/25	9,757,000	9,722,928
		43,784,340
TOTAL CONSUMER STAPLES		79,365,641
ENERGY - 1.8%
Oil, Gas & Consumable Fuels - 1.8%
Canadian Natural Resources Ltd. 2.05% 7/15/25	2,208,000	2,107,003
Devon Energy Corp. 5.25% 9/15/24	6,500,000	6,480,396
Enbridge, Inc.:
2.5% 2/14/25	769,000	747,435
4.25% 12/1/26	4,400,000	4,305,424
5.9% 11/15/26	3,205,000	3,264,912
Energy Transfer LP 2.9% 5/15/25	4,750,000	4,599,277
Enterprise Products Operating LP 5.05% 1/10/26	3,360,000	3,357,691
Equinor ASA 1.75% 1/22/26	690,000	649,763
MPLX LP:
1.75% 3/1/26	4,929,000	4,598,307
4.875% 12/1/24	8,000,000	7,954,168
4.875% 6/1/25	4,300,000	4,261,512
Occidental Petroleum Corp. 2.9% 8/15/24	1,348,000	1,328,171
Phillips 66 Co.:
1.3% 2/15/26	4,900,000	4,534,209
3.85% 4/9/25	3,943,000	3,875,739
The Williams Companies, Inc.:
4% 9/15/25	4,400,000	4,314,284
5.4% 3/2/26	1,283,000	1,285,983
		57,664,274
FINANCIALS - 29.0%
Banks - 18.0%
ABN AMRO Bank NV 6.339% 9/18/27 (b)(c)	6,100,000	6,203,577
Bank of America Corp.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.290% 5.08% 1/20/27 (c)(d)	2,000,000	1,987,342
0.976% 4/22/25 (c)	4,000,000	3,970,700
1.197% 10/24/26 (c)	16,500,000	15,372,570
3.384% 4/2/26 (c)	9,550,000	9,321,631
3.559% 4/23/27 (c)	6,000,000	5,770,924
3.841% 4/25/25 (c)	5,250,000	5,233,963
4.827% 7/22/26 (c)	4,000,000	3,966,375
5.933% 9/15/27 (c)	8,000,000	8,107,021
Bank of America NA 5.65% 8/18/25	5,000,000	5,036,108
Bank of Montreal:
4.25% 9/14/24	6,000,000	5,954,591
5.266% 12/11/26	6,000,000	6,015,174
5.92% 9/25/25	5,000,000	5,051,716
Bank of Nova Scotia:
3.45% 4/11/25	5,900,000	5,775,177
5.35% 12/7/26	4,000,000	4,014,541
5.45% 6/12/25	7,710,000	7,713,421
Banque Federative du Credit Mutuel SA:
4.524% 7/13/25 (b)	3,802,000	3,757,746
5.088% 1/23/27 (b)	8,000,000	7,985,060
Barclays PLC:
2.852% 5/7/26 (c)	6,187,000	5,981,394
5.304% 8/9/26 (c)	7,300,000	7,253,384
6.496% 9/13/27 (c)	5,000,000	5,087,896
7.325% 11/2/26 (c)	8,700,000	8,916,325
BNP Paribas SA 2.219% 6/9/26 (b)(c)	13,450,000	12,875,606
BPCE SA:
1.625% 1/14/25 (b)	10,600,000	10,246,406
5.203% 1/18/27 (b)	8,000,000	7,996,088
Canadian Imperial Bank of Commerce:
3.945% 8/4/25	9,246,000	9,064,672
5.926% 10/2/26	8,000,000	8,148,595
Citigroup, Inc.:
0.981% 5/1/25 (c)	2,294,000	2,273,948
2.014% 1/25/26 (c)	11,000,000	10,627,792
3.106% 4/8/26 (c)	7,886,000	7,675,534
4.14% 5/24/25 (c)	5,000,000	4,976,979
5.61% 9/29/26 (c)	7,300,000	7,309,262
Danske Bank A/S:
1.621% 9/11/26 (b)(c)	7,600,000	7,124,750
5.427% 3/1/28 (b)(c)	6,000,000	6,008,816
6.259% 9/22/26 (b)(c)	10,148,000	10,252,622
6.466% 1/9/26 (b)(c)	1,630,000	1,636,432
DNB Bank ASA 0.856% 9/30/25 (b)(c)	10,000,000	9,714,682
HSBC Holdings PLC:
0.976% 5/24/25 (c)	4,500,000	4,449,119
1.645% 4/18/26 (c)	8,331,000	7,951,207
2.633% 11/7/25 (c)	4,750,000	4,645,487
4.292% 9/12/26 (c)	9,300,000	9,115,394
Huntington National Bank 5.699% 11/18/25 (c)	4,528,000	4,490,373
Intesa Sanpaolo SpA 3.25% 9/23/24 (b)	8,770,000	8,637,128
JPMorgan Chase & Co.:
0.824% 6/1/25 (c)	3,418,000	3,372,955
1.045% 11/19/26 (c)	22,400,000	20,827,163
3.845% 6/14/25 (c)	5,000,000	4,969,531
5.04% 1/23/28 (c)	8,000,000	7,957,470
6.07% 10/22/27 (c)	7,500,000	7,644,152
KeyBank NA 4.15% 8/8/25	1,413,000	1,368,385
KeyCorp 3.878% 5/23/25 (c)	1,528,000	1,512,475
Lloyds Banking Group PLC:
4.716% 8/11/26 (c)	9,500,000	9,372,348
5.462% 1/5/28 (c)	6,500,000	6,472,184
5.985% 8/7/27 (c)	3,905,000	3,932,369
Mitsubishi UFJ Financial Group, Inc.:
0.953% 7/19/25 (c)	3,500,000	3,435,742
0.962% 10/11/25 (c)	5,000,000	4,851,961
2.193% 2/25/25	10,466,000	10,136,223
4.788% 7/18/25 (c)	4,000,000	3,983,007
5.541% 4/17/26 (c)	9,400,000	9,393,784
Mizuho Financial Group, Inc. 2.651% 5/22/26 (c)	8,889,000	8,580,657
Morgan Stanley Bank, West Valley City Utah:
4.754% 4/21/26	4,451,000	4,422,754
5.479% 7/16/25	7,000,000	7,029,082
5.882% 10/30/26	7,500,000	7,637,869
NatWest Group PLC:
1.642% 6/14/27 (c)	5,100,000	4,660,497
5.847% 3/2/27 (c)	5,291,000	5,312,733
NatWest Markets PLC 0.8% 8/12/24 (b)	2,224,000	2,176,129
PNC Bank NA 2.5% 8/27/24	5,418,000	5,335,555
PNC Financial Services Group, Inc. 5.3% 1/21/28 (c)	3,461,000	3,456,685
Rabobank Nederland New York Branch:
3.875% 8/22/24	4,000,000	3,967,592
5.5% 7/18/25	7,550,000	7,585,501
Regions Financial Corp. 2.25% 5/18/25	1,933,000	1,850,963
Royal Bank of Canada 2.55% 7/16/24	4,245,000	4,195,095
Santander Holdings U.S.A., Inc.:
3.5% 6/7/24	3,539,000	3,516,760
5.807% 9/9/26 (c)	6,909,000	6,899,951
Societe Generale:
1.488% 12/14/26 (b)(c)	5,100,000	4,703,643
2.226% 1/21/26 (b)(c)	12,300,000	11,886,874
4.351% 6/13/25 (b)	4,200,000	4,145,529
5.519% 1/19/28 (b)(c)	7,000,000	6,922,342
Sumitomo Mitsui Financial Group, Inc. 5.464% 1/13/26	10,000,000	10,036,540
The Toronto-Dominion Bank:
1.2% 6/3/26	5,000,000	4,587,490
2.35% 3/8/24	5,000,000	4,998,055
Truist Financial Corp.:
4.26% 7/28/26 (c)	10,500,000	10,286,164
5.9% 10/28/26 (c)	6,200,000	6,226,542
U.S. Bancorp 5.727% 10/21/26 (c)	4,500,000	4,519,884
Wells Fargo & Co.:
2.164% 2/11/26 (c)	14,358,000	13,887,613
2.188% 4/30/26 (c)	9,450,000	9,067,574
4.54% 8/15/26 (c)	5,800,000	5,719,862
Wells Fargo Bank NA 5.55% 8/1/25	8,000,000	8,032,730
		574,575,942
Capital Markets - 5.2%
Athene Global Funding:
1% 4/16/24 (b)	4,000,000	3,975,968
1.608% 6/29/26 (b)	4,900,000	4,449,074
1.716% 1/7/25 (b)	3,920,000	3,791,257
5.339% 1/15/27 (b)	5,093,000	5,064,958
5.684% 2/23/26 (b)	5,000,000	4,997,600
Bank of New York, New York 5.224% 11/21/25 (c)	3,440,000	3,433,248
Blackstone Private Credit Fund 4.7% 3/24/25	4,526,000	4,455,750
Credit Suisse AG U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.260% 6.5688% 2/21/25 (c)(d)	5,000,000	5,015,806
Deutsche Bank AG New York Branch:
0.898% 5/28/24	1,264,000	1,250,610
1.447% 4/1/25 (c)	2,890,000	2,878,722
3.961% 11/26/25 (c)	6,000,000	5,902,690
5.706% 2/8/28 (c)	9,600,000	9,533,552
7.146% 7/13/27 (c)	3,469,000	3,563,156
Goldman Sachs Group, Inc. 5.7% 11/1/24	35,000,000	35,019,471
Intercontinental Exchange, Inc. 3.65% 5/23/25	2,741,000	2,686,623
Morgan Stanley:
0.79% 5/30/25 (c)	4,350,000	4,288,776
0.985% 12/10/26 (c)	6,200,000	5,720,364
2.63% 2/18/26 (c)	5,000,000	4,854,893
3.62% 4/17/25 (c)	4,000,000	3,987,996
4% 7/23/25	3,286,000	3,229,246
4.679% 7/17/26 (c)	16,533,000	16,355,651
NASDAQ, Inc. 5.65% 6/28/25	1,516,000	1,521,029
UBS AG London Branch 1.375% 1/13/25 (b)	3,559,000	3,432,574
UBS Group AG:
4.49% 8/5/25 (b)(c)	4,400,000	4,371,637
4.703% 8/5/27 (b)(c)	9,100,000	8,919,724
6.373% 7/15/26 (b)(c)	3,000,000	3,020,583
6.442% 8/11/28 (b)(c)	9,100,000	9,352,639
		165,073,597
Consumer Finance - 3.4%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
1.65% 10/29/24	2,539,000	2,470,357
1.75% 1/30/26	7,716,000	7,168,529
6.1% 1/15/27	5,050,000	5,113,101
6.45% 4/15/27 (b)	6,466,000	6,618,341
Ally Financial, Inc.:
4.75% 6/9/27	4,500,000	4,370,911
5.125% 9/30/24	3,126,000	3,112,260
American Express Co.:
2.25% 3/4/25	2,216,000	2,146,008
5.098% 2/16/28 (c)	5,000,000	4,981,148
5.389% 7/28/27 (c)	7,500,000	7,520,684
6.338% 10/30/26 (c)	8,000,000	8,121,729
Capital One Financial Corp.:
4.166% 5/9/25 (c)	6,000,000	5,976,326
4.985% 7/24/26 (c)	10,713,000	10,615,165
7.149% 10/29/27 (c)	6,500,000	6,737,592
Ford Motor Credit Co. LLC:
5.8% 3/5/27	8,000,000	7,984,508
6.95% 6/10/26	10,070,000	10,270,373
Synchrony Financial:
4.25% 8/15/24	4,618,000	4,575,580
4.375% 3/19/24	3,952,000	3,949,037
Toyota Motor Credit Corp. 5.4% 11/10/25	7,275,000	7,317,209
		109,048,858
Financial Services - 0.9%
AIG Global Funding 5.75% 7/2/26 (b)	6,500,000	6,504,929
Corebridge Financial, Inc. 3.5% 4/4/25	5,028,000	4,910,734
Nationwide Building Society 6.557% 10/18/27 (b)(c)	7,800,000	7,984,443
The Western Union Co.:
1.35% 3/15/26	8,000,000	7,368,876
2.85% 1/10/25	775,000	756,093
		27,525,075
Insurance - 1.5%
Aon North America, Inc. 5.125% 3/1/27	10,000,000	9,992,747
Equitable Financial Life Global Funding:
1.1% 11/12/24 (b)	5,000,000	4,837,513
5.5% 12/2/25 (b)	5,000,000	4,987,975
Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 (b)	1,726,000	1,620,113
MassMutual Global Funding II:
4.15% 8/26/25 (b)	3,715,000	3,661,085
4.5% 4/10/26 (b)	8,100,000	8,005,466
New York Life Global Funding 5.45% 9/18/26 (b)	10,200,000	10,292,820
Pacific Life Global Funding II 1.2% 6/24/25 (b)	2,709,000	2,570,785
Principal Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.7794% 4/12/24 (b)(c)(d)	1,828,000	1,828,811
Protective Life Global Funding 3.218% 3/28/25 (b)	1,098,000	1,074,789
		48,872,104
TOTAL FINANCIALS		925,095,576
HEALTH CARE - 1.8%
Biotechnology - 0.2%
Amgen, Inc. 5.25% 3/2/25	7,525,000	7,506,338
Health Care Providers & Services - 0.4%
Cigna Group 0.613% 3/15/24	990,000	988,412
CVS Health Corp. 5% 2/20/26	10,000,000	9,954,617
		10,943,029
Life Sciences Tools & Services - 0.3%
Revvity, Inc. 0.85% 9/15/24	4,620,000	4,499,511
Thermo Fisher Scientific, Inc. 1.215% 10/18/24	5,000,000	4,868,676
		9,368,187
Pharmaceuticals - 0.9%
AstraZeneca Finance LLC:
0.7% 5/28/24	3,267,000	3,229,809
4.8% 2/26/27	9,925,000	9,901,577
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b)	6,602,000	6,419,156
GSK Consumer Healthcare Capital 3.125% 3/24/25	9,140,000	8,913,263
		28,463,805
TOTAL HEALTH CARE		56,281,359
INDUSTRIALS - 2.5%
Aerospace & Defense - 0.8%
L3Harris Technologies, Inc. 5.4% 1/15/27	8,000,000	8,049,776
RTX Corp.:
5% 2/27/26	3,646,000	3,637,166
5.75% 11/8/26	3,461,000	3,510,497
The Boeing Co.:
2.196% 2/4/26	4,000,000	3,752,499
2.75% 2/1/26	2,400,000	2,279,119
4.875% 5/1/25	6,107,000	6,050,458
		27,279,515
Building Products - 0.2%
Carrier Global Corp. 5.8% 11/30/25	5,317,000	5,354,464
Commercial Services & Supplies - 0.1%
Republic Services, Inc. 0.875% 11/15/25	4,500,000	4,175,657
Ground Transportation - 0.2%
Canadian Pacific Railway Co. 1.35% 12/2/24	7,345,000	7,115,416
Industrial Conglomerates - 0.1%
Siemens Financieringsmaatschappij NV 0.65% 3/11/24 (b)	2,595,000	2,593,169
Machinery - 0.5%
Daimler Trucks Finance North America LLC:
1.625% 12/13/24 (b)	1,613,000	1,564,121
5% 1/15/27 (b)	7,000,000	6,973,261
5.2% 1/17/25 (b)	2,360,000	2,352,951
Parker Hannifin Corp. 3.65% 6/15/24	4,730,000	4,702,884
		15,593,217
Passenger Airlines - 0.1%
Delta Air Lines, Inc. 2.9% 10/28/24	3,718,000	3,642,730
Trading Companies & Distributors - 0.3%
Air Lease Corp.:
0.8% 8/18/24	6,745,000	6,587,699
3.25% 3/1/25	1,900,000	1,854,945
		8,442,644
Transportation Infrastructure - 0.2%
Avolon Holdings Funding Ltd. 2.875% 2/15/25 (b)	6,000,000	5,823,273
TOTAL INDUSTRIALS		80,020,085
INFORMATION TECHNOLOGY - 1.7%
Communications Equipment - 0.3%
Cisco Systems, Inc. 4.8% 2/26/27	10,225,000	10,233,507
Electronic Equipment, Instruments & Components - 0.2%
Dell International LLC/EMC Corp. 5.85% 7/15/25	5,600,000	5,624,731
Semiconductors & Semiconductor Equipment - 0.5%
Analog Devices, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.250% 5.5932% 10/1/24 (c)(d)	2,353,000	2,352,876
Broadcom Corp./Broadcom Cayman LP 3.875% 1/15/27	9,300,000	8,986,291
Microchip Technology, Inc. 0.983% 9/1/24	4,503,000	4,394,888
		15,734,055
Software - 0.7%
Oracle Corp. 5.8% 11/10/25	7,380,000	7,440,839
Roper Technologies, Inc. 1% 9/15/25	5,000,000	4,684,136
VMware, Inc.:
1% 8/15/24	2,883,000	2,820,871
4.5% 5/15/25	5,800,000	5,737,241
		20,683,087
TOTAL INFORMATION TECHNOLOGY		52,275,380
MATERIALS - 0.2%
Chemicals - 0.2%
Celanese U.S. Holdings LLC 6.05% 3/15/25	4,200,000	4,210,393
Nutrien Ltd. 5.9% 11/7/24	2,353,000	2,356,112
		6,566,505
REAL ESTATE - 0.3%
Equity Real Estate Investment Trusts (REITs) - 0.3%
American Tower Corp. 1.3% 9/15/25	1,459,000	1,371,741
Crown Castle, Inc.:
1.35% 7/15/25	342,000	323,609
4% 3/1/27	2,500,000	2,408,103
Omega Healthcare Investors, Inc. 4.5% 1/15/25	3,800,000	3,760,327
Welltower OP LLC 3.625% 3/15/24	1,604,000	1,602,588
		9,466,368
UTILITIES - 0.8%
Electric Utilities - 0.3%
FirstEnergy Corp.:
1.6% 1/15/26	365,000	337,643
2.05% 3/1/25	2,028,000	1,953,207
Florida Power & Light Co. 2.85% 4/1/25	926,000	902,937
Georgia Power Co. 5.004% 2/23/27	2,642,000	2,637,025
Pennsylvania Electric Co. 5.15% 3/30/26 (b)	2,545,000	2,521,542
Tampa Electric Co. 3.875% 7/12/24	2,786,000	2,767,860
		11,120,214
Gas Utilities - 0.0%
Dominion Gas Holdings LLC 2.5% 11/15/24	722,000	706,722
Independent Power and Renewable Electricity Producers - 0.1%
Emera U.S. Finance LP 0.833% 6/15/24	2,029,000	1,996,318
Multi-Utilities - 0.4%
CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 5.963% 5/13/24 (c)(d)	1,531,000	1,531,242
DTE Energy Co. 4.22% 11/1/24	5,000,000	4,945,966
NiSource, Inc. 0.95% 8/15/25	1,507,000	1,413,779
Sempra 3.3% 4/1/25	1,816,000	1,772,956
WEC Energy Group, Inc. 5% 9/27/25	1,702,000	1,692,568
		11,356,511
TOTAL UTILITIES		25,179,765
TOTAL NONCONVERTIBLE BONDS (Cost $1,495,522,350)		1,489,545,355

U.S. Treasury Obligations - 31.9%
	Principal Amount (a)	Value ($)
U.S. Treasury Notes:
3.875% 1/15/26	169,311,300	166,890,677
4.125% 10/31/27	137,062,700	135,938,358
4.25% 5/31/25	59,209,400	58,723,698
4.375% 12/15/26	120,000,000	119,756,250
4.5% 11/15/25	174,571,900	173,903,618
4.5% 7/15/26	20,000,000	19,985,938
4.625% 3/15/26 (e)	250,209,000	250,218,771
4.625% 11/15/26	40,590,300	40,742,514
5% 10/31/25	50,000,000	50,192,540
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,022,248,715)		1,016,352,364

U.S. Government Agency - Mortgage Securities - 0.1%
	Principal Amount (a)	Value ($)
Fannie Mae - 0.1%
4.5% 3/1/39 to 9/1/49	2,642,163	2,553,668
5.5% 11/1/34	479,490	486,850
7.5% 11/1/31	87	91
TOTAL FANNIE MAE		3,040,609
Freddie Mac - 0.0%
8.5% 5/1/26 to 7/1/28	3,466	3,555
Ginnie Mae - 0.0%
7% to 7% 11/15/27 to 8/15/32	47,760	48,892
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $3,487,816)		3,093,056

Asset-Backed Securities - 16.9%
	Principal Amount (a)	Value ($)
Aimco:
Series 2018-BA Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6756% 1/15/32 (b)(c)(d)	4,518,000	4,524,054
Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.6394% 7/22/32 (b)(c)(d)	4,510,000	4,516,535
AIMCO CLO Ltd.:
Series 2021-11A Class AR, CME Term SOFR 3 Month Index + 1.390% 6.7081% 10/17/34 (b)(c)(d)	5,750,000	5,757,119
Series 2022-12A Class AR, CME Term SOFR 3 Month Index + 1.170% 6.4865% 1/17/32 (b)(c)(d)	5,435,000	5,439,131
American Express Credit Account Master Trust:
Series 2022-3 Class A, 3.75% 8/15/27	1,928,000	1,889,456
Series 2022-4 Class A, 4.95% 10/15/27	2,840,000	2,833,130
Series 2023-1 Class A, 4.87% 5/15/28	4,153,000	4,144,836
Series 2023-3 Class A, 5.23% 9/15/28	9,244,000	9,311,395
AmeriCredit Automobile Receivables Trust Series 2021-3 Class A3, 0.76% 8/18/26	2,214,275	2,167,062
Ares LII CLO Ltd. Series 2021-52A Class A1R, CME Term SOFR 3 Month Index + 1.310% 6.6294% 4/22/31 (b)(c)(d)	3,925,000	3,929,416
Ares XXXIV CLO Ltd. Series 2024-2A Class AR3, CME Term SOFR 3 Month Index + 1.320% 1.32% 4/17/33 (b)(c)(d)	13,876,000	13,876,000
ARI Fleet Lease Trust Series 2024-A Class A2, 5.3% 11/15/32 (b)	6,754,000	6,740,383
Ari Fleet Lease Trust 2023-B Series 2023-B Class A2, 6.05% 7/15/32 (b)	5,518,000	5,557,375
Bank of America Credit Card Master Trust:
Series 2022-A2, Class A2, 5% 4/15/28	3,936,000	3,945,100
Series 2023-A1 Class A1, 4.79% 5/15/28	3,022,000	3,011,111
Series 2023-A2 Class A2, 4.98% 11/15/28	4,500,000	4,510,495
BMW Vechicle Lease Trust Series 2023-1 Class A3, 5.16% 11/25/25	3,286,000	3,277,803
BMW Vehicle Lease Trust:
Series 2023-2 Class A3, 5.99% 9/25/26	4,909,000	4,949,188
Series 2024-1 Class A3, 4.98% 3/25/27	5,392,000	5,366,013
Capital One Multi-Asset Execution Trust Series 2022-A3 Class A, 4.95% 10/15/27	3,490,000	3,480,798
Capital One Prime Auto Receiva Series 2023-2 Class A3, 5.82% 6/15/28	7,279,000	7,387,750
Capital One Prime Auto Receivables Series 2023-1 Class A3, 4.87% 2/15/28	6,465,000	6,423,142
Carmax Auto Owner Trust Series 2022-4 Class A2A, 5.34% 12/15/25	1,025,861	1,025,341
CarMax Auto Owner Trust Series 2023 2 Class A3, 5.05% 1/18/28	7,257,000	7,234,178
Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28	1,451,000	1,477,165
Carmax Auto Owner Trust 2024-1 Series 2024-1 Class A3, 4.92% 10/16/28	3,478,000	3,461,841
Carmax Owner Trust Series 2023-1 Class A2A, 5.23% 1/15/26	1,694,094	1,692,006
Carvana Auto Receivables Trust:
Series 2021-P2 Class A3, 0.49% 3/10/26	788,007	779,178
Series 2021-P3 Class A3, 0.7% 11/10/26	2,237,133	2,167,542
Cedar Funding Ltd.:
Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6794% 10/20/32 (b)(c)(d)	3,867,000	3,868,903
Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.360% 6.6756% 7/15/33 (b)(c)(d)	5,539,000	5,543,210
Cent CLO LP Series 2021-21A Class A1R3, CME Term SOFR 3 Month Index + 1.230% 6.5512% 7/27/30 (b)(c)(d)	1,938,763	1,939,872
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b)	832,462	813,285
Chase Issuance Trust:
Series 2022-A1 Class A, 3.97% 9/15/27	4,436,000	4,358,656
Series 2023-A1 Class A, 5.16% 9/15/28	10,790,000	10,849,712
Series 2024-A1 Class A, 4.6% 1/16/29 (c)	8,858,000	8,801,825
Chesapeake Funding II LLC:
Series 2023 1A Class A1, 5.65% 5/15/35 (b)	4,887,126	4,887,259
Series 2023-2A Class A1, 6.16% 10/15/35 (b)	978,097	983,884
Citibank Credit Card Issuance Trust Series 2023-A1 Class A1, 5.23% 12/8/27	3,464,000	3,470,340
Citizens Auto Receivables Trust Series 2024-1 Class A3, 5.11% 4/17/28 (b)	3,483,000	3,477,844
Countrywide Home Loans, Inc. Series 2004-2 Class 3A4, CME Term SOFR 1 Month Index + 0.610% 5.9354% 7/25/34 (c)(d)	57,967	56,058
Dell Equipment Finance Trust 2 Series 2023-3 Class A3, 5.93% 4/23/29 (b)	3,721,000	3,766,992
Dell Equipment Finance Trust 2023-2 Series 2023-2 Class A3, 5.65% 1/22/29 (b)	2,398,000	2,407,938
Discover Card Execution Note Trust:
Series 2022-A2 Class A, 3.32% 5/15/27	4,680,000	4,575,350
Series 2022-A3 Class A3, 3.56% 7/15/27	2,718,000	2,658,619
Series 2022-A4, Class A, 5.03% 10/15/27	4,250,000	4,244,628
Dllaa 2023-1A Series 2023-1A Class A3, 5.64% 2/22/28 (b)	623,000	629,462
Donlen Fleet Lease Funding Series 2021-2 Class A2, 0.56% 12/11/34 (b)	991,367	984,667
Dryden CLO, Ltd. / Dryden CLO, LLC Series 2021-86A Class A1R, CME Term SOFR 3 Month Index + 1.360% 6.6781% 7/17/34 (b)(c)(d)	3,892,000	3,896,203
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6756% 4/15/31 (b)(c)(d)	4,077,000	4,078,602
Enterprise Fleet Financing Series 2023-2 Class A2, 5.56% 4/22/30 (b)	7,448,000	7,451,828
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b)	2,337,000	2,372,460
Enterprise Fleet Financing LLC:
Series 2021-1 Class A2, 0.44% 12/21/26 (b)	82,595	82,019
Series 2021-2 Class A2, 0.48% 5/20/27 (b)	926,201	909,999
Series 2022-3 Class A2, 4.38% 7/20/29 (b)	547,970	541,984
Series 2023-1 Class A2, 5.51% 1/22/29 (b)	4,125,360	4,125,812
Series 2024-1 Class A2, 5.23% 3/20/30 (b)	8,000,000	7,980,914
Ford Credit Auto Lease Trust Series 2023-B Class A3, 5.91% 10/15/26	7,722,000	7,778,062
Ford Credit Auto Owner Trust:
Series 2020-1 Class A, 2.04% 8/15/31 (b)	3,372,000	3,264,496
Series 2021-1 Class A, 1.37% 10/17/33 (b)	4,343,000	4,011,117
Series 2023-B Class A3, 5.23% 5/15/28	4,689,000	4,703,286
Ford Credit Floorplan Master Owner Trust Series 2023-1 Class A1, 4.92% 5/15/28 (b)	4,708,000	4,686,986
Fordl 2023-A Series 2023-A Class A2A, 5.19% 6/15/25	996,609	996,013
GM Financial Automobile Leasing Series 2023-2 Class A3, 5.05% 7/20/26	4,683,000	4,668,164
GM Financial Automobile Leasing Trust Series 2023-1 Class A3, 5.16% 4/20/26	8,108,000	8,091,964
GM Financial Consumer Automobile Receivables Series 2023 2 Class A3, 4.47% 2/16/28	1,671,000	1,652,480
GM Financial Consumer Automobile Receivables Trust Series 2022-2 Class A3, 3.1% 2/16/27	4,148,890	4,072,133
GM Financial Leasing Trust Series 2024-1 Class A3, 5.09% 3/22/27	9,242,000	9,217,705
Gm Financial Leasing Trust 202 Series 2023-3 Class A3, 5.38% 11/20/26	646,000	647,276
Gm Financial Securitized Term Series 2023-4 Class A3, 5.78% 8/16/28	5,981,000	6,064,586
GMF Floorplan Owner Revolving Trust Series 2023-1 Class A1, 5.34% 6/15/28 (b)	6,911,000	6,937,231
Harot 2023-4 Series 2023-4 Class A3, 5.67% 6/21/28	5,351,000	5,409,371
Honda Auto Receivables Series 2023-1 Class A3, 5.04% 4/21/27	4,546,000	4,535,110
Huntington Auto Trust Series 2024-1A Class A3, 5.23% 1/16/29 (b)	9,089,000	9,113,960
Hyundai Auto Lease Securitizat:
Series 2023-B Class A3, 5.15% 6/15/26 (b)	8,000,000	7,981,652
Series 2023-C Class A3, 5.8% 12/15/26 (b)	6,380,000	6,431,886
Hyundai Auto Receivables Trust:
Series 2023 A Class A3, 4.58% 4/15/27	2,025,000	2,004,967
Series 2023-C Class A3, 5.54% 10/16/28	4,434,000	4,480,524
Juniper Valley Park CLO LLC Series 2023-1A Class A1, CME Term SOFR 3 Month Index + 1.850% 7.1678% 7/20/35 (b)(c)(d)	8,000,000	8,019,816
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, CME Term SOFR 3 Month Index + 1.260% 6.5794% 1/22/31 (b)(c)(d)	3,305,000	3,307,994
Marlette Funding Trust 2023-3 Series 2023-3A Class A, 6.49% 9/15/33 (b)	952,816	954,197
Mercedes-Benz Auto Receivables:
Series 2023-1 Class A2, 5.09% 1/15/26	1,435,687	1,433,975
Series 2023-2 Class A3, 5.95% 11/15/28	3,438,000	3,504,747
MMAF Equipment Finance LLC:
Series 2019-B Class A3, 2.01% 12/12/24 (b)	89,649	89,513
Series 2022-B Class A2, 5.57% 9/9/25 (b)	303,934	303,930
Niagara Park CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.260% 6.5781% 7/17/32 (b)(c)(d)	4,380,000	4,390,065
Nissan Auto Receivables 2023-B Series 2023-B Class A3, 5.93% 3/15/28	4,082,000	4,142,394
OneMain Direct Auto Receivables Trust Series 2021-1A Class A, 0.87% 7/14/28 (b)	3,433,288	3,305,741
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, CME Term SOFR 3 Month Index + 1.060% 6.3807% 5/20/29 (b)(c)(d)	1,445,192	1,445,679
Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME Term SOFR 3 Month Index + 1.050% 6.3665% 4/15/30 (b)(c)(d)	3,363,538	3,363,541
Park Place Securities, Inc. Series 2005-WCH1 Class M4, CME Term SOFR 1 Month Index + 1.350% 6.6804% 1/25/36 (c)(d)	40,917	40,231
Porsche Financial Auto Securitizati Series 2023-2A Class A3, 5.79% 1/22/29 (b)	3,231,000	3,269,542
Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (b)(c)	2,046,052	1,974,374
Santander Drive Auto Receivables Trust Series 2022-5 Class A3, 4.11% 8/17/26	1,225,113	1,221,022
Sfs Auto Receivables Securitiz Series 2023-1A Class A3, 5.47% 10/20/28 (b)	7,535,000	7,568,528
SFS Auto Receivables Securitization Series 2024-1A Class A3, 4.95% 5/21/29 (b)	2,670,000	2,655,698
Sofi Consumer Loan Program Series 2023-1S Class A, 5.81% 5/15/31 (b)	1,023,701	1,022,988
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.6356% 7/15/32 (b)(c)(d)	3,398,000	3,400,249
Symphony CLO XXIII Ltd. Series 2021-23A Class AR, CME Term SOFR 3 Month Index + 1.280% 6.5956% 1/15/34 (b)(c)(d)	6,438,903	6,444,659
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.220% 6.5407% 11/18/30 (b)(c)(d)	2,717,127	2,722,083
TCI-Symphony CLO Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.190% 6.5056% 7/15/30 (b)(c)(d)	4,443,121	4,447,555
Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 Month Index + 0.970% 6.2954% 9/25/34 (c)(d)	68,627	68,360
Tesla Auto Lease Trust 2023-B Series 2023-B Class A3, 6.13% 9/21/26 (b)	8,253,000	8,337,004
Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (b)	1,501,000	1,509,577
Tesla Electric Vehicle Trust 2023-1 Series 2023-1 Class A3, 5.38% 6/20/28 (b)	3,567,000	3,585,561
TMUST Series 2024-1A Class A, 5.05% 9/20/29 (b)	6,446,000	6,443,518
Toyota Auto Loan Extended Note Trust Series 2020-1A Class A, 1.35% 5/25/33 (b)	2,401,000	2,284,881
Toyota Auto Receivables 2023-D Series 2023-D Class A3, 5.54% 8/15/28	4,383,000	4,428,302
Toyota Lease Owner Trust Series 2024-A Class A3, 5.25% 4/20/27 (b)	1,557,000	1,556,600
Toyota Lease Owner Trust 2023- Series 2023-B Class A3, 5.66% 11/20/26 (b)	6,947,000	6,999,547
Upstart Securitization Trust:
Series 2021-5 Class A, 1.31% 11/20/31 (b)	172,557	171,946
Series 2022-1 Class A, 3.12% 3/20/32 (b)	969,375	961,024
Upstart Securitization Trust 2 Series 2023-3 Class A, 6.9% 10/20/33 (b)	4,574,227	4,598,534
Usaa Auto Owner Trust 2023-A Series 2023-A Class A3, 5.58% 5/15/28 (b)	7,777,000	7,830,178
VCAT Asset Securitization, LLC:
Series 2021-NPL1 Class A1, 5.2891% 12/26/50 (b)	247,164	245,504
Series 2021-NPL2 Class A1, 2.115% 3/27/51 (b)	1,556,027	1,537,364
Series 2021-NPL3 Class A1, 1.743% 5/25/51 (b)(c)	2,335,550	2,246,528
Verizon Master Trust:
Series 2021-2 Class A, 0.99% 4/20/28	4,700,000	4,568,542
Series 2023 2 Class A, 4.89% 4/13/28	5,620,000	5,590,100
Series 2023-4 Class A1A, 5.16% 6/20/29	7,552,000	7,566,969
Series 2023-5 Class A1A, 5.61% 9/8/28	6,400,000	6,431,359
Volkswagen Auto Lease Trust 20 Series 2023-A Class A3, 5.81% 10/20/26	8,000,000	8,059,708
Volkswagen Auto Loan Enhanced:
Series 2023-1 Class A3, 5.02% 6/20/28	3,407,000	3,400,189
Series 2023-2 Class A3, 5.48% 12/20/28	5,119,000	5,175,768
Voya CLO Ltd. Series 2021-1A Class A1R, CME Term SOFR 3 Month Index + 1.210% 6.5281% 4/17/30 (b)(c)(d)	2,450,902	2,452,343
Voya CLO Ltd./Voya CLO LLC Series 2021-2A Class A1R, CME Term SOFR 3 Month Index + 1.420% 6.7312% 7/19/34 (b)(c)(d)	4,500,000	4,500,315
Wells Fargo Card Issuance Trust Series 2024-A1 Class A, 4.94% 2/15/29	7,890,000	7,890,000
Wheels Fleet Lease Funding 1 L Series 2023-2A Class A, 6.46% 8/18/38 (b)	7,132,000	7,195,598
Wheels SPV LLC Series 2021-1A Class A, CME Term SOFR 1 Month Index + 0.390% 5.7143% 8/20/29 (b)(c)(d)	664,100	663,576
World Omni Auto Receivables Trust:
Series 2021 D Class A3, 0.81% 10/15/26	3,010,326	2,926,258
Series 2023-C Class A3, 5.15% 11/15/28	794,000	794,507
Series 2023-D Class A3, 5.79% 2/15/29	4,879,000	4,955,225
Series 2024-A Class A3, 4.86% 3/15/29	8,000,000	7,961,472
TOTAL ASSET-BACKED SECURITIES (Cost $538,905,622)		539,346,715

Collateralized Mortgage Obligations - 1.0%
	Principal Amount (a)	Value ($)
Private Sponsor - 0.9%
Ajax Mortgage Loan Trust sequential payer Series 2021-B Class A, 2.239% 6/25/66 (b)(c)	926,346	902,536
Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/66 (b)	2,634,680	2,226,653
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c)	241,523	235,229
Cascade Funding Mortgage Trust:
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c)	518,306	482,730
Series 2021-HB6 Class A, 0.8983% 6/25/36 (b)	487,604	481,157
Series 2021-HB7 Class A, 1.1512% 10/27/31 (b)	732,473	709,419
Cfmt 2022-Ebo2 sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b)	122,767	121,903
CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b)	2,402,167	2,362,051
Csmc 2021-Rpl9 Trust sequential payer Series 2021-RPL9 Class A1, 2.4364% 2/25/61 (b)	3,944,726	3,782,060
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c)	1,729,197	1,681,334
GCAT Trust sequential payer Series 2021-NQM7 Class A1, 1.915% 8/25/66 (b)	1,358,675	1,180,345
Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 2.25% 7/25/67 (b)(c)	3,078,306	2,932,929
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b)	990,098	920,790
Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (b)	943,437	848,354
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b)	344,670	329,081
Ocwen Loan Invest Trust Series 2024-HB1 Class A, 3% 2/25/37 (b)	335,000	318,083
Preston Ridge Partners Mortgage Trust:
sequential payer Series 2021-8 Class A1, 1.743% 9/25/26 (b)(c)	2,499,924	2,424,619
Series 2021-2 Class A1, 2.115% 3/25/26 (b)	3,012,116	2,948,588
Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b)	395,654	353,170
Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c)	553,678	494,720
PRET LLC Series 2022-RN1 Class A1, 3.721% 7/25/51 (b)	2,051,940	1,987,309
RMF Buyout Issuance Trust sequential payer:
Series 2021-HB1 Class A, 1.2586% 11/25/31 (b)	580,435	562,341
Series 2022-HB1 Class A, 4.272% 4/25/32 (b)	371,161	362,704
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, CME Term SOFR 6 Month Index + 1.300% 6.5595% 7/20/34 (c)(d)	660	594
TOTAL PRIVATE SPONSOR		28,648,699
U.S. Government Agency - 0.1%
Fannie Mae:
floater Series 2015-27 Class KF, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.410% 5.7361% 5/25/45 (c)(d)	1,058,551	1,041,014
sequential payer Series 2001-40 Class Z, 6% 8/25/31	17,301	17,297
Series 2016-27:
Class HK, 3% 1/25/41	1,226,650	1,140,273
Class KG, 3% 1/25/40	557,175	518,393
Series 2016-42 Class FL, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.460% 5.7861% 7/25/46 (c)(d)	1,171,926	1,162,989
Freddie Mac Series 3949 Class MK, 4.5% 10/15/34	122,881	119,906
TOTAL U.S. GOVERNMENT AGENCY		3,999,872
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $34,435,722)		32,648,571

Commercial Mortgage Securities - 3.1%
	Principal Amount (a)	Value ($)
BAMLL Commercial Mortgage Securities Trust:
floater Series 2022-DKLX Class A, CME Term SOFR 1 Month Index + 1.150% 6.468% 1/15/39 (b)(c)(d)	1,181,000	1,165,499
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b)	1,099,000	1,015,367
Benchmark Mortgage Trust sequential payer Series 2021-B31 Class A1, 1.357% 12/15/54	2,509,925	2,359,517
BLOX Trust floater sequential payer Series 2021-BLOX Class A, CME Term SOFR 1 Month Index + 0.860% 6.1825% 9/15/26 (b)(c)(d)	2,278,000	2,198,877
BLP Commercial Mortgage Trust sequential payer Series 2024-IND2 Class A, CME Term SOFR 1 Month Index + 1.340% 6.6422% 3/15/41 (b)(c)(d)	1,365,000	1,363,916
BPR Trust floater Series 2022-OANA Class A, CME Term SOFR 1 Month Index + 1.890% 7.2156% 4/15/37 (b)(c)(d)	4,067,000	4,079,571
BX Commercial Mortgage Trust:
floater:
Series 2021-ACNT Class A, CME Term SOFR 1 Month Index + 0.960% 6.2825% 11/15/38 (b)(c)(d)	2,050,646	2,037,189
Series 2021-BXMF Class A, CME Term SOFR 1 Month Index + 0.750% 6.0684% 10/15/26 (b)(c)(d)	1,815,930	1,794,366
Series 2021-LBA Class AJV, CME Term SOFR 1 Month Index + 0.910% 6.2325% 2/15/36 (b)(c)(d)	310,000	307,869
Series 2021-PAC Class A, CME Term SOFR 1 Month Index + 0.800% 6.1216% 10/15/36 (b)(c)(d)	2,267,000	2,243,622
Series 2021-VINO Class A, CME Term SOFR 1 Month Index + 0.760% 6.0848% 5/1/38 (b)(c)(d)	1,284,908	1,272,109
Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 6.3305% 2/15/39 (b)(c)(d)	2,360,501	2,343,535
Series 2023-XL3 Class A, CME Term SOFR 1 Month Index + 1.760% 7.0791% 12/9/40 (b)(c)(d)	2,073,000	2,087,252
floater sequential payer Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.040% 6.3643% 4/15/34 (b)(c)(d)	2,104,341	2,098,728
BX Commercial Mortgage Trust 2024-Xl4 floater sequential payer Series 2024-XL4 Class A, CME Term SOFR 1 Month Index + 1.440% 6.7597% 2/15/39 (b)(c)(d)	3,164,000	3,164,000
BX Commerical Mortgage Trust floater sequential payer Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.1025% 6/15/38 (b)(c)(d)	1,675,448	1,659,741
BX Trust floater Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4826% 8/15/39 (b)(c)(d)	2,707,019	2,713,808
CF Hippolyta Issuer LLC sequential payer:
Series 2020-1 Class A1, 1.69% 7/15/60 (b)	3,643,936	3,388,221
Series 2021-1A Class A1, 1.53% 3/15/61 (b)	2,216,637	1,988,859
CGDB Commercial Mortgage Trust floater Series 2019-MOB Class A, CME Term SOFR 1 Month Index + 1.060% 6.3825% 11/15/36 (b)(c)(d)	821,166	811,907
Citigroup Commercial Mortgage Trust:
sequential payer Series 2016-GC36 Class AAB, 3.368% 2/10/49	609,187	596,827
Series 2015-GC33 Class AAB, 3.522% 9/10/58	901,233	885,890
COMM Mortgage Trust sequential payer:
Series 2015 LC19 Class A3, 2.922% 2/10/48	2,123,883	2,087,378
Series 2020-SBX Class A, 1.67% 1/10/38 (b)	4,412,000	3,943,037
Credit Suisse Mortgage Trust:
floater Series 2019-ICE4 Class A, CME Term SOFR 1 Month Index + 1.020% 6.345% 5/15/36 (b)(c)(d)	10,131,793	10,131,876
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b)	514,774	476,712
CSAIL 2018-CX12 Commercial Mortgage Trust sequential payer Series 2018-CX12 Class ASB, 4.1628% 8/15/51	1,895,322	1,833,708
CSAIL Commercial Mortgage Trust sequential payer Series 2015-C4 Class A3, 3.5438% 11/15/48	6,612,282	6,430,979
CSMC Trust Series 2017-CHOP Class A, PRIME RATE - 2.300% 6.194% 7/15/32 (b)(c)(d)	874,964	841,696
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, CME Term SOFR 1 Month Index + 0.810% 6.1335% 11/15/38 (b)(c)(d)	2,883,644	2,854,807
Extended Stay America Trust floater Series 2021-ESH Class A, CME Term SOFR 1 Month Index + 1.190% 6.5125% 7/15/38 (b)(c)(d)	846,683	845,626
GS Mortgage Securities Trust:
floater Series 2021-IP Class A, CME Term SOFR 1 Month Index + 1.060% 6.3825% 10/15/36 (b)(c)(d)	1,243,000	1,225,161
Series 2011-GC5 Class A/S, 5.1526% 8/10/44 (b)(c)	2,065,072	2,001,483
JPMBB Commercial Mortgage Securities Trust sequential payer Series 2014-C21 Class A4, 3.4927% 8/15/47	1,489,557	1,485,976
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2019-BKWD Class A, CME Term SOFR 1 Month Index + 1.610% 6.9325% 9/15/29 (b)(c)(d)	1,077,789	1,013,269
Series 2013-LC11 Class A/S, 3.216% 4/15/46	682,092	628,235
Life Financial Services Trust floater Series 2022-BMR2 Class A1, CME Term SOFR 1 Month Index + 1.290% 6.6129% 5/15/39 (b)(c)(d)	3,413,000	3,383,136
LIFE Mortgage Trust floater Series 2021-BMR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1325% 3/15/38 (b)(c)(d)	1,683,828	1,665,411
Merit floater Series 2021-STOR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1325% 7/15/38 (b)(c)(d)	995,000	986,294
Morgan Stanley BAML Trust sequential payer Series 2016-C28 Class A3, 3.272% 1/15/49	802,735	772,261
Morgan Stanley Capital I Trust:
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b)	2,396,136	2,249,952
Series 2019-H7 Class A1, 2.327% 7/15/52	187,420	186,101
Open Trust 2023-Air sequential payer Series 2023-AIR Class A, CME Term SOFR 1 Month Index + 3.080% 8.4067% 10/15/28 (b)(c)(d)	1,876,407	1,883,443
OPG Trust floater Series 2021-PORT Class A, CME Term SOFR 1 Month Index + 0.590% 5.9165% 10/15/36 (b)(c)(d)	3,087,676	3,041,361
SREIT Trust floater:
Series 2021-FLWR Class A, CME Term SOFR 1 Month Index + 0.690% 6.009% 7/15/36 (b)(c)(d)	3,000,000	2,964,375
Series 2021-MFP Class A, CME Term SOFR 1 Month Index + 0.840% 6.1629% 11/15/38 (b)(c)(d)	2,309,867	2,299,412
Wells Fargo Commercial Mortgage Trust sequential payer:
Series 2015-LC22 Class ASB, 3.571% 9/15/58	646,824	635,020
Series 2017-RC1 Class ASB, 3.453% 1/15/60	1,065,657	1,036,722
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $100,353,565)		98,480,101

Money Market Funds - 0.1%
	Shares	Value ($)
Fidelity Cash Central Fund 5.39% (f) (Cost $4,328,941)	4,328,076	4,328,941

TOTAL INVESTMENT IN SECURITIES - 99.9% (Cost $3,199,282,731)	3,183,795,103
NET OTHER ASSETS (LIABILITIES) - 0.1%	3,082,007
NET ASSETS - 100.0%	3,186,877,110

Futures Contracts
	Number of contracts	Expiration Date	Notional Amount ($)	Value ($)	Unrealized Appreciation/ (Depreciation) ($)
Purchased

Treasury Contracts
CBOT 2-Year U.S. Treasury Note Contracts (United States)	1,527	Jun 2024	312,653,250	123,395	123,395

The notional amount of futures purchased as a percentage of Net Assets is 9.8%

Legend

(a)	Amount is stated in United States dollars unless otherwise noted.

(b)

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

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

(e)	Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,690,182.

(f)

Affiliated Central Funds

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

Affiliate	Value, beginning of period ($)	Purchases ($)	Sales Proceeds ($)	Dividend Income ($)	Realized Gain (loss) ($)	Change in Unrealized appreciation (depreciation) ($)	Value, end of period ($)	% ownership, end of period
Fidelity Cash Central Fund 5.39%	27,834,965	467,515,098	491,021,122	508,380	-	-	4,328,941	0.0%
Fidelity Securities Lending Cash Central Fund 5.39%	-	63,100	63,100	69	-	-	-	0.0%
Total	27,834,965	467,578,198	491,084,222	508,449	-	-	4,328,941

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

Investment Valuation

Valuation Inputs at Reporting Date:
Description	Total ($)	Level 1 ($)	Level 2 ($)	Level 3 ($)
Investments in Securities:

Corporate Bonds	1,489,545,355	-	1,489,545,355	-

U.S. Government and Government Agency Obligations	1,016,352,364	-	1,016,352,364	-

U.S. Government Agency - Mortgage Securities	3,093,056	-	3,093,056	-

Asset-Backed Securities	539,346,715	-	539,346,715	-

Collateralized Mortgage Obligations	32,648,571	-	32,648,571	-

Commercial Mortgage Securities	98,480,101	-	98,480,101	-

Money Market Funds	4,328,941	4,328,941	-	-
Total Investments in Securities:	3,183,795,103	4,328,941	3,179,466,162	-
Derivative Instruments: Assets
Futures Contracts	123,395	123,395	-	-
Total Assets	123,395	123,395	-	-
Total Derivative Instruments:	123,395	123,395	-	-

Value of Derivative Instruments

Primary Risk Exposure / Derivative Type	Value
	Asset ($)	Liability ($)
Interest Rate Risk
Futures Contracts (a)	123,395	0
Total Interest Rate Risk	123,395	0
Total Value of Derivatives	123,395	0

Financial Statements (Unaudited)

Statement of Assets and Liabilities
				February 29, 2024 (Unaudited)

Assets
Investment in securities, at value - See accompanying schedule:
Unaffiliated issuers (cost $3,194,953,790)	$	3,179,466,162
Fidelity Central Funds (cost $4,328,941)		4,328,941


Total Investment in Securities (cost $3,199,282,731)			$	3,183,795,103
Receivable for investments sold				41,475,990
Receivable for fund shares sold				3,753,226
Interest receivable				30,348,104
Distributions receivable from Fidelity Central Funds				68,884
Prepaid expenses				1,882
Total assets				3,259,443,189
Liabilities
Payable for investments purchased	$	65,270,338
Payable for fund shares redeemed		6,490,420
Distributions payable		186,315
Accrued management fee		529,105
Payable for daily variation margin on futures contracts		29,439
Other payables and accrued expenses		60,462
Total Liabilities				72,566,079
Net Assets			$	3,186,877,110
Net Assets consist of:
Paid in capital			$	3,248,638,498
Total accumulated earnings (loss)				(61,761,388)
Net Assets			$	3,186,877,110
Net Asset Value, offering price and redemption price per share ($3,186,877,110 ÷ 331,784,299 shares)			$	9.61

Statement of Operations
				Six months ended February 29, 2024 (Unaudited)
Investment Income
Interest			$	68,747,937
Income from Fidelity Central Funds (including $69 from security lending)				508,449
Total Income				69,256,386
Expenses
Management fee	$	3,155,566
Custodian fees and expenses		17,650
Independent trustees' fees and expenses		5,133
Registration fees		75,240
Audit		53,755
Legal		2,239
Miscellaneous		6,051
Total expenses before reductions		3,315,634
Expense reductions		(1,514)
Total expenses after reductions				3,314,120
Net Investment income (loss)				65,942,266
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment Securities:
Unaffiliated issuers		(7,481,549)
Futures contracts		(1,367,237)
Total net realized gain (loss)				(8,848,786)
Change in net unrealized appreciation (depreciation) on:
Investment Securities:
Unaffiliated issuers		34,543,482
Futures contracts		(490,699)
Total change in net unrealized appreciation (depreciation)				34,052,783
Net gain (loss)				25,203,997
Net increase (decrease) in net assets resulting from operations			$	91,146,263

Statement of Changes in Net Assets

		Six months ended February 29, 2024 (Unaudited)		Year ended August 31, 2023
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	65,942,266	$	83,641,831
Net realized gain (loss)		(8,848,786)		(33,890,448)
Change in net unrealized appreciation (depreciation)		34,052,783		14,038,850
Net increase (decrease) in net assets resulting from operations		91,146,263		63,790,233
Distributions to shareholders		(63,219,078)		(66,825,466)

Share transactions
Proceeds from sales of shares		514,409,727		2,028,572,765
Reinvestment of distributions		62,390,019		66,164,601
Cost of shares redeemed		(620,138,785)		(732,498,679)

Net increase (decrease) in net assets resulting from share transactions		(43,339,039)		1,362,238,687
Total increase (decrease) in net assets		(15,411,854)		1,359,203,454

Net Assets
Beginning of period		3,202,288,964		1,843,085,510
End of period	$	3,186,877,110	$	3,202,288,964

Other Information
Shares
Sold		53,705,837		213,529,531
Issued in reinvestment of distributions		6,511,925		6,952,035
Redeemed		(64,878,619)		(77,105,778)
Net increase (decrease)		(4,660,857)		143,375,788

Financial Highlights

Fidelity® SAI Short-Term Bond Fund

		Six months ended (Unaudited) February 29, 2024		Years ended August 31, 2023		2022		2021 A
Selected Per-Share Data
Net asset value, beginning of period	$	9.52	$	9.55	$	10.01	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.200		.312		.075		.047
Net realized and unrealized gain (loss)		.082		(.105)		(.475)		.007
Total from investment operations		.282		.207		(.400)		.054
Distributions from net investment income		(.192)		(.237)		(.056)		(.044)
Distributions from net realized gain		-		-		(.004)		-
Total distributions		(.192)		(.237)		(.060)		(.044)
Net asset value, end of period	$	9.61	$	9.52	$	9.55	$	10.01
Total Return D,E		2.98%		2.20%		(4.01)%		.54%
Ratios to Average Net Assets C,F,G
Expenses before reductions		.21% H,I		.26%		.31%		.34% H
Expenses net of fee waivers, if any		.21% H,I		.26%		.30%		.34% H
Expenses net of all reductions		.21% H,I		.26%		.30%		.34% H
Net investment income (loss)		4.20% H,I		3.30%		.77%		.49% H
Supplemental Data
Net assets, end of period (000 omitted)	$	3,186,877	$	3,202,289	$	1,843,086	$	1,845,225
Portfolio turnover rate J		64% H		55%		74%		70% H,K

AFor the period September 15, 2020 (commencement of operations) through August 31, 2021.

BCalculated based on average shares outstanding during the period.

DTotal returns for periods of less than one year are not annualized.

ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

HAnnualized.

IProxy expenses are not annualized.

JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

KAmount not annualized.

Notes to Financial Statements (Unaudited)

For the period ended February 29, 2024

1. Organization.

Fidelity SAI Short-Term Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

2. Investments in Fidelity Central Funds.

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices	Expense RatioA
Fidelity Money Market Central Funds	Fidelity Management & Research Company LLC (FMR)	Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.	Short-term Investments	Less than .005%

A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

3. Significant Accounting Policies.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value 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 services or from brokers who make markets in such securities. Corporate bonds and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Book-tax differences are primarily due to futures contracts, market discount, capital loss carryforwards and losses deferred due to wash sales.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation	$19,419,735
Gross unrealized depreciation	(22,548,866)
Net unrealized appreciation (depreciation)	$(3,129,131)
Tax cost	$3,187,047,629

Short-term	$(15,303,059)
Long-term	(34,230,066)
Total capital loss carryforward	$(49,533,125)

4. Derivative Instruments.

Derivatives were used to increase or decrease exposure to the following risk(s):


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

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

	Purchases ($)	Sales ($)
Fidelity SAI Short-Term Bond Fund	630,160,048	272,514,223

6. Fees and Other Transactions with Affiliates.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.

	Amount
Fidelity SAI Short-Term Bond Fund	$2,518

8. Security Lending.

	Total Security Lending Fees Paid to NFS	Security Lending Income From Securities Loaned to NFS	Value of Securities Loaned to NFS at Period End
Fidelity SAI Short-Term Bond Fund	$5	$-	$-

9. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $1,514.

10. Other.

At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.

	Strategic Advisers Fidelity Core Income Fund
Fidelity SAI Short-Term Bond Fund	15%

11. Risk and Uncertainties.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2023 to February 29, 2024).

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Expense Ratio- A	Beginning Account Value September 1, 2023	Ending Account Value February 29, 2024	Expenses Paid During Period- C September 1, 2023 to February 29, 2024

Fidelity® SAI Short-Term Bond Fund	.21%
Actual		$ 1,000	$ 1,029.80	$ 1.06
Hypothetical-B		$ 1,000	$ 1,023.82	$ 1.06

A Annualized expense ratio reflects expenses net of applicable fee waivers.

B 5% return per year before expenses