Nonconvertible Bonds - 68.5%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
COMMUNICATION SERVICES - 6.4%
|
|||
Diversified Telecommunication Services - 2.2%
|
|||
AT&T, Inc.:
|
|||
1.7% 3/25/26
|
3,100,000
|
2,902,015
|
|
2.3% 6/1/27
|
2,000,000
|
1,838,687
|
|
NTT Finance Corp. 1.162% 4/3/26 (b)
|
5,299,000
|
4,917,685
|
|
Verizon Communications, Inc. 2.625% 8/15/26
|
1,460,000
|
1,381,916
|
|
11,040,303
|
|||
Media - 2.1%
|
|||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 6.15% 11/10/26
|
1,870,000
|
1,884,605
|
|
Comcast Corp. 3.95% 10/15/25
|
3,500,000
|
3,437,041
|
|
Discovery Communications LLC 4.9% 3/11/26
|
1,460,000
|
1,440,789
|
|
Warnermedia Holdings, Inc. 3.788% 3/15/25
|
3,700,000
|
3,638,984
|
|
10,401,419
|
|||
Wireless Telecommunication Services - 2.1%
|
|||
Rogers Communications, Inc. 3.2% 3/15/27
|
2,000,000
|
1,893,461
|
|
T-Mobile U.S.A., Inc.:
|
|||
1.5% 2/15/26
|
1,170,000
|
1,094,573
|
|
2.25% 2/15/26
|
1,600,000
|
1,514,836
|
|
3.5% 4/15/25
|
4,500,000
|
4,415,358
|
|
3.75% 4/15/27
|
1,540,000
|
1,476,884
|
|
10,395,112
|
|||
TOTAL COMMUNICATION SERVICES
|
31,836,834
|
||
CONSUMER DISCRETIONARY - 7.2%
|
|||
Automobiles - 6.0%
|
|||
American Honda Finance Corp.:
|
|||
1% 9/10/25
|
3,100,000
|
2,932,015
|
|
4.75% 1/12/26
|
1,100,000
|
1,091,596
|
|
General Motors Financial Co., Inc.:
|
|||
1.25% 1/8/26
|
4,954,000
|
4,628,984
|
|
5.25% 3/1/26
|
3,100,000
|
3,082,581
|
|
5.4% 5/8/27
|
1,500,000
|
1,497,481
|
|
Hyundai Capital America:
|
|||
1% 9/17/24 (b)
|
5,519,000
|
5,441,017
|
|
5.8% 6/26/25 (b)
|
1,500,000
|
1,500,633
|
|
Mercedes-Benz Finance North America LLC:
|
|||
4.8% 3/30/26 (b)
|
2,000,000
|
1,983,394
|
|
5.5% 11/27/24 (b)
|
1,460,000
|
1,457,127
|
|
Volkswagen Group of America Finance LLC:
|
|||
3.2% 9/26/26 (b)
|
3,919,000
|
3,723,772
|
|
5.8% 9/12/25 (b)
|
1,500,000
|
1,502,319
|
|
6% 11/16/26 (b)
|
550,000
|
556,689
|
|
29,397,608
|
|||
Hotels, Restaurants & Leisure - 0.2%
|
|||
Starbucks Corp. 4.75% 2/15/26
|
1,200,000
|
1,189,384
|
|
Specialty Retail - 1.0%
|
|||
Advance Auto Parts, Inc. 5.9% 3/9/26
|
574,000
|
574,751
|
|
AutoNation, Inc. 4.5% 10/1/25
|
1,460,000
|
1,435,791
|
|
AutoZone, Inc.:
|
|||
3.625% 4/15/25
|
1,460,000
|
1,435,209
|
|
5.05% 7/15/26
|
1,000,000
|
994,115
|
|
Lowe's Companies, Inc. 4.8% 4/1/26
|
215,000
|
213,200
|
|
O'Reilly Automotive, Inc. 5.75% 11/20/26
|
393,000
|
396,819
|
|
5,049,885
|
|||
Textiles, Apparel & Luxury Goods - 0.0%
|
|||
Tapestry, Inc. 7.05% 11/27/25
|
77,000
|
78,274
|
|
TOTAL CONSUMER DISCRETIONARY
|
35,715,151
|
||
CONSUMER STAPLES - 4.7%
|
|||
Consumer Staples Distribution & Retail - 0.7%
|
|||
Dollar General Corp. 4.25% 9/20/24
|
1,370,000
|
1,363,395
|
|
Dollar Tree, Inc. 4% 5/15/25
|
2,000,000
|
1,971,403
|
|
3,334,798
|
|||
Food Products - 1.3%
|
|||
Campbell Soup Co. 5.3% 3/20/26
|
292,000
|
291,341
|
|
Conagra Brands, Inc. 4.6% 11/1/25
|
1,800,000
|
1,775,926
|
|
McCormick & Co., Inc. 0.9% 2/15/26
|
5,000,000
|
4,636,019
|
|
6,703,286
|
|||
Tobacco - 2.7%
|
|||
BAT Capital Corp. 3.222% 8/15/24
|
350,000
|
348,145
|
|
BAT International Finance PLC 1.668% 3/25/26
|
6,600,000
|
6,163,440
|
|
Imperial Tobacco Finance PLC 3.125% 7/26/24 (b)
|
5,257,000
|
5,235,765
|
|
Philip Morris International, Inc. 2.75% 2/25/26
|
1,460,000
|
1,398,551
|
|
13,145,901
|
|||
TOTAL CONSUMER STAPLES
|
23,183,985
|
||
ENERGY - 5.1%
|
|||
Oil, Gas & Consumable Fuels - 5.1%
|
|||
Canadian Natural Resources Ltd. 2.05% 7/15/25
|
4,381,000
|
4,206,375
|
|
DCP Midstream Operating LP 5.625% 7/15/27
|
1,555,000
|
1,569,611
|
|
Devon Energy Corp. 5.25% 9/15/24
|
1,200,000
|
1,197,373
|
|
Diamondback Energy, Inc. 5.2% 4/18/27
|
1,364,000
|
1,361,074
|
|
Enbridge, Inc.:
|
|||
2.5% 2/14/25
|
584,000
|
571,172
|
|
5.9% 11/15/26
|
549,000
|
554,929
|
|
Energy Transfer LP 2.9% 5/15/25
|
1,800,000
|
1,752,447
|
|
Equinor ASA 1.75% 1/22/26
|
909,000
|
860,634
|
|
MPLX LP 1.75% 3/1/26
|
5,000,000
|
4,681,387
|
|
Occidental Petroleum Corp. 2.9% 8/15/24
|
2,098,000
|
2,085,119
|
|
Phillips 66 Co.:
|
|||
1.3% 2/15/26
|
1,750,000
|
1,634,419
|
|
3.85% 4/9/25
|
3,100,000
|
3,054,867
|
|
The Williams Companies, Inc.:
|
|||
4% 9/15/25
|
1,460,000
|
1,430,927
|
|
5.4% 3/2/26
|
290,000
|
289,466
|
|
25,249,800
|
|||
FINANCIALS - 27.8%
|
|||
Banks - 16.8%
|
|||
Bank of America Corp.:
|
|||
4.948% 7/22/28 (c)
|
5,000,000
|
4,942,607
|
|
5.202% 4/25/29 (c)
|
8,000,000
|
7,956,795
|
|
Barclays PLC:
|
|||
5.674% 3/12/28 (c)
|
1,250,000
|
1,250,658
|
|
6.496% 9/13/27 (c)
|
2,370,000
|
2,409,397
|
|
Citigroup, Inc.:
|
|||
3.52% 10/27/28 (c)
|
2,107,000
|
1,984,863
|
|
3.887% 1/10/28 (c)
|
2,000,000
|
1,926,731
|
|
4.075% 4/23/29 (c)
|
1,700,000
|
1,624,125
|
|
Cooperatieve Rabobank UA 5.564% 2/28/29 (b)(c)
|
1,500,000
|
1,502,808
|
|
Danske Bank A/S 6.259% 9/22/26 (b)(c)
|
1,228,000
|
1,236,012
|
|
HSBC Holdings PLC:
|
|||
1.645% 4/18/26 (c)
|
4,469,000
|
4,310,827
|
|
5.597% 5/17/28 (c)
|
1,500,000
|
1,504,243
|
|
5.887% 8/14/27 (c)
|
2,390,000
|
2,406,130
|
|
6.161% 3/9/29 (c)
|
1,500,000
|
1,532,012
|
|
ING Groep NV 4.55% 10/2/28
|
1,500,000
|
1,459,406
|
|
JPMorgan Chase & Co.:
|
|||
2.083% 4/22/26 (c)
|
5,000,000
|
4,842,938
|
|
4.851% 7/25/28 (c)
|
5,000,000
|
4,934,858
|
|
5.571% 4/22/28 (c)
|
861,000
|
866,390
|
|
Lloyds Banking Group PLC 5.871% 3/6/29 (c)
|
2,570,000
|
2,598,367
|
|
Mitsubishi UFJ Financial Group, Inc.:
|
|||
0.953% 7/19/25 (c)
|
5,000,000
|
4,968,283
|
|
5.422% 2/22/29 (c)
|
1,000,000
|
1,003,640
|
|
Mizuho Financial Group, Inc. 5.414% 9/13/28 (c)
|
1,500,000
|
1,499,970
|
|
Morgan Stanley Bank, West Valley City Utah 5.882% 10/30/26
|
2,000,000
|
2,024,450
|
|
NatWest Group PLC 5.516% 9/30/28 (c)
|
1,820,000
|
1,815,632
|
|
NatWest Markets PLC 5.416% 5/17/27 (b)
|
1,000,000
|
998,946
|
|
PNC Financial Services Group, Inc.:
|
|||
5.3% 1/21/28 (c)
|
568,000
|
566,369
|
|
5.354% 12/2/28 (c)
|
2,000,000
|
1,997,107
|
|
Santander Holdings U.S.A., Inc.:
|
|||
6.124% 5/31/27 (c)
|
307,000
|
308,097
|
|
6.499% 3/9/29 (c)
|
989,000
|
1,008,327
|
|
Societe Generale:
|
|||
2.625% 10/16/24 (b)
|
908,000
|
897,186
|
|
6.446% 1/10/29 (b)(c)
|
974,000
|
994,547
|
|
The Toronto-Dominion Bank 4.98% 4/5/27
|
2,500,000
|
2,480,777
|
|
Truist Financial Corp. 4.873% 1/26/29 (c)
|
1,120,000
|
1,096,033
|
|
U.S. Bancorp 4.653% 2/1/29 (c)
|
2,100,000
|
2,047,126
|
|
Wells Fargo & Co.:
|
|||
2.164% 2/11/26 (c)
|
5,000,000
|
4,878,089
|
|
2.393% 6/2/28 (c)
|
1,780,000
|
1,632,892
|
|
4.808% 7/25/28 (c)
|
2,000,000
|
1,964,401
|
|
5.707% 4/22/28 (c)
|
1,500,000
|
1,510,267
|
|
82,981,306
|
|||
Capital Markets - 3.7%
|
|||
Athene Global Funding 5.516% 3/25/27 (b)
|
3,000,000
|
2,993,507
|
|
Deutsche Bank AG New York Branch:
|
|||
5.706% 2/8/28 (c)
|
1,500,000
|
1,497,040
|
|
6.72% 1/18/29 (c)
|
1,790,000
|
1,848,289
|
|
Goldman Sachs Group, Inc.:
|
|||
2.64% 2/24/28 (c)
|
3,000,000
|
2,788,147
|
|
4.223% 5/1/29 (c)
|
1,130,000
|
1,083,244
|
|
Morgan Stanley:
|
|||
3.772% 1/24/29 (c)
|
2,111,000
|
2,000,781
|
|
5.123% 2/1/29 (c)
|
1,507,000
|
1,497,054
|
|
5.164% 4/20/29 (c)
|
1,630,000
|
1,619,020
|
|
NASDAQ, Inc. 5.65% 6/28/25
|
287,000
|
287,061
|
|
UBS Group AG:
|
|||
3.869% 1/12/29 (b)(c)
|
1,063,000
|
1,003,423
|
|
6.442% 8/11/28 (b)(c)
|
1,509,000
|
1,546,448
|
|
18,164,014
|
|||
Consumer Finance - 4.8%
|
|||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
|
|||
1.65% 10/29/24
|
788,000
|
774,717
|
|
1.75% 1/30/26
|
4,184,000
|
3,926,478
|
|
6.45% 4/15/27
|
2,006,000
|
2,053,401
|
|
American Express Co.:
|
|||
5.098% 2/16/28 (c)
|
1,000,000
|
994,192
|
|
6.338% 10/30/26 (c)
|
500,000
|
505,345
|
|
Capital One Financial Corp. 7.149% 10/29/27 (c)
|
2,000,000
|
2,066,698
|
|
Ford Motor Credit Co. LLC:
|
|||
5.8% 3/5/27
|
1,500,000
|
1,498,427
|
|
6.95% 6/10/26
|
5,000,000
|
5,089,230
|
|
John Deere Capital Corp. 4.8% 1/9/26
|
1,700,000
|
1,691,136
|
|
Synchrony Financial 4.25% 8/15/24
|
5,352,000
|
5,333,160
|
|
23,932,784
|
|||
Financial Services - 0.8%
|
|||
Aon Corp. / Aon Global Holdings PLC 2.85% 5/28/27
|
2,000,000
|
1,871,819
|
|
Corebridge Global Funding 5.75% 7/2/26 (b)
|
1,200,000
|
1,200,400
|
|
The Western Union Co. 2.85% 1/10/25
|
1,063,000
|
1,043,610
|
|
4,115,829
|
|||
Insurance - 1.7%
|
|||
Equitable Financial Life Global Funding 1.7% 11/12/26 (b)
|
2,000,000
|
1,822,052
|
|
Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 (b)
|
2,318,000
|
2,194,012
|
|
MassMutual Global Funding II:
|
|||
4.5% 4/10/26 (b)
|
1,500,000
|
1,480,525
|
|
5.1% 4/9/27 (b)
|
1,000,000
|
998,245
|
|
New York Life Global Funding 5.45% 9/18/26 (b)
|
2,000,000
|
2,007,082
|
|
8,501,916
|
|||
TOTAL FINANCIALS
|
137,695,849
|
||
HEALTH CARE - 3.6%
|
|||
Biotechnology - 0.7%
|
|||
AbbVie, Inc. 3.2% 5/14/26
|
1,460,000
|
1,406,653
|
|
Amgen, Inc. 5.25% 3/2/25
|
2,000,000
|
1,995,135
|
|
3,401,788
|
|||
Health Care Providers & Services - 1.4%
|
|||
Centene Corp. 2.45% 7/15/28
|
570,000
|
502,593
|
|
Cigna Group 1.25% 3/15/26
|
728,000
|
677,179
|
|
CVS Health Corp.:
|
|||
3% 8/15/26
|
1,460,000
|
1,386,324
|
|
5% 2/20/26
|
1,500,000
|
1,485,683
|
|
HCA Holdings, Inc. 5.875% 2/15/26
|
1,400,000
|
1,402,117
|
|
ICON Investments Six Designated Activity 5.809% 5/8/27
|
1,224,000
|
1,233,395
|
|
6,687,291
|
|||
Pharmaceuticals - 1.5%
|
|||
AstraZeneca Finance LLC 4.8% 2/26/27
|
1,500,000
|
1,491,683
|
|
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b)
|
6,250,000
|
6,096,476
|
|
7,588,159
|
|||
TOTAL HEALTH CARE
|
17,677,238
|
||
INDUSTRIALS - 6.1%
|
|||
Aerospace & Defense - 1.6%
|
|||
BAE Systems PLC 5% 3/26/27 (b)
|
440,000
|
436,054
|
|
L3Harris Technologies, Inc. 5.4% 1/15/27
|
2,000,000
|
2,005,921
|
|
RTX Corp. 5.75% 11/8/26
|
593,000
|
598,870
|
|
The Boeing Co.:
|
|||
2.196% 2/4/26
|
1,750,000
|
1,642,426
|
|
4.875% 5/1/25
|
3,000,000
|
2,967,940
|
|
6.259% 5/1/27 (b)
|
110,000
|
110,730
|
|
7,761,941
|
|||
Building Products - 0.5%
|
|||
Carrier Global Corp.:
|
|||
2.242% 2/15/25
|
1,750,000
|
1,707,989
|
|
5.8% 11/30/25
|
913,000
|
917,121
|
|
2,625,110
|
|||
Commercial Services & Supplies - 1.2%
|
|||
Republic Services, Inc. 0.875% 11/15/25
|
6,080,000
|
5,697,892
|
|
Machinery - 1.1%
|
|||
Daimler Trucks Finance North America LLC:
|
|||
1.625% 12/13/24 (b)
|
1,475,000
|
1,443,920
|
|
5% 1/15/27 (b)
|
1,000,000
|
992,222
|
|
5.15% 1/16/26 (b)
|
1,700,000
|
1,690,442
|
|
Ingersoll Rand, Inc. 5.197% 6/15/27
|
1,500,000
|
1,500,023
|
|
5,626,607
|
|||
Passenger Airlines - 1.0%
|
|||
Delta Air Lines, Inc. 2.9% 10/28/24
|
4,794,000
|
4,740,259
|
|
Trading Companies & Distributors - 0.5%
|
|||
Air Lease Corp. 0.8% 8/18/24
|
2,623,000
|
2,594,325
|
|
Transportation Infrastructure - 0.2%
|
|||
Avolon Holdings Funding Ltd. 2.875% 2/15/25 (b)
|
1,000,000
|
977,047
|
|
TOTAL INDUSTRIALS
|
30,023,181
|
||
INFORMATION TECHNOLOGY - 3.2%
|
|||
Electronic Equipment, Instruments & Components - 0.3%
|
|||
Amphenol Corp. 5.05% 4/5/27
|
222,000
|
221,464
|
|
Dell International LLC/EMC Corp. 6.02% 6/15/26
|
1,144,000
|
1,154,305
|
|
1,375,769
|
|||
Semiconductors & Semiconductor Equipment - 0.9%
|
|||
Microchip Technology, Inc. 0.983% 9/1/24
|
3,079,000
|
3,041,410
|
|
NXP BV/NXP Funding LLC/NXP U.S.A., Inc. 3.875% 6/18/26
|
1,460,000
|
1,416,842
|
|
4,458,252
|
|||
Software - 2.0%
|
|||
Black Knight InfoServ LLC 3.625% 9/1/28 (b)
|
1,500,000
|
1,402,500
|
|
Oracle Corp. 5.8% 11/10/25
|
4,400,000
|
4,422,783
|
|
VMware, Inc. 1% 8/15/24
|
3,937,000
|
3,898,183
|
|
9,723,466
|
|||
TOTAL INFORMATION TECHNOLOGY
|
15,557,487
|
||
MATERIALS - 0.8%
|
|||
Chemicals - 0.6%
|
|||
Celanese U.S. Holdings LLC 6.05% 3/15/25
|
1,460,000
|
1,461,168
|
|
Westlake Corp. 3.6% 8/15/26
|
1,460,000
|
1,401,984
|
|
2,863,152
|
|||
Metals & Mining - 0.2%
|
|||
Glencore Funding LLC 5.338% 4/4/27 (b)
|
1,250,000
|
1,246,349
|
|
TOTAL MATERIALS
|
4,109,501
|
||
REAL ESTATE - 0.9%
|
|||
Equity Real Estate Investment Trusts (REITs) - 0.9%
|
|||
American Tower Corp. 1.3% 9/15/25
|
1,905,000
|
1,804,143
|
|
Crown Castle, Inc.:
|
|||
1.35% 7/15/25
|
444,000
|
423,145
|
|
4% 3/1/27
|
2,000,000
|
1,925,238
|
|
4,152,526
|
|||
UTILITIES - 2.7%
|
|||
Electric Utilities - 1.3%
|
|||
Exelon Corp. 5.15% 3/15/29
|
286,000
|
284,506
|
|
FirstEnergy Corp.:
|
|||
1.6% 1/15/26
|
476,000
|
446,775
|
|
2.05% 3/1/25
|
2,724,000
|
2,646,473
|
|
Firstenergy Pennsylvania Elect 5.15% 3/30/26 (b)
|
550,000
|
543,780
|
|
Georgia Power Co. 5.004% 2/23/27
|
425,000
|
424,118
|
|
Southern Co. 5.15% 10/6/25
|
1,400,000
|
1,394,868
|
|
Tampa Electric Co. 3.875% 7/12/24
|
881,000
|
879,050
|
|
6,619,570
|
|||
Independent Power and Renewable Electricity Producers - 0.6%
|
|||
Emera U.S. Finance LP 0.833% 6/15/24
|
2,827,000
|
2,820,576
|
|
Multi-Utilities - 0.8%
|
|||
DTE Energy Co. 4.22% 11/1/24
|
1,600,000
|
1,589,104
|
|
NiSource, Inc. 0.95% 8/15/25
|
1,953,000
|
1,848,159
|
|
WEC Energy Group, Inc. 5% 9/27/25
|
570,000
|
566,121
|
|
4,003,384
|
|||
TOTAL UTILITIES
|
13,443,530
|
||
TOTAL NONCONVERTIBLE BONDS
(Cost $343,017,626)
|
338,645,082
|
||
U.S. Treasury Obligations - 8.2%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
U.S. Treasury Notes:
|
|||
0.5% 4/30/27
|
6,734,800
|
5,978,714
|
|
4.875% 5/31/26
|
34,700,000
|
34,705,416
|
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $40,689,096)
|
40,684,130
|
||
U.S. Government Agency - Mortgage Securities - 0.8%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Fannie Mae - 0.8%
|
|||
4.5% 3/1/39 to 9/1/49
|
3,473,022
|
3,329,237
|
|
5.5% 11/1/34
|
791,432
|
799,754
|
|
7.5% 11/1/31
|
150
|
156
|
|
TOTAL FANNIE MAE
|
4,129,147
|
||
Freddie Mac - 0.0%
|
|||
8.5% 5/1/26 to 7/1/28
|
5,175
|
5,298
|
|
Ginnie Mae - 0.0%
|
|||
7% to 7% 11/15/27 to 8/15/32
|
74,970
|
76,402
|
|
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $4,643,281)
|
4,210,847
|
||
Asset-Backed Securities - 15.1%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Affirm Asset Securitization Trust Series 2024-X1 Class A, 6.27% 5/15/29 (b)
|
186,000
|
186,203
|
|
Ally Auto Receivables Trust Series 2024-1 Class A3, 5.08% 12/15/28
|
241,000
|
239,608
|
|
American Express Credit Account Master Trust:
|
|||
Series 2022-4 Class A, 4.95% 10/15/27
|
947,000
|
941,011
|
|
Series 2023-1 Class A, 4.87% 5/15/28
|
792,000
|
787,073
|
|
Series 2023-3 Class A, 5.23% 9/15/28
|
1,594,000
|
1,594,328
|
|
Ares CLO Series 2024-54A Class AR, CME Term SOFR 3 Month Index + 1.270% 6.5986% 10/15/32 (b)(c)(d)
|
460,000
|
460,465
|
|
Ares XXXIV CLO Ltd. Series 2024-2A Class AR3, CME Term SOFR 3 Month Index + 1.320% 6.6371% 4/17/33 (b)(c)(d)
|
2,206,000
|
2,208,758
|
|
Ari Fleet Lease Trust 2023-B Series 2023-B Class A2, 6.05% 7/15/32 (b)
|
963,000
|
965,994
|
|
Bank of America Credit Card Master Trust:
|
|||
Series 2023-A1 Class A1, 4.79% 5/15/28
|
575,000
|
570,263
|
|
Series 2023-A2 Class A2, 4.98% 11/15/28
|
767,000
|
763,719
|
|
Bofa Auto Trust 2024-1 Series 2024-1A Class A3, 5.35% 11/15/28 (b)
|
88,000
|
87,676
|
|
Carmax Auto Owner Trust:
|
|||
Series 2024-1 Class A3, 4.92% 10/16/28
|
571,000
|
566,222
|
|
Series 2024-2 Class A3, 5.5% 1/16/29
|
172,000
|
172,477
|
|
Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28
|
253,000
|
255,474
|
|
Carvana Auto Receivables Trust Series 2021-P2 Class A3, 0.49% 3/10/26
|
433,254
|
431,544
|
|
Cent CLO LP Series 2021-21A Class A1R3, CME Term SOFR 3 Month Index + 1.230% 6.5565% 7/27/30 (b)(c)(d)
|
1,707,046
|
1,708,225
|
|
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b)
|
143,599
|
140,525
|
|
Chase Issuance Trust Series 2023-A1 Class A, 5.16% 9/15/28
|
1,866,000
|
1,861,768
|
|
Chesapeake Funding II LLC:
|
|||
Series 2023 1A Class A1, 5.65% 5/15/35 (b)
|
909,619
|
908,971
|
|
Series 2023-2A Class A1, 6.16% 10/15/35 (b)
|
156,805
|
157,661
|
|
Series 2024-1A Class A1, 5.52% 5/15/36 (b)
|
268,974
|
268,371
|
|
Citibank Credit Card Issuance Trust Series 2023-A1 Class A1, 5.23% 12/8/27
|
591,000
|
589,473
|
|
Citizens Auto Receivables Trust:
|
|||
Series 2024-1 Class A3, 5.11% 4/17/28 (b)
|
574,000
|
570,723
|
|
Series 2024-2 Class A3, 5.33% 8/15/28 (b)
|
278,000
|
277,430
|
|
Countrywide Home Loans, Inc. Series 2004-2 Class 3A4, CME Term SOFR 1 Month Index + 0.610% 5.9394% 7/25/34 (c)(d)
|
95,326
|
92,189
|
|
Daimler Trucks Retail Trust 20 Series 2024-1 Class A3, 5.49% 12/15/27
|
809,000
|
809,164
|
|
Dell Equipment Finance Trust 2:
|
|||
Series 2023-3 Class A3, 5.93% 4/23/29 (b)
|
648,000
|
651,639
|
|
Series 2024-1 Class A3, 5.39% 3/22/30 (b)
|
377,000
|
377,004
|
|
Dell Equipment Finance Trust 2023-2 Series 2023-2 Class A3, 5.65% 1/22/29 (b)
|
456,000
|
455,814
|
|
Dllaa 2023-1A Series 2023-1A Class A3, 5.64% 2/22/28 (b)
|
114,000
|
114,356
|
|
DLLAD Series 2024-1A Class A3, 5.3% 7/20/29 (b)
|
73,000
|
72,920
|
|
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6902% 4/15/31 (b)(c)(d)
|
3,350,000
|
3,358,465
|
|
Enterprise Fleet Financing Series 2024-2 Class A3, 5.61% 4/20/28 (b)
|
155,000
|
155,216
|
|
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b)
|
407,000
|
410,909
|
|
Enterprise Fleet Financing LLC:
|
|||
Series 2022-3 Class A2, 4.38% 7/20/29 (b)
|
155,748
|
154,057
|
|
Series 2024-1 Class A2, 5.23% 3/20/30 (b)
|
1,313,000
|
1,304,862
|
|
Flatiron Clo 28 Ltd. / Flatiron Series 2024-1A Class A1, CME Term SOFR 3 Month Index + 1.320% 1.32% 7/15/36 (b)(c)(d)(e)
|
1,387,000
|
1,388,635
|
|
Ford Credit Auto Owner Trust Series 2023-B Class A3, 5.23% 5/15/28
|
886,000
|
884,033
|
|
Ford Credit Floorplan Master Owner Trust Series 2024-1 Class A1, 5.29% 4/15/29 (b)
|
1,146,000
|
1,146,601
|
|
GM Financial Consumer Automobile Receivables Series 2023 2 Class A3, 4.47% 2/16/28
|
376,000
|
371,269
|
|
GM Financial Consumer Automobile Receivables Trust Series 2023-4 Class A3, 5.78% 8/16/28
|
1,043,000
|
1,051,396
|
|
GMF Floorplan Owner Revolving Trust:
|
|||
Series 2023-1 Class A1, 5.34% 6/15/28 (b)
|
1,306,000
|
1,303,050
|
|
Series 2024-1A Class A1, 5.13% 3/15/29 (b)
|
1,260,000
|
1,254,026
|
|
Harot 2023-4 Series 2023-4 Class A3, 5.67% 6/21/28
|
934,000
|
940,214
|
|
Hyundai Auto Lease Securitizat:
|
|||
Series 2023-B Class A3, 5.15% 6/15/26 (b)
|
1,500,000
|
1,494,145
|
|
Series 2024-B Class A3, 5.41% 5/17/27 (b)
|
406,000
|
406,586
|
|
Hyundai Auto Receivables Trust Series 2024-A Class A3, 4.99% 2/15/29
|
249,000
|
247,441
|
|
John Deere Owner Trust Series 2024-A Class A3, 4.96% 11/15/28
|
1,457,000
|
1,446,548
|
|
Marlette Funding Trust 2024-1 Series 2024-1A Class A, 5.95% 7/17/34 (b)
|
100,000
|
100,008
|
|
Mercedes-Benz Auto Lease Trust Series 2024-A Class A3, 5.32% 1/18/28
|
258,000
|
257,779
|
|
Niagara Park CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.260% 6.5787% 7/17/32 (b)(c)(d)
|
6,160,000
|
6,171,328
|
|
Nissan Master Owner Trust Receiva Series 2024-B Class A, 5.05% 2/15/29 (b)
|
440,000
|
436,650
|
|
Palmer Square Loan Funding 202 Series 2024-3A Class A1, CME Term SOFR 3 Month Index + 1.080% 0% 8/8/32 (b)(c)(d)(e)
|
770,000
|
770,534
|
|
Park Place Securities, Inc. Series 2005-WCH1 Class M4, CME Term SOFR 1 Month Index + 1.350% 6.6844% 1/25/36 (c)(d)
|
54,596
|
53,793
|
|
Porsche Financial Auto Securitization Trust Series 2023-2A Class A3, 5.79% 1/22/29 (b)
|
564,000
|
566,970
|
|
Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (b)(c)
|
2,776,813
|
2,704,763
|
|
Rr 16 Ltd. Series 2021-16A Class A1, CME Term SOFR 3 Month Index + 1.370% 6.7002% 7/15/36 (b)(c)(d)
|
667,000
|
668,744
|
|
Santander Drive Auto Receivables Trust Series 2022-5 Class A3, 4.11% 8/17/26
|
177,413
|
177,152
|
|
Sbna Auto Lease Trust Series 2024-B Class A3, 5.56% 11/22/27 (b)
|
231,000
|
230,896
|
|
Sfs Auto Receivables Securitiz Series 2023-1A Class A3, 5.47% 10/20/28 (b)
|
1,424,000
|
1,423,182
|
|
Sfs Auto Receivables Securitization Trust:
|
|||
Series 2024-1A Class A3, 4.95% 5/21/29 (b)
|
440,000
|
435,648
|
|
Series 2024-2A Class A3, 5.33% 11/20/29 (b)
|
132,000
|
131,816
|
|
Sofi Consumer Loan Program Series 2023-1S Class A, 5.81% 5/15/31 (b)
|
105,550
|
105,506
|
|
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.220% 6.5509% 11/18/30 (b)(c)(d)
|
1,607,327
|
1,611,066
|
|
Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 Month Index + 0.970% 6.2994% 9/25/34 (c)(d)
|
111,945
|
112,332
|
|
Tesla Series 2024-A Class A3, 5.3% 6/21/27 (b)
|
555,000
|
553,090
|
|
Tesla Electric Vehicle Trust 2023-1 Series 2023-1 Class A3, 5.38% 6/20/28 (b)
|
606,000
|
604,531
|
|
TMUST Series 2024-1A Class A, 5.05% 9/20/29 (b)
|
1,036,000
|
1,028,680
|
|
Toyota Lease Owner Trust Series 2024-A Class A3, 5.25% 4/20/27 (b)
|
250,000
|
249,242
|
|
Toyota Lease Owner Trust 2023- Series 2023-B Class A3, 5.66% 11/20/26 (b)
|
1,198,000
|
1,201,454
|
|
Upstart Securitization Trust 2 Series 2023-3 Class A, 6.9% 10/20/33 (b)
|
684,752
|
690,449
|
|
Usaa Auto Owner Trust 2023-A Series 2023-A Class A3, 5.58% 5/15/28 (b)
|
1,345,000
|
1,346,356
|
|
VCAT Asset Securitization, LLC:
|
|||
Series 2021-NPL1 Class A1, 5.2891% 12/26/50 (b)
|
327,031
|
324,471
|
|
Series 2021-NPL2 Class A1, 5.115% 3/27/51 (b)
|
1,991,104
|
1,960,248
|
|
Series 2021-NPL3 Class A1, 4.743% 5/25/51 (b)(c)
|
2,954,192
|
2,871,826
|
|
Verizon Master Trust:
|
|||
Series 2023 2 Class A, 4.89% 4/13/28
|
1,137,000
|
1,130,448
|
|
Series 2023-4 Class A1A, 5.16% 6/20/29
|
1,416,000
|
1,412,090
|
|
Series 2023-5 Class A1A, 5.61% 9/8/28
|
1,170,000
|
1,172,083
|
|
Volkswagen Auto Loan Enhanced:
|
|||
Series 2023-1 Class A3, 5.02% 6/20/28
|
650,000
|
645,541
|
|
Series 2023-2 Class A3, 5.48% 12/20/28
|
878,000
|
881,816
|
|
Wheels Fleet Lease Funding 1 L:
|
|||
Series 2023-2A Class A, 6.46% 8/18/38 (b)
|
1,241,000
|
1,251,943
|
|
Series 2024-1A Class A1, 5.49% 2/18/39 (b)
|
1,196,000
|
1,193,399
|
|
World Omni Auto Receivables Trust:
|
|||
Series 2023-C Class A3, 5.15% 11/15/28
|
142,000
|
141,396
|
|
Series 2023-D Class A3, 5.79% 2/15/29
|
851,000
|
858,053
|
|
Series 2024-A Class A3, 4.86% 3/15/29
|
1,300,000
|
1,290,818
|
|
Series 2024-B Class A3, 5.27% 9/17/29
|
602,000
|
600,950
|
|
World Omni Automobile Lease Se Series 2024-A Class A3, 5.26% 10/15/27
|
559,000
|
557,926
|
|
TOTAL ASSET-BACKED SECURITIES
(Cost $74,716,009)
|
74,529,478
|
||
Collateralized Mortgage Obligations - 0.7%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Private Sponsor - 0.4%
|
|||
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c)
|
272,406
|
267,356
|
|
Cfmt LLC floater sequential payer Series 2024-HB13 Class A, 3% 5/25/34 (b)(c)
|
197,000
|
187,918
|
|
Preston Ridge Partners Mortgage Trust Series 2021-2 Class A1, 5.115% 3/25/26 (b)
|
1,195,341
|
1,175,726
|
|
Prpm 2024-Rpl2 LLC Series 2024-RPL2 Class A1, 3.5% 5/25/54 (b)(c)
|
566,000
|
532,663
|
|
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, CME Term SOFR 6 Month Index + 1.300% 6.5595% 7/20/34 (c)(d)
|
981
|
893
|
|
TOTAL PRIVATE SPONSOR
|
2,164,556
|
||
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% 5.7382% 5/25/45 (c)(d)
|
347,923
|
342,891
|
|
sequential payer Series 2001-40 Class Z, 6% 8/25/31
|
26,780
|
26,628
|
|
Series 2016-27:
|
|||
Class HK, 3% 1/25/41
|
411,930
|
381,923
|
|
Class KG, 3% 1/25/40
|
185,983
|
172,135
|
|
Series 2016-42 Class FL, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.460% 5.7882% 7/25/46 (c)(d)
|
379,788
|
377,139
|
|
Freddie Mac Series 3949 Class MK, 4.5% 10/15/34
|
205,318
|
199,652
|
|
TOTAL U.S. GOVERNMENT AGENCY
|
1,500,368
|
||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $3,769,659)
|
3,664,924
|
||
Commercial Mortgage Securities - 4.8%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
BAMLL Commercial Mortgage Securities Trust sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b)
|
1,502,000
|
1,351,670
|
|
BLOX Trust floater sequential payer Series 2021-BLOX Class A, CME Term SOFR 1 Month Index + 0.860% 6.1815% 9/15/26 (b)(c)(d)
|
3,055,000
|
2,960,285
|
|
BLP Commercial Mortgage Trust sequential payer Series 2024-IND2 Class A, CME Term SOFR 1 Month Index + 1.340% 6.6589% 3/15/41 (b)(c)(d)
|
219,000
|
219,137
|
|
Brookfield floater Series 2024-MF23 Class A, CME Term SOFR 1 Month Index + 1.370% 6.8118% 6/15/41 (b)(c)(d)
|
279,000
|
278,476
|
|
BX Commercial Mortgage Trust 2024-Xl4 floater sequential payer Series 2024-XL4 Class A, CME Term SOFR 1 Month Index + 1.440% 6.7588% 2/15/39 (b)(c)(d)
|
511,193
|
511,991
|
|
BX Commercial Mtg Trust floater Series 2024-MDHS Class A, 6.8415% 5/15/41 (b)(c)
|
658,000
|
658,823
|
|
BX Trust floater Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4818% 8/15/39 (b)(c)(d)
|
325,193
|
326,616
|
|
CF Hippolyta Issuer LLC sequential payer:
|
|||
Series 2020-1 Class A1, 1.69% 7/15/60 (b)
|
4,794,079
|
4,521,660
|
|
Series 2021-1A Class A1, 1.53% 3/15/61 (b)
|
3,194,897
|
2,908,517
|
|
COMM Mortgage Trust sequential payer Series 2015 LC19 Class A3, 2.922% 2/10/48
|
477,229
|
472,373
|
|
CSMC Trust Series 2017-CHOP Class A, PRIME RATE - 2.300% 6.194% 7/15/32 (b)(c)(d)
|
304,511
|
297,507
|
|
GS Mortgage Securities Trust Series 2011-GC5 Class A/S, 5.1513% 8/10/44 (b)(c)
|
3,120,871
|
3,027,608
|
|
JPMorgan Chase Commercial Mortgage Securities Trust floater Series 2019-BKWD Class A, CME Term SOFR 1 Month Index + 1.610% 6.9315% 9/15/29 (b)(c)(d)
|
1,148,029
|
1,093,856
|
|
Morgan Stanley Capital I Trust sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b)
|
3,286,000
|
3,101,337
|
|
Open Trust 2023-Air sequential payer Series 2023-AIR Class A, CME Term SOFR 1 Month Index + 3.080% 8.4059% 10/15/28 (b)(c)(d)
|
324,790
|
329,459
|
|
Voya CLO Ltd. floater Series 2024-2A Class AR, CME Term SOFR 3 Month Index + 1.200% 6.5246% 7/20/32 (b)(c)(d)
|
1,800,000
|
1,802,700
|
|
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $25,201,842)
|
23,862,015
|
||
Bank Notes - 1.0%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Citibank NA 5.438% 4/30/26
|
1,000,000
|
1,002,054
|
|
Goldman Sachs Bank U.S.A. 5.283% 3/18/27 (c)
|
3,800,000
|
3,784,503
|
|
TOTAL BANK NOTES
(Cost $4,800,000)
|
4,786,557
|
||
Money Market Funds - 2.7%
|
|||
Shares
|
Value ($)
|
||
Fidelity Cash Central Fund 5.39% (f)
(Cost $13,333,343)
|
13,330,677
|
13,333,343
|
|
TOTAL INVESTMENT IN SECURITIES - 101.8%
(Cost $510,170,856)
|
503,716,376
|
NET OTHER ASSETS (LIABILITIES) - (1.8)%
|
(9,006,833)
|
NET ASSETS - 100.0%
|
494,709,543
|
Futures Contracts
|
|||||
Number
of contracts
|
Expiration
Date
|
Notional
Amount ($)
|
Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
|
Purchased
|
|||||
Treasury Contracts
|
|||||
CBOT 2-Year U.S. Treasury Note Contracts (United States)
|
233
|
Sep 2024
|
47,462,828
|
(44,089)
|
(44,089)
|
CBOT 5-Year U.S. Treasury Note Contracts (United States)
|
59
|
Sep 2024
|
6,242,016
|
(19,000)
|
(19,000)
|
TOTAL FUTURES CONTRACTS
|
(63,089)
|
||||
The notional amount of futures purchased as a percentage of Net Assets is 10.9%
|
(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 $138,308,506 or 28.0% of net assets.
|
(c)
|
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
|
(d)
|
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
|
(e)
|
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
|
(f)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
Affiliate
|
Value,
beginning
of period ($)
|
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%
|
2,455,314
|
186,607,905
|
175,730,013
|
286,138
|
137
|
-
|
13,333,343
|
0.0%
|
Total
|
2,455,314
|
186,607,905
|
175,730,013
|
286,138
|
137
|
-
|
13,333,343
|
|