Nonconvertible Bonds - 1.9%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Homebuilders/Real Estate - 1.7%
|
|||
American Tower Corp.:
|
|||
4.05% 3/15/32
|
1,785,000
|
1,592,000
|
|
5.65% 3/15/33
|
2,000,000
|
1,992,149
|
|
Invitation Homes Operating Partnership LP 5.5% 8/15/33
|
2,455,000
|
2,375,829
|
|
NNN (REIT), Inc. 5.6% 10/15/33
|
2,485,000
|
2,435,114
|
|
Uniti Group LP / Uniti Group Finance, Inc. 10.5% 2/15/28 (b)
|
1,635,000
|
1,631,132
|
|
TOTAL HOMEBUILDERS/REAL ESTATE
|
10,026,224
|
||
Hotels - 0.2%
|
|||
Times Square Hotel Trust 8.528% 8/1/26 (b)
|
1,276,942
|
1,261,921
|
|
TOTAL NONCONVERTIBLE BONDS
(Cost $11,367,082)
|
11,288,145
|
||
Asset-Backed Securities - 2.6%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
American Homes 4 Rent Series 2015-SFR2 Class XS, 0% 10/17/52 (b)(c)(d)(e)
|
2,520,396
|
25
|
|
Capital Trust RE CDO Ltd. Series 2005-1A:
|
|||
Class D, CME Term SOFR 1 Month Index + 1.610% 3.3464% 3/20/50 (b)(c)(e)(f)
|
750,000
|
0
|
|
Class E, CME Term SOFR 1 Month Index + 2.210% 3.9464% 3/20/50 (b)(c)(e)(f)
|
2,670,000
|
0
|
|
Crest Ltd. Series 2004-1A Class H1, 3 month U.S. LIBOR + 3.690% 8.9627% (b)(c)(e)(f)(g)
|
3,078,262
|
0
|
|
FirstKey Homes Trust Series 2021-SFR1 Class F1, 3.238% 8/17/38 (b)
|
1,068,000
|
924,012
|
|
Home Partners of America Trust:
|
|||
Series 2019-2 Class F, 3.866% 10/19/39 (b)
|
2,033,805
|
1,727,646
|
|
Series 2021-1 Class F, 3.325% 9/17/41 (b)
|
897,335
|
720,228
|
|
Series 2021-2 Class G, 4.505% 12/17/26 (b)
|
5,330,118
|
4,499,267
|
|
Series 2021-3 Class F, 4.242% 1/17/41 (b)
|
1,224,433
|
1,020,372
|
|
Progress Residential Series 2023-SFR1:
|
|||
Class E1, 6.15% 3/17/40 (b)
|
648,000
|
612,658
|
|
Class E2, 6.6% 3/17/40 (b)
|
687,000
|
642,766
|
|
Progress Residential Trust:
|
|||
Series 2020-SFR1:
|
|||
Class G, 4.028% 4/17/37 (b)
|
1,638,000
|
1,523,758
|
|
Class H, 5.268% 4/17/37 (b)
|
462,000
|
434,276
|
|
Series 2020-SFR3 Class H, 6.234% 10/17/27 (b)
|
966,000
|
905,809
|
|
Taberna Preferred Funding VI Ltd. Series 2006-6A Class F1, CME Term SOFR 3 Month Index + 4.760% 10.1315% 12/5/36 (b)(c)(e)(f)(g)
|
6,283,734
|
1
|
|
Tricon American Homes:
|
|||
Series 2017-SFR2 Class F, 5.104% 1/17/36 (b)
|
664,000
|
656,616
|
|
Series 2020-SFR1 Class F, 4.882% 7/17/38 (b)
|
574,000
|
537,433
|
|
Tricon Residential Trust Series 2021-SFR1 Class G, 4.133% 7/17/38 (b)
|
672,000
|
590,180
|
|
TOTAL ASSET-BACKED SECURITIES
(Cost $23,290,805)
|
14,795,047
|
||
Collateralized Mortgage Obligations - 0.0%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Private Sponsor - 0.0%
|
|||
Countrywide Home Loans, Inc. Series 2003-R1 Class 2B4, 3.3614% 2/25/43 (b)(c)
|
25,836
|
2,859
|
|
U.S. Government Agency - 0.0%
|
|||
Fannie Mae REMIC Trust:
|
|||
Series 2002-W1 subordinate REMIC pass thru certificates, Class 3B3, 3.632% 2/25/42 (b)(c)
|
23,202
|
9,682
|
|
Series 2002-W6 subordinate REMIC pass thru certificates, Class 3B4, 3.726% 1/25/42 (b)(c)(e)
|
19,612
|
1,684
|
|
Series 2003-W10 subordinate REMIC pass thru certificates:
|
|||
Class 2B4, 3.6543% 6/25/43 (c)(e)(h)
|
79,540
|
29,925
|
|
Class 2B5, 3.6543% 6/25/43 (c)(e)(h)
|
8,378
|
100
|
|
TOTAL U.S. GOVERNMENT AGENCY
|
41,391
|
||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $38,151)
|
44,250
|
||
Commercial Mortgage Securities - 89.4%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
BAMLL Commercial Mortgage Securities Trust:
|
|||
floater Series 2019-RLJ Class D, CME Term SOFR 1 Month Index + 1.990% 7.308% 4/15/36 (b)(c)(f)
|
4,028,000
|
3,953,576
|
|
Series 2015-200P Class F, 3.7157% 4/14/33 (b)(c)
|
2,588,000
|
2,207,420
|
|
BANK:
|
|||
sequential payer:
|
|||
Series 2020-BN28 Class A4, 1.844% 3/15/63
|
1,612,000
|
1,272,462
|
|
Series 2021-BN32 Class A5, 2.643% 4/15/54
|
730,000
|
602,320
|
|
Series 2021-BN33 Class A5, 2.556% 5/15/64
|
1,584,000
|
1,294,298
|
|
Series 2021-BN35 Class A5, 2.285% 6/15/64
|
2,650,000
|
2,111,684
|
|
Series 2022-BNK39 Class A4, 2.928% 2/15/55
|
1,895,000
|
1,573,852
|
|
Series 2022-BNK40, Class A4, 3.5066% 3/15/64 (c)
|
742,000
|
639,095
|
|
Series 2022-BNK42:
|
|||
Class D, 2.5% 6/15/55 (b)
|
1,664,000
|
811,854
|
|
Class E, 2.5% 6/15/55 (b)
|
1,302,000
|
527,068
|
|
Series 2022-BNK42, Class A5, 4.493% 6/15/55 (c)
|
2,326,000
|
2,167,673
|
|
Series 2023-BNK45 Class C, 6.4886% 2/15/56 (c)
|
990,000
|
839,345
|
|
Series 2017-BNK4 Class D, 3.357% 5/15/50 (b)
|
2,308,000
|
1,635,140
|
|
Series 2017-BNK8:
|
|||
Class D, 2.6% 11/15/50 (b)
|
4,653,000
|
2,488,245
|
|
Class E, 2.8% 11/15/50 (b)(e)
|
2,625,000
|
1,037,217
|
|
Series 2018-BN10:
|
|||
Class B, 4.078% 2/15/61 (c)
|
1,035,000
|
883,678
|
|
Class C, 4.163% 2/15/61 (c)
|
2,785,000
|
2,225,820
|
|
Series 2019-BN18 Class D, 3% 5/15/62 (b)
|
4,284,000
|
1,847,291
|
|
Series 2019-BN22 Class D, 2.5% 11/15/62 (b)
|
2,465,000
|
1,409,191
|
|
Series 2020-BN27 Class D, 2.5% 4/15/63 (b)
|
921,000
|
508,187
|
|
Series 2020-BN28:
|
|||
Class A/S, 2.14% 3/15/63
|
717,000
|
556,927
|
|
Class E, 2.5% 3/15/63 (b)
|
903,000
|
413,729
|
|
Series 2020-BN30 Class MCDG, 3.0155% 12/15/53 (c)
|
3,921,000
|
1,737,815
|
|
Series 2022-BNK43 Class D, 3% 8/15/55 (b)
|
2,614,000
|
1,330,228
|
|
Series 2022-BNK44:
|
|||
Class A/S, 5.9371% 11/15/55 (c)
|
1,225,000
|
1,174,404
|
|
Class C, 5.9371% 11/15/55 (c)
|
5,014,000
|
4,057,904
|
|
Bank 2023-Bnk46:
|
|||
sequential payer Series 2023-BNK46 Class A4, 5.745% 8/15/56
|
2,458,000
|
2,508,815
|
|
Series 2023-BNK46:
|
|||
Class B, 6.9991% 8/15/56
|
1,675,000
|
1,680,699
|
|
Class C, 6.9991% 8/15/56
|
738,000
|
652,121
|
|
Bank of America Commercial Mortgage Securities Trust Series 2017-BNK3 Class D, 3.25% 2/15/50 (b)
|
2,201,000
|
1,500,635
|
|
Bank of America Commercial Mortgage Trust Series 2016-UB10 Class D, 3% 7/15/49 (b)
|
726,000
|
540,997
|
|
Barclays Commercial Mortgage Securities sequential payer Series 2021-C12 Class A5, 2.689% 11/15/54
|
580,000
|
474,756
|
|
Barclays Commercial Mortgage Securities LLC Series 2019-C5 Class D, 2.5% 11/15/52 (b)
|
726,000
|
437,817
|
|
BBCMS Series 2022-C15, Class A5, 3.662% 4/15/55
|
3,015,000
|
2,647,145
|
|
BBCMS Mortgage Trust:
|
|||
sequential payer:
|
|||
Series 2020-C8 Class E, 2.25% 10/15/53 (b)(e)
|
3,013,000
|
1,346,993
|
|
Series 2022-C14 Class A5, 2.946% 2/15/55
|
3,302,000
|
2,745,891
|
|
Series 2022-C17 Class D, 2.5% 9/15/55 (b)(e)
|
1,200,000
|
573,914
|
|
Series 2022-C18 Class A5, 5.71% 12/15/55
|
3,150,000
|
3,214,201
|
|
Series 2023-C19 Class A5, 5.451% 4/15/56
|
1,036,000
|
1,038,314
|
|
Series 2016-ETC Class D, 3.7292% 8/14/36 (b)(c)
|
1,749,000
|
1,358,747
|
|
Series 2022-C16 Class A5, 4.6% 6/15/55
|
4,573,000
|
4,310,818
|
|
Series 2022-C17 Class B, 4.889% 9/15/55
|
1,491,000
|
1,261,396
|
|
Series 2022-C18, Class B, 6.3475% 12/15/55 (c)
|
1,890,000
|
1,779,125
|
|
Series 2023 C19 Class B, 6.5459% 4/15/56 (c)
|
1,080,000
|
1,018,345
|
|
Benchmark 2023-B39 C Mtg Trust:
|
|||
sequential payer Series 2023-B39 Class A5, 5.7536% 7/15/56
|
2,714,000
|
2,770,550
|
|
Series 2023-B39 Class C, 6.7941% 7/15/56 (c)
|
1,859,000
|
1,673,037
|
|
Benchmark Mortgage Trust:
|
|||
sequential payer:
|
|||
Series 2019-B14:
|
|||
Class 225D, 3.4041% 12/15/62 (b)(c)(e)
|
1,680,000
|
338,959
|
|
Class 225E, 3.4041% 12/15/62 (b)(c)
|
1,132,000
|
114,651
|
|
Series 2020-B21 Class A5, 1.9775% 12/17/53
|
1,691,000
|
1,322,612
|
|
Series 2020-B22, Class A5, 1.973% 1/15/54
|
1,484,000
|
1,158,715
|
|
Series 2021-B29, Class A5, 2.3879% 9/15/54
|
2,055,000
|
1,637,608
|
|
Series 2022-B33 Class A5, 3.4582% 3/15/55
|
2,477,000
|
2,143,965
|
|
Series 2022-B34 Class A5, 3.786% 4/15/55
|
1,341,000
|
1,131,746
|
|
Series 2022-B36 Class A5, 4.4699% 7/15/55
|
1,233,000
|
1,141,407
|
|
Series 2022-B37 Class A5, 5.7511% 11/15/55 (c)
|
1,427,000
|
1,462,669
|
|
Series 2023-B38 Class A4, 5.5246% 4/15/56
|
1,264,000
|
1,267,902
|
|
Series 2018-B7 Class D, 3% 5/15/53 (b)(c)
|
833,000
|
529,722
|
|
Series 2019-B12 Class B, 3.5702% 8/15/52
|
1,186,000
|
954,527
|
|
Series 2020-B18:
|
|||
Class AGNG, 4.5348% 7/15/53 (b)(c)
|
4,074,000
|
3,486,128
|
|
Class D, 2.25% 7/15/53 (b)
|
1,500,000
|
739,508
|
|
Series 2020-B21:
|
|||
Class A/S, 2.2543% 12/17/53
|
662,000
|
499,756
|
|
Class D, 2% 12/17/53 (b)
|
1,638,000
|
816,357
|
|
Series 2020-IG3 Class 825E, 3.0763% 9/15/48 (b)(c)
|
3,049,000
|
2,144,336
|
|
Series 2021-B25:
|
|||
Class 300D, 3.094% 4/15/54 (b)(c)
|
6,055,000
|
3,475,483
|
|
Class 300E, 2.9942% 4/15/54 (b)(c)
|
1,113,000
|
658,591
|
|
Series 2022 B37 Class B, 5.9428% 11/15/55 (c)
|
980,000
|
885,503
|
|
Series 2022-B35 Class D, 2.5% 5/15/55 (b)
|
3,003,000
|
1,358,705
|
|
Series 2022-B36:
|
|||
Class A/S, 4.9505% 7/15/55
|
1,190,000
|
1,083,722
|
|
Class D, 2.5% 7/15/55 (b)
|
1,872,000
|
849,429
|
|
Series 2022-B37 Class C, 5.7511% 11/15/55 (c)
|
2,090,000
|
1,630,640
|
|
Series 2023 B38 Class B, 6.4528% 4/15/56 (c)
|
1,351,000
|
1,267,650
|
|
Bmo 2023-5C1 Mtg Trust Series 2023-5C1:
|
|||
Class A/S, 7.355% 8/15/56 (c)
|
1,840,000
|
1,891,884
|
|
Class B, 6.96% 8/15/56 (c)
|
553,000
|
551,580
|
|
Bmo 2023-C4 Mtg Trust Series 2023-C4:
|
|||
Class B, 5.5917% 2/15/56 (c)
|
1,186,000
|
1,049,799
|
|
Class C, 6.0589% 2/15/56 (c)
|
1,147,000
|
946,895
|
|
Bmo 2023-C6 Mtg Trust Series 2023-C6 Class A/S, 6.5504% 9/15/56 (c)
|
1,229,000
|
1,275,857
|
|
BMO Mortgage Trust Series 2022-C1:
|
|||
Class 360D, 4.0699% 2/17/55 (b)(c)
|
1,638,000
|
923,842
|
|
Class 360E, 4.0699% 2/17/55 (b)(c)
|
1,970,000
|
1,062,209
|
|
BX Commercial Mortgage Trust:
|
|||
floater:
|
|||
Series 2020-VKNG:
|
|||
Class F, CME Term SOFR 1 Month Index + 2.860% 8.175% 10/15/37 (b)(c)(f)
|
950,600
|
918,031
|
|
Class G, CME Term SOFR 1 Month Index + 3.360% 8.675% 10/15/37 (b)(c)(f)
|
1,258,600
|
1,207,173
|
|
Series 2021-MC Class G, CME Term SOFR 1 Month Index + 3.200% 8.5113% 4/15/34 (b)(c)(f)
|
1,572,000
|
1,331,834
|
|
Series 2021-PAC Class G, CME Term SOFR 1 Month Index + 3.060% 8.3706% 10/15/36 (b)(c)(f)
|
3,192,000
|
3,003,777
|
|
Series 2021-VINO:
|
|||
Class F, CME Term SOFR 1 Month Index + 2.910% 8.2268% 5/15/38 (b)(c)(f)
|
2,590,224
|
2,473,149
|
|
Class G, CME Term SOFR 1 Month Index + 4.060% 9.3768% 5/15/38 (b)(c)(f)
|
3,774,607
|
3,578,209
|
|
Series 2020-VIVA:
|
|||
Class D, 3.667% 3/11/44 (b)(c)
|
9,422,000
|
7,590,556
|
|
Class E, 3.667% 3/11/44 (b)(c)
|
8,563,000
|
6,674,343
|
|
Bx Commercial Mortgage Trust 2 floater Series 2019-IMC Class G, CME Term SOFR 1 Month Index + 3.710% 9.0245% 4/15/34 (b)(c)(f)
|
3,255,000
|
3,192,660
|
|
BX Trust:
|
|||
floater:
|
|||
Series 2019-XL Class J, CME Term SOFR 1 Month Index + 2.760% 8.075% 10/15/36 (b)(c)(f)
|
17,517,650
|
16,995,629
|
|
Series 2021-ACNT Class G, CME Term SOFR 1 Month Index + 3.400% 8.7195% 11/15/38 (b)(c)(f)
|
2,541,000
|
2,427,341
|
|
Series 2021-LBA:
|
|||
Class FJV, CME Term SOFR 1 Month Index + 2.510% 7.8255% 2/15/36 (b)(c)(f)
|
458,000
|
427,862
|
|
Class GJV, CME Term SOFR 1 Month Index + 3.110% 8.4255% 2/15/36 (b)(c)(f)
|
1,033,000
|
960,498
|
|
Series 2021-MFM1:
|
|||
Class F, CME Term SOFR 1 Month Index + 3.110% 8.4245% 1/15/34 (b)(c)(f)
|
754,141
|
723,820
|
|
Class G, CME Term SOFR 1 Month Index + 4.010% 9.3245% 1/15/34 (b)(c)(f)
|
377,070
|
355,824
|
|
Series 2021-SOAR:
|
|||
Class G, CME Term SOFR 1 Month Index + 2.910% 8.2255% 6/15/38 (b)(c)(f)
|
3,416,530
|
3,262,130
|
|
Class J, CME Term SOFR 1 Month Index + 3.860% 9.1755% 6/15/38 (b)(c)(f)
|
2,785,215
|
2,626,524
|
|
Series 2021-VOLT Class G, CME Term SOFR 1 Month Index + 2.960% 8.275% 9/15/36 (b)(c)(f)
|
2,448,000
|
2,253,042
|
|
Series 2022-LBA6 Class F, CME Term SOFR 1 Month Index + 3.350% 8.6605% 1/15/39 (b)(c)(f)
|
4,315,000
|
4,097,289
|
|
sequential payer Series 2019-OC11 Class A, 3.202% 12/9/41 (b)
|
4,453,000
|
3,823,473
|
|
Series 2019-OC11 Class E, 4.0755% 12/9/41 (b)(c)
|
14,678,000
|
11,946,672
|
|
BXP Trust Series 2021-601L Class E, 2.868% 1/15/44 (b)(c)
|
709,000
|
384,039
|
|
BXSC Commercial Mortgage Trust floater Series 2022-WSS Class F, 10.64% 3/15/35 (b)(c)
|
2,283,000
|
2,237,193
|
|
CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class G, CME Term SOFR 1 Month Index + 3.360% 8.6755% 12/15/37 (b)(c)(f)
|
11,968,000
|
11,580,516
|
|
CD Mortgage Trust Series 2017-CD3 Class D, 3.25% 2/10/50 (b)(e)
|
4,073,000
|
1,601,417
|
|
Citigroup Commercial Mortgage Series 2023-SMRT Class D, 6.0475% 6/10/28 (b)(c)
|
2,611,000
|
2,446,369
|
|
Citigroup Commercial Mortgage Trust:
|
|||
sequential payer Series 2019-C7 Class A4, 3.102% 12/15/72
|
1,859,000
|
1,607,373
|
|
Series 2013-GC15 Class D, 5.3827% 9/10/46 (b)(c)
|
7,323,000
|
7,125,086
|
|
Series 2020-420K Class E, 3.4222% 11/10/42 (b)(c)
|
2,081,000
|
1,404,657
|
|
Series 2022-GC48 Class D, 2.5% 6/15/55 (b)
|
3,129,000
|
1,496,260
|
|
Citigroup Commercial Mtg Trust 2023-Prm Series 2023-PRM3 Class D, 6.5717% 7/10/28 (b)(c)
|
1,383,000
|
1,301,760
|
|
COMM Mortgage Trust:
|
|||
floater Series 2018-HCLV Class G, CME Term SOFR 1 Month Index + 5.200% 10.5123% 9/15/33 (b)(c)(f)
|
1,487,000
|
645,612
|
|
sequential payer Series 2013-LC6 Class E, 3.5% 1/10/46 (b)
|
2,840,000
|
2,277,628
|
|
Series 2012-CR1:
|
|||
Class D, 5.4684% 5/15/45 (b)(c)
|
2,388,390
|
1,576,334
|
|
Class G, 2.462% 5/15/45 (b)(e)
|
264,833
|
5,298
|
|
Series 2014-CR17 Class E, 5.0056% 5/10/47 (b)(c)
|
589,000
|
462,156
|
|
Series 2014-CR20 Class AM, 3.938% 11/10/47
|
299,000
|
284,798
|
|
Series 2015-3BP Class F, 3.3463% 2/10/35 (b)(c)
|
4,405,000
|
3,770,927
|
|
Series 2017-CD4 Class D, 3.3% 5/10/50 (b)
|
2,000,070
|
1,331,135
|
|
Series 2019-CD4 Class C, 4.3497% 5/10/50 (c)
|
1,920,000
|
1,411,373
|
|
COMM Trust Series 2017-COR2 Class D, 3% 9/10/50 (b)
|
1,146,000
|
767,587
|
|
Commercial Mortgage Trust Series 2016-CD2 Class D, 2.8611% 11/10/49 (c)
|
1,680,000
|
872,409
|
|
Commercial Mortgage Trust pass-thru certificates:
|
|||
Series 2012-CR2:
|
|||
Class E, 5.0358% 8/15/45 (b)(c)
|
2,425,618
|
2,195,184
|
|
Class F, 4.25% 8/15/45 (b)(e)
|
2,540,000
|
1,828,800
|
|
Series 2014-CR2 Class G, 4.25% 8/15/45 (b)(e)
|
1,556,000
|
700,200
|
|
CPT Mortgage Trust sequential payer Series 2019-CPT:
|
|||
Class E, 3.0967% 11/13/39 (b)(c)
|
1,785,000
|
1,082,596
|
|
Class F, 3.0967% 11/13/39 (b)(c)
|
2,772,000
|
1,593,209
|
|
Credit Suisse Commercial Mortgage Trust floater Series 2021-SOP2 Class F, CME Term SOFR 1 Month Index + 4.330% 9.6418% 6/15/34 (b)(f)
|
2,561,600
|
1,815,153
|
|
Credit Suisse Mortgage Trust:
|
|||
floater Series 2021-4SZN Class A, CME Term SOFR 1 Month Index + 3.960% 9.2775% 11/15/23 (b)(c)(f)
|
7,098,000
|
6,855,891
|
|
Series 2021-BRIT Class A, CME Term SOFR 1 Month Index + 3.570% 8.8837% 5/15/26 (b)(c)(f)
|
3,269,728
|
2,947,252
|
|
Csmc 2019-Uvil Series 2019-UVIL Class E, 3.3928% 12/15/41 (b)(c)
|
5,161,000
|
3,714,908
|
|
DBGS Mortgage Trust:
|
|||
Series 2018-C1 Class C, 4.7979% 10/15/51 (c)
|
777,000
|
595,850
|
|
Series 2019-1735 Class F, 4.3344% 4/10/37 (b)(c)
|
1,000,000
|
591,501
|
|
DC Office Trust Series 2019-MTC Class E, 3.1744% 9/15/45 (b)(c)
|
1,029,000
|
614,205
|
|
ELP Commercial Mortgage Trust floater Series 2021-ELP Class J, CME Term SOFR 1 Month Index + 3.720% 9.0404% 11/15/38 (b)(c)(f)
|
4,570,000
|
4,256,149
|
|
Extended Stay America Trust floater Series 2021-ESH Class F, CME Term SOFR 1 Month Index + 3.810% 9.1245% 7/15/38 (b)(c)(f)
|
5,769,750
|
5,581,459
|
|
GS Mortgage Securities Corp. II Series 2010-C1 Class B, 5.148% 8/10/43 (b)
|
137,894
|
136,527
|
|
GS Mortgage Securities Corp. Trust floater Series 2019-70P Class F, CME Term SOFR 1 Month Index + 2.760% 8.0755% 10/15/36 (b)(c)(f)
|
2,550,000
|
2,228,553
|
|
GS Mortgage Securities Trust:
|
|||
sequential payer:
|
|||
Series 2019-GSA1 Class A4, 3.0479% 11/10/52
|
2,965,000
|
2,582,637
|
|
Series 2020-GC45 Class A5, 2.9106% 2/13/53
|
2,586,000
|
2,224,197
|
|
Series 2011-GC5:
|
|||
Class D, 5.2976% 8/10/44 (b)(c)
|
1,929,752
|
564,281
|
|
Class E, 5.2976% 8/10/44 (b)(c)
|
2,432,000
|
237,157
|
|
Class F, 4.5% 8/10/44 (b)(e)
|
4,308,000
|
15,110
|
|
Series 2012-GCJ9 Class D, 4.7683% 11/10/45 (b)(c)
|
3,515,064
|
3,172,295
|
|
Series 2013-GC16:
|
|||
Class D, 5.4607% 11/10/46 (b)(c)
|
3,923,000
|
3,741,508
|
|
Class F, 3.5% 11/10/46 (b)
|
2,530,000
|
2,082,421
|
|
Series 2016-GS2 Class D, 2.753% 5/10/49 (b)
|
2,058,050
|
1,580,334
|
|
Series 2019-GC38 Class D, 3% 2/10/52 (b)
|
1,162,000
|
743,287
|
|
Series 2019-GC39 Class D, 3% 5/10/52 (b)
|
2,830,000
|
1,511,237
|
|
Series 2019-GC42:
|
|||
Class C, 3.8168% 9/10/52 (c)
|
831,000
|
621,955
|
|
Class D, 2.8% 9/10/52 (b)
|
2,307,000
|
1,301,738
|
|
Series 2019-GS5 Class C, 4.299% 3/10/50 (c)(e)
|
2,499,000
|
1,647,258
|
|
Series 2020-GC45 Class SWD, 3.3258% 12/13/39 (b)(c)
|
1,764,000
|
1,136,780
|
|
Series 2020-GC47 Class D, 3.569% 5/12/53 (b)(c)
|
756,000
|
455,339
|
|
Gs Mtg Securities Corp. Trust 2023-Ship sequential payer Series 2023-SHIP:
|
|||
Class D, 6.273% 9/15/38 (b)(c)
|
1,969,000
|
1,904,564
|
|
Class E, 7.6814% 9/15/38 (b)
|
2,460,000
|
2,378,308
|
|
Hilton U.S.A. Trust Series 2016-HHV:
|
|||
Class E, 4.3333% 11/5/38 (b)(c)
|
5,078,000
|
4,564,544
|
|
Class F, 4.3333% 11/5/38 (b)(c)
|
5,977,000
|
5,289,167
|
|
Home Partners of America Trust Series 2019-1:
|
|||
Class E, 3.604% 9/17/39 (b)
|
1,285,144
|
1,124,247
|
|
Class F, 4.101% 9/17/39 (b)
|
208,530
|
182,380
|
|
Hudson Yards Mortgage Trust Series 2019-55HY Class F, 3.0409% 12/10/41 (b)(c)
|
1,617,000
|
1,074,178
|
|
IMT Trust Series 2017-APTS Class CFX, 3.6132% 6/15/34 (b)(c)
|
2,271,000
|
2,185,481
|
|
Independence Plaza Trust Series 2018-INDP Class E, 4.996% 7/10/35 (b)
|
2,083,000
|
1,882,052
|
|
JPMBB Commercial Mortgage Securities Trust:
|
|||
Series 2014-C23 Class UH5, 4.7094% 9/15/47 (b)(e)
|
604,000
|
455,295
|
|
Series 2015-C32 Class C, 4.8049% 11/15/48 (c)(e)
|
1,500,000
|
1,014,706
|
|
JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class D, 3.5159% 12/15/49 (b)(c)
|
2,418,000
|
1,572,282
|
|
JPMDB Commercial Mortgage Securities Trust:
|
|||
Series 2018-C8 Class D, 3.428% 6/15/51 (b)(c)(e)
|
1,171,000
|
696,359
|
|
Series 2019-COR6 Class D, 2.5% 11/13/52 (b)
|
1,354,000
|
728,315
|
|
Series 2020-COR7 Class D, 1.75% 5/13/53 (b)
|
1,535,000
|
730,954
|
|
JPMorgan Chase Commercial Mortgage Securities Trust:
|
|||
floater Series 2021-MHC Class E, CME Term SOFR 1 Month Index + 2.560% 7.8745% 4/15/38 (b)(c)(f)
|
3,060,000
|
2,952,326
|
|
sequential payer Series 2019-OSB Class D, 3.9089% 6/5/39 (b)(c)
|
984,000
|
793,331
|
|
Series 2011-C3:
|
|||
Class E, 5.7099% 2/15/46 (b)(c)(e)
|
3,008,000
|
1,254,558
|
|
Class G, 4.409% 2/15/46 (b)(c)
|
1,082,000
|
122,103
|
|
Class H, 4.409% 2/15/46 (b)(c)(e)
|
2,622,000
|
200,539
|
|
Series 2012-CBX:
|
|||
Class E, 4.8459% 6/15/45 (b)(c)(e)
|
2,519,288
|
2,163,915
|
|
Class F, 4% 6/15/45 (b)(e)
|
3,743,000
|
1,441,055
|
|
Class G 4% 6/15/45 (b)(e)
|
4,129,000
|
1,135,475
|
|
Series 2013-LC11:
|
|||
Class D, 4.3071% 4/15/46 (c)
|
3,677,000
|
2,280,657
|
|
Class E, 3.25% 4/15/46 (b)(c)
|
104,000
|
43,731
|
|
Class F, 3.25% 4/15/46 (b)(c)(e)
|
5,894,000
|
619,571
|
|
Series 2014-DSTY:
|
|||
Class D, 3.9314% 6/10/27 (b)(c)(e)
|
3,213,000
|
8,047
|
|
Class E, 3.9314% 6/10/27 (b)(c)(e)
|
4,232,000
|
10,339
|
|
Series 2018-AON Class F, 4.767% 7/5/31 (b)(c)
|
2,150,000
|
534,813
|
|
Series 2019-OSB Class E, 3.9089% 6/5/39 (b)(c)
|
2,350,000
|
1,805,600
|
|
Series 2020-NNN:
|
|||
Class EFX, 3.972% 1/16/37 (b)
|
2,771,000
|
2,171,821
|
|
Class FFX, 4.6254% 1/16/37 (b)
|
2,388,000
|
1,781,965
|
|
Class GFX, 4.6882% 1/16/37 (b)(c)
|
942,000
|
657,284
|
|
KNDL Mortgage Trust floater Series 2019-KNSQ Class F, CME Term SOFR 1 Month Index + 2.190% 7.506% 5/15/36 (b)(c)(f)
|
5,600,000
|
5,488,064
|
|
KNDR Trust floater Series 2021-KIND Class F, CME Term SOFR 1 Month Index + 4.060% 9.3745% 8/15/38 (b)(c)(f)
|
4,439,911
|
4,063,819
|
|
LIFE Mortgage Trust floater Series 2021-BMR Class G, CME Term SOFR 1 Month Index + 3.060% 8.3745% 3/15/38 (b)(c)(f)
|
11,211,758
|
10,623,884
|
|
Market Mortgage Trust Series 2020-525M Class F, 3.0386% 2/12/40 (b)(c)
|
1,976,000
|
507,949
|
|
Merit floater Series 2021-STOR:
|
|||
Class G, CME Term SOFR 1 Month Index + 2.860% 8.1755% 7/15/38 (b)(c)(f)
|
735,000
|
700,204
|
|
Class J, CME Term SOFR 1 Month Index + 4.060% 9.3755% 7/15/38 (b)(c)(f)
|
1,847,000
|
1,754,270
|
|
MHC Commercial Mortgage Trust floater Series 2021-MHC Class G, CME Term SOFR 1 Month Index + 3.310% 8.6254% 4/15/38 (b)(c)(f)
|
14,000,000
|
13,443,668
|
|
MHP Commercial Mortgage Trust floater Series 2022-MHIL Class G, CME Term SOFR 1 Month Index + 3.950% 9.268% 1/15/27 (b)(c)(f)
|
2,285,341
|
2,171,023
|
|
Mira Trust 2023-Mile sequential payer Series 2023-MILE Class B, 7.2026% 6/10/38 (b)
|
1,012,000
|
993,687
|
|
MOFT Trust Series 2020-ABC:
|
|||
Class D, 3.5926% 2/10/42 (b)(c)(e)
|
1,144,000
|
466,351
|
|
Class E, 3.5926% 2/10/42 (b)(c)(e)
|
841,000
|
304,876
|
|
Morgan Stanley BAML Trust:
|
|||
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 (e)
|
1,666,000
|
892,468
|
|
Series 2012-C6 Class D, 4.5743% 11/15/45 (b)(c)(e)
|
3,633,000
|
3,027,676
|
|
Series 2012-C6, Class F, 4.5743% 11/15/45 (b)(c)(e)
|
1,575,000
|
968,921
|
|
Series 2013-C13:
|
|||
Class D, 5.0391% 11/15/46 (b)(c)
|
5,150,000
|
4,831,775
|
|
Class E, 5.0391% 11/15/46 (b)(c)
|
1,666,000
|
1,492,623
|
|
Series 2013-C8 Class D, 4.2497% 12/15/48 (b)(c)
|
105,843
|
97,848
|
|
Series 2013-C9:
|
|||
Class D, 3.9724% 5/15/46 (b)(c)
|
4,440,000
|
3,460,956
|
|
Class E, 3.9724% 5/15/46 (b)(c)
|
1,594,370
|
1,121,128
|
|
Series 2016-C30 Class D, 3% 9/15/49 (b)
|
798,000
|
369,279
|
|
Series 2017-C33 Class D, 3.356% 5/15/50 (b)
|
2,932,000
|
1,987,806
|
|
Morgan Stanley Capital I Trust:
|
|||
sequential payer Series 2021-L5 Class A4, 2.728% 5/15/54
|
3,744,000
|
3,079,191
|
|
Series 2011-C2:
|
|||
Class D, 5.385% 6/15/44 (b)(c)
|
3,450,201
|
3,127,310
|
|
Class F, 5.385% 6/15/44 (b)(c)(e)
|
3,015,000
|
1,167,621
|
|
Series 2011-C3:
|
|||
Class E, 5.1094% 7/15/49 (b)(c)
|
946,681
|
885,846
|
|
Class F, 5.1094% 7/15/49 (b)(c)
|
984,000
|
839,801
|
|
Class G, 5.1094% 7/15/49 (b)(c)(e)
|
3,536,800
|
2,518,608
|
|
Series 2012-C4 Class D, 5.3359% 3/15/45 (b)(c)
|
737,391
|
686,238
|
|
Series 2015-MS1 Class D, 4.1581% 5/15/48 (b)(c)
|
4,300,000
|
3,245,508
|
|
Series 2016-BNK2 Class C, 3% 11/15/49 (b)
|
4,506,000
|
2,961,420
|
|
Series 2017-H1 Class D, 2.546% 6/15/50 (b)
|
5,262,000
|
3,316,122
|
|
Series 2017-HR2 Class D, 2.73% 12/15/50
|
586,000
|
353,257
|
|
Series 2018-MP Class E, 4.4185% 7/11/40 (b)(c)
|
3,059,000
|
1,955,281
|
|
Series 2020-CNP Class D, 2.5085% 4/5/42 (b)(c)
|
1,043,000
|
633,419
|
|
MSCCG Trust floater sequential payer Series 2018-SELF Class F, CME Term SOFR 1 Month Index + 3.090% 8.408% 10/15/37 (b)(c)(f)
|
935,805
|
916,659
|
|
MSJP Commercial Securities Mortgage Trust Series 2015-HAUL Class E, 5.0127% 9/5/47 (b)(c)
|
1,014,000
|
654,976
|
|
MSWF Commercial Mortgage Trust sequential payer Series 2023-1:
|
|||
Class A5, 5.752% 5/15/56
|
1,899,000
|
1,935,860
|
|
Class C, 6.9055% 5/15/56 (c)
|
1,266,000
|
1,146,626
|
|
Natixis Commercial Mortgage Securities Trust:
|
|||
floater Series 2018-FL1 Class WAN2, CME Term SOFR 1 Month Index + 3.860% 9.175% 6/15/35 (b)(c)(f)
|
222,000
|
38,785
|
|
Series 2018-TECH:
|
|||
Class E, PRIME RATE + 0.000% 8.5% 11/15/34 (b)(c)(f)
|
638,000
|
591,840
|
|
Class F, PRIME RATE + 0.090% 8.5933% 11/15/34 (b)(c)(f)
|
96,000
|
88,693
|
|
Class G, PRIME RATE + 1.090% 9.5933% 11/15/34 (b)(c)(f)
|
572,000
|
526,386
|
|
Series 2019-10K:
|
|||
Class E, 4.2724% 5/15/39 (b)(c)
|
2,293,000
|
1,781,830
|
|
Class F, 4.2724% 5/15/39 (b)(c)
|
3,014,000
|
2,233,568
|
|
Series 2020-2PAC:
|
|||
Class AMZ2, 3.6167% 1/15/37 (b)(c)
|
1,754,950
|
1,372,664
|
|
Class AMZ3, 3.6167% 1/15/37 (b)(c)
|
822,675
|
561,202
|
|
OPG Trust floater Series 2021-PORT:
|
|||
Class G, CME Term SOFR 1 Month Index + 2.510% 7.8235% 10/15/36 (b)(c)(f)
|
886,902
|
835,715
|
|
Class J, CME Term SOFR 1 Month Index + 3.460% 8.7715% 10/15/36 (b)(c)(f)
|
1,473,510
|
1,395,896
|
|
PKHL Commercial Mortgage Trust floater Series 2021-MF:
|
|||
Class F, CME Term SOFR 1 Month Index + 3.460% 8.7755% 7/15/38 (b)(c)(e)(f)
|
2,225,000
|
1,732,790
|
|
Class NR, CME Term SOFR 1 Month Index + 6.110% 11.4255% 7/15/38 (b)(c)(e)(f)
|
631,000
|
464,117
|
|
Prima Capital Ltd. floater Series 2021-9A Class C, CME Term SOFR 1 Month Index + 2.460% 7.7191% 12/15/37 (b)(c)(f)
|
1,000,000
|
948,082
|
|
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b)
|
1,400,780
|
1,408,682
|
|
SG Commercial Mortgage Securities Trust:
|
|||
Series 2019-PREZ Class F, 3.593% 9/15/39 (b)(c)
|
3,206,000
|
2,339,653
|
|
Series 2020-COVE:
|
|||
Class F, 3.8518% 3/15/37 (b)(c)
|
3,855,000
|
3,345,738
|
|
Class G, 3.8518% 3/15/37 (b)(c)
|
1,782,000
|
1,525,084
|
|
SMRT Commercial Mortgage Trust floater Series 2022-MINI Class F, CME Term SOFR 1 Month Index + 3.350% 8.661% 1/15/39 (b)(c)(f)
|
3,360,000
|
3,107,165
|
|
SOHO Trust Series 2021-SOHO Class D, 2.6966% 8/10/38 (b)(c)
|
2,499,000
|
1,475,681
|
|
SREIT Trust floater:
|
|||
Series 2021-IND Class G, CME Term SOFR 1 Month Index + 3.380% 8.6903% 10/15/38 (b)(c)(f)
|
3,339,000
|
3,111,021
|
|
Series 2021-MFP:
|
|||
Class E, CME Term SOFR 1 Month Index + 2.140% 7.4518% 11/15/38 (b)(c)(f)
|
3,297,000
|
3,223,065
|
|
Class F, CME Term SOFR 1 Month Index + 2.730% 8.0499% 11/15/38 (b)(c)(f)
|
1,405,000
|
1,348,595
|
|
Series 2021-MFP2:
|
|||
Class G, CME Term SOFR 1 Month Index + 3.080% 8.392% 11/15/36 (b)(c)(f)
|
3,024,000
|
2,857,315
|
|
Class J, CME Term SOFR 1 Month Index + 4.020% 9.34% 11/15/36 (b)(c)(f)
|
1,803,000
|
1,719,989
|
|
STWD Trust floater sequential payer Series 2021-LIH:
|
|||
Class F, CME Term SOFR 1 Month Index + 3.590% 8.908% 11/15/36 (b)(c)(f)
|
3,319,000
|
3,110,092
|
|
Class G, CME Term SOFR 1 Month Index + 4.240% 9.557% 11/15/36 (b)(c)(f)
|
1,134,000
|
1,057,524
|
|
TPGI Trust floater Series 2021-DGWD Class G, CME Term SOFR 1 Month Index + 3.960% 9.2745% 6/15/26 (b)(c)(f)
|
845,692
|
812,870
|
|
UBS Commercial Mortgage Trust:
|
|||
Series 2012-C1:
|
|||
Class E, 5% 5/10/45 (b)(c)(e)
|
1,432,663
|
966,775
|
|
Class F, 5% 5/10/45 (b)(c)(e)
|
2,484,000
|
118,902
|
|
Series 2018-C8 Class C, 4.8408% 2/15/51 (c)
|
756,000
|
611,100
|
|
UBS-BAMLL Trust:
|
|||
Series 12-WRM Class D, 4.3793% 6/10/30 (b)(c)
|
2,090,000
|
1,687,990
|
|
Series 2012-WRM Class C, 4.3793% 6/10/30 (b)(c)
|
890,000
|
754,955
|
|
VASA Trust:
|
|||
floater Series 2021-VASA Class G, CME Term SOFR 1 Month Index + 5.110% 10.4255% 7/15/39 (b)(c)(f)
|
693,000
|
294,370
|
|
floater sequential payer Series 2021-VASA Class F, CME Term SOFR 1 Month Index + 4.010% 9.3255% 7/15/39 (b)(c)(f)
|
3,009,000
|
1,587,689
|
|
VMC Finance Ltd. floater Series 2021-HT1 Class B, CME Term SOFR 1 Month Index + 4.610% 9.9264% 1/18/37 (b)(c)(f)
|
4,664,500
|
4,387,911
|
|
Wells Fargo Commercial Mortgage Trust:
|
|||
floater Series 2021-SAVE Class E, CME Term SOFR 1 Month Index + 3.760% 9.0755% 2/15/40 (b)(c)(f)
|
462,250
|
405,444
|
|
sequential payer:
|
|||
Series 2020-C57 Class D, 2.5% 8/15/53 (b)
|
2,108,000
|
1,192,227
|
|
Series 2020-C58 Class A4, 2.092% 7/15/53
|
2,745,000
|
2,172,321
|
|
Series 2021-C61 Class A4, 2.658% 11/15/54
|
1,231,000
|
1,007,507
|
|
Series 20XX-C60 Class A4, 2.342% 8/15/54
|
2,703,000
|
2,145,678
|
|
Series 2015-NXS4 Class D, 3.8412% 12/15/48 (c)
|
1,834,000
|
1,522,834
|
|
Series 2016-BNK1 Class D, 3% 8/15/49 (b)(e)
|
1,526,000
|
714,566
|
|
Series 2016-NXS6 Class D, 3.059% 11/15/49 (b)
|
1,250,000
|
887,337
|
|
Series 2017-RB1 Class D, 3.401% 3/15/50 (b)
|
1,824,000
|
828,942
|
|
Series 2018-C44 Class D, 3% 5/15/51 (b)
|
3,949,000
|
2,379,306
|
|
Series 2019-C49:
|
|||
Class B, 4.546% 3/15/52
|
450,000
|
379,911
|
|
Class C, 4.866% 3/15/52 (c)
|
3,713,000
|
3,052,755
|
|
Wells Fargo Commercial Mtg Trust 3.514% 10/15/52
|
1,459,000
|
1,122,457
|
|
WF-RBS Commercial Mortgage Trust:
|
|||
sequential payer Series 2011-C4I Class G, 5% 6/15/44 (c)(e)
|
1,252,600
|
43,695
|
|
Series 2011-C3 Class D, 6.0497% 3/15/44 (b)(c)(e)
|
1,284,756
|
399,880
|
|
Series 2011-C4:
|
|||
Class D, 4.9927% 6/15/44 (b)(c)
|
1,616,000
|
1,324,622
|
|
Class E, 4.9927% 6/15/44 (b)(c)
|
1,274,000
|
876,613
|
|
Series 2013-C11 Class E, 4.1349% 3/15/45 (b)(c)(e)
|
4,999,000
|
2,631,113
|
|
Series 2013-C13 Class D, 4.1787% 5/15/45 (b)(c)(e)
|
1,499,000
|
1,241,156
|
|
Series 2013-C16 Class D, 5.0691% 9/15/46 (b)(c)
|
668,000
|
564,612
|
|
WFCM:
|
|||
Series 2022-C62 Class D, 2.5% 4/15/55 (b)
|
2,352,000
|
1,088,905
|
|
Series 2022-C62, Class A4, 4% 4/15/55
|
2,074,000
|
1,854,602
|
|
Worldwide Plaza Trust Series 2017-WWP Class F, 3.7154% 11/10/36 (b)(c)(e)
|
1,695,000
|
496,166
|
|
WP Glimcher Mall Trust Series 2015-WPG:
|
|||
Class PR1, 3.6332% 6/5/35 (b)(c)
|
1,638,000
|
1,317,886
|
|
Class PR2, 3.6332% 6/5/35 (b)(c)
|
4,354,000
|
3,337,683
|
|
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $621,435,569)
|
517,821,762
|
||
Common Stocks - 0.0%
|
|||
Shares
|
Value ($)
|
||
Diversified Financial Services - 0.0%
|
|||
Cyxtera Technologies, Inc. Class A (i)(j)
(Cost $919,192)
|
92,200
|
4,933
|
|
Preferred Stocks - 0.8%
|
|||
Shares
|
Value ($)
|
||
Convertible Preferred Stocks - 0.2%
|
|||
Homebuilders/Real Estate - 0.2%
|
|||
RLJ Lodging Trust Series A, 1.95%
|
45,550
|
1,099,122
|
|
Nonconvertible Preferred Stocks - 0.6%
|
|||
Homebuilders/Real Estate - 0.6%
|
|||
Arbor Realty Trust, Inc. Series F, 6.25% (c)
|
57,000
|
1,182,750
|
|
Digitalbridge Group, Inc.:
|
|||
Series H, 7.125%
|
38,429
|
829,682
|
|
Series I, 7.15%
|
41,600
|
902,304
|
|
Dynex Capital, Inc. Series C 6.90% (c)
|
17,707
|
420,541
|
|
3,335,277
|
|||
TOTAL PREFERRED STOCKS
(Cost $4,867,290)
|
4,434,399
|
||
Bank Loan Obligations - 2.1%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Diversified Financial Services - 2.1%
|
|||
Agellan Portfolio 9% 8/7/25 (e)(k)
|
908,000
|
908,000
|
|
Mhp 2022-Mhil Mezz U.S. Secured Overnight Fin. Rate (SOFR) Index + 5.000% 10.3105% 1/9/24 (c)(e)(f)(k)
|
4,858,250
|
4,557,524
|
|
Sunbelt Mezz U.S. Secured Overnight Fin. Rate (SOFR) Index + 4.450% 9.8826% 1/21/27 (c)(e)(f)(k)
|
2,022,680
|
2,022,680
|
|
Veritas Multifamily Portfolio 1 month U.S. LIBOR + 0.000% 0% (e)(f)(g)(k)
|
11,130,675
|
4,897,497
|
|
TOTAL BANK LOAN OBLIGATIONS
(Cost $18,917,406)
|
12,385,701
|
||
Preferred Securities - 0.0%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Homebuilders/Real Estate - 0.0%
|
|||
Crest Clarendon Street 2002-1 Ltd. Series 2002-1A Class PS, 12/28/35 (b)(c)(e)(f)
|
3,000,000
|
0
|
|
Crest Dartmouth Street 2003-1 Ltd. Series 2003-1A Class PS, 6/28/38 (b)(c)(e)
|
3,100,000
|
31
|
|
TOTAL PREFERRED SECURITIES
(Cost $6,004,704)
|
31
|
||
Money Market Funds - 2.9%
|
|||
Shares
|
Value ($)
|
||
Fidelity Cash Central Fund 5.43% (l)
|
16,687,826
|
16,691,164
|
|
Fidelity Securities Lending Cash Central Fund 5.44% (l)(m)
|
55,594
|
55,600
|
|
TOTAL MONEY MARKET FUNDS
(Cost $16,746,764)
|
16,746,764
|
||
TOTAL INVESTMENT IN SECURITIES - 99.7%
(Cost $703,586,963)
|
577,521,032
|
NET OTHER ASSETS (LIABILITIES) - 0.3%
|
1,652,667
|
NET ASSETS - 100.0%
|
579,173,699
|
(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 $426,843,716 or 73.7% of net assets.
|
(c)
|
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
|
(d)
|
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.
|
(e)
|
Level 3 security
|
(f)
|
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
|
(g)
|
Non-income producing - Security is in default.
|
(h)
|
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 $30,025 or 0.0% of net assets.
|
(i)
|
Non-income producing
|
(j)
|
Security or a portion of the security is on loan at period end.
|
(k)
|
Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.
|
(l)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
(m)
|
Investment made with cash collateral received from securities on loan.
|
Additional information on each restricted holding is as follows:
|
||
Security
|
Acquisition Date
|
Acquisition Cost ($)
|
Fannie Mae REMIC Trust Series 2003-W10 subordinate REMIC pass thru certificates, Class 2B4, 3.6543% 6/25/43
|
9/29/03
|
0
|
Fannie Mae REMIC Trust Series 2003-W10 subordinate REMIC pass thru certificates, Class 2B5, 3.6543% 6/25/43
|
9/29/03
|
11
|
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 5.43%
|
51,234,326
|
181,952,724
|
216,495,886
|
1,131,093
|
-
|
-
|
16,691,164
|
0.0%
|
Fidelity Securities Lending Cash Central Fund 5.44%
|
-
|
262,816
|
207,216
|
1,084
|
-
|
-
|
55,600
|
0.0%
|
Total
|
51,234,326
|
182,215,540
|
216,703,102
|
1,132,177
|
-
|
-
|
16,746,764
|
|