Nonconvertible Bonds - 44.3%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
COMMUNICATION SERVICES - 1.4%
|
|||
Media - 0.6%
|
|||
COX Communications, Inc. 3.85% 2/1/25 (b)
|
20,000,000
|
19,729,298
|
|
Warnermedia Holdings, Inc. 3.638% 3/15/25
|
18,716,000
|
18,398,131
|
|
38,127,429
|
|||
Wireless Telecommunication Services - 0.8%
|
|||
Rogers Communications, Inc. 2.95% 3/15/25
|
13,000,000
|
12,709,549
|
|
Sprint Corp. 7.625% 2/15/25
|
20,000,000
|
20,157,960
|
|
T-Mobile U.S.A., Inc. 3.5% 4/15/25
|
19,000,000
|
18,642,625
|
|
51,510,134
|
|||
TOTAL COMMUNICATION SERVICES
|
89,637,563
|
||
CONSUMER DISCRETIONARY - 3.8%
|
|||
Automobiles - 3.6%
|
|||
American Honda Finance Corp.:
|
|||
4.95% 1/9/26
|
14,550,000
|
14,476,127
|
|
5.8% 10/3/25
|
20,100,000
|
20,215,837
|
|
BMW U.S. Capital LLC U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.840% 6.1808% 4/1/25 (b)(c)(d)
|
26,951,000
|
27,078,450
|
|
General Motors Financial Co., Inc.:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.300% 6.6346% 4/7/25 (c)(d)
|
20,225,000
|
20,367,852
|
|
2.9% 2/26/25
|
19,064,000
|
18,673,313
|
|
3.8% 4/7/25
|
16,800,000
|
16,525,828
|
|
Mercedes-Benz Finance North America LLC:
|
|||
2.7% 6/14/24 (b)
|
3,000,000
|
2,997,022
|
|
4.95% 3/30/25 (b)
|
20,000,000
|
19,905,279
|
|
5.5% 11/27/24 (b)
|
12,000,000
|
11,976,389
|
|
Volkswagen Group of America Finance LLC:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.830% 6.1731% 3/20/26 (b)(c)(d)
|
27,150,000
|
27,230,194
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.950% 6.298% 6/7/24 (b)(c)(d)
|
25,400,000
|
25,402,102
|
|
5.8% 9/12/25 (b)
|
18,050,000
|
18,077,908
|
|
222,926,301
|
|||
Household Durables - 0.2%
|
|||
Lennar Corp. 4.75% 5/30/25
|
15,000,000
|
14,870,366
|
|
TOTAL CONSUMER DISCRETIONARY
|
237,796,667
|
||
CONSUMER STAPLES - 2.1%
|
|||
Beverages - 0.2%
|
|||
PepsiCo, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.400% 5.7207% 11/12/24 (c)(d)
|
15,255,000
|
15,271,035
|
|
Consumer Staples Distribution & Retail - 0.5%
|
|||
Dollar General Corp. 4.25% 9/20/24
|
28,250,000
|
28,113,797
|
|
Food Products - 0.1%
|
|||
Campbell Soup Co. 3.3% 3/19/25
|
7,400,000
|
7,264,785
|
|
Tobacco - 1.3%
|
|||
Altria Group, Inc. 2.35% 5/6/25
|
21,500,000
|
20,859,623
|
|
BAT Capital Corp. 3.222% 8/15/24
|
22,000,000
|
21,883,408
|
|
Philip Morris International, Inc.:
|
|||
3.25% 11/10/24
|
13,000,000
|
12,869,993
|
|
5.125% 11/15/24
|
12,000,000
|
11,978,855
|
|
Reynolds American, Inc. 4.45% 6/12/25
|
15,021,000
|
14,836,839
|
|
82,428,718
|
|||
TOTAL CONSUMER STAPLES
|
133,078,335
|
||
ENERGY - 2.3%
|
|||
Oil, Gas & Consumable Fuels - 2.3%
|
|||
Canadian Natural Resources Ltd. 3.9% 2/1/25
|
6,202,000
|
6,126,412
|
|
DCP Midstream Operating LP 5.375% 7/15/25
|
9,368,000
|
9,325,027
|
|
Devon Energy Corp. 5.25% 9/15/24
|
24,973,000
|
24,918,334
|
|
Enbridge, Inc.:
|
|||
2.5% 1/15/25
|
9,489,000
|
9,308,459
|
|
2.5% 2/14/25
|
13,000,000
|
12,714,440
|
|
Energy Transfer LP 5.75% 4/1/25
|
9,708,000
|
9,701,921
|
|
Marathon Petroleum Corp. 4.7% 5/1/25
|
18,750,000
|
18,580,507
|
|
MPLX LP 4.875% 12/1/24
|
16,370,000
|
16,310,482
|
|
Phillips 66 Co.:
|
|||
3.605% 2/15/25
|
8,600,000
|
8,472,743
|
|
3.85% 4/9/25
|
15,408,000
|
15,183,676
|
|
Plains All American Pipeline LP/PAA Finance Corp. 3.6% 11/1/24
|
10,000,000
|
9,907,147
|
|
140,549,148
|
|||
FINANCIALS - 27.0%
|
|||
Banks - 16.2%
|
|||
ABN AMRO Bank NV U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.780% 7.125% 9/18/27 (b)(c)(d)
|
19,000,000
|
19,313,500
|
|
Bank of America Corp.:
|
|||
1.319% 6/19/26 (c)
|
14,000,000
|
13,370,470
|
|
3.366% 1/23/26 (c)
|
13,000,000
|
12,801,708
|
|
3.384% 4/2/26 (c)
|
15,000,000
|
14,705,978
|
|
Bank of America NA 5.65% 8/18/25
|
18,000,000
|
18,070,757
|
|
Bank of Montreal:
|
|||
4.25% 9/14/24
|
19,016,000
|
18,937,962
|
|
5.92% 9/25/25
|
18,400,000
|
18,502,778
|
|
Bank of Nova Scotia:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 5.707% 7/31/24 (c)(d)
|
26,000,000
|
26,006,659
|
|
5.45% 6/12/25
|
19,000,000
|
18,977,317
|
|
Banque Federative du Credit Mutuel SA U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.410% 5.7327% 2/4/25 (b)(c)(d)
|
10,000,000
|
10,005,737
|
|
Barclays PLC:
|
|||
2.852% 5/7/26 (c)
|
19,000,000
|
18,492,539
|
|
3.65% 3/16/25
|
10,911,000
|
10,736,047
|
|
4.375% 1/12/26
|
18,500,000
|
18,125,941
|
|
5.304% 8/9/26 (c)
|
14,000,000
|
13,916,823
|
|
BPCE SA:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.570% 5.9015% 1/14/25 (b)(c)(d)
|
14,031,000
|
14,048,317
|
|
2.375% 1/14/25 (b)
|
8,819,000
|
8,625,930
|
|
Canadian Imperial Bank of Commerce U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.940% 6.2746% 4/7/25 (c)(d)
|
26,960,000
|
27,085,739
|
|
Citibank NA 5.864% 9/29/25
|
18,100,000
|
18,221,083
|
|
Citigroup, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.680% 6.0116% 10/30/24 (c)(d)
|
15,000,000
|
15,009,390
|
|
Cooperatieve Rabobank UA:
|
|||
1.339% 6/24/26 (b)(c)
|
16,360,000
|
15,621,706
|
|
2.625% 7/22/24 (b)
|
12,200,000
|
12,152,224
|
|
Credit Agricole SA 1.907% 6/16/26 (b)(c)
|
10,811,000
|
10,390,308
|
|
Danske Bank A/S:
|
|||
6.259% 9/22/26 (b)(c)
|
19,000,000
|
19,123,958
|
|
6.466% 1/9/26 (b)(c)
|
20,321,000
|
20,370,455
|
|
DNB Bank ASA 0.856% 9/30/25 (b)(c)
|
16,250,000
|
15,986,604
|
|
HSBC Holdings PLC:
|
|||
2.099% 6/4/26 (c)
|
14,000,000
|
13,493,046
|
|
2.633% 11/7/25 (c)
|
19,000,000
|
18,740,683
|
|
4.18% 12/9/25 (c)
|
20,000,000
|
19,815,403
|
|
Huntington National Bank 5.699% 11/18/25 (c)
|
8,499,000
|
8,480,751
|
|
ING Groep NV 3.869% 3/28/26 (c)
|
21,000,000
|
20,688,006
|
|
JPMorgan Chase & Co.:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.970% 6.3156% 6/14/25 (c)(d)
|
25,155,000
|
25,164,257
|
|
0.824% 6/1/25 (c)
|
18,660,000
|
18,660,000
|
|
0.969% 6/23/25 (c)
|
20,000,000
|
19,937,845
|
|
1.561% 12/10/25 (c)
|
12,129,000
|
11,868,368
|
|
2.301% 10/15/25 (c)
|
5,000,000
|
4,935,506
|
|
5.546% 12/15/25 (c)
|
9,000,000
|
8,989,258
|
|
KeyBank NA U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.320% 5.6656% 6/14/24 (c)(d)
|
28,390,000
|
28,386,622
|
|
Lloyds Banking Group PLC U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.560% 6.8804% 8/7/27 (c)(d)
|
8,500,000
|
8,616,520
|
|
Mitsubishi UFJ Financial Group, Inc.:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.380% 6.7301% 9/12/25 (c)(d)
|
20,000,000
|
20,062,626
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.650% 6.9797% 7/18/25 (c)(d)
|
25,000,000
|
25,030,945
|
|
0.953% 7/19/25 (c)
|
24,800,000
|
24,642,685
|
|
4.788% 7/18/25 (c)
|
21,313,000
|
21,282,272
|
|
5.063% 9/12/25 (c)
|
18,000,000
|
17,954,762
|
|
Mizuho Financial Group, Inc.:
|
|||
2.226% 5/25/26 (c)
|
14,000,000
|
13,536,464
|
|
2.555% 9/13/25 (c)
|
21,800,000
|
21,599,495
|
|
Morgan Stanley Bank, West Valley City Utah:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.160% 6.4923% 10/30/26 (c)(d)
|
16,100,000
|
16,350,350
|
|
5.479% 7/16/25
|
19,500,000
|
19,517,780
|
|
NatWest Group PLC 5.847% 3/2/27 (c)
|
1,000,000
|
1,002,696
|
|
NatWest Markets PLC U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.450% 6.7931% 3/22/25 (b)(c)(d)
|
17,169,000
|
17,304,953
|
|
PNC Financial Services Group, Inc. 5.812% 6/12/26 (c)
|
14,000,000
|
14,020,632
|
|
Royal Bank of Canada 4.95% 4/25/25
|
19,000,000
|
18,900,025
|
|
Santander Holdings U.S.A., Inc. 3.45% 6/2/25
|
9,532,000
|
9,305,316
|
|
Svenska Handelsbanken AB 0.55% 6/11/24 (b)
|
12,400,000
|
12,386,258
|
|
Swedbank AB U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.910% 6.246% 4/4/25 (b)(c)(d)
|
16,717,000
|
16,788,408
|
|
The Toronto-Dominion Bank U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.480% 5.8126% 10/10/25 (c)(d)
|
25,000,000
|
25,041,323
|
|
Truist Financial Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.400% 5.7473% 6/9/25 (c)(d)
|
27,500,000
|
27,498,625
|
|
U.S. Bancorp 1.45% 5/12/25
|
17,000,000
|
16,372,467
|
|
Wells Fargo & Co.:
|
|||
2.164% 2/11/26 (c)
|
18,700,000
|
18,244,051
|
|
3.3% 9/9/24
|
22,100,000
|
21,959,543
|
|
Wells Fargo Bank NA U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.800% 6.1253% 8/1/25 (c)(d)
|
15,390,000
|
15,443,293
|
|
1,010,621,164
|
|||
Capital Markets - 5.4%
|
|||
Athene Global Funding:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.710% 6.0502% 1/7/25 (b)(c)(d)
|
31,450,000
|
31,502,621
|
|
0.914% 8/19/24 (b)
|
14,250,000
|
14,102,342
|
|
5.684% 2/23/26 (b)
|
20,750,000
|
20,734,564
|
|
Bank of New York, New York U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.7956% 3/13/26 (c)(d)
|
13,310,000
|
13,321,356
|
|
Charles Schwab Corp. 4.2% 3/24/25
|
12,800,000
|
12,661,279
|
|
Credit Suisse AG U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.260% 6.5795% 2/21/25 (c)(d)
|
21,200,000
|
21,304,066
|
|
Deutsche Bank AG New York Branch:
|
|||
2.129% 11/24/26 (c)
|
9,000,000
|
8,522,738
|
|
3.961% 11/26/25 (c)
|
12,211,000
|
12,093,103
|
|
6.119% 7/14/26 (c)
|
18,600,000
|
18,622,020
|
|
Goldman Sachs Group, Inc.:
|
|||
0.855% 2/12/26 (c)
|
14,000,000
|
13,529,246
|
|
5.7% 11/1/24
|
30,000,000
|
30,000,265
|
|
Intercontinental Exchange, Inc. 3.65% 5/23/25
|
19,000,000
|
18,666,010
|
|
Moody's Corp. 3.75% 3/24/25
|
10,000,000
|
9,859,326
|
|
Morgan Stanley:
|
|||
2.188% 4/28/26 (c)
|
19,550,000
|
18,940,920
|
|
3.7% 10/23/24
|
12,100,000
|
12,008,104
|
|
UBS AG London Branch:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.7713% 8/9/24 (b)(c)(d)
|
17,225,000
|
17,232,062
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.470% 5.8015% 1/13/25 (b)(c)(d)
|
20,750,000
|
20,755,454
|
|
UBS Group AG:
|
|||
1.364% 1/30/27 (b)(c)
|
14,695,000
|
13,665,642
|
|
3.75% 3/26/25
|
14,150,000
|
13,930,072
|
|
6.373% 7/15/26 (b)(c)
|
14,000,000
|
14,068,444
|
|
335,519,634
|
|||
Consumer Finance - 2.9%
|
|||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
|
|||
1.65% 10/29/24
|
26,090,000
|
25,650,221
|
|
3.5% 1/15/25
|
23,378,000
|
23,034,035
|
|
Ally Financial, Inc. 5.8% 5/1/25
|
15,098,000
|
15,087,779
|
|
American Express Co.:
|
|||
3.625% 12/5/24
|
20,000,000
|
19,797,053
|
|
3.95% 8/1/25
|
11,739,000
|
11,541,528
|
|
6.338% 10/30/26 (c)
|
16,006,000
|
16,177,111
|
|
Capital One Financial Corp.:
|
|||
2.636% 3/3/26 (c)
|
9,700,000
|
9,469,763
|
|
3.2% 2/5/25
|
14,000,000
|
13,763,447
|
|
3.3% 10/30/24
|
6,000,000
|
5,939,796
|
|
Toyota Motor Credit Corp.:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.550% 5.8698% 10/16/24 (c)(d)
|
20,000,000
|
20,029,131
|
|
5.6% 9/11/25
|
18,000,000
|
18,070,452
|
|
178,560,316
|
|||
Financial Services - 1.0%
|
|||
CNH Industrial Capital LLC:
|
|||
3.95% 5/23/25
|
10,170,000
|
10,005,858
|
|
5.45% 10/14/25
|
19,000,000
|
18,999,629
|
|
Corebridge Financial, Inc. 3.5% 4/4/25
|
9,134,000
|
8,965,872
|
|
DH Europe Finance II SARL 2.2% 11/15/24
|
24,149,000
|
23,802,981
|
|
61,774,340
|
|||
Insurance - 1.5%
|
|||
Equitable Financial Life Global Funding:
|
|||
0.8% 8/12/24 (b)
|
9,235,000
|
9,143,254
|
|
1.1% 11/12/24 (b)
|
20,500,000
|
20,070,655
|
|
MassMutual Global Funding II 2.95% 1/11/25 (b)
|
12,300,000
|
12,105,488
|
|
New York Life Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.430% 5.7783% 6/6/24 (b)(c)(d)
|
26,200,000
|
26,200,616
|
|
Protective Life Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.980% 6.3213% 3/28/25 (b)(c)(d)
|
28,000,000
|
28,130,952
|
|
95,650,965
|
|||
TOTAL FINANCIALS
|
1,682,126,419
|
||
HEALTH CARE - 2.7%
|
|||
Biotechnology - 0.5%
|
|||
AbbVie, Inc. 2.6% 11/21/24
|
20,000,000
|
19,720,102
|
|
Amgen, Inc. 5.25% 3/2/25
|
13,000,000
|
12,968,375
|
|
32,688,477
|
|||
Health Care Providers & Services - 2.0%
|
|||
Cigna Group 3.25% 4/15/25
|
13,000,000
|
12,745,099
|
|
CVS Health Corp.:
|
|||
3.375% 8/12/24
|
20,000,000
|
19,908,301
|
|
4.1% 3/25/25
|
13,075,000
|
12,908,160
|
|
Elevance Health, Inc. 3.35% 12/1/24
|
26,500,000
|
26,205,299
|
|
HCA Holdings, Inc.:
|
|||
5.25% 4/15/25
|
9,896,000
|
9,853,338
|
|
5.375% 2/1/25
|
20,750,000
|
20,679,396
|
|
Humana, Inc. 3.85% 10/1/24
|
18,900,000
|
18,778,188
|
|
121,077,781
|
|||
Pharmaceuticals - 0.2%
|
|||
Bristol-Myers Squibb Co. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.490% 5.8096% 2/20/26 (c)(d)
|
11,132,000
|
11,178,855
|
|
TOTAL HEALTH CARE
|
164,945,113
|
||
INDUSTRIALS - 2.3%
|
|||
Aerospace & Defense - 0.6%
|
|||
BAE Systems Holdings, Inc. 3.8% 10/7/24 (b)
|
20,068,000
|
19,926,229
|
|
The Boeing Co. 4.875% 5/1/25
|
18,500,000
|
18,302,294
|
|
38,228,523
|
|||
Building Products - 0.2%
|
|||
Carrier Global Corp. 5.8% 11/30/25
|
10,888,000
|
10,937,141
|
|
Ground Transportation - 0.2%
|
|||
Canadian Pacific Railway Co. 2.9% 2/1/25
|
12,800,000
|
12,579,599
|
|
Machinery - 0.9%
|
|||
Caterpillar Financial Services Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.7705% 11/14/24 (c)(d)
|
25,000,000
|
25,034,738
|
|
Daimler Trucks Finance North America LLC:
|
|||
1.625% 12/13/24 (b)
|
9,715,000
|
9,510,292
|
|
5.2% 1/17/25 (b)
|
6,190,000
|
6,168,865
|
|
Otis Worldwide Corp. 2.056% 4/5/25
|
9,400,000
|
9,129,362
|
|
Parker Hannifin Corp. 3.65% 6/15/24
|
5,000,000
|
4,994,369
|
|
54,837,626
|
|||
Trading Companies & Distributors - 0.4%
|
|||
Air Lease Corp.:
|
|||
0.8% 8/18/24
|
15,076,000
|
14,911,188
|
|
2.3% 2/1/25
|
11,263,000
|
10,997,958
|
|
25,909,146
|
|||
TOTAL INDUSTRIALS
|
142,492,035
|
||
INFORMATION TECHNOLOGY - 0.7%
|
|||
Semiconductors & Semiconductor Equipment - 0.1%
|
|||
Analog Devices, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.250% 5.5908% 10/1/24 (c)(d)
|
9,050,000
|
9,051,506
|
|
Software - 0.6%
|
|||
Oracle Corp.:
|
|||
2.5% 4/1/25
|
25,750,000
|
25,085,464
|
|
2.95% 11/15/24
|
10,000,000
|
9,877,244
|
|
34,962,708
|
|||
TOTAL INFORMATION TECHNOLOGY
|
44,014,214
|
||
MATERIALS - 0.3%
|
|||
Chemicals - 0.3%
|
|||
Celanese U.S. Holdings LLC 6.05% 3/15/25
|
19,000,000
|
19,015,205
|
|
REAL ESTATE - 0.9%
|
|||
Equity Real Estate Investment Trusts (REITs) - 0.9%
|
|||
Brixmor Operating Partnership LP 3.85% 2/1/25
|
14,250,000
|
14,051,876
|
|
NNN (REIT), Inc. 3.9% 6/15/24
|
9,500,000
|
9,491,840
|
|
Simon Property Group LP 3.375% 10/1/24
|
19,000,000
|
18,856,243
|
|
Ventas Realty LP 2.65% 1/15/25
|
16,000,000
|
15,678,814
|
|
58,078,773
|
|||
UTILITIES - 0.8%
|
|||
Multi-Utilities - 0.8%
|
|||
Berkshire Hathaway Energy Co. 3.5% 2/1/25
|
13,000,000
|
12,818,392
|
|
Dominion Energy, Inc. 3.3% 3/15/25
|
13,000,000
|
12,740,564
|
|
DTE Energy Co. 2.529% 10/1/24
|
23,413,000
|
23,163,692
|
|
48,722,648
|
|||
|
TOTAL NONCONVERTIBLE BONDS
(Cost $2,753,942,232)
|
2,760,456,120
|
||
U.S. Treasury Obligations - 16.3%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
U.S. Treasury Bills, yield at date of purchase 5.31% 6/13/24
|
390,000,000
|
389,429,615
|
|
U.S. Treasury Notes:
|
|||
3% 6/30/24
|
260,952,000
|
260,484,129
|
|
4.125% 1/31/25
|
251,495,200
|
249,604,074
|
|
4.25% 1/31/26
|
31,000,000
|
30,643,984
|
|
4.75% 7/31/25
|
85,747,100
|
85,385,354
|
|
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $1,016,170,889)
|
1,015,547,156
|
||
Asset-Backed Securities - 12.4%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Ally Auto Receivables Trust Series 2024-1 Class A2, 5.32% 1/15/27
|
19,000,000
|
18,962,538
|
|
American Express Credit Account Master Trust Series 2022-3 Class A, 3.75% 8/15/27
|
20,840,000
|
20,428,216
|
|
BMW Vechicle Lease Trust Series 2023-1 Class A3, 5.16% 11/25/25
|
24,529,224
|
24,477,354
|
|
BMW Vehicle Lease Trust:
|
|||
Series 2023-2 Class A3, 5.99% 9/25/26
|
13,000,000
|
13,063,175
|
|
Series 2024-1 Class A2A, 5.1% 7/27/26
|
13,762,000
|
13,713,534
|
|
Bofa Auto Trust 2024-1 Series 2024-1A Class A2, 5.57% 12/15/26 (b)
|
9,580,000
|
9,574,979
|
|
Capital One Multi-Asset Execution Trust:
|
|||
Series 2021-A3 Class A3, 1.04% 11/15/26
|
12,100,000
|
11,853,772
|
|
Series 2022-A2 Class A, 3.49% 5/15/27
|
22,968,000
|
22,528,638
|
|
Carmax Auto Owner Trust:
|
|||
Series 2024-1 Class A2A, 5.3% 3/15/27
|
16,671,000
|
16,630,083
|
|
Series 2024-2 Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.730% 5.9037% 5/17/27 (c)(d)
|
11,885,000
|
11,890,261
|
|
Carmax Auto Owner Trust 2021-4 Series 2021-4 Class A3, 0.56% 9/15/26
|
11,721,175
|
11,392,305
|
|
Chase Auto Owner Trust Series 2024-1A Class A2, 5.48% 4/26/27 (b)
|
13,977,000
|
13,961,674
|
|
Citizens Auto Receivables Trust:
|
|||
Series 2024-1 Class A2A, 5.43% 10/15/26 (b)
|
17,751,000
|
17,723,245
|
|
Series 2024-2 Class A2A, 5.54% 11/16/26 (b)
|
15,703,000
|
15,692,079
|
|
Daimler Trucks Retail Trust 20 Series 2024-1 Class A2, 5.6% 4/15/26
|
18,500,000
|
18,491,353
|
|
Discover Card Execution Note Trust:
|
|||
Series 2022-A1 Class A1, 1.96% 2/15/27
|
20,000,000
|
19,496,096
|
|
Series 2022-A3 Class A3, 3.56% 7/15/27
|
20,000,000
|
19,585,138
|
|
DLLAD Series 2024-1A Class A2, 5.5% 8/20/27 (b)
|
6,190,000
|
6,186,630
|
|
DLLST Series 2024-1A Class A2, 5.33% 1/20/26 (b)
|
9,993,000
|
9,962,409
|
|
Drive Auto Receivables Trust Series 2024-1 Class A2, 5.83% 12/15/26
|
11,028,000
|
11,029,244
|
|
Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/26 (b)
|
2,800,000
|
2,803,804
|
|
Ford Credit Auto Lease Trust Series 2024-A Class A2A, 5.24% 7/15/26
|
11,846,000
|
11,820,653
|
|
Ford Credit Floorplan Master Owner Trust Series 2019-4 Class A, 2.44% 9/15/26
|
20,000,000
|
19,814,942
|
|
Fordl 2023-A Series 2023-A Class A3, 4.94% 3/15/26
|
4,500,000
|
4,487,715
|
|
FORDO Series 2022-B Class A3, 3.74% 9/15/26
|
10,604,978
|
10,496,018
|
|
GM Financial Automobile Leasing Trust:
|
|||
Series 2023-1 Class A3, 5.16% 4/20/26
|
8,000,000
|
7,978,908
|
|
Series 2024-2 Class A2A, 5.43% 9/21/26
|
15,549,000
|
15,555,985
|
|
Gm Financial Consumer Automobi Series 2024-2 Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.390% 5.7137% 3/16/27 (c)(d)
|
15,075,000
|
15,076,168
|
|
GM Financial Consumer Automobile Series 2024-1 Class ASB, 5.12% 2/16/27
|
14,386,000
|
14,342,258
|
|
GM Financial Leasing Trust Series 2024-1 Class A2A, 5.18% 6/22/26
|
20,259,000
|
20,189,346
|
|
Honda Auto Receivables 2024-2 Series 2024-2 Class A2, 5.48% 11/18/26
|
14,599,000
|
14,592,946
|
|
Huntington Auto Trust Series 2024-1A Class A2, 5.5% 3/15/27 (b)
|
18,859,000
|
18,834,657
|
|
Hyundai Auto Lease Securitizat Series 2024-B Class A2A, 5.51% 10/15/26 (b)
|
14,576,000
|
14,556,607
|
|
Hyundai Auto Lease Securitization Series 2024-A Class A2A, 5.15% 6/15/26 (b)
|
12,636,000
|
12,594,214
|
|
Hyundai Auto Receivables Trust Series 2024-A Class A2A, 5.29% 4/15/27
|
15,314,000
|
15,283,510
|
|
John Deere Owner Trust Series 2024-A Class A2A, 5.19% 2/16/27
|
25,462,000
|
25,392,300
|
|
Mercedes-Benz Auto Lease Trust Series 2024-A Class A2A, 5.44% 2/16/27
|
18,298,000
|
18,281,541
|
|
Mercedes-Benz Auto Receivables Series 2024-1 Class A2A, 5.06% 5/17/27
|
17,549,000
|
17,480,240
|
|
Nissan Master Owner Trust Receiva Series 2024-A Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.670% 5.9937% 2/15/28 (b)(c)(d)
|
25,000,000
|
25,008,063
|
|
Sbna Auto Lease Trust Series 2024-B Class A2, 5.67% 11/20/26 (b)
|
10,949,000
|
10,952,962
|
|
SBNA Auto Lease Trust 2024-A Series 2024-A Class A2, 5.45% 1/20/26 (b)
|
16,134,000
|
16,114,110
|
|
Sfs Auto Receivables Securitization Trust:
|
|||
Series 2024-1A Class A2, 5.35% 6/21/27 (b)
|
6,721,327
|
6,706,083
|
|
Series 2024-2A Class A2, 5.71% 10/20/27 (b)
|
15,344,000
|
15,350,072
|
|
Tesla Series 2024-A Class A2A, 5.37% 6/22/26 (b)
|
1,278,000
|
1,274,903
|
|
Tesla Electric Vehicle Trust 2023-1 Series 2023-1 Class A2A, 5.54% 12/21/26 (b)
|
19,560,000
|
19,548,035
|
|
Toyota Auto Receivables 2024-B Series 2024-B Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.350% 5.6737% 3/15/27 (c)(d)
|
15,944,000
|
15,951,972
|
|
Toyota Lease Owner Trust:
|
|||
Series 2023 A Class A3, 4.93% 4/20/26 (b)
|
21,950,000
|
21,831,931
|
|
Series 2024-A Class A2A, 5.33% 7/20/26 (b)
|
24,521,000
|
24,472,630
|
|
Verizon Master Trust Series 2022-6 Class A, 3.67% 1/22/29
|
12,602,000
|
12,345,164
|
|
World Omni Auto Receivables Trust:
|
|||
Series 2022-A Class A3, 1.66% 5/17/27
|
15,158,545
|
14,774,080
|
|
Series 2024-B Class A2A, 5.48% 9/15/27
|
13,192,000
|
13,186,354
|
|
World Omni Automobile Lease Se Series 2024-A Class A2B, 5.7537% 2/16/27 (c)
|
4,962,000
|
4,963,985
|
|
|
TOTAL ASSET-BACKED SECURITIES
(Cost $769,217,052)
|
768,704,879
|
||
Bank Notes - 0.2%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Truist Bank 2.15% 12/6/24
(Cost $10,694,340)
|
10,880,000
|
10,685,413
|
|
Certificates of Deposit - 7.4%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Bank of Nova Scotia yankee:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.390% 5.72% 6/7/24 (c)(d)
|
14,000,000
|
14,000,158
|
|
6% 10/18/24
|
23,700,000
|
23,730,881
|
|
BMO Harris Bank NA:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.670% 6% 7/8/24 (c)(d)
|
25,000,000
|
25,000,258
|
|
5.68% 6/4/24
|
7,000,000
|
7,000,160
|
|
Canadian Imperial Bank of Commerce yankee:
|
|||
5.95% 9/19/24
|
25,000,000
|
25,020,560
|
|
6% 10/18/24
|
23,700,000
|
23,728,300
|
|
Citibank NA U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.98% 6/17/24 (c)(d)
|
20,000,000
|
20,005,252
|
|
Cooperatieve Rabobank UA/NY yankee 6.05% 7/10/24
|
25,000,000
|
25,009,470
|
|
Lloyds Bank Corporate Markets PLC yankee:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 6.02% 7/8/24 (c)(d)
|
25,000,000
|
24,999,678
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6.03% 6/7/24 (c)(d)
|
25,000,000
|
25,002,490
|
|
5.91% 6/17/24
|
25,000,000
|
25,003,448
|
|
Royal Bank of Canada yankee U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.98% 7/3/24 (c)(d)
|
25,000,000
|
25,010,743
|
|
Sumitomo Mitsui Banking Corp. yankee:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6.03% 7/11/24 (c)(d)
|
25,000,000
|
25,016,468
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6.03% 7/26/24 (c)(d)
|
25,000,000
|
25,022,360
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6.03% 8/14/24 (c)(d)
|
25,000,000
|
25,029,000
|
|
Svenska Handelsbanken, Inc. yankee U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.570% 5.9% 8/29/24 (c)(d)
|
25,000,000
|
25,030,893
|
|
Toronto-Dominion Bank yankee:
|
|||
6% 10/17/24
|
23,700,000
|
23,729,634
|
|
6.01% 10/3/24
|
24,000,000
|
24,027,583
|
|
Wells Fargo Bank NA:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.630% 5.96% 7/18/24 (c)(d)
|
25,000,000
|
25,018,253
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.98% 7/5/24 (c)(d)
|
25,000,000
|
25,013,718
|
|
|
TOTAL CERTIFICATES OF DEPOSIT
(Cost $461,100,000)
|
461,399,307
|
||
Commercial Paper - 6.1%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Bank of Montreal U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.390% 5.72% 6/7/24 (c)(d)
|
7,000,000
|
7,000,435
|
|
Barclays Bank PLC U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.730% 6.06% 6/5/24 (b)(c)(d)
|
25,000,000
|
25,000,318
|
|
Bayer Corp.:
|
|||
5.9% 8/15/24
|
25,000,000
|
24,700,468
|
|
5.93% 7/9/24
|
25,000,000
|
24,846,818
|
|
5.93% 7/24/24
|
25,000,000
|
24,787,525
|
|
5.94% 9/10/24
|
25,000,000
|
24,597,668
|
|
BPCE SA yankee 5.66% 7/19/24
|
25,000,000
|
24,818,758
|
|
HSBC U.S.A., Inc.:
|
|||
yankee 6.05% 8/14/24
|
25,000,000
|
24,713,543
|
|
5.9% 11/21/24
|
25,000,000
|
24,337,593
|
|
ING U.S. Funding LLC:
|
|||
yankee 5.66% 7/26/24
|
23,700,000
|
23,501,707
|
|
5.64% 6/18/24
|
28,400,000
|
28,324,181
|
|
J.P. Morgan Securities, LLC 5.97% 7/12/24 (c)(d)
|
25,000,000
|
25,000,188
|
|
Royal Bank of Canada:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.390% 5.72% 6/6/24 (c)(d)
|
25,000,000
|
25,000,450
|
|
5.66% 10/11/24
|
23,700,000
|
23,229,181
|
|
Svenska Handelsbanken AB yankee:
|
|||
5.61% 9/18/24
|
28,300,000
|
27,844,378
|
|
5.65% 10/1/24
|
24,000,000
|
23,569,944
|
|
|
TOTAL COMMERCIAL PAPER
(Cost $381,080,287)
|
381,273,155
|
||
Money Market Funds - 13.1%
|
|||
Shares
|
Value ($)
|
||
Fidelity Cash Central Fund 5.39% (e)
(Cost $813,129,903)
|
813,020,174
|
813,182,778
|
|
|
TOTAL INVESTMENT IN SECURITIES - 99.8%
(Cost $6,205,334,703)
|
6,211,248,808
|
NET OTHER ASSETS (LIABILITIES) - 0.2%
|
14,329,212
|
NET ASSETS - 100.0%
|
6,225,578,020
|
(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 $895,981,885 or 14.4% of net assets.
|
(c)
|
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
|
(d)
|
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
|
(e)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
Affiliate
|
Value,
beginning
of period ($)
|
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%
|
922,551,611
|
3,463,928,687
|
3,573,296,805
|
37,551,885
|
(715)
|
-
|
813,182,778
|
1.7%
|
Total
|
922,551,611
|
3,463,928,687
|
3,573,296,805
|
37,551,885
|
(715)
|
-
|
813,182,778
|
|