UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4085
Fidelity Income Fund
(Exact name of registrant as specified in charter)
245 Summer St., Boston, MA 02210
(Address of principal executive offices) (Zip code)
William C. Coffey, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | August 31 |
Date of reporting period: | February 28, 2019 |
Item 1.
Reports to Stockholders
Fidelity® Government Income Fund Semi-Annual Report February 28, 2019 Includes Fidelity and Fidelity Advisor share classes |
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Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a funds shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelitys website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
Account Type | Website | Phone Number |
Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) | 1-800-343-0860 |
Advisor Sold Accounts Serviced Through Your Financial Intermediary: | Contact Your Financial Intermediary | Your Financial Intermediary's phone number |
Advisor Sold Accounts Serviced by Fidelity: | institutional.fidelity.com | 1-877-208-0098 |
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 if youre an individual investing directly with Fidelity, call 1-800-835-5092 if youre a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if youre 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.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2019 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SECs web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SECs Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.Coupon Distribution as of February 28, 2019
% of fund's investments | |
Zero coupon bonds | 0.0 |
0.01 - 0.99% | 0.0 |
1 - 1.99% | 4.8 |
2 - 2.99% | 39.1 |
3 - 3.99% | 31.6 |
4 - 4.99% | 13.1 |
5 - 5.99% | 7.0 |
6 - 6.99% | 0.5 |
7% and above | 0.0 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
Asset Allocation (% of fund's net assets)
As of February 28, 2019*,**,*** | ||
Mortgage Securities | 23.0% | |
CMOs and Other Mortgage Related Securities | 25.0% | |
U.S. Treasury Obligations | 41.7% | |
U.S. Government Agency Obligations† | 2.4% | |
Foreign Government & Government Agency Obligations | 4.1% | |
Asset-Backed Securities | 2.8% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.0% |
* Foreign investments 4.1%
** Futures and Swaps 12.9%
*** Written options - (0.7)%
† Includes NCUA Guaranteed Notes
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.
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Percentages shown as 0.0% may reflect amounts less than 0.05%.
Schedule of Investments February 28, 2019 (Unaudited)
Showing Percentage of Net Assets
U.S. Government and Government Agency Obligations - 44.1% | |||
Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency Obligations - 0.2% | |||
Fannie Mae 0.875% 8/2/19 | 131 | 130 | |
Tennessee Valley Authority: | |||
5.25% 9/15/39 | $2,807 | $3,461 | |
5.375% 4/1/56 | 3,438 | 4,614 | |
8,205 | |||
U.S. Treasury Obligations - 41.7% | |||
U.S. Treasury Bonds: | |||
2.5% 2/15/45 (a) | 187,945 | 168,236 | |
3% 2/15/49 (b) | 131,351 | 129,165 | |
4.75% 2/15/37 (a)(c)(d) | 69,091 | 87,505 | |
U.S. Treasury Notes: | |||
1.625% 8/31/22 | 17,293 | 16,782 | |
1.625% 5/31/23 | 8,377 | 8,075 | |
1.75% 10/31/20 | 2,405 | 2,373 | |
1.875% 7/31/22 | 47,036 | 46,066 | |
2% 8/15/25 | 12,238 | 11,796 | |
2.125% 12/31/22 | 40,469 | 39,890 | |
2.125% 7/31/24 | 77,525 | 75,817 | |
2.125% 5/15/25 | 18,702 | 18,191 | |
2.25% 7/31/21 | 7,021 | 6,978 | |
2.25% 12/31/24 | 27,679 | 27,184 | |
2.25% 2/15/27 | 1,274 | 1,236 | |
2.25% 8/15/27 | 630 | 609 | |
2.375% 4/15/21 | 62,750 | 62,554 | |
2.375% 2/29/24 | 41,500 | 41,223 | |
2.5% 12/31/20 (c) | 111,427 | 111,327 | |
2.5% 1/31/21 | 107,184 | 107,121 | |
2.5% 2/28/21 | 90,000 | 89,965 | |
2.5% 1/15/22 | 115,375 | 115,357 | |
2.5% 1/31/24 | 12,000 | 11,987 | |
2.5% 2/28/26 | 51,542 | 51,137 | |
2.625% 6/30/23 | 6,315 | 6,341 | |
2.625% 12/31/23 | 78,488 | 78,813 | |
2.625% 2/15/29 | 26,000 | 25,785 | |
2.75% 6/30/25 | 39,256 | 39,589 | |
2.875% 11/30/25 | 36,311 | 36,881 | |
3.125% 11/15/28 | 18,150 | 18,770 | |
1,436,753 | |||
Other Government Related - 2.2% | |||
National Credit Union Administration Guaranteed Notes Series 2010-A1 Class A, 1 month U.S. LIBOR + 0.350% 2.8623% 12/7/20 (NCUA Guaranteed) (e)(f) | 2,187 | 2,189 | |
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) | 74,000 | 75,113 | |
77,302 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $1,533,219) | 1,522,260 | ||
U.S. Government Agency - Mortgage Securities - 2.4% | |||
Fannie Mae - 1.8% | |||
12 month U.S. LIBOR + 1.480% 4.287% 7/1/34 (e)(f) | 63 | 65 | |
12 month U.S. LIBOR + 1.523% 4.398% 3/1/36 (e)(f) | 104 | 109 | |
12 month U.S. LIBOR + 1.551% 3.759% 2/1/44 (e)(f) | 174 | 182 | |
12 month U.S. LIBOR + 1.553% 2.542% 5/1/44 (e)(f) | 603 | 625 | |
12 month U.S. LIBOR + 1.553% 4.269% 6/1/36 (e)(f) | 54 | 56 | |
12 month U.S. LIBOR + 1.558% 4.272% 2/1/44 (e)(f) | 176 | 181 | |
12 month U.S. LIBOR + 1.565% 3.565% 3/1/37 (e)(f) | 107 | 112 | |
12 month U.S. LIBOR + 1.570% 2.531% 5/1/44 (e)(f) | 414 | 429 | |
12 month U.S. LIBOR + 1.574% 2.711% 4/1/44 (e)(f) | 877 | 904 | |
12 month U.S. LIBOR + 1.580% 2.478% 4/1/44 (e)(f) | 342 | 352 | |
12 month U.S. LIBOR + 1.580% 4.577% 1/1/44 (e)(f) | 282 | 295 | |
12 month U.S. LIBOR + 1.725% 2.592% 6/1/42 (e)(f) | 168 | 175 | |
12 month U.S. LIBOR + 1.728% 4.302% 11/1/36 (e)(f) | 38 | 40 | |
12 month U.S. LIBOR + 1.741% 4.625% 3/1/40 (e)(f) | 775 | 815 | |
12 month U.S. LIBOR + 1.745% 4.608% 7/1/35 (e)(f) | 102 | 107 | |
12 month U.S. LIBOR + 1.800% 4.546% 7/1/41 (e)(f) | 142 | 150 | |
12 month U.S. LIBOR + 1.800% 4.787% 1/1/42 (e)(f) | 444 | 468 | |
12 month U.S. LIBOR + 1.818% 3.702% 2/1/42 (e)(f) | 531 | 559 | |
12 month U.S. LIBOR + 1.818% 4.546% 7/1/41 (e)(f) | 85 | 88 | |
12 month U.S. LIBOR + 1.818% 4.568% 9/1/41 (e)(f) | 53 | 56 | |
12 month U.S. LIBOR + 1.830% 4.662% 10/1/41 (e)(f) | 54 | 57 | |
12 month U.S. LIBOR + 1.851% 4.271% 5/1/36 (e)(f) | 37 | 39 | |
6 month U.S. LIBOR + 1.475% 3.975% 10/1/33 (e)(f) | 37 | 38 | |
6 month U.S. LIBOR + 1.510% 4.251% 2/1/33 (e)(f)(g) | 41 | 42 | |
6 month U.S. LIBOR + 1.535% 4.12% 12/1/34 (e)(f) | 78 | 80 | |
6 month U.S. LIBOR + 1.535% 4.266% 3/1/35 (e)(f) | 51 | 52 | |
6 month U.S. LIBOR + 1.556% 4.102% 10/1/33 (e)(f) | 28 | 29 | |
6 month U.S. LIBOR + 1.565% 4.42% 7/1/35 (e)(f) | 30 | 31 | |
U.S. TREASURY 1 YEAR INDEX + 2.208% 4.083% 3/1/35 (e)(f) | 19 | 20 | |
U.S. TREASURY 1 YEAR INDEX + 2.295% 4.678% 10/1/33 (e)(f) | 69 | 73 | |
3% 3/1/34 (h) | 2,850 | 2,844 | |
3% 3/1/34 (h) | 2,850 | 2,844 | |
3% 3/1/49 (h) | 1,000 | 977 | |
3% 3/1/49 (h) | 1,000 | 977 | |
3.5% 7/1/32 | 9,144 | 9,288 | |
3.5% 3/1/34 (h) | 3,100 | 3,149 | |
3.5% 3/1/34 (h) | 3,100 | 3,149 | |
4.5% 11/1/25 | 2,426 | 2,492 | |
5.5% 12/1/39 to 5/1/44 | 24,013 | 25,945 | |
6% 1/1/34 to 6/1/36 | 3,576 | 3,973 | |
6.5% 3/1/22 to 5/1/27 | 166 | 180 | |
9.5% 10/1/20 | 1 | 1 | |
11.5% 1/15/21 | 0 | 0 | |
62,048 | |||
Freddie Mac - 0.4% | |||
12 month U.S. LIBOR + 1.754% 4.5% 9/1/41 (e)(f) | 806 | 847 | |
12 month U.S. LIBOR + 1.877% 4.194% 4/1/41 (e)(f) | 59 | 62 | |
12 month U.S. LIBOR + 1.880% 4.63% 9/1/41 (e)(f) | 65 | 68 | |
12 month U.S. LIBOR + 1.880% 4.711% 10/1/41 (e)(f) | 1,143 | 1,175 | |
12 month U.S. LIBOR + 1.884% 4.624% 10/1/42 (e)(f) | 441 | 456 | |
12 month U.S. LIBOR + 1.910% 4.358% 5/1/41 (e)(f) | 138 | 143 | |
12 month U.S. LIBOR + 1.910% 4.477% 5/1/41 (e)(f) | 100 | 106 | |
12 month U.S. LIBOR + 1.910% 4.578% 6/1/41 (e)(f) | 124 | 128 | |
12 month U.S. LIBOR + 1.910% 4.66% 6/1/41 (e)(f) | 61 | 63 | |
12 month U.S. LIBOR + 2.045% 4.778% 7/1/36 (e)(f) | 233 | 245 | |
12 month U.S. LIBOR + 2.076% 5.009% 3/1/33 (e)(f) | 6 | 6 | |
6 month U.S. LIBOR + 1.445% 3.945% 3/1/35 (e)(f) | 150 | 154 | |
6 month U.S. LIBOR + 1.746% 4.33% 5/1/37 (e)(f) | 55 | 58 | |
6 month U.S. LIBOR + 2.492% 5.028% 10/1/35 (e)(f) | 64 | 67 | |
U.S. TREASURY 1 YEAR INDEX + 2.239% 4.865% 2/1/36 (e)(f) | 5 | 5 | |
U.S. TREASURY 1 YEAR INDEX + 2.548% 4.639% 7/1/35 (e)(f) | 463 | 488 | |
3% 11/1/33 | 5,977 | 5,963 | |
3.5% 7/1/32 | 3,240 | 3,291 | |
5.5% 7/1/29 | 12 | 13 | |
6% 1/1/24 | 548 | 572 | |
9.5% 11/1/19 to 8/1/21 | 1 | 1 | |
13,911 | |||
Ginnie Mae - 0.2% | |||
6% 6/15/36 | 3,096 | 3,454 | |
4.422% 8/20/61 (e)(i) | 242 | 242 | |
4.568% 2/20/62 (e)(i) | 917 | 924 | |
4.655% 2/20/62 (e)(i) | 745 | 747 | |
4.753% 1/20/62 (e)(i) | 2,687 | 2,700 | |
5.47% 8/20/59 (e)(i) | 5 | 6 | |
8,073 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $84,400) | 84,032 | ||
Asset-Backed Securities - 2.6% | |||
Goal Capital Funding Trust Series 2005-2 Class A3, 3 month U.S. LIBOR + 0.170% 2.821% 5/28/30 (e)(f) | $761 | $761 | |
Higher Education Funding Series 2005-1 Class A5, 3 month U.S. LIBOR + 0.160% 2.811% 2/25/32 (e)(f) | 763 | 763 | |
Navient Student Loan Trust: | |||
Series 2017-3A: | |||
Class A1, 1 month U.S. LIBOR + 0.300% 2.7899% 7/26/66 (e)(f)(j) | 3,844 | 3,844 | |
Class A2, 1 month U.S. LIBOR + 0.600% 3.0899% 7/26/66 (e)(f)(j) | 14,550 | 14,567 | |
Series 2018-1A Class A1, 1 month U.S. LIBOR + 0.190% 2.6799% 3/25/67 (e)(f)(j) | 4,279 | 4,276 | |
Nelnet Student Loan Trust 3 month U.S. LIBOR + 0.100% 2.8706% 1/25/30 (e)(f) | 3,267 | 3,266 | |
Northstar Education Finance, Inc., Delaware Series 2004-2 Class A4, 3 month U.S. LIBOR + 0.230% 2.9948% 7/28/21 (e)(f) | 14,172 | 14,174 | |
SLM Student Loan Trust Series 2007-8 Class A4, 3 month U.S. LIBOR + 0.470% 3.2406% 1/26/26 (e)(f) | 47,818 | 47,966 | |
Small Business Administration guaranteed development participation certificates: | |||
Series 2002-20J Class 1, 4.75% 10/1/22 | 360 | 365 | |
Series 2002-20K Class 1, 5.08% 11/1/22 | 596 | 609 | |
Series 2004-20H Class 1, 5.17% 8/1/24 | 252 | 261 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $90,761) | 90,852 | ||
Collateralized Mortgage Obligations - 15.5% | |||
U.S. Government Agency - 15.5% | |||
Fannie Mae: | |||
floater: | $ | $ | |
Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 3.4699% 8/25/31 (e)(f) | 61 | 62 | |
Series 2002-49 Class FB, 1 month U.S. LIBOR + 0.600% 3.0814% 11/18/31 (e)(f) | 59 | 59 | |
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 3.4899% 4/25/32 (e)(f) | 26 | 26 | |
Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 3.4899% 11/25/32 (e)(f) | 52 | 53 | |
Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 3.4199% 6/25/36 (e)(f) | 3,936 | 3,993 | |
planned amortization class: | |||
Series 2005-19 Class PA, 5.5% 7/25/34 | 477 | 482 | |
Series 2005-64 Class PX, 5.5% 6/25/35 | 901 | 944 | |
Series 2005-68 Class CZ, 5.5% 8/25/35 | 3,298 | 3,599 | |
Series 2006-45 Class OP 6/25/36 (k) | 531 | 453 | |
Series 2010-118 Class PB, 4.5% 10/25/40 | 4,390 | 4,608 | |
Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 782 | 749 | |
Class GA, 1.75% 6/25/42 | 806 | 770 | |
sequential payer: | |||
Series 2003-117 Class MD, 5% 12/25/23 | 473 | 488 | |
Series 2004-91 Class Z, 5% 12/25/34 | 3,655 | 3,894 | |
Series 2005-117 Class JN, 4.5% 1/25/36 | 262 | 272 | |
Series 2005-14 Class ZB, 5% 3/25/35 | 1,153 | 1,229 | |
Series 2006-72 Class CY, 6% 8/25/26 | 2,112 | 2,228 | |
Series 2009-59 Class HB, 5% 8/25/39 | 1,669 | 1,778 | |
Series 2009-85 Class IB, 4.5% 8/25/24 (g) | 61 | 1 | |
Series 2009-93 Class IC, 4.5% 9/25/24 (g) | 67 | 1 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (g) | 2,130 | 183 | |
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 3.4099% 3/25/36 (e)(f) | 2,435 | 2,485 | |
Series 2010-97 Class CI, 4.5% 8/25/25 (g) | 320 | 9 | |
Series 2012-27 Class EZ, 4.25% 3/25/42 | 6,588 | 6,910 | |
Series 2016-26 Class CG, 3% 5/25/46 | 15,926 | 15,841 | |
Freddie Mac: | |||
floater: | |||
Series 2530 Class FE, 1 month U.S. LIBOR + 0.600% 3.0888% 2/15/32 (e)(f) | 35 | 35 | |
Series 2682 Class FB, 1 month U.S. LIBOR + 0.900% 3.3888% 10/15/33 (e)(f) | 1,874 | 1,906 | |
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 3.3888% 2/15/33 (e)(f) | 1,087 | 1,106 | |
planned amortization class: | |||
Series 1141 Class G, 9% 9/15/21 | 14 | 15 | |
Series 2682 Class LD, 4.5% 10/15/33 | 489 | 507 | |
Series 3415 Class PC, 5% 12/15/37 | 333 | 353 | |
Series 3840 Class VA, 4.5% 9/15/27 | 902 | 905 | |
Series 3857 Class ZP, 5% 5/15/41 | 3,224 | 3,647 | |
Series 4135 Class AB, 1.75% 6/15/42 | 596 | 571 | |
sequential payer: | |||
Series 2004-2802 Class ZG, 5.5% 5/15/34 | 5,612 | 6,126 | |
Series 2587 Class AD, 4.71% 3/15/33 | 1,941 | 2,007 | |
Series 2877 Class ZD, 5% 10/15/34 | 4,520 | 4,818 | |
Series 3007 Class EW, 5.5% 7/15/25 | 3,329 | 3,487 | |
Series 3745 Class KV, 4.5% 12/15/26 | 5,449 | 5,667 | |
Series 3871 Class KB, 5.5% 6/15/41 | 13,519 | 15,020 | |
Series 3889 Class DZ, 4% 1/15/41 | 36,943 | 38,015 | |
Series 3843 Class PZ, 5% 4/15/41 | 2,758 | 3,084 | |
Freddie Mac Multi-family Structured pass-thru certificates sequential payer: | |||
Series 4335 Class AL, 4.25% 3/15/40 | 4,695 | 4,804 | |
Series 4341 Class ML, 3.5% 11/15/31 | 7,389 | 7,515 | |
Freddie Mac Seasoned Credit Risk Transfer Trust sequential payer: | |||
Series 2018-3 Class MA, 3.5% 8/25/57 | 35,343 | 35,138 | |
Series 2018-4 Class MA, 3.5% 3/25/58 | 15,219 | 15,215 | |
Freddie Mac SLST sequential payer Series 2018-1: | |||
Class A1, 3.5% 6/25/28 | 4,688 | 4,715 | |
Class A2, 3.5% 6/25/28 (j) | 1,570 | 1,557 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 2.9648% 1/20/38 (e)(f) | 183 | 184 | |
Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 3.3448% 8/20/38 (e)(f) | 1,448 | 1,470 | |
Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 3.3848% 9/20/38 (e)(f) | 1,204 | 1,229 | |
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 3.0814% 11/16/39 (e)(f) | 722 | 727 | |
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 3.0571% 9/20/61 (e)(f)(i) | 7,367 | 7,382 | |
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 3.1071% 10/20/61 (e)(f)(i) | 4,619 | 4,633 | |
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 3.2071% 11/20/61 (e)(f)(i) | 4,049 | 4,072 | |
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 3.2071% 1/20/62 (e)(f)(i) | 2,574 | 2,588 | |
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 3.1371% 1/20/62 (e)(f)(i) | 3,770 | 3,785 | |
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 3.1371% 3/20/62 (e)(f)(i) | 2,233 | 2,238 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 3.1571% 5/20/61 (e)(f)(i) | 275 | 275 | |
Series 2013-H19: | |||
Class FC, 1 month U.S. LIBOR + 0.600% 3.1071% 8/20/63 (e)(f)(i) | 1,031 | 1,033 | |
Class FD, 1 month U.S. LIBOR + 0.600% 3.1071% 8/20/63 (e)(f)(i) | 2,702 | 2,709 | |
Series 2014-H02 Class FB, 1 month U.S. LIBOR + 0.650% 3.1571% 12/20/63 (e)(f)(i) | 33,612 | 33,773 | |
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 3.1071% 1/20/64 (e)(f)(i) | 11,703 | 11,738 | |
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 2.8071% 3/20/65 (e)(f)(i) | 197 | 196 | |
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 2.7871% 5/20/63 (e)(f)(i) | 2,576 | 2,574 | |
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 2.7071% 4/20/63 (e)(f)(i) | 2,654 | 2,650 | |
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 2.9071% 12/20/62 (e)(f)(i) | 2,356 | 2,355 | |
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 2.7348% 10/20/47 (e)(f) | 4,559 | 4,478 | |
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 2.7848% 5/20/48 (e)(f) | 5,696 | 5,626 | |
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 2.7848% 6/20/48 (e)(f) | 6,449 | 6,361 | |
planned amortization class: | |||
Series 2010-31 Class BP, 5% 3/20/40 | 11,191 | 12,394 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 701 | 683 | |
sequential payer: | |||
Series 2011-69 Class GX, 4.5% 5/16/40 | 10,205 | 10,670 | |
Series 2013-H06 Class HA, 1.65% 1/20/63 (i) | 2,337 | 2,312 | |
Series 2013-H26 Class HA, 3.5% 9/20/63 (i) | 26,232 | 26,329 | |
Series 2014-H04 Class HA, 2.75% 2/20/64 (i) | 6,312 | 6,284 | |
Series 2014-H12 Class KA, 2.75% 5/20/64 (i) | 4,419 | 4,376 | |
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 3.0071% 9/20/62 (e)(f)(i) | 11,109 | 11,113 | |
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 3.1571% 11/20/65 (e)(f)(i) | 1,201 | 1,202 | |
Series 2004-22 Class M1, 5.5% 4/20/34 | 634 | 759 | |
Series 2010-169 Class Z, 4.5% 12/20/40 | 7,301 | 7,634 | |
Series 2010-H15 Class TP, 5.15% 8/20/60 (i) | 5,484 | 5,525 | |
Series 2010-H17 Class XP, 5.2987% 7/20/60 (e)(i) | 4,552 | 4,593 | |
Series 2010-H18 Class PL, 5.01% 9/20/60 (e)(i) | 4,253 | 4,284 | |
Series 2012-64 Class KI, 3.5% 11/20/36 (g) | 702 | 43 | |
Series 2013-124: | |||
Class ES, 8.667% - 1 month U.S. LIBOR 5.3537% 4/20/39 (e)(l) | 2,045 | 2,080 | |
Class ST, 8.800% - 1 month U.S. LIBOR 5.487% 8/20/39 (e)(l) | 6,729 | 6,900 | |
Series 2013-H07 Class JA, 1.75% 3/20/63 (i) | 17,067 | 16,874 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (i) | 7,452 | 7,420 | |
Series 2015-H21: | |||
Class HA, 2.5% 6/20/63 (i) | 17,498 | 17,440 | |
Class JA, 2.5% 6/20/65 (i) | 2,129 | 2,119 | |
Series 2015-H30 Class HA, 1.75% 9/20/62 (e)(i) | 21,273 | 21,087 | |
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 3.09% 5/20/66 (e)(f)(i) | 20,230 | 20,269 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 2.94% 8/20/66 (e)(f)(i) | 17,753 | 17,741 | |
Series 2090-118 Class XZ, 5% 12/20/39 | 15,187 | 16,623 | |
536,160 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $544,089) | 536,160 | ||
Commercial Mortgage Securities - 5.7% | |||
Fannie Mae Series 2017-T1 Class A, 2.898% 6/25/27 | 39,502 | 38,437 | |
Freddie Mac: | |||
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 | 3,678 | 3,734 | |
sequential payer: | |||
Series 2017-SR01 Class A2, 2.75% 11/25/22 | 19,000 | 18,821 | |
Series 2018-K074 Class A2, 3.6% 1/25/28 | 2,600 | 2,673 | |
Series K069 Class A2, 3.187% 9/25/27 | 5,900 | 5,897 | |
Series K073 Class A2, 3.35% 1/25/28 | 11,300 | 11,400 | |
Series K155: | |||
Class A1, 3.75% 11/25/29 | 754 | 786 | |
Class A2, 3.75% 11/25/32 | 7,700 | 7,913 | |
Series K158 Class A2, 3.9% 12/25/30 | 8,400 | 8,621 | |
Series K709 Class A2, 2.086% 3/25/19 | 342 | 342 | |
Series K710 Class A2, 1.883% 5/25/19 | 9,143 | 9,121 | |
Series K712 Class A2, 1.869% 11/25/19 | 13,532 | 13,451 | |
Series K157 Class A2, 3.99% 5/25/33 | 13,669 | 14,301 | |
Freddie Mac Multi-family floater Series 2017-KT01 Class A, 1 month U.S. LIBOR + 0.320% 2.8011% 2/25/20 (e)(f) | 43,722 | 43,722 | |
Freddie Mac Multi-family Structured pass-thru certificates Series K078 Class A2, 3.854% 6/25/51 | 15,100 | 15,812 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $195,122) | 195,031 | ||
Foreign Government and Government Agency Obligations - 4.1% | |||
Israeli State: | |||
(guaranteed by U.S. Government through Agency for International Development): | |||
5.5% 9/18/23 | 72,266 | 80,800 | |
5.5% 12/4/23 | 48 | 54 | |
5.5% 4/26/24 | 6,065 | 6,848 | |
Jordanian Kingdom 3% 6/30/25 | 19,267 | 19,355 | |
Ukraine Government 1.471% 9/29/21 | 34,809 | 33,830 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $135,210) | 140,887 | ||
Shares | Value (000s) | ||
Fixed-Income Funds - 22.9% | |||
Fidelity Mortgage Backed Securities Central Fund (m) | |||
(Cost $775,061) | 7,430,742 | 788,996 | |
Money Market Funds - 4.6% | |||
Fidelity Cash Central Fund, 2.44% (n) | |||
(Cost $157,204) | 157,174,692 | 157,206 | |
Maturity Amount (000s) | Value (000s) | ||
Repurchase Agreements - 2.1% | |||
Investments in repurchase agreements in a joint trading account at 2.59%, dated 2/28/19 due 3/1/19 (Collateralized by U.S. Government Obligations) # (o) | |||
(Cost $71,397) | 71,402 | 71,397 |
Purchased Swaptions - 0.2% | ||||
Expiration Date | Notional Amount (000s) | Value (000s) | ||
Put Options - 0.1% | ||||
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.495% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2027 | 10/5/20 | 13,400 | $371 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.7875% and receive quarterly a floating rate based on 3-month LIBOR, expiring January 2028 | 1/25/21 | 27,300 | 563 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.805% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2029 | 1/28/22 | 31,400 | 905 | |
Option on an interest rate swap with JPMorgan Chase Bank NA to pay semi-annually a fixed rate of 3.0580% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2028 | 4/20/21 | 65,300 | 1,038 | |
TOTAL PUT OPTIONS | 2,877 | |||
Call Options - 0.1% | ||||
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.495% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2027 | 10/5/20 | 13,400 | 209 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.7875% and pay quarterly a floating rate based on 3-month LIBOR, expiring January 2028 | 1/25/21 | 27,300 | 689 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.805% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2029 | 1/28/22 | 31,400 | 917 | |
Option on an interest rate swap with JPMorgan Chase Bank NA to receive semi-annually a fixed rate of 3.058% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2028 | 4/20/21 | 65,300 | 2,340 | |
TOTAL CALL OPTIONS | 4,155 | |||
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $8,552) | 7,032 | |||
TOTAL INVESTMENT IN SECURITIES - 104.2% | ||||
(Cost $3,595,015) | 3,593,853 | |||
NET OTHER ASSETS (LIABILITIES) - (4.2)% | (143,856) | |||
NET ASSETS - 100% | $3,449,997 |
TBA Sale Commitments | ||
Principal Amount (000s) | Value (000s) | |
Fannie Mae | ||
3% 3/1/34 | $(2,850) | $(2,845) |
3% 3/1/34 | (2,850) | (2,844) |
3% 3/1/49 | (1,000) | (977) |
3% 3/1/49 | (1,000) | (977) |
3.5% 3/1/34 | (3,100) | (3,149) |
3.5% 3/1/34 | (3,100) | (3,149) |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $13,949) | $(13,941) |
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) | 954 | June 2019 | $202,434 | $(101) | $(101) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 535 | June 2019 | 61,291 | (111) | (111) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 316 | June 2019 | 45,652 | (475) | (475) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 1,345 | June 2019 | 164,090 | (623) | (623) |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 26 | June 2019 | 4,149 | (75) | (75) |
TOTAL PURCHASED FUTURES | (1,385) | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 513 | June 2019 | 66,409 | 369 | 369 |
TOTAL FUTURES CONTRACTS | $(1,016) |
The notional amount of futures purchased as a percentage of Net Assets is 13.9%
The notional amount of futures sold as a percentage of Net Assets is 1.9%
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $514,250,000.
Swaps
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount (000s) | Value (000s) | Upfront Premium Received/(Paid) (000s)(2) | Unrealized Appreciation/(Depreciation) (000s) |
Interest Rate Swaps | |||||||||
2.75% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Mar. 2026 | $18,488 | $185 | $0 | $185 |
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(3) Represents floating rate.
Values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
Legend
(a) 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 $3,028,000.
(b) Security or a portion of the security is on loan at period end.
(c) Security or a portion of the security has been segregated as collateral for open options. At period end, the value of securities pledged amounted to $1,340,000.
(d) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $576,000.
(e) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(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) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(i) 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.
(j) 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 $24,244,000 or 0.7% of net assets.
(k) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.
(l) 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.
(m) 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-Q 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.
(n) 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.
(o) Includes investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
(Amounts in thousands) | |
Fidelity Cash Central Fund | $454 |
Fidelity Mortgage Backed Securities Central Fund | 13,223 |
Total | $13,677 |
Amounts in the 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.
Fiscal year to date information regarding the Funds investments in non-Money Market Central Funds, including the ownership percentage, is presented below.
Fund (Amounts in thousands) | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Mortgage Backed Securities Central Fund | $869,177 | $13,223 | $100,000 | $(1,001) | $7,597 | $788,996 | 8.9% |
Total | $869,177 | $13,223 | $100,000 | $(1,001) | $7,597 | $788,996 |
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2019, 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 | Total | Level 1 | Level 2 | Level 3 |
(Amounts in thousands) | ||||
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | $1,522,260 | $-- | $1,522,260 | $-- |
U.S. Government Agency - Mortgage Securities | 84,032 | -- | 84,032 | -- |
Asset-Backed Securities | 90,852 | -- | 90,852 | -- |
Collateralized Mortgage Obligations | 536,160 | -- | 536,160 | -- |
Commercial Mortgage Securities | 195,031 | -- | 195,031 | -- |
Foreign Government and Government Agency Obligations | 140,887 | -- | 140,887 | -- |
Fixed-Income Funds | 788,996 | 788,996 | -- | -- |
Money Market Funds | 157,206 | 157,206 | -- | -- |
Repurchase Agreements | 71,397 | -- | 71,397 | -- |
Purchased Swaptions | 7,032 | -- | 7,032 | -- |
Total Investments in Securities: | $3,593,853 | $946,202 | $2,647,651 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $369 | $369 | $-- | $-- |
Swaps | 185 | -- | 185 | -- |
Total Assets | $554 | $369 | $185 | $-- |
Liabilities | ||||
Futures Contracts | $(1,385) | $(1,385) | $-- | $-- |
Total Liabilities | $(1,385) | $(1,385) | $-- | $-- |
Total Derivative Instruments: | $(831) | $(1,016) | $185 | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(13,941) | $-- | $(13,941) | $-- |
Total Other Financial Instruments: | $(13,941) | $-- | $(13,941) | $-- |
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 28, 2019. 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 | |
Asset | Liability | |
(Amounts in thousands) | ||
Interest Rate Risk | ||
Futures Contracts(a) | $369 | $(1,385) |
Purchased Swaptions(b) | 7,032 | 0 |
Swaps(c) | 185 | 0 |
Total Interest Rate Risk | 7,586 | (1,385) |
Total Value of Derivatives | $7,586 | $(1,385) |
(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 distributable earnings.
(b) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.
(c) For centrally cleared over-the-counter (OTC) 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 OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in distributable earnings.
Other Information
# Additional information on each counterparty to the repurchase agreement is as follows:
Repurchase Agreement / Counterparty | Value (000s) |
$71,397,000 due 3/01/19 at 2.59% | |
J.P. Morgan Securities, Inc. | $57,115 |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 14,282 |
$71,397 |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | February 28, 2019 (Unaudited) | |
Assets | ||
Investment in securities, at value (including securities loaned of $71,398 and repurchase agreements of $71,397) See accompanying schedule: Unaffiliated issuers (cost $2,662,750) | $2,647,651 | |
Fidelity Central Funds (cost $932,265) | 946,202 | |
Total Investment in Securities (cost $3,595,015) | $3,593,853 | |
Cash | 1 | |
Receivable for investments sold | 37 | |
Receivable for TBA sale commitments | 13,949 | |
Receivable for fund shares sold | 1,791 | |
Interest receivable | 8,810 | |
Distributions receivable from Fidelity Central Funds | 199 | |
Other receivables | 53 | |
Total assets | 3,618,693 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $63,487 | |
Delayed delivery | 13,938 | |
TBA sale commitments, at value | 13,941 | |
Payable for fund shares redeemed | 3,613 | |
Distributions payable | 322 | |
Accrued management fee | 877 | |
Distribution and service plan fees payable | 101 | |
Payable for daily variation margin on futures contracts | 484 | |
Payable for daily variation margin on centrally cleared OTC swaps | 36 | |
Other affiliated payables | 446 | |
Other payables and accrued expenses | 53 | |
Collateral on securities loaned | 71,398 | |
Total liabilities | 168,696 | |
Net Assets | $3,449,997 | |
Net Assets consist of: | ||
Paid in capital | $3,569,010 | |
Total distributable earnings (loss) | (119,013) | |
Net Assets | $3,449,997 | |
Net Asset Value and Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($126,144 ÷ 12,531.4 shares) | $10.07 | |
Maximum offering price per share (100/96.00 of $10.07) | $10.49 | |
Class M: | ||
Net Asset Value and redemption price per share ($129,295 ÷ 12,846.2 shares) | $10.06 | |
Maximum offering price per share (100/96.00 of $10.06) | $10.48 | |
Class C: | ||
Net Asset Value and offering price per share ($56,625 ÷ 5,626.4 shares)(a) | $10.06 | |
Government Income: | ||
Net Asset Value, offering price and redemption price per share ($2,742,746 ÷ 272,916.6 shares) | $10.05 | |
Class I: | ||
Net Asset Value, offering price and redemption price per share ($388,293 ÷ 38,577.8 shares) | $10.07 | |
Class Z: | ||
Net Asset Value, offering price and redemption price per share ($6,894 ÷ 684.6 shares) | $10.07 |
(a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Amounts in thousands | Six months ended February 28, 2019 (Unaudited) | |
Investment Income | ||
Interest | $35,922 | |
Income from Fidelity Central Funds | 13,371 | |
Total income | 49,293 | |
Expenses | ||
Management fee | $5,420 | |
Transfer agent fees | 1,971 | |
Distribution and service plan fees | 603 | |
Fund wide operations fee | 769 | |
Independent trustees' fees and expenses | 23 | |
Commitment fees | 4 | |
Total expenses before reductions | 8,790 | |
Expense reductions | (5) | |
Total expenses after reductions | 8,785 | |
Net investment income (loss) | 40,508 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (16,755) | |
Fidelity Central Funds | (1,003) | |
Futures contracts | 2,786 | |
Swaps | 299 | |
Written options | 53 | |
Capital gain distributions from Fidelity Central Funds | 306 | |
Total net realized gain (loss) | (14,314) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 28,555 | |
Fidelity Central Funds | 7,599 | |
Futures contracts | (581) | |
Swaps | 38 | |
Written options | 11 | |
Delayed delivery commitments | 48 | |
Total change in net unrealized appreciation (depreciation) | 35,670 | |
Net gain (loss) | 21,356 | |
Net increase (decrease) in net assets resulting from operations | $61,864 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Six months ended February 28, 2019 (Unaudited) | Year ended August 31, 2018 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $40,508 | $77,064 |
Net realized gain (loss) | (14,314) | (33,299) |
Change in net unrealized appreciation (depreciation) | 35,670 | (115,091) |
Net increase (decrease) in net assets resulting from operations | 61,864 | (71,326) |
Distributions to shareholders | (39,685) | |
Distributions to shareholders from net investment income | | (76,545) |
Total distributions | (39,685) | (76,545) |
Share transactions - net increase (decrease) | (272,142) | (517,453) |
Total increase (decrease) in net assets | (249,963) | (665,324) |
Net Assets | ||
Beginning of period | 3,699,960 | 4,365,284 |
End of period | $3,449,997 | $3,699,960 |
Other Information | ||
Distributions in excess of net investment income end of period | $(7,946) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Government Income Fund Class A
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
Selected PerShare Data | ||||||
Net asset value, beginning of period | $10.00 | $10.36 | $10.66 | $10.50 | $10.47 | $10.20 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .100 | .166 | .149 | .135 | .126 | .138 |
Net realized and unrealized gain (loss) | .067 | (.362) | (.230) | .270 | .048 | .278 |
Total from investment operations | .167 | (.196) | (.081) | .405 | .174 | .416 |
Distributions from net investment income | (.097) | (.164) | (.143) | (.150) | (.116) | (.139) |
Distributions from net realized gain | | | (.076) | (.095) | (.028) | (.007) |
Total distributions | (.097) | (.164) | (.219) | (.245) | (.144) | (.146) |
Net asset value, end of period | $10.07 | $10.00 | $10.36 | $10.66 | $10.50 | $10.47 |
Total ReturnB,C,D | 1.68% | (1.89)% | (.73)% | 3.92% | 1.67% | 4.10% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | .79%G | .77% | .77% | .76% | .77% | .77% |
Expenses net of fee waivers, if any | .79%G | .77% | .77% | .76% | .77% | .77% |
Expenses net of all reductions | .79%G | .77% | .77% | .76% | .77% | .77% |
Net investment income (loss) | 2.03%G | 1.64% | 1.44% | 1.28% | 1.20% | 1.34% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $126 | $131 | $174 | $261 | $222 | $246 |
Portfolio turnover rateH | 135%G | 123% | 157% | 93% | 83% | 131% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Fidelity Government Income Fund Class M
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
Selected PerShare Data | ||||||
Net asset value, beginning of period | $10.00 | $10.36 | $10.66 | $10.50 | $10.47 | $10.20 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .101 | .167 | .149 | .135 | .127 | .140 |
Net realized and unrealized gain (loss) | .057 | (.362) | (.229) | .270 | .048 | .277 |
Total from investment operations | .158 | (.195) | (.080) | .405 | .175 | .417 |
Distributions from net investment income | (.098) | (.165) | (.144) | (.150) | (.117) | (.140) |
Distributions from net realized gain | | | (.076) | (.095) | (.028) | (.007) |
Total distributions | (.098) | (.165) | (.220) | (.245) | (.145) | (.147) |
Net asset value, end of period | $10.06 | $10.00 | $10.36 | $10.66 | $10.50 | $10.47 |
Total ReturnB,C,D | 1.59% | (1.88)% | (.73)% | 3.92% | 1.68% | 4.12% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | .77%G | .76% | .76% | .76% | .76% | .76% |
Expenses net of fee waivers, if any | .77%G | .76% | .76% | .76% | .76% | .76% |
Expenses net of all reductions | .77%G | .76% | .76% | .76% | .76% | .76% |
Net investment income (loss) | 2.05%G | 1.65% | 1.44% | 1.28% | 1.20% | 1.36% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $129 | $137 | $157 | $197 | $181 | $196 |
Portfolio turnover rateH | 135%G | 123% | 157% | 93% | 83% | 131% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Fidelity Government Income Fund Class C
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
Selected PerShare Data | ||||||
Net asset value, beginning of period | $10.00 | $10.36 | $10.66 | $10.50 | $10.47 | $10.20 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .062 | .088 | .069 | .053 | .044 | .059 |
Net realized and unrealized gain (loss) | .057 | (.361) | (.229) | .270 | .048 | .278 |
Total from investment operations | .119 | (.273) | (.160) | .323 | .092 | .337 |
Distributions from net investment income | (.059) | (.087) | (.064) | (.068) | (.034) | (.060) |
Distributions from net realized gain | | | (.076) | (.095) | (.028) | (.007) |
Total distributions | (.059) | (.087) | (.140) | (.163) | (.062) | (.067) |
Net asset value, end of period | $10.06 | $10.00 | $10.36 | $10.66 | $10.50 | $10.47 |
Total ReturnB,C,D | 1.20% | (2.64)% | (1.49)% | 3.12% | .88% | 3.32% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | 1.56%G | 1.54% | 1.54% | 1.54% | 1.55% | 1.54% |
Expenses net of fee waivers, if any | 1.56%G | 1.54% | 1.54% | 1.54% | 1.55% | 1.54% |
Expenses net of all reductions | 1.56%G | 1.54% | 1.54% | 1.54% | 1.55% | 1.54% |
Net investment income (loss) | 1.26%G | .87% | .67% | .50% | .42% | .57% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $57 | $57 | $72 | $94 | $54 | $58 |
Portfolio turnover rateH | 135%G | 123% | 157% | 93% | 83% | 131% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Fidelity Government Income Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
Selected PerShare Data | ||||||
Net asset value, beginning of period | $9.99 | $10.35 | $10.65 | $10.48 | $10.45 | $10.18 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .117 | .198 | .181 | .167 | .159 | .171 |
Net realized and unrealized gain (loss) | .056 | (.361) | (.229) | .281 | .048 | .278 |
Total from investment operations | .173 | (.163) | (.048) | .448 | .207 | .449 |
Distributions from net investment income | (.113) | (.197) | (.176) | (.183) | (.149) | (.172) |
Distributions from net realized gain | | | (.076) | (.095) | (.028) | (.007) |
Total distributions | (.113) | (.197) | (.252) | (.278) | (.177) | (.179) |
Net asset value, end of period | $10.05 | $9.99 | $10.35 | $10.65 | $10.48 | $10.45 |
Total ReturnB,C | 1.75% | (1.58)% | (.42)% | 4.35% | 1.99% | 4.45% |
Ratios to Average Net AssetsD,E | ||||||
Expenses before reductions | .45%F | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45%F | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45%F | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 2.36%F | 1.96% | 1.76% | 1.59% | 1.51% | 1.66% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $2,743 | $2,964 | $3,467 | $3,896 | $3,489 | $3,157 |
Portfolio turnover rateG | 135%F | 123% | 157% | 93% | 83% | 131% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F Annualized
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Fidelity Government Income Fund Class I
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
Selected PerShare Data | ||||||
Net asset value, beginning of period | $10.00 | $10.36 | $10.66 | $10.50 | $10.47 | $10.20 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .115 | .194 | .177 | .162 | .154 | .166 |
Net realized and unrealized gain (loss) | .067 | (.361) | (.230) | .271 | .048 | .277 |
Total from investment operations | .182 | (.167) | (.053) | .433 | .202 | .443 |
Distributions from net investment income | (.112) | (.193) | (.171) | (.178) | (.144) | (.166) |
Distributions from net realized gain | | | (.076) | (.095) | (.028) | (.007) |
Total distributions | (.112) | (.193) | (.247) | (.273) | (.172) | (.173) |
Net asset value, end of period | $10.07 | $10.00 | $10.36 | $10.66 | $10.50 | $10.47 |
Total ReturnB,C | 1.83% | (1.61)% | (.46)% | 4.19% | 1.94% | 4.38% |
Ratios to Average Net AssetsD,E | ||||||
Expenses before reductions | .49%F | .49% | .49% | .50% | .50% | .51% |
Expenses net of fee waivers, if any | .49%F | .49% | .49% | .50% | .50% | .51% |
Expenses net of all reductions | .49%F | .49% | .49% | .50% | .50% | .51% |
Net investment income (loss) | 2.32%F | 1.92% | 1.71% | 1.54% | 1.46% | 1.61% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $388 | $411 | $496 | $494 | $412 | $298 |
Portfolio turnover rateG | 135%F | 123% | 157% | 93% | 83% | 131% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F Annualized
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Fidelity Government Income Fund Class Z
Six months ended (Unaudited) February 28, | |
2019 A | |
Selected PerShare Data | |
Net asset value, beginning of period | $9.91 |
Income from Investment Operations | |
Net investment income (loss)B | .105 |
Net realized and unrealized gain (loss) | .152 |
Total from investment operations | .257 |
Distributions from net investment income | (.097) |
Distributions from net realized gain | |
Total distributions | (.097) |
Net asset value, end of period | $10.07 |
Total ReturnC,D | 2.60% |
Ratios to Average Net AssetsE,F | |
Expenses before reductions | .41%G |
Expenses net of fee waivers, if any | .36%G |
Expenses net of all reductions | .36%G |
Net investment income (loss) | 2.53%G |
Supplemental Data | |
Net assets, end of period (in millions) | $7 |
Portfolio turnover rateH | 135%G |
A For the period October 2, 2018 (commencement of sale of shares) to February 28, 2019.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended February 28, 2019
(Amounts in thousands except percentages)
1. Organization.
Fidelity Government Income Fund (the Fund) is a fund of Fidelity Income Fund (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 commenced sale of Class Z shares on October 2, 2018. The Fund offers Class A, Class M, Class C, Government Income, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.
Effective March 1, 2019, Class C shares will automatically convert to Class A shares after a holding period of ten years from the initial date of purchase, with certain exceptions.
2. Investments in Fidelity Central Funds.
The Fund invests 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 Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the 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 Fund. These strategies are consistent with the investment objectives of the 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 Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Mortgage Backed Securities Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Futures Options Restricted Securities | 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 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 (the SEC) 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 are available on the SEC website or upon request.
3. 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 Investments 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 following summarizes the significant accounting policies of the Fund:
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 delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Foreign government and government agency obligations and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 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 28, 2019 is included at the end of the Fund's Schedule of Investments.
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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the 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 the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. 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. 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 the Fund, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $53 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
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 declared separately for each class. 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 futures contracts, swaps, market discount, deferred trustees compensation, 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 | $15,413 |
Gross unrealized depreciation | (57,047) |
Net unrealized appreciation (depreciation) | $(41,634) |
Tax cost | $3,633,775 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $(32,862) |
Long-term | (20,314) |
Total capital loss carryforward | $(53,176) |
Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with Fidelity Management & Research Company (FMR), or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. 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 Fund monitors, on a daily basis, the value of the collateral 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.
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund 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. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. 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. During the period, the Fund transacted in TBA securities that involved 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. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the 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 the 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, the 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 Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Restricted Securities. The Fund 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 is included at the end of the Fund's Schedule of Investments.
New Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.
Financial Statement | Current Line-Item Presentation (As Applicable) | Prior Line-Item Presentation (As Applicable) |
Statement of Assets and Liabilities | Total distributable earnings (loss) | Undistributed/Distributions in excess of/Accumulated net investment income (loss) Accumulated/Undistributed net realized gain (loss) Net unrealized appreciation (depreciation) |
Statement of Changes in Net Assets | N/A - removed | Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period |
Statement of Changes in Net Assets | Distributions to shareholders | Distributions to shareholders from net investment income Distributions to shareholders from net realized gain |
Distributions to Shareholders Note to Financial Statements | Distributions to shareholders | Distributions to shareholders from net investment income Distributions to shareholders from net realized gain |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures 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.
The Fund used derivatives 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 Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
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. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the 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 the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options, the 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 the 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, the Fund receives collateral in the form of cash or securities once the Fund's 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 Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss 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 the Fund. For OTC written options with upfront premiums received, the 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. The 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 futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC 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 of the Fund, 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) |
Interest Rate Risk | ||
Futures Contracts | $2,786 | $(581) |
Purchased Options | 84 | (1,038) |
Swaps | 299 | 38 |
Written Options | 53 | 11 |
Totals | $3,222 | $(1,570) |
A summary of the value of derivatives by primary risk exposure as of period end 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. The Fund used futures contracts to manage its 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 (variation margin) 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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its 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 on 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 the Fund will realize a gain or loss 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.
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 centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Centrally cleared OTC 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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC 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 OTC swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
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.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $38,282 and $155,349, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Management & Research Company (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 .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. 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 .31% of the Fund's average net assets.
In addition, under the expense contract, the investment adviser pays class-level expenses for Government Income, so that the total expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense, including commitment fees, 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.
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 Corporation (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% | $157 | $4 |
Class M | -% | .25% | 164 | (a) |
Class C | .75% | .25% | 282 | 35 |
$603 | $39 |
(a) In the amount 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, 1.00% 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 | $7 |
Class M | 1 |
Class C(a) | 2 |
$10 |
(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, Inc., (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 Government Income and Class Z. FIIOC receives an asset-based fee of Government Income'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 Assets(a) | |
Class A | $113 | .18 |
Class M | 106 | .16 |
Class C | 56 | .20 |
Government Income | 1,420 | .10 |
Class I | 275 | .14 |
Class Z | 1 | .05 |
$1,971 |
(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 do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% of the Fund's average net assets less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annualized rate of .04% of average net assets.
Interfund Trades. The Fund 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. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
7. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $4 and is reflected in Commitment fees on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the 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 the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, 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 interest income. Total security lending income during the period amounted to $3.
9. Expense Reductions.
The investment adviser contractually agreed to reimburse Class Z 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, 2019. 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% | $1 |
In addition, 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, these credits reduced the Fund's expenses by $4.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended February 28, 2019(a) | Year ended August 31, 2018 |
|
Distributions to shareholders | ||
Class A | $1,228 | $ |
Class M | 1,288 | |
Class C | 335 | |
Government Income | 32,399 | |
Class I | 4,403 | |
Class Z | 32 | |
Total | $39,685 | $ |
From net investment income | ||
Class A | $ | $2,453 |
Class M | | 2,332 |
Class C | | 527 |
Government Income | | 62,521 |
Class I | | 8,712 |
Total | $ | $76,545 |
(a) Distributions for Class Z are for the period October 2, 2018 (commencement of sale of shares) to February 28, 2019.
11. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Six months ended February 28, 2019 (a) | Year ended August 31, 2018 | Six months ended February 28, 2019 (a) | Year ended August 31, 2018 | |
Class A | ||||
Shares sold | 1,488 | 2,386 | $14,824 | $24,093 |
Reinvestment of distributions | 117 | 234 | 1,168 | 2,358 |
Shares redeemed | (2,208) | (6,296) | (22,014) | (63,573) |
Net increase (decrease) | (603) | (3,676) | $(6,022) | $(37,122) |
Class M | ||||
Shares sold | 1,911 | 3,436 | $19,100 | $34,657 |
Reinvestment of distributions | 117 | 213 | 1,169 | 2,151 |
Shares redeemed | (2,847) | (5,090) | (28,372) | (51,444) |
Net increase (decrease) | (819) | (1,441) | $(8,103) | $(14,636) |
Class C | ||||
Shares sold | 743 | 1,086 | $7,413 | $10,950 |
Reinvestment of distributions | 33 | 50 | 328 | 506 |
Shares redeemed | (861) | (2,329) | (8,581) | (23,542) |
Net increase (decrease) | (85) | (1,193) | $(840) | $(12,086) |
Government Income | ||||
Shares sold | 27,598 | 44,098 | $275,147 | $444,987 |
Reinvestment of distributions | 3,106 | 5,956 | 30,960 | 59,957 |
Shares redeemed | (54,567) | (88,405) | (545,128) | (890,477) |
Net increase (decrease) | (23,863) | (38,351) | $(239,021) | $(385,533) |
Class I | ||||
Shares sold | 5,727 | 16,203 | $57,233 | $164,389 |
Reinvestment of distributions | 417 | 830 | 4,162 | 8,367 |
Shares redeemed | (8,663) | (23,796) | (86,416) | (240,832) |
Net increase (decrease) | (2,519) | (6,763) | $(25,021) | $(68,076) |
Class Z | ||||
Shares sold | 698 | | $6,997 | $ |
Reinvestment of distributions | 3 | | 30 | |
Shares redeemed | (16) | | (162) | |
Net increase (decrease) | 685 | | $6,865 | $ |
(a) Share transactions for Class Z are for the period October 2, 2018 (commencement of sale of shares) to February 28, 2019.
12. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2018 to February 28, 2019) for Class A, Class M, Class C, Government Income, and Class I and for the period (October 2, 2018 to February 28, 2019) for Class Z. The hypothetical expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2018 to February 28, 2019).
Actual Expenses
The first line of the accompanying table for each class of the Fund 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 of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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 for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' 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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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 | Ending Account Value February 28, 2019 | Expenses Paid During Period |
|
Class A | .79% | |||
Actual | $1,000.00 | $1,016.80 | $3.95-B | |
Hypothetical-C | $1,000.00 | $1,020.88 | $3.96-D | |
Class M | .77% | |||
Actual | $1,000.00 | $1,015.90 | $3.85-B | |
Hypothetical-C | $1,000.00 | $1,020.98 | $3.86-D | |
Class C | 1.56% | |||
Actual | $1,000.00 | $1,012.00 | $7.78-B | |
Hypothetical-C | $1,000.00 | $1,017.06 | $7.80-D | |
Government Income | .45% | |||
Actual | $1,000.00 | $1,017.50 | $2.25-B | |
Hypothetical-C | $1,000.00 | $1,022.56 | $2.26-D | |
Class I | .49% | |||
Actual | $1,000.00 | $1,018.30 | $2.45-B | |
Hypothetical-C | $1,000.00 | $1,022.36 | $2.46-D | |
Class Z | .36% | |||
Actual | $1,000.00 | $1,026.00 | $1.50-B | |
Hypothetical-C | $1,000.00 | 1,023.01 | $1.81-D |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Actual expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period) for Class A, Class M, Class C, Government Income and Class I and multiplied by 150/365 (to reflect the period October 2, 2018 to February 28, 2019) for Class Z. The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.
C 5% return per year before expenses
D Hypothetical expenses equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Government Income Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (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 has established four standing committees (Committees) Operations, Audit, Fair Valuation, and Governance and Nominating each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. 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 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 2018 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 to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, 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. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.
Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. 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, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated 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, 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 the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.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 through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers. Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits 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 mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest, and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain growth equity funds and index funds; (vii) lowering expense caps for certain existing funds and classes, and converting certain voluntary expense caps to contractual caps, to reduce expenses borne by shareholders; (viii) eliminating short-term redemption fees for funds that had such fees; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals. Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that there was a portfolio management change for the fund in December 2017.The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about 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 considers annualized return information for the fund for different time periods, measured against an appropriate securities market index ("benchmark index") and a peer group of funds with similar objectives ("peer group"), if any. 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 for specific 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. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. 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.The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year 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 considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison. Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.Fidelity Government Income Fund
GOV-SANN-0419
1.700523.121
Fidelity® Intermediate Government Income Fund Semi-Annual Report February 28, 2019 |
|
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a funds shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelitys website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
Account Type | Website | Phone Number |
Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) | 1-800-343-0860 |
Advisor Sold Accounts Serviced Through Your Financial Intermediary: | Contact Your Financial Intermediary | Your Financial Intermediary's phone number |
Advisor Sold Accounts Serviced by Fidelity: | institutional.fidelity.com | 1-877-208-0098 |
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
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.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2019 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SECs web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SECs Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
Coupon Distribution as of February 28, 2019
% of fund's investments | |
1 - 1.99% | 7.5 |
2 - 2.99% | 61.8 |
3 - 3.99% | 16.1 |
4 - 4.99% | 1.4 |
5 - 5.99% | 7.7 |
6 - 6.99% | 0.6 |
7 - 7.99% | 0.1 |
8% and above | 0.0 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
Asset Allocation (% of fund's net assets)
As of February 28, 2019*,** | ||
Mortgage Securities | 2.7% | |
CMOs and Other Mortgage Related Securities | 23.3% | |
U.S. Treasury Obligations | 62.5% | |
U.S. Government Agency Obligations*** | 2.6% | |
Foreign Government & Government Agency Obligations | 4.5% | |
Asset-Backed Securities | 2.4% | |
Short-Term Investments and Net Other Assets (Liabilities) | 2.0% |
* Foreign investments - 4.5%
** Futures and Swaps - 14.8%
*** Includes NCUA Guaranteed Notes
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Percentages shown as 0.0% may reflect amounts less than 0.05%.
Schedule of Investments February 28, 2019 (Unaudited)
Showing Percentage of Net Assets
U.S. Government and Government Agency Obligations - 65.1% | |||
Principal Amount (000s) | Value (000s) | ||
U.S. Treasury Obligations - 62.5% | |||
U.S. Treasury Bonds 3% 2/15/49 | 687 | 676 | |
U.S. Treasury Notes: | |||
1.375% 4/30/20 | $2,170 | $2,141 | |
1.5% 7/15/20 | 5,688 | 5,606 | |
1.625% 8/31/22 | 3,459 | 3,357 | |
1.75% 6/30/22 (a) | 24 | 23 | |
1.875% 7/31/22 | 16,612 | 16,269 | |
2% 8/15/25 (a)(b) | 39,301 | 37,881 | |
2.125% 6/30/22 | 327 | 323 | |
2.125% 7/31/24 (a) | 18,117 | 17,718 | |
2.125% 5/15/25 (a) | 1,053 | 1,024 | |
2.25% 7/31/21 | 29,232 | 29,055 | |
2.25% 12/31/24 | 8,407 | 8,257 | |
2.25% 2/15/27 | 217 | 211 | |
2.25% 8/15/27 (a) | 444 | 429 | |
2.25% 11/15/27 | 4,691 | 4,529 | |
2.375% 4/30/20 | 6,400 | 6,386 | |
2.375% 4/15/21 | 11,560 | 11,524 | |
2.375% 2/29/24 | 5,500 | 5,463 | |
2.5% 12/31/20 | 12,682 | 12,671 | |
2.5% 1/31/21 | 45,395 | 45,366 | |
2.5% 1/15/22 | 32,445 | 32,440 | |
2.5% 1/31/24 | 1,900 | 1,898 | |
2.5% 2/28/26 | 5,941 | 5,894 | |
2.625% 8/31/20 | 6,000 | 6,005 | |
2.625% 6/30/23 | 11,432 | 11,479 | |
2.625% 12/31/23 | 15,587 | 15,652 | |
2.625% 2/15/29 | 8,400 | 8,330 | |
2.75% 6/30/25 | 7,900 | 7,967 | |
2.875% 11/30/25 | 9,753 | 9,906 | |
3.125% 11/15/28 | 10,010 | 10,352 | |
318,832 | |||
Other Government Related - 2.6% | |||
National Credit Union Administration Guaranteed Notes: | |||
Series 2010-A1 Class A, 1 month U.S. LIBOR + 0.350% 2.8623% 12/7/20 (NCUA Guaranteed) (c)(d) | 516 | 516 | |
Series 2011-R1 Class 1A, 1 month U.S. LIBOR + 0.450% 2.9631% 1/8/20 (NCUA Guaranteed) (c)(d) | 776 | 778 | |
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) | 12,000 | 12,181 | |
13,475 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $334,199) | 332,307 | ||
U.S. Government Agency - Mortgage Securities - 4.1% | |||
Fannie Mae - 3.2% | |||
12 month U.S. LIBOR + 1.365% 4.115% 10/1/35 (c)(d) | 7 | 7 | |
12 month U.S. LIBOR + 1.480% 4.287% 7/1/34 (c)(d) | 7 | 8 | |
12 month U.S. LIBOR + 1.495% 4.511% 1/1/35 (c)(d) | 25 | 26 | |
12 month U.S. LIBOR + 1.551% 3.759% 2/1/44 (c)(d) | 28 | 30 | |
12 month U.S. LIBOR + 1.553% 2.542% 5/1/44 (c)(d) | 98 | 102 | |
12 month U.S. LIBOR + 1.553% 4.269% 6/1/36 (c)(d) | 5 | 5 | |
12 month U.S. LIBOR + 1.558% 4.272% 2/1/44 (c)(d) | 29 | 29 | |
12 month U.S. LIBOR + 1.565% 3.565% 3/1/37 (c)(d) | 10 | 10 | |
12 month U.S. LIBOR + 1.570% 2.531% 5/1/44 (c)(d) | 67 | 70 | |
12 month U.S. LIBOR + 1.574% 2.711% 4/1/44 (c)(d) | 143 | 147 | |
12 month U.S. LIBOR + 1.580% 2.478% 4/1/44 (c)(d) | 55 | 57 | |
12 month U.S. LIBOR + 1.580% 4.577% 1/1/44 (c)(d) | 46 | 48 | |
12 month U.S. LIBOR + 1.617% 4.355% 3/1/33 (c)(d) | 17 | 18 | |
12 month U.S. LIBOR + 1.643% 4.315% 9/1/36 (c)(d) | 8 | 9 | |
12 month U.S. LIBOR + 1.645% 4.355% 6/1/47 (c)(d) | 21 | 22 | |
12 month U.S. LIBOR + 1.728% 4.302% 11/1/36 (c)(d) | 38 | 40 | |
12 month U.S. LIBOR + 1.741% 4.625% 3/1/40 (c)(d) | 179 | 189 | |
12 month U.S. LIBOR + 1.745% 4.608% 7/1/35 (c)(d) | 8 | 8 | |
12 month U.S. LIBOR + 1.760% 4.839% 2/1/37 (c)(d) | 80 | 85 | |
12 month U.S. LIBOR + 1.800% 4.787% 1/1/42 (c)(d) | 118 | 124 | |
12 month U.S. LIBOR + 1.818% 3.702% 2/1/42 (c)(d) | 144 | 152 | |
12 month U.S. LIBOR + 1.851% 4.271% 5/1/36 (c)(d) | 4 | 4 | |
12 month U.S. LIBOR + 1.885% 3.972% 4/1/36 (c)(d) | 61 | 65 | |
12 month U.S. LIBOR + 2.176% 4.473% 8/1/35 (c)(d) | 34 | 36 | |
6 month U.S. LIBOR + 1.510% 4.251% 2/1/33 (c)(d)(e) | 4 | 5 | |
6 month U.S. LIBOR + 1.535% 4.12% 12/1/34 (c)(d) | 8 | 8 | |
6 month U.S. LIBOR + 1.535% 4.266% 3/1/35 (c)(d) | 6 | 7 | |
6 month U.S. LIBOR + 1.556% 4.102% 10/1/33 (c)(d) | 3 | 3 | |
6 month U.S. LIBOR + 1.565% 4.42% 7/1/35 (c)(d) | 4 | 4 | |
U.S. TREASURY 1 YEAR INDEX + 2.146% 4.537% 7/1/36 (c)(d) | 28 | 30 | |
U.S. TREASURY 1 YEAR INDEX + 2.208% 4.083% 3/1/35 (c)(d) | 2 | 2 | |
U.S. TREASURY 1 YEAR INDEX + 2.295% 4.678% 10/1/33 (c)(d) | 9 | 9 | |
3% 3/1/34 (f) | 600 | 599 | |
3% 3/1/49 (f) | 2,800 | 2,735 | |
3% 3/1/49 (f) | 2,800 | 2,735 | |
3.5% 7/1/32 to 1/1/48 | 1,740 | 1,765 | |
3.5% 3/1/34 (f) | 650 | 660 | |
3.5% 3/1/34 (f) | 650 | 660 | |
4.5% 11/1/25 | 353 | 362 | |
5% 1/1/22 to 4/1/22 | 10 | 10 | |
5.5% 8/1/25 to 5/1/44 | 3,338 | 3,597 | |
6% 1/1/34 to 6/1/36 | 718 | 797 | |
6.5% 2/1/22 to 8/1/36 | 741 | 827 | |
16,106 | |||
Freddie Mac - 0.6% | |||
12 month U.S. LIBOR + 1.325% 4.325% 3/1/37 (c)(d) | 7 | 7 | |
12 month U.S. LIBOR + 1.515% 4.39% 11/1/35 (c)(d) | 13 | 14 | |
12 month U.S. LIBOR + 1.600% 4.35% 7/1/35 (c)(d) | 12 | 13 | |
12 month U.S. LIBOR + 1.754% 4.5% 9/1/41 (c)(d) | 227 | 238 | |
12 month U.S. LIBOR + 1.793% 4.695% 4/1/37 (c)(d) | 14 | 15 | |
12 month U.S. LIBOR + 1.880% 4.711% 10/1/41 (c)(d) | 185 | 190 | |
12 month U.S. LIBOR + 1.884% 4.624% 10/1/42 (c)(d) | 119 | 123 | |
12 month U.S. LIBOR + 2.045% 4.778% 7/1/36 (c)(d) | 23 | 24 | |
12 month U.S. LIBOR + 2.076% 5.009% 3/1/33 (c)(d) | 1 | 1 | |
6 month U.S. LIBOR + 1.445% 3.945% 3/1/35 (c)(d) | 15 | 15 | |
6 month U.S. LIBOR + 1.647% 4.391% 2/1/37 (c)(d) | 16 | 16 | |
6 month U.S. LIBOR + 1.665% 4.328% 7/1/35 (c)(d) | 213 | 219 | |
6 month U.S. LIBOR + 1.720% 4.567% 8/1/37 (c)(d) | 21 | 21 | |
6 month U.S. LIBOR + 1.746% 4.33% 5/1/37 (c)(d) | 5 | 6 | |
6 month U.S. LIBOR + 1.843% 4.426% 10/1/36 (c)(d) | 57 | 59 | |
6 month U.S. LIBOR + 1.913% 4.487% 10/1/35 (c)(d) | 37 | 39 | |
6 month U.S. LIBOR + 2.010% 4.51% 5/1/37 (c)(d) | 54 | 57 | |
6 month U.S. LIBOR + 2.010% 4.51% 5/1/37 (c)(d) | 21 | 22 | |
6 month U.S. LIBOR + 2.040% 4.726% 6/1/37 (c)(d) | 16 | 17 | |
6 month U.S. LIBOR + 2.492% 5.028% 10/1/35 (c)(d) | 6 | 6 | |
U.S. TREASURY 1 YEAR INDEX + 2.035% 4.044% 6/1/33 (c)(d) | 57 | 60 | |
U.S. TREASURY 1 YEAR INDEX + 2.230% 4.105% 4/1/34 (c)(d) | 188 | 198 | |
U.S. TREASURY 1 YEAR INDEX + 2.239% 4.865% 2/1/36 (c)(d) | 1 | 1 | |
U.S. TREASURY 1 YEAR INDEX + 2.548% 4.639% 7/1/35 (c)(d) | 47 | 49 | |
3% 11/1/33 | 1,012 | 1,009 | |
3.5% 7/1/32 | 549 | 557 | |
6% 1/1/24 | 116 | 121 | |
6.5% 12/1/21 | 28 | 29 | |
9.5% 5/1/20 to 6/1/21 | 0 | 0 | |
10% 2/1/20 to 3/1/21 | 0 | 0 | |
10.5% 1/1/21 | 0 | 0 | |
11% 9/1/20 | 0 | 0 | |
3,126 | |||
Ginnie Mae - 0.3% | |||
6% 6/15/36 | 643 | 717 | |
8% 12/15/23 | 36 | 38 | |
10.5% 6/15/19 to 10/15/21 | 3 | 3 | |
4.422% 8/20/61 (c)(g) | 50 | 51 | |
4.568% 2/20/62 (c)(g) | 193 | 194 | |
4.655% 2/20/62 (c)(g) | 156 | 156 | |
4.753% 1/20/62 (c)(g) | 578 | 581 | |
5.47% 8/20/59 (c)(g) | 1 | 1 | |
11% 1/20/21 | 2 | 2 | |
1,743 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $20,926) | 20,975 | ||
Asset-Backed Securities - 2.4% | |||
Goal Capital Funding Trust Series 2005-2 Class A3, 3 month U.S. LIBOR + 0.170% 2.821% 5/28/30 (c)(d) | $105 | $105 | |
Higher Education Funding Series 2005-1 Class A5, 3 month U.S. LIBOR + 0.160% 2.811% 2/25/32 (c)(d) | 106 | 106 | |
Navient Student Loan Trust: | |||
Series 2017-3A: | |||
Class A1, 1 month U.S. LIBOR + 0.300% 2.7899% 7/26/66 (c)(d)(h) | 532 | 532 | |
Class A2, 1 month U.S. LIBOR + 0.600% 3.0899% 7/26/66 (c)(d)(h) | 2,013 | 2,015 | |
Series 2018-1A Class A1, 1 month U.S. LIBOR + 0.190% 2.6799% 3/25/67 (c)(d)(h) | 560 | 560 | |
Nelnet Student Loan Trust 3 month U.S. LIBOR + 0.100% 2.8706% 1/25/30 (c)(d) | 429 | 429 | |
Northstar Education Finance, Inc., Delaware Series 2004-2 Class A4, 3 month U.S. LIBOR + 0.230% 2.9948% 7/28/21 (c)(d) | 1,884 | 1,885 | |
SLM Student Loan Trust Series 2007-8 Class A4, 3 month U.S. LIBOR + 0.470% 3.2406% 1/26/26 (c)(d) | 6,447 | 6,467 | |
Small Business Administration guaranteed development participation certificates Series 2004-20H Class 1, 5.17% 8/1/24 | 49 | 50 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $12,139) | 12,149 | ||
Collateralized Mortgage Obligations - 18.0% | |||
U.S. Government Agency - 18.0% | |||
Fannie Mae: | |||
floater: | $ | $ | |
Series 1994-42 Class FK, 10-Year Treasury Constant Maturity Rate - 0.500% 2.25% 4/25/24 (c)(d) | 244 | 242 | |
Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 3.4699% 8/25/31 (c)(d) | 57 | 58 | |
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 3.4899% 4/25/32 (c)(d) | 13 | 13 | |
Series 2002-74 Class FV, 1 month U.S. LIBOR + 0.450% 2.9399% 11/25/32 (c)(d) | 622 | 625 | |
Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 3.4899% 11/25/32 (c)(d) | 26 | 27 | |
Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 3.4199% 6/25/36 (c)(d) | 852 | 864 | |
planned amortization class: | |||
Series 2003-28 Class KG, 5.5% 4/25/23 | 94 | 97 | |
Series 2005-19 Class PA, 5.5% 7/25/34 | 103 | 104 | |
Series 2005-64 Class PX, 5.5% 6/25/35 | 194 | 204 | |
Series 2005-68 Class CZ, 5.5% 8/25/35 | 673 | 734 | |
Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 131 | 125 | |
Class GA, 1.75% 6/25/42 | 135 | 129 | |
sequential payer: | |||
Series 2003-117 Class MD, 5% 12/25/23 | 100 | 103 | |
Series 2004-52 Class KZ, 5.5% 7/25/34 | 1,442 | 1,569 | |
Series 2004-91 Class Z, 5% 12/25/34 | 809 | 861 | |
Series 2009-59 Class HB, 5% 8/25/39 | 349 | 372 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (e) | 491 | 42 | |
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 3.4099% 3/25/36 (c)(d) | 525 | 535 | |
Series 2011-67 Class AI, 4% 7/25/26 (e) | 135 | 11 | |
Series 2016-26 Class CG, 3% 5/25/46 | 2,035 | 2,024 | |
Freddie Mac: | |||
floater: | |||
Series 2526 Class FC, 1 month U.S. LIBOR + 0.400% 2.8888% 11/15/32 (c)(d) | 111 | 111 | |
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 3.3888% 2/15/33 (c)(d) | 235 | 239 | |
floater planned amortization class Series 2770 Class FH, 1 month U.S. LIBOR + 0.400% 2.8888% 3/15/34 (c)(d) | 265 | 265 | |
planned amortization class: | |||
Series 2802 Class OB, 6% 5/15/34 | 264 | 282 | |
Series 3415 Class PC, 5% 12/15/37 | 94 | 99 | |
Series 3840 Class VA, 4.5% 9/15/27 | 151 | 152 | |
Series 4135 Class AB, 1.75% 6/15/42 | 99 | 95 | |
sequential payer: | |||
Series 1929 Class EZ, 7.5% 2/17/27 | 285 | 304 | |
Series 2004-2802 Class ZG, 5.5% 5/15/34 | 1,177 | 1,284 | |
Series 2004-2862 Class NE, 5% 9/15/24 | 1,767 | 1,813 | |
Series 2145 Class MZ, 6.5% 4/15/29 | 334 | 368 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 209 | 234 | |
Series 2877 Class ZD, 5% 10/15/34 | 996 | 1,062 | |
Series 2998 Class LY, 5.5% 7/15/25 | 90 | 94 | |
Series 3007 Class EW, 5.5% 7/15/25 | 422 | 442 | |
Series 3745 Class KV, 4.5% 12/15/26 | 932 | 969 | |
Freddie Mac Multi-family Structured pass-thru certificates sequential payer: | |||
Series 4335 Class AL, 4.25% 3/15/40 | 711 | 728 | |
Series 4341 Class ML, 3.5% 11/15/31 | 1,079 | 1,098 | |
Freddie Mac Seasoned Credit Risk Transfer Trust sequential payer: | |||
Series 2018-3 Class MA, 3.5% 8/25/57 | 6,768 | 6,729 | |
Series 2018-4 Class MA, 3.5% 3/25/58 | 4,556 | 4,555 | |
Freddie Mac SLST sequential payer Series 2018-1: | |||
Class A1, 3.5% 6/25/28 | 910 | 915 | |
Class A2, 3.5% 6/25/28 (h) | 230 | 228 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-59 Class FC, 1 month U.S. LIBOR + 0.500% 2.9848% 7/20/37 (c)(d) | 149 | 150 | |
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 2.9648% 1/20/38 (c)(d) | 39 | 39 | |
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 3.0814% 11/16/39 (c)(d) | 149 | 151 | |
Series 2009-116 Class KF, 1 month U.S. LIBOR + 0.530% 3.0114% 12/16/39 (c)(d) | 116 | 117 | |
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 2.83% 7/20/60 (c)(d)(g) | 1,993 | 1,985 | |
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 2.8071% 9/20/60 (c)(d)(g) | 2,411 | 2,401 | |
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 2.8071% 8/20/60 (c)(d)(g) | 2,658 | 2,646 | |
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 2.8871% 12/20/60 (c)(d)(g) | 721 | 719 | |
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 3.0071% 12/20/60 (c)(d)(g) | 1,318 | 1,319 | |
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 3.0071% 2/20/61 (c)(d)(g) | 2,622 | 2,624 | |
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 2.9971% 2/20/61 (c)(d)(g) | 3,006 | 3,007 | |
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 3.0071% 4/20/61 (c)(d)(g) | 981 | 982 | |
Series 2011-H14: | |||
Class FB, 1 month U.S. LIBOR + 0.500% 3.0071% 5/20/61 (c)(d)(g) | 1,193 | 1,194 | |
Class FC, 1 month U.S. LIBOR + 0.500% 3.0071% 5/20/61 (c)(d)(g) | 1,100 | 1,101 | |
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 3.0371% 6/20/61 (c)(d)(g) | 1,337 | 1,339 | |
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 3.1071% 10/20/61 (c)(d)(g) | 1,326 | 1,330 | |
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 3.2071% 11/20/61 (c)(d)(g) | 1,162 | 1,169 | |
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 3.2071% 1/20/62 (c)(d)(g) | 741 | 745 | |
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 3.1371% 1/20/62 (c)(d)(g) | 1,081 | 1,085 | |
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 3.1371% 3/20/62 (c)(d)(g) | 643 | 644 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 3.1571% 5/20/61 (c)(d)(g) | 40 | 40 | |
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 2.7871% 5/20/63 (c)(d)(g) | 444 | 444 | |
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 2.7071% 4/20/63 (c)(d)(g) | 455 | 454 | |
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 2.7348% 10/20/47 (c)(d) | 662 | 650 | |
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 2.7848% 5/20/48 (c)(d) | 822 | 812 | |
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 2.7848% 6/20/48 (c)(d) | 934 | 921 | |
planned amortization class: | |||
Series 2010-31 Class BP, 5% 3/20/40 | 1,810 | 2,005 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (e) | 285 | 32 | |
Series 2011-68 Class EC, 3.5% 4/20/41 | 722 | 733 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 129 | 126 | |
sequential payer: | |||
Series 2013-H06 Class HA, 1.65% 1/20/63 (g) | 378 | 374 | |
Series 2014-H12 Class KA, 2.75% 5/20/64 (g) | 741 | 734 | |
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 3.0071% 9/20/62 (c)(d)(g) | 1,687 | 1,687 | |
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 3.1571% 11/20/65 (c)(d)(g) | 233 | 233 | |
Series 2010-169 Class Z, 4.5% 12/20/40 | 1,066 | 1,114 | |
Series 2010-H15 Class TP, 5.15% 8/20/60 (g) | 1,186 | 1,195 | |
Series 2010-H17 Class XP, 5.2987% 7/20/60 (c)(g) | 963 | 972 | |
Series 2010-H18 Class PL, 5.01% 9/20/60 (c)(g) | 895 | 902 | |
Series 2012-64 Class KI, 3.5% 11/20/36 (e) | 151 | 9 | |
Series 2013-124: | |||
Class ES, 8.667% - 1 month U.S. LIBOR 5.3537% 4/20/39 (c)(i) | 417 | 424 | |
Class ST, 8.800% - 1 month U.S. LIBOR 5.487% 8/20/39 (c)(i) | 1,373 | 1,408 | |
Series 2013-H04 Class BA, 1.65% 2/20/63 (g) | 865 | 854 | |
Series 2013-H07 Class JA, 1.75% 3/20/63 (g) | 2,372 | 2,345 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (g) | 1,684 | 1,677 | |
Series 2015-H21: | |||
Class HA, 2.5% 6/20/63 (g) | 3,786 | 3,773 | |
Class JA, 2.5% 6/20/65 (g) | 360 | 359 | |
Series 2015-H30 Class HA, 1.75% 9/20/62 (c)(g) | 3,557 | 3,526 | |
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 3.09% 5/20/66 (c)(d)(g) | 3,092 | 3,098 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 2.94% 8/20/66 (c)(d)(g) | 2,795 | 2,793 | |
Series 2090-118 Class XZ, 5% 12/20/39 | 2,406 | 2,634 | |
91,880 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $92,585) | 91,880 | ||
Commercial Mortgage Securities - 5.3% | |||
Fannie Mae Series 2017-T1 Class A, 2.898% 6/25/27 | 5,461 | 5,314 | |
Freddie Mac: | |||
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 | 767 | 779 | |
sequential payer: | |||
Series 2017-SR01 Class A2, 2.75% 11/25/22 | 2,500 | 2,477 | |
Series K069 Class A2, 3.187% 9/25/27 | 800 | 800 | |
Series K073 Class A2, 3.35% 1/25/28 | 3,600 | 3,632 | |
Series K155 Class A1, 3.75% 11/25/29 | 108 | 112 | |
Series K158 Class A2, 3.9% 12/25/30 | 1,200 | 1,232 | |
Series K709 Class A2, 2.086% 3/25/19 | 48 | 47 | |
Series K710 Class A2, 1.883% 5/25/19 | 1,326 | 1,323 | |
Series K712 Class A2, 1.869% 11/25/19 | 1,919 | 1,908 | |
Series K084 Class A2, 3.78% 10/25/28 | 1,200 | 1,249 | |
Series K157 Class A2, 3.99% 5/25/33 | 2,020 | 2,113 | |
Freddie Mac Multi-family floater Series 2017-KT01 Class A, 1 month U.S. LIBOR + 0.320% 2.8011% 2/25/20 (c)(d) | 6,130 | 6,130 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $27,119) | 27,116 | ||
Foreign Government and Government Agency Obligations - 4.5% | |||
Israeli State: | |||
(guaranteed by U.S. Government through Agency for International Development): | |||
5.5% 9/18/23 | 4,551 | 5,088 | |
5.5% 12/4/23 | 10,710 | 12,056 | |
5.5% 4/26/24 | 1,100 | 1,242 | |
Jordanian Kingdom 3% 6/30/25 | 3,329 | 3,344 | |
Ukraine Government 1.471% 9/29/21 | 1,400 | 1,361 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $22,357) | 23,091 | ||
Shares | Value (000s) | ||
Money Market Funds - 3.4% | |||
Fidelity Cash Central Fund, 2.44% (j) | |||
(Cost $17,182) | 17,178,840 | 17,182 |
Purchased Swaptions - 0.1% | ||||
Expiration Date | Notional Amount (000s) | Value (000s) | ||
Put Options - 0.1% | ||||
Option on an interest rate swap with JPMorgan Chase Bank NA to pay semi-annually a fixed rate of 2.5340% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2027 | 12/8/20 | 3,300 | $92 | |
Option on an interest rate swap with JPMorgan Chase Bank NA to pay semi-annually a fixed rate of 2.5575% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2027 | 10/6/20 | 3,600 | 91 | |
TOTAL PUT OPTIONS | 183 | |||
Call Options - 0.0% | ||||
Option on an interest rate swap with JPMorgan Chase Bank NA to receive semi-annually a fixed rate of 2.5340% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2027 | 12/8/20 | 3,300 | 57 | |
Option on an interest rate swap with JPMorgan Chase Bank NA to receive semi-annually a fixed rate of 2.5575% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2027 | 10/6/20 | 3,600 | 62 | |
TOTAL CALL OPTIONS | 119 | |||
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $440) | 302 | |||
TOTAL INVESTMENT IN SECURITIES - 102.9% | ||||
(Cost $526,947) | 525,002 | |||
NET OTHER ASSETS (LIABILITIES) - (2.9)% | (14,915) | |||
NET ASSETS - 100% | $510,087 |
TBA Sale Commitments | ||
Principal Amount (000s) | Value (000s) | |
Fannie Mae | ||
3% 3/1/34 | $(600) | $(599) |
3% 3/1/49 | (5,600) | (5,471) |
3.5% 3/1/34 | (650) | (660) |
3.5% 3/1/34 | (650) | (660) |
TOTAL TBA SALE COMMITMENTS | ||
Proceeds $(7,368) | $(7,390) |
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) | 168 | June 2019 | $35,649 | $(17) | $(17) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 318 | June 2019 | 36,431 | (65) | (65) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 55 | June 2019 | 6,710 | (25) | (25) |
TOTAL PURCHASED FUTURES | (107) | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 20 | June 2019 | 2,889 | 20 | 20 |
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 18 | June 2019 | 2,330 | 13 | 13 |
TOTAL SOLD FUTURES | 33 | ||||
TOTAL FUTURES CONTRACTS | $(74) |
The notional amount of futures purchased as a percentage of Net Assets is 15.4%
The notional amount of futures sold as a percentage of Net Assets is 1.1%
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $88,234.
Swaps
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount (000s) | Value (000s) | Upfront Premium Received/(Paid) (000s)(2) | Unrealized Appreciation/(Depreciation) (000s) |
Interest Rate Swaps | |||||||||
2.75% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Mar. 2026 | $460 | $5 | $0 | $5 |
3% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Mar. 2029 | 1,600 | 25 | 0 | 25 |
TOTAL INTEREST RATE SWAPS | $30 | $0 | $30 | ||||||
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(3) Represents floating rate.
Values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
Legend
(a) 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 $390,000.
(b) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $80,000.
(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 represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(f) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(g) 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.
(h) 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 $3,335,000 or 0.7% of net assets.
(i) 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.
(j) 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.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
(Amounts in thousands) | |
Fidelity Cash Central Fund | $103 |
Total | $103 |
Amounts in the 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.
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2019, 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 | Total | Level 1 | Level 2 | Level 3 |
(Amounts in thousands) | ||||
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | $332,307 | $-- | $332,307 | $-- |
U.S. Government Agency - Mortgage Securities | 20,975 | -- | 20,975 | -- |
Asset-Backed Securities | 12,149 | -- | 12,149 | -- |
Collateralized Mortgage Obligations | 91,880 | -- | 91,880 | -- |
Commercial Mortgage Securities | 27,116 | -- | 27,116 | -- |
Foreign Government and Government Agency Obligations | 23,091 | -- | 23,091 | -- |
Money Market Funds | 17,182 | 17,182 | -- | -- |
Purchased Swaptions | 302 | -- | 302 | -- |
Total Investments in Securities: | $525,002 | $17,182 | $507,820 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $33 | $33 | $-- | $-- |
Swaps | 30 | -- | 30 | -- |
Total Assets | $63 | $33 | $30 | $-- |
Liabilities | ||||
Futures Contracts | $(107) | $(107) | $-- | $-- |
Total Liabilities | $(107) | $(107) | $-- | $-- |
Total Derivative Instruments: | $(44) | $(74) | $30 | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(7,390) | $-- | $(7,390) | $-- |
Total Other Financial Instruments: | $(7,390) | $-- | $(7,390) | $-- |
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 28, 2019. 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 | |
Asset | Liability | |
(Amounts in thousands) | ||
Interest Rate Risk | ||
Futures Contracts(a) | $33 | $(107) |
Purchased Swaptions(b) | 302 | 0 |
Swaps(c) | 30 | 0 |
Total Interest Rate Risk | 365 | (107) |
Total Value of Derivatives | $365 | $(107) |
(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 distributable earnings.
(b) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.
(c) For centrally cleared over-the-counter (OTC) 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 OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in distributable earnings.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amount) | February 28, 2019 (Unaudited) | |
Assets | ||
Investment in securities, at value See accompanying schedule: Unaffiliated issuers (cost $509,765) | $507,820 | |
Fidelity Central Funds (cost $17,182) | 17,182 | |
Total Investment in Securities (cost $526,947) | $525,002 | |
Receivable for investments sold | 27 | |
Receivable for TBA sale commitments | 7,368 | |
Receivable for fund shares sold | 377 | |
Interest receivable | 1,679 | |
Distributions receivable from Fidelity Central Funds | 33 | |
Receivable for daily variation margin on futures contracts | 1 | |
Receivable for daily variation margin on centrally cleared OTC swaps | 7 | |
Total assets | 534,494 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $8,978 | |
Delayed delivery | 7,346 | |
TBA sale commitments, at value | 7,390 | |
Payable for fund shares redeemed | 366 | |
Distributions payable | 67 | |
Accrued management fee | 131 | |
Payable for daily variation margin on futures contracts | 66 | |
Other affiliated payables | 63 | |
Total liabilities | 24,407 | |
Net Assets | $510,087 | |
Net Assets consist of: | ||
Paid in capital | $522,660 | |
Total distributable earnings (loss) | (12,573) | |
Net Assets, for 49,407 shares outstanding | $510,087 | |
Net Asset Value, offering price and redemption price per share ($510,087 ÷ 49,407 shares) | $10.32 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Amounts in thousands | Six months ended February 28, 2019 (Unaudited) | |
Investment Income | ||
Interest | $6,420 | |
Income from Fidelity Central Funds | 103 | |
Total income | 6,523 | |
Expenses | ||
Management fee | $802 | |
Transfer agent fees | 263 | |
Fund wide operations fee | 116 | |
Independent trustees' fees and expenses | 1 | |
Commitment fees | 1 | |
Total expenses before reductions | 1,183 | |
Expense reductions | (1) | |
Total expenses after reductions | 1,182 | |
Net investment income (loss) | 5,341 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (1,920) | |
Futures contracts | 235 | |
Swaps | 7 | |
Written options | 4 | |
Total net realized gain (loss) | (1,674) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 6,038 | |
Futures contracts | (17) | |
Swaps | 26 | |
Written options | (1) | |
Delayed delivery commitments | (23) | |
Total change in net unrealized appreciation (depreciation) | 6,023 | |
Net gain (loss) | 4,349 | |
Net increase (decrease) in net assets resulting from operations | $9,690 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Six months ended February 28, 2019 (Unaudited) | Year ended August 31, 2018 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $5,341 | $9,492 |
Net realized gain (loss) | (1,674) | (5,130) |
Change in net unrealized appreciation (depreciation) | 6,023 | (12,368) |
Net increase (decrease) in net assets resulting from operations | 9,690 | (8,006) |
Distributions to shareholders | (5,202) | |
Distributions to shareholders from net investment income | | (9,409) |
Total distributions | (5,202) | (9,409) |
Share transactions | ||
Proceeds from sales of shares | 26,565 | 87,437 |
Reinvestment of distributions | 4,790 | 8,658 |
Cost of shares redeemed | (67,133) | (113,050) |
Net increase (decrease) in net assets resulting from share transactions | (35,778) | (16,955) |
Total increase (decrease) in net assets | (31,290) | (34,370) |
Net Assets | ||
Beginning of period | 541,377 | 575,747 |
End of period | $510,087 | $541,377 |
Other Information | ||
Distributions in excess of net investment income end of period | $(320) | |
Shares | ||
Sold | 2,595 | 8,532 |
Issued in reinvestment of distributions | 467 | 840 |
Redeemed | (6,554) | (10,950) |
Net increase (decrease) | (3,492) | (1,578) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Intermediate Government Income Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
Selected PerShare Data | ||||||
Net asset value, beginning of period | $10.23 | $10.57 | $10.79 | $10.71 | $10.68 | $10.58 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .104 | .181 | .144 | .130 | .144 | .133 |
Net realized and unrealized gain (loss) | .087 | (.342) | (.138) | .148 | .016 | .153 |
Total from investment operations | .191 | (.161) | .006 | .278 | .160 | .286 |
Distributions from net investment income | (.101) | (.179) | (.138) | (.135) | (.130) | (.130) |
Distributions from net realized gain | | | (.088) | (.063) | | (.056) |
Total distributions | (.101) | (.179) | (.226) | (.198) | (.130) | (.186) |
Net asset value, end of period | $10.32 | $10.23 | $10.57 | $10.79 | $10.71 | $10.68 |
Total ReturnB,C | 1.88% | (1.52)% | .08% | 2.62% | 1.50% | 2.72% |
Ratios to Average Net AssetsD,E | ||||||
Expenses before reductions | .45%F | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45%F | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45%F | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 2.05%F | 1.75% | 1.36% | 1.21% | 1.34% | 1.25% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $510 | $541 | $576 | $721 | $740 | $823 |
Portfolio turnover rateG | 148%F | 132% | 149% | 117% | 71% | 153% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
F Annualized
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended February 28, 2019
(Amounts in thousands except percentages)
1. Organization.
Fidelity Intermediate Government Income Fund (the Fund) is a fund of Fidelity Income Fund (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. 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.
The Fund invests 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 Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
3. 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 Investments 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 following summarizes the significant accounting policies of the Fund:
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 delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Foreign government and government agency obligations and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in 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 28, 2019 is included at the end of the Fund's Schedule of Investments.
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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. 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. 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 swaps, futures and options transactions, market discount, deferred trustees compensation, capital loss carryforwards, 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 | $2,304 |
Gross unrealized depreciation | (4,229) |
Net unrealized appreciation (depreciation) | $(1,925) |
Tax cost | $526,723 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $(5,981) |
Long-term | (2,691) |
Total capital loss carryforward | $(8,672) |
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund 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. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. 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. During the period, the Fund transacted in TBA securities that involved 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. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the 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 the 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, the 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 Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Restricted Securities. The Fund 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 is included at the end of the Fund's Schedule of Investments.
New Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.
Financial Statement | Current Line-Item Presentation (As Applicable) | Prior Line-Item Presentation (As Applicable) |
Statement of Assets and Liabilities | Total distributable earnings (loss) | Undistributed/Distributions in excess of/Accumulated net investment income (loss) Accumulated/Undistributed net realized gain (loss) Net unrealized appreciation (depreciation) |
Statement of Changes in Net Assets | N/A - removed | Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period |
Statement of Changes in Net Assets | Distributions to shareholders | Distributions to shareholders from net investment income Distributions to shareholders from net realized gain |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures 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.
The Fund used derivatives 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 Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
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. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the 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 the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options, the 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 the 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, the Fund receives collateral in the form of cash or securities once the Fund's 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 Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss 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 the Fund. For OTC written options with upfront premiums received, the 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. The 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 futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC 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 of the Fund, 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) |
Interest Rate Risk | ||
Futures Contracts | $235 | $(17) |
Purchased Options | 46 | (19) |
Swaps | 7 | 26 |
Written Options | 4 | (1) |
Total Interest Rate Risk | $292 | $(34) |
A summary of the value of derivatives by primary risk exposure as of period end 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. The Fund used futures contracts to manage its 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 (variation margin) 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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its 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 on 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 the Fund will realize a gain or loss 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.
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 centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Centrally cleared OTC 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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC 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 OTC swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
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.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $6,051 and $6,450, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (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 .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. 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 .31% of the Fund's average net assets.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives an asset-based fee of .10% of the Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
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 do not include transfer agent, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% of the Fund's average net assets less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annualized rate of .04% of average net assets.
Interfund Trades. The Fund 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. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
7. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $1 and is reflected in Commitment fees on the Statement of Operations. During the period, the Fund did not borrow on this 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. During the period, these credits reduced the Fund's expenses by $1.
9. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the 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, 2018 to February 28, 2019).
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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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 Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2018 | Ending Account Value February 28, 2019 | Expenses Paid During Period-B September 1, 2018 to February 28, 2019 |
|
Actual | .45% | $1,000.00 | $1,018.80 | $2.25 |
Hypothetical-C | $1,000.00 | $1,022.56 | $2.26 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Intermediate Government Income Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (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 has established four standing committees (Committees) Operations, Audit, Fair Valuation, and Governance and Nominating each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. 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 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 2018 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 to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, 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. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.
Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. 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, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated 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, 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 the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.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 through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers. Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits 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 mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest, and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain growth equity funds and index funds; (vii) lowering expense caps for certain existing funds and classes, and converting certain voluntary expense caps to contractual caps, to reduce expenses borne by shareholders; (viii) eliminating short-term redemption fees for funds that had such fees; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals. Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that there was a portfolio management change for the fund in December 2017.The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about 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 considers annualized return information for the fund for different time periods, measured against an appropriate securities market index ("benchmark index") and a peer group of funds with similar objectives ("peer group"), if any. 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 for specific 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. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. 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.The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year 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 considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison. Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.Fidelity Intermediate Government Income Fund
SLM-SANN-0419
1.844597.113
Fidelity® Total Bond Fund Semi-Annual Report February 28, 2019 Includes Fidelity and Fidelity Advisor share classes |
|
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a funds shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
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Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 if youre an individual investing directly with Fidelity, call 1-800-835-5092 if youre a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if youre an advisor or invest through one to request a free copy of the proxy voting guidelines.
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Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2019 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SECs web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SECs Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
Quality Diversification (% of fund's net assets)
As of February 28, 2019 | ||
U.S. Government and U.S. Government Agency Obligations | 48.9% | |
AAA | 3.1% | |
AA | 0.6% | |
A | 6.6% | |
BBB | 21.8% | |
BB and Below | 16.6% | |
Not Rated | 1.2% | |
Short-Term Investments and Net Other Assets | 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.
Asset Allocation (% of fund's net assets)
As of February 28, 2019*,**,*** | ||
Corporate Bonds | 36.0% | |
U.S. Government and U.S. Government Agency Obligations | 48.9% | |
Asset-Backed Securities | 1.7% | |
CMOs and Other Mortgage Related Securities | 3.3% | |
Municipal Bonds | 1.1% | |
Other Investments | 7.8% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.2% |
* Foreign investments - 12.9%
** Futures and Swaps - 0.2%
*** Written options - (1.1)%
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Schedule of Investments February 28, 2019 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 36.0% | |||
Principal Amount(a) | Value | ||
Convertible Bonds - 0.0% | |||
COMMUNICATION SERVICES - 0.0% | |||
Media - 0.0% | |||
DISH Network Corp.: | |||
2.375% 3/15/24 | $3,638,000 | $3,014,851 | |
3.375% 8/15/26 | 1,918,000 | 1,647,370 | |
4,662,221 | |||
Nonconvertible Bonds - 36.0% | |||
COMMUNICATION SERVICES - 3.9% | |||
Diversified Telecommunication Services - 1.2% | |||
Altice Finco SA 7.625% 2/15/25 (b) | 3,399,000 | 3,042,105 | |
AT&T, Inc.: | |||
2.45% 6/30/20 | 7,195,000 | 7,143,907 | |
3% 6/30/22 | 7,993,000 | 7,925,710 | |
3.4% 5/15/25 | 25,177,000 | 24,528,697 | |
3.6% 2/17/23 | 26,826,000 | 26,994,513 | |
4.45% 4/1/24 | 1,500,000 | 1,552,800 | |
6.3% 1/15/38 | 10,617,000 | 11,843,007 | |
Axtel S.A.B. de CV 6.375% 11/14/24 (b) | 1,051,000 | 1,030,243 | |
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 25,000 | 29,417 | |
C&W Senior Financing Designated Activity Co.: | |||
6.875% 9/15/27 (b) | 395,000 | 387,100 | |
7.5% 10/15/26 (b) | 5,635,000 | 5,747,700 | |
Colombia Telecomunicaciones SA 5.375% 9/27/22 (b) | 651,000 | 656,696 | |
GTH Finance BV 7.25% 4/26/23 (b) | 2,710,000 | 2,884,578 | |
Iliad SA 0.625% 11/25/21 (Reg. S) | EUR | 8,200,000 | 9,059,403 |
Level 3 Communications, Inc. 5.75% 12/1/22 | 3,067,000 | 3,101,504 | |
Level 3 Financing, Inc.: | |||
5.375% 1/15/24 | 7,175,000 | 7,219,844 | |
5.375% 5/1/25 | 1,758,000 | 1,753,605 | |
Oztel Holdings SPC Ltd. 5.625% 10/24/23 (b) | 538,000 | 540,710 | |
Qwest Corp. 6.75% 12/1/21 | 1,650,000 | 1,756,920 | |
Sable International Finance Ltd. 6.875% 8/1/22 (b) | 1,770,000 | 1,840,800 | |
SFR Group SA: | |||
6.25% 5/15/24 (b) | 5,358,000 | 5,358,000 | |
7.375% 5/1/26 (b) | 2,871,000 | 2,817,169 | |
8.125% 2/1/27 (b) | 3,701,000 | 3,719,505 | |
Telecom Italia SpA 4% 4/11/24 (Reg. S) | EUR | 3,500,000 | 4,058,515 |
Telefonica Celular del Paraguay SA 6.75% 12/13/22 (b) | 1,051,000 | 1,072,020 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) | 2,800,000 | 2,695,000 | |
Turk Telekomunikasyon A/S: | |||
3.75% 6/19/19 (b) | 790,000 | 786,903 | |
6.875% 2/28/25 (b) | 625,000 | 624,543 | |
U.S. West Communications 7.25% 9/15/25 | 1,800,000 | 1,921,177 | |
Verizon Communications, Inc.: | |||
2.625% 2/21/20 | 7,995,000 | 7,981,769 | |
3.85% 11/1/42 | 3,697,000 | 3,331,954 | |
4.522% 9/15/48 | 5,655,000 | 5,549,640 | |
4.862% 8/21/46 | 10,531,000 | 10,828,441 | |
5.012% 4/15/49 | 5,836,000 | 6,108,746 | |
5.012% 8/21/54 | 44,593,000 | 45,808,134 | |
5.5% 3/16/47 | 22,998,000 | 25,566,946 | |
247,267,721 | |||
Entertainment - 0.2% | |||
NBCUniversal, Inc.: | |||
4.45% 1/15/43 | 6,238,000 | 6,183,647 | |
5.15% 4/30/20 | 7,399,000 | 7,589,954 | |
5.95% 4/1/41 | 4,363,000 | 5,152,530 | |
New Cotai LLC/New Cotai Capital Corp. 10.625% 5/1/19 pay-in-kind (b)(c) | 3,503,463 | 1,751,732 | |
Time Warner, Inc.: | |||
3.6% 7/15/25 | 4,081,000 | 4,019,137 | |
6.2% 3/15/40 | 7,512,000 | 8,233,684 | |
32,930,684 | |||
Media - 2.2% | |||
21st Century Fox America, Inc.: | |||
6.15% 3/1/37 | 4,759,000 | 5,875,593 | |
7.75% 12/1/45 | 3,932,000 | 5,794,380 | |
Altice Financing SA: | |||
6.625% 2/15/23 (b) | 1,771,000 | 1,810,848 | |
7.5% 5/15/26 (b) | 12,063,000 | 11,670,953 | |
Altice SA 7.75% 5/15/22 (b) | 3,450,000 | 3,428,438 | |
Cablevision SA 6.5% 6/15/21 (b) | 645,000 | 634,867 | |
Cablevision Systems Corp. 5.875% 9/15/22 | 1,988,000 | 2,050,746 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4% 3/1/23 (b) | 4,074,000 | 4,023,564 | |
5% 2/1/28 (b) | 12,200,000 | 11,742,500 | |
5.125% 2/15/23 | 720,000 | 731,700 | |
5.125% 5/1/23 (b) | 6,996,000 | 7,119,130 | |
5.125% 5/1/27 (b) | 7,097,000 | 6,963,931 | |
5.375% 5/1/25 (b) | 880,000 | 900,900 | |
5.5% 5/1/26 (b) | 7,769,000 | 7,922,127 | |
5.75% 1/15/24 | 5,915,000 | 6,059,178 | |
5.75% 2/15/26 (b) | 7,122,000 | 7,380,457 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.464% 7/23/22 | 13,008,000 | 13,342,518 | |
4.908% 7/23/25 | 13,008,000 | 13,475,218 | |
5.375% 5/1/47 | 32,692,000 | 30,996,005 | |
6.484% 10/23/45 | 5,223,000 | 5,617,748 | |
Clear Channel Worldwide Holdings, Inc. 9.25% 2/15/24 (b) | 1,250,000 | 1,310,938 | |
Comcast Corp.: | |||
3.9% 3/1/38 | 3,341,000 | 3,159,851 | |
3.969% 11/1/47 | 10,806,000 | 10,023,913 | |
3.999% 11/1/49 | 12,298,000 | 11,420,755 | |
4% 3/1/48 | 6,094,000 | 5,697,576 | |
4.6% 8/15/45 | 8,807,000 | 8,891,726 | |
4.65% 7/15/42 | 7,870,000 | 7,991,843 | |
6.45% 3/15/37 | 1,399,000 | 1,722,619 | |
CSC Holdings LLC: | |||
5.25% 6/1/24 | 2,729,000 | 2,728,072 | |
5.375% 7/15/23 (b) | 6,090,000 | 6,258,693 | |
5.5% 5/15/26 (b) | 4,409,000 | 4,458,601 | |
5.5% 4/15/27 (b) | 2,577,000 | 2,589,885 | |
6.75% 11/15/21 | 5,240,000 | 5,580,600 | |
7.5% 4/1/28 (b) | 3,026,000 | 3,192,430 | |
7.75% 7/15/25 (b) | 9,531,000 | 10,174,343 | |
DISH DBS Corp.: | |||
5.875% 7/15/22 | 2,548,000 | 2,433,340 | |
5.875% 11/15/24 | 8,151,000 | 6,864,772 | |
7.75% 7/1/26 | 863,000 | 746,495 | |
E.W. Scripps Co. 5.125% 5/15/25 (b) | 1,988,000 | 1,913,450 | |
Fox Corp.: | |||
3.666% 1/25/22 (b) | 2,306,000 | 2,332,845 | |
4.03% 1/25/24 (b) | 4,055,000 | 4,132,581 | |
4.709% 1/25/29 (b) | 5,868,000 | 6,082,457 | |
5.476% 1/25/39 (b) | 5,787,000 | 6,066,285 | |
5.576% 1/25/49 (b) | 3,840,000 | 4,055,179 | |
Globo Comunicacao e Participacoes SA: | |||
4.843% 6/8/25 (b) | 1,334,000 | 1,317,992 | |
4.875% 4/11/22 (b) | 360,000 | 365,134 | |
5.125% 3/31/27 (b) | 370,000 | 361,494 | |
Lagardere S.C.A.: | |||
1.625% 6/21/24 (Reg. S) | EUR | 3,100,000 | 3,422,467 |
2.75% 4/13/23 (Reg. S) | EUR | 4,400,000 | 5,160,999 |
MDC Partners, Inc. 6.5% 5/1/24 (b) | 8,976,000 | 7,764,240 | |
Nielsen Co. SARL (Luxembourg): | |||
5% 2/1/25 (b) | 2,504,000 | 2,472,700 | |
5.5% 10/1/21 (b) | 561,000 | 565,909 | |
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (b) | 5,574,000 | 5,560,065 | |
Sirius XM Radio, Inc.: | |||
3.875% 8/1/22 (b) | 3,880,000 | 3,854,586 | |
4.625% 5/15/23 (b) | 6,125,000 | 6,193,906 | |
5% 8/1/27 (b) | 5,281,000 | 5,162,072 | |
5.375% 4/15/25 (b) | 4,109,000 | 4,187,328 | |
6% 7/15/24 (b) | 4,182,000 | 4,333,598 | |
SKY PLC 2.25% 11/17/25 (Reg. S) | EUR | 5,071,000 | 6,180,422 |
Time Warner Cable, Inc.: | |||
4% 9/1/21 | 12,918,000 | 13,044,627 | |
4.5% 9/15/42 | 20,648,000 | 17,344,024 | |
5.5% 9/1/41 | 8,265,000 | 7,820,994 | |
5.875% 11/15/40 | 10,540,000 | 10,458,070 | |
6.55% 5/1/37 | 29,622,000 | 31,411,180 | |
7.3% 7/1/38 | 24,672,000 | 27,844,304 | |
8.25% 4/1/19 | 15,539,000 | 15,601,681 | |
TV Azteca SA de CV 8.25% 8/9/24 (Reg. S) | 5,631,000 | 5,497,264 | |
Virgin Media Secured Finance PLC 5.5% 8/15/26 (b) | 2,762,000 | 2,748,190 | |
VTR Finance BV 6.875% 1/15/24 (b) | 2,234,000 | 2,295,435 | |
Ziggo Bond Finance BV: | |||
5.875% 1/15/25 (b) | 4,982,000 | 4,843,500 | |
6% 1/15/27 (b) | 3,571,000 | 3,383,523 | |
Ziggo Secured Finance BV 5.5% 1/15/27 (b) | 8,495,000 | 8,197,675 | |
474,763,429 | |||
Wireless Telecommunication Services - 0.3% | |||
America Movil S.A.B. de CV 3.125% 7/16/22 | 5,873,000 | 5,852,468 | |
Citizens Utilities Co. 7.05% 10/1/46 | 6,489,000 | 3,244,500 | |
Comcel Trust 6.875% 2/6/24 (b) | 2,464,000 | 2,550,240 | |
Digicel Group Ltd. 6.75% 3/1/23 (b) | 806,000 | 560,170 | |
Intelsat Jackson Holdings SA 8.5% 10/15/24 (b) | 4,545,000 | 4,589,087 | |
Millicom International Cellular SA: | |||
6% 3/15/25 (b) | 1,398,000 | 1,420,718 | |
6.625% 10/15/26 (b) | 4,961,000 | 5,145,797 | |
6.625% 10/15/26 (Reg. S) | 350,000 | 363,038 | |
MTN (Mauritius) Investments Ltd.: | |||
5.373% 2/13/22 (b) | 525,000 | 522,551 | |
6.5% 10/13/26 (b) | 424,000 | 426,256 | |
MTS International Funding Ltd. 5% 5/30/23 (b) | 859,000 | 856,366 | |
Neptune Finco Corp. 6.625% 10/15/25 (b) | 2,105,000 | 2,220,775 | |
Sprint Communications, Inc. 6% 11/15/22 | 8,846,000 | 8,974,267 | |
Sprint Corp. 7.875% 9/15/23 | 20,223,000 | 21,613,331 | |
T-Mobile U.S.A., Inc.: | |||
4.5% 2/1/26 | 2,583,000 | 2,544,229 | |
6.375% 3/1/25 | 3,096,000 | 3,221,775 | |
6.5% 1/15/24 | 3,877,000 | 4,022,388 | |
TBG Global Pte. Ltd. 5.25% 2/10/22 (Reg. S) | 1,258,000 | 1,262,356 | |
Tele2 AB 1.125% 5/15/24 (Reg. S) | EUR | 4,305,000 | 4,896,184 |
74,286,496 | |||
TOTAL COMMUNICATION SERVICES | 829,248,330 | ||
CONSUMER DISCRETIONARY - 1.3% | |||
Auto Components - 0.1% | |||
Metalsa SA de CV 4.9% 4/24/23 (b) | 4,253,000 | 4,123,496 | |
Samvardhana Motherson Automotive Systems Group BV 1.8% 7/6/24 (Reg. S) | EUR | 5,413,000 | 5,270,166 |
9,393,662 | |||
Automobiles - 0.5% | |||
General Motors Financial Co., Inc.: | |||
3.15% 1/15/20 | 17,361,000 | 17,359,346 | |
3.2% 7/13/20 | 12,869,000 | 12,874,301 | |
3.5% 7/10/19 | 6,856,000 | 6,868,875 | |
4% 1/15/25 | 11,521,000 | 11,066,059 | |
4.2% 3/1/21 | 16,735,000 | 16,924,561 | |
4.25% 5/15/23 | 3,453,000 | 3,463,989 | |
4.375% 9/25/21 | 30,556,000 | 31,054,713 | |
Volkswagen Financial Services AG 1.875% 9/7/21 (Reg. S) | GBP | 5,500,000 | 7,230,000 |
106,841,844 | |||
Diversified Consumer Services - 0.1% | |||
Bonitron Designated Activity Co. 8.75% 10/30/22 (b) | 120,000 | 121,848 | |
Frontdoor, Inc. 6.75% 8/15/26 (b) | 2,244,000 | 2,280,465 | |
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 | 5,393,000 | 5,599,791 | |
Laureate Education, Inc. 8.25% 5/1/25 (b) | 6,345,000 | 6,852,600 | |
14,854,704 | |||
Hotels, Restaurants & Leisure - 0.5% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
4.25% 5/15/24 (b) | 1,870,000 | 1,820,913 | |
5% 10/15/25 (b) | 3,361,000 | 3,259,330 | |
Aramark Services, Inc.: | |||
4.75% 6/1/26 | 4,603,000 | 4,568,478 | |
5.125% 1/15/24 | 1,605,000 | 1,639,106 | |
Delta Merger Sub, Inc. 6% 9/15/26 (b) | 615,000 | 625,763 | |
Eldorado Resorts, Inc. 6% 4/1/25 | 4,324,000 | 4,394,265 | |
ESH Hospitality, Inc. 5.25% 5/1/25 (b) | 1,169,000 | 1,163,155 | |
GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25 | 3,243,000 | 3,358,094 | |
Golden Nugget, Inc. 6.75% 10/15/24 (b) | 8,330,000 | 8,371,650 | |
Hilton Escrow Issuer LLC 4.25% 9/1/24 | 4,638,000 | 4,568,430 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.: | |||
4.625% 4/1/25 | 1,644,000 | 1,635,780 | |
4.875% 4/1/27 | 975,000 | 970,125 | |
MCE Finance Ltd. 4.875% 6/6/25 (b) | 7,973,000 | 7,664,815 | |
MGM Growth Properties Operating Partnership LP: | |||
4.5% 9/1/26 | 10,728,000 | 10,280,964 | |
4.5% 1/15/28 | 3,959,000 | 3,720,193 | |
5.75% 2/1/27 (b) | 1,410,000 | 1,443,488 | |
RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/23 | 597,000 | 599,985 | |
Scientific Games Corp.: | |||
5% 10/15/25 (b) | 3,249,000 | 3,147,469 | |
6.625% 5/15/21 | 5,476,000 | 5,547,790 | |
10% 12/1/22 | 4,800,000 | 5,046,000 | |
Stars Group Holdings BV 7% 7/15/26 (b) | 11,105,000 | 11,363,858 | |
Station Casinos LLC 5% 10/1/25 (b) | 2,733,000 | 2,654,426 | |
Studio City Co. Ltd.: | |||
5.875% 11/30/19 (b) | 663,000 | 671,091 | |
7.25% 11/30/21 (b) | 956,000 | 992,137 | |
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 5.875% 5/15/25 (b) | 618,000 | 610,275 | |
Times Square Hotel Trust 8.528% 8/1/26 (b) | 1,269,556 | 1,456,741 | |
Wyndham Hotels & Resorts, Inc. 5.375% 4/15/26 (b) | 3,284,000 | 3,322,259 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (b) | 3,013,000 | 2,882,123 | |
Wynn Macau Ltd.: | |||
4.875% 10/1/24 (b) | 5,990,000 | 5,780,350 | |
5.5% 10/1/27 (b) | 7,900,000 | 7,532,176 | |
111,091,229 | |||
Household Durables - 0.0% | |||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | |||
3 month U.S. LIBOR + 3.500% 6.2873% 7/15/21 (b)(c)(d) | 898,000 | 903,613 | |
5.125% 7/15/23 (b) | 2,774,000 | 2,774,000 | |
7% 7/15/24 (b) | 2,995,000 | 3,066,820 | |
6,744,433 | |||
Internet & Direct Marketing Retail - 0.1% | |||
Zayo Group LLC/Zayo Capital, Inc.: | |||
5.75% 1/15/27 (b) | 3,806,000 | 3,691,820 | |
6.375% 5/15/25 | 5,170,000 | 5,131,225 | |
8,823,045 | |||
Leisure Products - 0.0% | |||
Mattel, Inc. 6.75% 12/31/25 (b) | 3,727,000 | 3,671,095 | |
Specialty Retail - 0.0% | |||
Sally Holdings LLC 5.625% 12/1/25 | 443,000 | 434,694 | |
Textiles, Apparel & Luxury Goods - 0.0% | |||
The William Carter Co. 5.625% 3/15/27 (b)(e) | 2,460,000 | 2,460,000 | |
TOTAL CONSUMER DISCRETIONARY | 264,314,706 | ||
CONSUMER STAPLES - 2.1% | |||
Beverages - 0.8% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 25,085,000 | 24,279,824 | |
4.9% 2/1/46 | 28,689,000 | 27,610,510 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
4.15% 1/23/25 | 8,250,000 | 8,516,145 | |
4.75% 4/15/58 | 17,929,000 | 16,273,964 | |
5.45% 1/23/39 | 18,170,000 | 19,068,631 | |
5.55% 1/23/49 | 34,229,000 | 35,951,191 | |
5.8% 1/23/59 (Reg. S) | 36,395,000 | 38,826,064 | |
Central American Bottling Corp. 5.75% 1/31/27 (b) | 188,000 | 190,820 | |
Constellation Brands, Inc.: | |||
3.875% 11/15/19 | 1,503,000 | 1,511,425 | |
4.25% 5/1/23 | 3,316,000 | 3,415,279 | |
175,643,853 | |||
Food & Staples Retailing - 0.1% | |||
C&S Group Enterprises LLC 5.375% 7/15/22 (b) | 3,010,000 | 3,028,813 | |
ESAL GmbH 6.25% 2/5/23 (b) | 650,000 | 655,857 | |
Walgreens Boots Alliance, Inc.: | |||
2.7% 11/18/19 | 5,398,000 | 5,387,389 | |
3.3% 11/18/21 | 6,403,000 | 6,436,999 | |
15,509,058 | |||
Food Products - 0.1% | |||
CF Industries Holdings, Inc. 5.15% 3/15/34 | 178,000 | 167,313 | |
Gruma S.A.B. de CV 4.875% 12/1/24 (Reg. S) | 1,207,000 | 1,237,187 | |
JBS Investments II GmbH 7% 1/15/26 (b) | 462,000 | 477,015 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | |||
5.75% 6/15/25 (b) | 6,630,000 | 6,724,809 | |
5.875% 7/15/24 (b) | 15,785,000 | 16,226,980 | |
Lamb Weston Holdings, Inc.: | |||
4.625% 11/1/24 (b) | 1,367,000 | 1,373,835 | |
4.875% 11/1/26 (b) | 991,000 | 992,239 | |
Post Holdings, Inc.: | |||
5% 8/15/26 (b) | 2,064,000 | 1,984,020 | |
5.75% 3/1/27 (b) | 1,714,000 | 1,690,433 | |
30,873,831 | |||
Personal Products - 0.0% | |||
Prestige Brands, Inc. 6.375% 3/1/24 (b) | 1,223,000 | 1,229,115 | |
Tobacco - 1.1% | |||
Altria Group, Inc.: | |||
2.85% 8/9/22 | 6,099,000 | 5,995,090 | |
3.875% 9/16/46 | 28,850,000 | 21,863,849 | |
4% 1/31/24 | 4,082,000 | 4,120,444 | |
4.25% 8/9/42 | 17,795,000 | 14,372,500 | |
4.4% 2/14/26 | 7,825,000 | 7,886,653 | |
4.5% 5/2/43 | 11,887,000 | 9,839,647 | |
4.8% 2/14/29 | 10,174,000 | 10,153,855 | |
5.375% 1/31/44 | 21,453,000 | 19,970,780 | |
5.95% 2/14/49 | 14,275,000 | 14,240,498 | |
BAT International Finance PLC: | |||
1.25% 3/13/27 (Reg. S) | EUR | 3,055,000 | 3,263,559 |
3.95% 6/15/25 (b) | 3,070,000 | 3,011,889 | |
Imperial Tobacco Finance PLC: | |||
1.125% 8/14/23 (Reg. S) | EUR | 4,750,000 | 5,372,329 |
2.95% 7/21/20 (b) | 12,741,000 | 12,641,030 | |
3.375% 2/26/26 (Reg. S) | EUR | 3,971,000 | 4,935,410 |
3.75% 7/21/22 (b) | 12,933,000 | 12,956,246 | |
4.25% 7/21/25 (b) | 11,765,000 | 11,749,189 | |
8.125% 3/15/24 | GBP | 1,360,000 | 2,239,661 |
Reynolds American, Inc.: | |||
3.25% 6/12/20 | 2,086,000 | 2,083,993 | |
4% 6/12/22 | 7,254,000 | 7,341,747 | |
4.45% 6/12/25 | 14,799,000 | 14,923,600 | |
5.7% 8/15/35 | 2,699,000 | 2,661,458 | |
5.85% 8/15/45 | 22,737,000 | 21,663,474 | |
6.15% 9/15/43 | 2,874,000 | 2,831,038 | |
7.25% 6/15/37 | 3,221,000 | 3,520,562 | |
Vector Group Ltd. 6.125% 2/1/25 (b) | 9,591,000 | 8,488,035 | |
228,126,536 | |||
TOTAL CONSUMER STAPLES | 451,382,393 | ||
ENERGY - 7.1% | |||
Energy Equipment & Services - 0.4% | |||
Borets Finance DAC 6.5% 4/7/22 (b) | 1,781,000 | 1,789,015 | |
El Paso Pipeline Partners Operating Co. LLC: | |||
5% 10/1/21 | 12,030,000 | 12,488,839 | |
6.5% 4/1/20 | 470,000 | 486,323 | |
Ensco PLC: | |||
4.5% 10/1/24 | 4,029,000 | 3,117,237 | |
5.2% 3/15/25 | 8,288,000 | 6,361,040 | |
5.75% 10/1/44 | 4,970,000 | 3,193,225 | |
Halliburton Co.: | |||
3.8% 11/15/25 | 6,237,000 | 6,265,758 | |
4.85% 11/15/35 | 5,447,000 | 5,518,165 | |
Jonah Energy LLC 7.25% 10/15/25 (b) | 4,725,000 | 3,047,625 | |
Nabors Industries, Inc.: | |||
5.5% 1/15/23 | 2,116,000 | 1,983,750 | |
5.75% 2/1/25 | 1,880,000 | 1,659,100 | |
Noble Holding International Ltd.: | |||
5.25% 3/15/42 | 1,204,000 | 746,480 | |
7.75% 1/15/24 | 328,000 | 291,920 | |
7.875% 2/1/26 (b) | 1,230,000 | 1,150,050 | |
7.95% 4/1/25 (c) | 5,439,000 | 4,759,125 | |
8.95% 4/1/45 (c) | 4,655,000 | 3,817,100 | |
Southern Gas Corridor CJSC 6.875% 3/24/26 (b) | 1,516,000 | 1,687,684 | |
Summit Midstream Holdings LLC: | |||
5.5% 8/15/22 | 1,790,000 | 1,784,988 | |
5.75% 4/15/25 | 7,252,000 | 6,925,660 | |
The Oil and Gas Holding Co.: | |||
7.5% 10/25/27 (b) | 1,182,000 | 1,241,195 | |
7.625% 11/7/24 (b) | 415,000 | 449,404 | |
Weatherford International Ltd.: | |||
5.95% 4/15/42 | 822,000 | 487,035 | |
6.5% 8/1/36 | 1,134,000 | 674,730 | |
7% 3/15/38 | 322,000 | 192,395 | |
9.875% 2/15/24 | 3,825,000 | 2,754,000 | |
Weatherford International, Inc. 9.875% 3/1/25 | 9,685,000 | 6,900,563 | |
79,772,406 | |||
Oil, Gas & Consumable Fuels - 6.7% | |||
Amerada Hess Corp. 7.3% 8/15/31 | 4,354,000 | 4,960,553 | |
Anadarko Finance Co. 7.5% 5/1/31 | 21,425,000 | 25,928,978 | |
Anadarko Petroleum Corp.: | |||
4.5% 7/15/44 | 30,708,000 | 27,781,455 | |
4.85% 3/15/21 | 4,287,000 | 4,404,398 | |
5.55% 3/15/26 | 14,762,000 | 15,773,973 | |
6.45% 9/15/36 | 16,266,000 | 18,305,919 | |
6.6% 3/15/46 | 18,160,000 | 21,471,162 | |
California Resources Corp. 8% 12/15/22 (b) | 13,185,000 | 10,531,519 | |
Canadian Natural Resources Ltd.: | |||
3.9% 2/1/25 | 15,925,000 | 15,971,416 | |
5.85% 2/1/35 | 6,942,000 | 7,587,305 | |
Cenovus Energy, Inc. 4.25% 4/15/27 | 19,799,000 | 18,854,740 | |
Cheniere Corpus Christi Holdings LLC: | |||
5.125% 6/30/27 | 3,564,000 | 3,635,280 | |
5.875% 3/31/25 | 3,373,000 | 3,592,279 | |
7% 6/30/24 | 7,430,000 | 8,228,725 | |
Cheniere Energy Partners LP: | |||
5.25% 10/1/25 | 19,337,000 | 19,578,713 | |
5.625% 10/1/26 (b) | 1,507,000 | 1,535,256 | |
Chesapeake Energy Corp.: | |||
5.75% 3/15/23 | 1,820,000 | 1,756,300 | |
8% 1/15/25 | 3,631,000 | 3,690,004 | |
8% 6/15/27 | 2,994,000 | 2,965,108 | |
Citgo Holding, Inc. 10.75% 2/15/20 (b) | 2,170,000 | 2,226,963 | |
Citgo Petroleum Corp. 6.25% 8/15/22 (b) | 4,388,000 | 4,371,545 | |
Columbia Pipeline Group, Inc.: | |||
3.3% 6/1/20 | 9,868,000 | 9,878,489 | |
4.5% 6/1/25 | 2,999,000 | 3,078,552 | |
Comstock Escrow Corp. 9.75% 8/15/26 (b) | 6,349,000 | 5,884,729 | |
Consolidated Energy Finance SA: | |||
3 month U.S. LIBOR + 3.750% 6.5382% 6/15/22 (b)(c)(d) | 11,927,000 | 11,867,460 | |
6.5% 5/15/26 (b) | 2,695,000 | 2,553,513 | |
6.875% 6/15/25 (b) | 2,994,000 | 2,919,150 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 6.25% 4/1/23 | 4,235,000 | 4,347,312 | |
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 | 5,549,000 | 5,659,980 | |
DCP Midstream LLC: | |||
4.75% 9/30/21 (b) | 7,220,000 | 7,346,350 | |
5.85% 5/21/43 (b)(c) | 16,107,000 | 14,254,695 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 3,524,000 | 3,497,570 | |
5.375% 7/15/25 | 5,606,000 | 5,830,240 | |
Denbury Resources, Inc.: | |||
9% 5/15/21 (b) | 4,001,000 | 4,036,009 | |
9.25% 3/31/22 (b) | 6,719,000 | 6,735,798 | |
DTEK Finance PLC 10.75% 12/31/24 pay-in-kind (c) | 4,247,087 | 4,166,902 | |
Duke Energy Field Services 6.45% 11/3/36 (b) | 8,754,000 | 8,819,655 | |
El Paso Corp. 6.5% 9/15/20 | 10,282,000 | 10,783,463 | |
Empresa Nacional de Petroleo 4.375% 10/30/24 (b) | 5,762,000 | 5,858,764 | |
Enable Midstream Partners LP: | |||
2.4% 5/15/19 (c) | 2,566,000 | 2,562,452 | |
3.9% 5/15/24 (c) | 2,707,000 | 2,635,810 | |
Enbridge Energy Partners LP: | |||
4.2% 9/15/21 | 8,493,000 | 8,644,721 | |
4.375% 10/15/20 | 7,211,000 | 7,340,760 | |
Enbridge, Inc. 4.25% 12/1/26 | 4,925,000 | 5,022,158 | |
Endeavor Energy Resources LP/EER Finance, Inc.: | |||
5.5% 1/30/26 (b) | 548,000 | 574,030 | |
5.75% 1/30/28 (b) | 551,000 | 586,815 | |
Energy Transfer Partners LP: | |||
4.2% 9/15/23 | 3,683,000 | 3,756,507 | |
4.5% 4/15/24 | 4,042,000 | 4,150,404 | |
4.95% 6/15/28 | 12,566,000 | 12,803,628 | |
5.25% 4/15/29 | 6,576,000 | 6,876,442 | |
5.8% 6/15/38 | 7,006,000 | 7,150,743 | |
6% 6/15/48 | 4,563,000 | 4,734,520 | |
6.25% 4/15/49 | 10,251,000 | 11,002,013 | |
Enterprise Products Operating LP: | |||
2.55% 10/15/19 | 1,893,000 | 1,889,748 | |
3.75% 2/15/25 | 6,359,000 | 6,439,417 | |
EP Energy LLC/Everest Acquisition Finance, Inc.: | |||
7.75% 5/15/26 (b) | 596,000 | 528,205 | |
8% 11/29/24 (b) | 6,676,000 | 4,706,580 | |
Frontera Energy Corp. 9.7% 6/25/23 (b) | 1,488,000 | 1,517,760 | |
Georgian Oil & Gas Corp. 6.75% 4/26/21 (b) | 1,614,000 | 1,640,147 | |
Global Partners LP/GLP Finance Corp.: | |||
6.25% 7/15/22 | 3,290,000 | 3,224,200 | |
7% 6/15/23 | 6,352,000 | 6,280,540 | |
Gran Tierra Energy International Holdings Ltd. 6.25% 2/15/25 (b) | 414,000 | 393,300 | |
Hess Infrastructure Partners LP 5.625% 2/15/26 (b) | 8,157,000 | 8,197,785 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
5% 12/1/24 (b) | 4,784,000 | 4,592,640 | |
5.75% 10/1/25 (b) | 1,360,000 | 1,351,500 | |
Indigo Natural Resources LLC 6.875% 2/15/26 (b) | 3,064,000 | 2,673,340 | |
Indika Energy Capital II Pte. Ltd. 6.875% 4/10/22 (b) | 2,331,000 | 2,382,277 | |
KazMunaiGaz Finance Sub BV 4.75% 4/24/25 (b) | 538,000 | 552,408 | |
Kinder Morgan Energy Partners LP: | |||
3.5% 3/1/21 | 7,224,000 | 7,267,684 | |
5.5% 3/1/44 | 27,364,000 | 28,339,793 | |
6.55% 9/15/40 | 1,203,000 | 1,382,561 | |
Kinder Morgan, Inc.: | |||
5% 2/15/21 (b) | 6,757,000 | 6,962,455 | |
5.05% 2/15/46 | 3,092,000 | 3,060,545 | |
5.55% 6/1/45 | 7,786,000 | 8,174,307 | |
Kosmos Energy Ltd.: | |||
7.875% 8/1/21 (b) | 2,444,000 | 2,477,605 | |
7.875% 8/1/21 (b) | 3,915,000 | 3,979,598 | |
Magnolia Oil & Gas Operating LLC 6% 8/1/26 (b) | 3,023,000 | 3,015,443 | |
Marathon Petroleum Corp. 5.125% 3/1/21 | 6,484,000 | 6,706,364 | |
Medco Strait Services Pte. Ltd. 8.5% 8/17/22 (b) | 545,000 | 565,497 | |
MEG Energy Corp. 7% 3/31/24 (b) | 3,780,000 | 3,458,700 | |
MPLX LP: | |||
4.5% 7/15/23 | 6,299,000 | 6,510,702 | |
4.8% 2/15/29 | 3,672,000 | 3,764,445 | |
4.875% 12/1/24 | 8,532,000 | 8,907,117 | |
5.5% 2/15/49 | 11,018,000 | 11,284,491 | |
Nakilat, Inc. 6.067% 12/31/33 (b) | 1,258,000 | 1,412,105 | |
Nostrum Oil & Gas Finance BV 8% 7/25/22 (b) | 6,691,000 | 3,930,093 | |
Pan American Energy LLC 7.875% 5/7/21 (b) | 1,775,000 | 1,801,625 | |
Parsley Energy LLC/Parsley: | |||
5.25% 8/15/25 (b) | 456,000 | 451,303 | |
5.375% 1/15/25 (b) | 5,010,000 | 5,022,525 | |
PBF Holding Co. LLC/PBF Finance Corp. 7% 11/15/23 | 637,000 | 651,333 | |
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 | 4,743,000 | 4,827,425 | |
Pemex Project Funding Master Trust 6.625% 6/15/35 | 4,703,000 | 4,256,215 | |
Petrobras Energia SA 7.375% 7/21/23 (b) | 823,000 | 783,908 | |
Petrobras Global Finance BV: | |||
4.75% 1/14/25 | EUR | 3,731,000 | 4,654,726 |
5.299% 1/27/25 | 12,800,000 | 12,921,600 | |
5.75% 2/1/29 | 25,591,000 | 25,510,388 | |
5.999% 1/27/28 | 37,982,000 | 38,532,739 | |
6.125% 1/17/22 | 1,467,000 | 1,544,003 | |
6.25% 3/17/24 | 14,369,000 | 15,209,587 | |
7.25% 3/17/44 | 28,700,000 | 30,665,950 | |
7.375% 1/17/27 | 26,190,000 | 28,782,810 | |
8.75% 5/23/26 | 39,882,000 | 47,041,218 | |
Petrobras International Finance Co. Ltd.: | |||
5.875% 3/7/22 | EUR | 400,000 | 512,605 |
6.875% 1/20/40 | 210,000 | 217,088 | |
Petroleos de Venezuela SA: | |||
5.375% 4/12/27 (f) | 621,100 | 145,959 | |
6% 5/16/24 (b)(f) | 3,207,669 | 721,726 | |
6% 11/15/26 (b)(f) | 2,790,167 | 627,788 | |
12.75% 2/17/22 (b)(f) | 172,000 | 46,655 | |
Petroleos Mexicanos: | |||
2.75% 4/21/27 (Reg. S) | EUR | 2,345,000 | 2,313,012 |
3.5% 1/30/23 | 7,115,000 | 6,626,911 | |
3.625% 11/24/25 (Reg. S) | EUR | 1,421,000 | 1,547,688 |
3.75% 2/21/24 (Reg. S) | EUR | 8,001,000 | 9,128,367 |
4.5% 1/23/26 | 29,333,000 | 26,194,369 | |
4.625% 9/21/23 | 50,278,000 | 48,151,241 | |
4.875% 1/24/22 | 8,927,000 | 8,855,495 | |
4.875% 1/18/24 | 10,629,000 | 10,154,947 | |
5.5% 1/21/21 | 8,010,000 | 8,112,128 | |
5.5% 6/27/44 | 6,885,000 | 5,366,858 | |
5.625% 1/23/46 | 22,750,000 | 17,801,875 | |
6% 3/5/20 | 2,491,000 | 2,534,269 | |
6.35% 2/12/48 | 55,632,000 | 46,146,744 | |
6.375% 1/23/45 | 18,303,000 | 15,369,944 | |
6.5% 3/13/27 | 59,688,000 | 57,628,764 | |
6.5% 6/2/41 | 21,160,000 | 18,409,200 | |
6.625% (b)(g) | 1,109,000 | 903,835 | |
6.75% 9/21/47 | 34,958,000 | 30,312,082 | |
6.875% 8/4/26 | 26,215,000 | 26,182,231 | |
8% 5/3/19 | 4,626,000 | 4,660,695 | |
Phillips 66 Co. 4.3% 4/1/22 | 8,039,000 | 8,314,920 | |
Phillips 66 Partners LP 2.646% 2/15/20 | 838,000 | 835,006 | |
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22 | 4,550,000 | 4,522,910 | |
PT Pertamina Persero 6.5% 5/27/41 (b) | 510,000 | 565,396 | |
Rose Rock Midstream LP/Rose Rock Finance Corp. 5.625% 11/15/23 | 7,846,000 | 7,336,010 | |
Sanchez Energy Corp. 7.25% 2/15/23 (b) | 8,790,000 | 7,581,375 | |
SemGroup Corp.: | |||
6.375% 3/15/25 | 4,303,000 | 4,055,578 | |
7.25% 3/15/26 | 5,241,000 | 5,070,668 | |
Southwestern Energy Co.: | |||
6.2% 1/23/25 (c) | 21,859,000 | 21,633,852 | |
7.75% 10/1/27 | 2,395,000 | 2,487,806 | |
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 | 32,027,000 | 30,807,863 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.875% 1/15/23 | 3,130,000 | 3,169,125 | |
5.5% 2/15/26 | 2,245,000 | 2,229,959 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
4.25% 11/15/23 | 5,050,000 | 4,986,875 | |
5.125% 2/1/25 | 6,329,000 | 6,360,645 | |
5.25% 5/1/23 | 1,340,000 | 1,358,412 | |
5.875% 4/15/26 (b) | 3,705,000 | 3,853,200 | |
6.75% 3/15/24 | 2,816,000 | 2,949,760 | |
Teine Energy Ltd. 6.875% 9/30/22 (b) | 1,700,000 | 1,708,500 | |
The Williams Companies, Inc.: | |||
4.55% 6/24/24 | 21,661,000 | 22,310,830 | |
5.75% 6/24/44 | 12,223,000 | 12,876,799 | |
Transportadora de Gas del Sur SA 6.75% 5/2/25 (b) | 1,728,000 | 1,628,657 | |
Tullow Oil PLC 7% 3/1/25 (b) | 513,000 | 507,870 | |
Western Gas Partners LP: | |||
4.65% 7/1/26 | 3,106,000 | 3,083,047 | |
4.75% 8/15/28 | 3,701,000 | 3,652,254 | |
5.375% 6/1/21 | 28,072,000 | 28,920,561 | |
Williams Partners LP: | |||
3.6% 3/15/22 | 6,891,000 | 6,927,638 | |
3.9% 1/15/25 | 16,989,000 | 17,020,478 | |
4% 11/15/21 | 4,279,000 | 4,348,239 | |
4% 9/15/25 | 1,911,000 | 1,919,283 | |
4.125% 11/15/20 | 1,528,000 | 1,545,871 | |
4.3% 3/4/24 | 26,077,000 | 26,672,337 | |
4.5% 11/15/23 | 4,667,000 | 4,816,165 | |
YPF SA: | |||
8.5% 3/23/21 (Reg. S) | 4,650,000 | 4,772,063 | |
8.75% 4/4/24 (b) | 5,484,000 | 5,536,098 | |
1,413,776,458 | |||
TOTAL ENERGY | 1,493,548,864 | ||
FINANCIALS - 12.1% | |||
Banks - 4.5% | |||
ABN AMRO Bank NV 4.4% 3/27/28 (Reg. S) (c) | 600,000 | 595,218 | |
Access Bank PLC 9.25% 6/24/21 (b)(c) | 1,429,000 | 1,425,428 | |
Akbank TAS/Ak Finansal Kiralama A/S: | |||
4% 1/24/20 (b) | 1,223,000 | 1,206,184 | |
7.2% 3/16/27 (b)(c) | 1,282,000 | 1,191,024 | |
Allied Irish Banks PLC 4.125% 11/26/25 (Reg. S) (c) | EUR | 5,819,000 | 6,832,345 |
Banca Monte dei Paschi di Siena SpA 5.375% 1/18/28 (c) | EUR | 3,146,000 | 1,824,893 |
Banco de Bogota SA 6.25% 5/12/26 (b) | 440,000 | 461,454 | |
Banco de Reservas de La Republica Dominicana 7% 2/1/23 (b) | 777,000 | 788,663 | |
Banco Do Brasil SA: | |||
4.625% 1/15/25 (b) | 503,000 | 497,719 | |
4.875% 4/19/23 (b) | 513,000 | 524,286 | |
Banco Espirito Santo SA 4% 12/31/49 (Reg. S) (f) | EUR | 1,300,000 | 414,032 |
Banco Hipotecario SA 9.75% 11/30/20 (b) | 4,057,000 | 4,082,356 | |
Banco Macro SA 6.75% 11/4/26 (b)(c) | 3,085,000 | 2,699,406 | |
Bank Ireland Group PLC: | |||
1.375% 8/29/23 (Reg. S) | EUR | 1,093,000 | 1,233,046 |
3.125% 9/19/27 (Reg. S) (c) | GBP | 500,000 | 626,984 |
Bank of America Corp.: | |||
3.004% 12/20/23 (c) | 9,031,000 | 8,913,577 | |
3.3% 1/11/23 | 574,000 | 575,707 | |
3.419% 12/20/28 (c) | 14,844,000 | 14,321,601 | |
3.5% 4/19/26 | 13,098,000 | 12,965,282 | |
3.705% 4/24/28 (c) | 20,736,000 | 20,451,549 | |
3.864% 7/23/24 (c) | 43,427,000 | 44,130,507 | |
3.95% 4/21/25 | 10,930,000 | 10,922,158 | |
4.1% 7/24/23 | 7,314,000 | 7,541,992 | |
4.2% 8/26/24 | 25,822,000 | 26,317,223 | |
4.25% 10/22/26 | 9,380,000 | 9,422,951 | |
4.45% 3/3/26 | 4,916,000 | 5,005,209 | |
Banque Centrale de Tunisie 5.75% 1/30/25 (b) | 755,000 | 670,440 | |
Barclays PLC: | |||
2.75% 11/8/19 | 7,803,000 | 7,773,115 | |
3.25% 1/12/21 | 13,452,000 | 13,359,464 | |
4.375% 1/12/26 | 15,982,000 | 15,851,491 | |
BBVA Bancomer SA: | |||
7.25% 4/22/20 (b) | 940,000 | 971,734 | |
7.25% 4/22/20 (Reg. S) | 1,514,000 | 1,565,113 | |
Biz Finance PLC 9.625% 4/27/22 (b) | 3,633,000 | 3,646,624 | |
BTA Bank JSC 5.5% 12/21/22 (b) | 414,096 | 412,440 | |
CaixaBank SA: | |||
1.75% 10/24/23 (Reg. S) | EUR | 6,000,000 | 6,810,709 |
2.75% 7/14/28 (Reg. S) (c) | EUR | 2,200,000 | 2,510,022 |
CBOM Finance PLC 5.55% 2/14/23 (b) | 1,038,000 | 1,007,427 | |
Citigroup, Inc.: | |||
2.4% 2/18/20 | 22,872,000 | 22,757,033 | |
2.75% 4/25/22 | 15,927,000 | 15,723,453 | |
3.142% 1/24/23 (c) | 14,530,000 | 14,475,214 | |
4.05% 7/30/22 | 3,378,000 | 3,442,981 | |
4.3% 11/20/26 | 7,797,000 | 7,807,214 | |
4.4% 6/10/25 | 28,565,000 | 29,026,446 | |
4.45% 9/29/27 | 6,371,000 | 6,393,057 | |
5.5% 9/13/25 | 16,071,000 | 17,358,028 | |
Citizens Bank NA 2.55% 5/13/21 | 4,182,000 | 4,129,130 | |
Citizens Financial Group, Inc. 4.15% 9/28/22 (b) | 10,185,000 | 10,238,110 | |
Credit Suisse Group Funding Guernsey Ltd.: | |||
2.75% 3/26/20 | 12,394,000 | 12,341,904 | |
3.75% 3/26/25 | 12,391,000 | 12,244,465 | |
3.8% 9/15/22 | 19,558,000 | 19,662,578 | |
3.8% 6/9/23 | 23,347,000 | 23,345,446 | |
CYBG PLC 3.125% 6/22/25 (Reg. S) (c) | GBP | 1,489,000 | 1,846,872 |
Danske Bank A/S: | |||
1.375% 5/24/22 (Reg. S) | EUR | 2,150,000 | 2,447,234 |
5% 1/12/22 (b) | 2,750,000 | 2,806,041 | |
Development Bank of Mongolia 7.25% 10/23/23 (b) | 436,000 | 445,238 | |
Discover Bank: | |||
4.2% 8/8/23 | 11,373,000 | 11,621,575 | |
7% 4/15/20 | 1,293,000 | 1,342,757 | |
Export Credit Bank of Turkey 5.875% 4/24/19 (b) | 468,000 | 468,304 | |
Fidelity Bank PLC 10.5% 10/16/22 (b) | 1,226,000 | 1,246,033 | |
Fifth Third Bancorp 8.25% 3/1/38 | 2,973,000 | 4,094,974 | |
HSBC Holdings PLC 4.25% 3/14/24 | 3,945,000 | 3,994,846 | |
Huntington Bancshares, Inc. 7% 12/15/20 | 1,816,000 | 1,931,788 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (b) | 4,094,000 | 3,793,292 | |
5.71% 1/15/26 (b) | 27,047,000 | 25,327,773 | |
Itau Unibanco Holding SA: | |||
5.125% 5/13/23 (Reg. S) | 1,290,000 | 1,332,583 | |
5.5% 8/6/22 (b) | 736,000 | 765,440 | |
6.2% 12/21/21 (Reg. S) | 624,000 | 658,008 | |
JPMorgan Chase & Co.: | |||
2.95% 10/1/26 | 11,773,000 | 11,224,216 | |
3.25% 9/23/22 | 11,737,000 | 11,810,467 | |
3.797% 7/23/24 (c) | 44,260,000 | 44,892,149 | |
3.875% 9/10/24 | 22,801,000 | 23,064,331 | |
4.125% 12/15/26 | 20,651,000 | 20,897,843 | |
4.25% 10/15/20 | 4,456,000 | 4,538,200 | |
4.35% 8/15/21 | 12,911,000 | 13,296,679 | |
4.452% 12/5/29 (c) | 40,200,000 | 42,072,624 | |
4.5% 1/24/22 | 14,045,000 | 14,605,785 | |
4.625% 5/10/21 | 4,382,000 | 4,527,405 | |
JSC BGEO Group 6% 7/26/23 (b) | 2,003,000 | 1,980,494 | |
Nykredit Realkredit A/S 4% 6/3/36 (Reg. S) (c) | EUR | 6,934,000 | 8,301,339 |
Oschadbank Via SSB #1 PLC 9.375% 3/10/23 (b) | 1,955,000 | 1,961,100 | |
Rabobank Nederland 4.375% 8/4/25 | 16,524,000 | 16,715,678 | |
Regions Bank 6.45% 6/26/37 | 15,683,000 | 18,641,016 | |
Regions Financial Corp. 3.2% 2/8/21 | 7,591,000 | 7,600,943 | |
Royal Bank of Scotland Group PLC: | |||
4.8% 4/5/26 | 32,141,000 | 32,582,194 | |
5.125% 5/28/24 | 40,776,000 | 41,331,456 | |
6% 12/19/23 | 29,324,000 | 30,813,781 | |
6.1% 6/10/23 | 26,301,000 | 27,588,572 | |
6.125% 12/15/22 | 27,112,000 | 28,602,904 | |
T.C. Ziraat Bankasi A/S: | |||
4.25% 7/3/19 (b) | 80,000 | 79,600 | |
4.75% 4/29/21 (b) | 450,000 | 433,724 | |
Trade and Development Bank of Mongolia LLC 9.375% 5/19/20 (b) | 1,411,000 | 1,471,806 | |
Turkiye Garanti Bankasi A/S: | |||
3.375% 7/8/19 (Reg. S) | EUR | 1,224,000 | 1,395,719 |
4.75% 10/17/19 (b) | 424,000 | 422,770 | |
6.125% 5/24/27 (b)(c) | 1,355,000 | 1,214,300 | |
6.25% 4/20/21 (b) | 621,000 | 625,590 | |
Turkiye Is Bankasi A/S 5.5% 4/21/22 (b) | 901,000 | 854,622 | |
Turkiye Vakiflar Bankasi TAO: | |||
5.75% 1/30/23 (b) | 3,662,000 | 3,425,845 | |
6.875% 2/3/25 (Reg. S) (c) | 998,000 | 950,597 | |
UniCredit SpA: | |||
4.375% 1/3/27 (Reg. S) (c) | EUR | 1,950,000 | 2,275,435 |
6.572% 1/14/22 (b) | 23,534,000 | 24,126,098 | |
Zenith Bank PLC: | |||
6.25% 4/22/19 (b) | 4,683,000 | 4,680,050 | |
7.375% 5/30/22 (b) | 2,609,000 | 2,674,225 | |
954,296,747 | |||
Capital Markets - 3.9% | |||
Affiliated Managers Group, Inc.: | |||
3.5% 8/1/25 | 13,384,000 | 12,943,319 | |
4.25% 2/15/24 | 9,340,000 | 9,593,514 | |
Banco BTG Pactual SA 7.75% 2/15/29 (b)(c) | 625,000 | 625,288 | |
Blackstone Property Partners Europe LP: | |||
1.4% 7/6/22 (Reg. S) | EUR | 4,721,000 | 5,400,403 |
2% 2/15/24 (Reg. S) | EUR | 2,500,000 | 2,856,862 |
2.2% 7/24/25 (Reg. S) | EUR | 5,216,000 | 5,904,639 |
Credit Suisse Group AG: | |||
3.869% 1/12/29 (b)(c) | 11,793,000 | 11,344,933 | |
4.207% 6/12/24 (b)(c) | 18,061,000 | 18,151,650 | |
5.75% 9/18/25 (Reg. S) (c) | EUR | 3,925,000 | 4,798,882 |
6.5% 8/8/23 (Reg. S) | 10,235,000 | 10,936,098 | |
Deutsche Bank AG: | |||
1.625% 2/12/21 (Reg. S) | EUR | 8,600,000 | 9,815,691 |
4.5% 4/1/25 | 51,329,000 | 47,781,680 | |
5% 6/24/20 | EUR | 8,050,000 | 9,576,755 |
Deutsche Bank AG New York Branch: | |||
3.15% 1/22/21 | 18,290,000 | 17,866,161 | |
3.3% 11/16/22 | 30,321,000 | 28,617,165 | |
5% 2/14/22 | 29,755,000 | 29,938,891 | |
Goldman Sachs Group, Inc.: | |||
2.876% 10/31/22 (c) | 64,328,000 | 63,364,136 | |
3.2% 2/23/23 | 10,830,000 | 10,736,162 | |
3.691% 6/5/28 (c) | 128,004,000 | 123,951,096 | |
3.75% 5/22/25 | 12,741,000 | 12,679,413 | |
4.25% 10/21/25 | 5,020,000 | 5,040,229 | |
6.75% 10/1/37 | 6,976,000 | 8,296,586 | |
IntercontinentalExchange, Inc. 2.75% 12/1/20 | 4,134,000 | 4,118,018 | |
Lazard Group LLC 4.25% 11/14/20 | 2,480,000 | 2,517,968 | |
Merrill Lynch & Co., Inc. 5.5% 11/22/21 | GBP | 780,000 | 1,127,770 |
Moody's Corp.: | |||
3.25% 1/15/28 | 7,339,000 | 7,008,974 | |
4.875% 2/15/24 | 6,892,000 | 7,289,104 | |
Morgan Stanley: | |||
3.125% 1/23/23 | 8,282,000 | 8,215,637 | |
3.125% 7/27/26 | 69,344,000 | 66,164,969 | |
3.7% 10/23/24 | 23,877,000 | 23,981,268 | |
3.737% 4/24/24 (c) | 79,634,000 | 80,327,896 | |
3.95% 4/23/27 | 2,007,000 | 1,960,943 | |
4.431% 1/23/30 (c) | 14,132,000 | 14,591,773 | |
4.875% 11/1/22 | 16,717,000 | 17,497,000 | |
5% 11/24/25 | 27,517,000 | 28,923,841 | |
5.5% 1/26/20 | 56,062,000 | 57,310,302 | |
5.625% 9/23/19 | 8,100,000 | 8,219,530 | |
5.75% 1/25/21 | 12,664,000 | 13,270,584 | |
MSCI, Inc.: | |||
4.75% 8/1/26 (b) | 2,641,000 | 2,641,000 | |
5.25% 11/15/24 (b) | 2,816,000 | 2,886,400 | |
UBS AG 4.75% 2/12/26 (Reg. S) (c) | EUR | 13,533,000 | 16,398,219 |
UBS Group Funding Ltd. 4.125% 9/24/25 (b) | 12,029,000 | 12,231,302 | |
826,902,051 | |||
Consumer Finance - 1.4% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
3.5% 5/26/22 | 4,764,000 | 4,697,661 | |
4.125% 7/3/23 | 13,016,000 | 12,929,824 | |
4.45% 12/16/21 | 9,385,000 | 9,508,308 | |
4.875% 1/16/24 | 5,599,000 | 5,729,452 | |
Ally Financial, Inc.: | |||
4.625% 3/30/25 | 2,128,000 | 2,167,262 | |
5.75% 11/20/25 | 25,796,000 | 27,343,760 | |
8% 11/1/31 | 4,533,000 | 5,598,255 | |
Capital One Financial Corp. 3.8% 1/31/28 | 14,203,000 | 13,649,300 | |
Credito Real S.A.B. de CV 9.5% 2/7/26 (b) | 815,000 | 845,563 | |
Discover Financial Services: | |||
3.85% 11/21/22 | 22,201,000 | 22,329,813 | |
3.95% 11/6/24 | 9,389,000 | 9,292,867 | |
4.1% 2/9/27 | 15,432,000 | 15,017,940 | |
4.5% 1/30/26 | 15,184,000 | 15,254,207 | |
5.2% 4/27/22 | 7,992,000 | 8,362,077 | |
Ford Motor Credit Co. LLC: | |||
2.597% 11/4/19 | 33,261,000 | 33,171,491 | |
5.085% 1/7/21 | 9,629,000 | 9,807,997 | |
5.596% 1/7/22 | 19,922,000 | 20,409,754 | |
Navient Corp.: | |||
5.875% 10/25/24 | 475,000 | 457,188 | |
6.5% 6/15/22 | 7,023,000 | 7,227,018 | |
6.625% 7/26/21 | 4,025,000 | 4,160,844 | |
6.75% 6/15/26 | 3,350,000 | 3,216,000 | |
7.25% 9/25/23 | 3,210,000 | 3,310,313 | |
SLM Corp.: | |||
5.5% 1/25/23 | 5,602,000 | 5,531,975 | |
6.125% 3/25/24 | 1,297,000 | 1,264,575 | |
7.25% 1/25/22 | 2,491,000 | 2,612,436 | |
Springleaf Financial Corp.: | |||
6.875% 3/15/25 | 3,915,000 | 4,012,875 | |
7.125% 3/15/26 | 5,090,000 | 5,115,959 | |
Synchrony Financial: | |||
3% 8/15/19 | 3,126,000 | 3,123,996 | |
3.75% 8/15/21 | 4,720,000 | 4,730,337 | |
3.95% 12/1/27 | 24,512,000 | 22,445,706 | |
4.25% 8/15/24 | 4,751,000 | 4,657,147 | |
287,981,900 | |||
Diversified Financial Services - 1.1% | |||
1MDB Global Investments Ltd. 4.4% 3/9/23 | 5,800,000 | 5,401,192 | |
Avolon Holdings Funding Ltd.: | |||
5.125% 10/1/23 (b) | 17,344,000 | 17,517,440 | |
5.5% 1/15/23 (b) | 3,615,000 | 3,706,098 | |
AXA Equitable Holdings, Inc. 3.9% 4/20/23 | 3,251,000 | 3,276,379 | |
Brixmor Operating Partnership LP: | |||
3.25% 9/15/23 | 16,257,000 | 15,778,801 | |
3.85% 2/1/25 | 9,126,000 | 8,918,309 | |
3.875% 8/15/22 | 13,396,000 | 13,403,598 | |
4.125% 6/15/26 | 5,509,000 | 5,380,221 | |
Chobani LLC/Finance Corp., Inc. 7.5% 4/15/25 (b) | 1,647,000 | 1,482,300 | |
Cigna Corp.: | |||
4.125% 11/15/25 (b) | 7,592,000 | 7,705,838 | |
4.375% 10/15/28 (b) | 19,595,000 | 19,862,564 | |
4.8% 8/15/38 (b) | 12,201,000 | 12,177,102 | |
4.9% 12/15/48 (b) | 12,189,000 | 12,136,219 | |
Cimpor Financial Operations BV 5.75% 7/17/24 (b) | 2,342,000 | 2,096,090 | |
CRC Escrow Issuer LLC/CRC Finance LLC 5.25% 10/15/25 (b) | 10,264,000 | 9,737,970 | |
Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26 | 2,332,000 | 2,343,240 | |
Eagle Intermediate Global Holding BV 7.5% 5/1/25 (b) | 363,000 | 352,292 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
5.875% 2/1/22 | 15,778,000 | 15,955,503 | |
6% 8/1/20 | 1,790,000 | 1,807,900 | |
6.25% 2/1/22 | 4,737,000 | 4,878,163 | |
6.375% 12/15/25 | 4,491,000 | 4,620,116 | |
6.75% 2/1/24 | 1,274,000 | 1,332,923 | |
Logicor Financing SARL 1.5% 11/14/22 (Reg. S) | EUR | 3,970,000 | 4,519,921 |
Park Aerospace Holdings Ltd.: | |||
4.5% 3/15/23 (b) | 2,210,000 | 2,193,425 | |
5.25% 8/15/22 (b) | 3,250,000 | 3,327,058 | |
5.5% 2/15/24 (b) | 1,625,000 | 1,679,844 | |
Proven Honour Capital Ltd. 4.125% 5/6/26 (Reg. S) | 3,368,000 | 3,192,480 | |
PT Bukit Makmur Mandiri Utama 7.75% 2/13/22 (b) | 2,088,000 | 2,144,226 | |
Radiate Holdco LLC/Radiate Financial Service Ltd.: | |||
6.625% 2/15/25 (b) | 3,585,000 | 3,369,900 | |
6.875% 2/15/23 (b) | 1,509,000 | 1,463,730 | |
Sistema International Funding SA 6.95% 5/17/19 (b) | 1,351,000 | 1,353,794 | |
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (b) | 13,589,000 | 14,727,079 | |
Sparc Em Spc 0% 12/5/22 (b) | 175,103 | 160,221 | |
Tempo Acquisition LLC 6.75% 6/1/25 (b) | 4,698,000 | 4,744,980 | |
Transocean Poseidon Ltd. 6.875% 2/1/27 (b) | 645,000 | 662,738 | |
Valvoline, Inc. 5.5% 7/15/24 | 1,790,000 | 1,796,713 | |
Voya Financial, Inc. 3.125% 7/15/24 | 8,794,000 | 8,509,873 | |
WPC Eurobond BV 2.25% 4/9/26 | EUR | 1,720,000 | 1,968,937 |
225,685,177 | |||
Insurance - 1.2% | |||
AIA Group Ltd. 2.25% 3/11/19 (b) | 1,635,000 | 1,634,736 | |
American International Group, Inc.: | |||
2.3% 7/16/19 | 4,116,000 | 4,108,424 | |
3.3% 3/1/21 | 6,125,000 | 6,133,356 | |
3.875% 1/15/35 | 12,130,000 | 10,743,471 | |
4.875% 6/1/22 | 11,590,000 | 12,145,161 | |
AmWINS Group, Inc. 7.75% 7/1/26 (b) | 3,905,000 | 4,002,625 | |
Aon Corp. 5% 9/30/20 | 2,455,000 | 2,517,200 | |
Aquarius + Investments PLC for Swiss Reinsurance Co. Ltd. 6.375% 9/1/24 (c) | 6,674,000 | 6,748,735 | |
Demeter Investments BV: | |||
5.625% 8/15/52 (Reg. S) (c) | 1,117,000 | 1,128,464 | |
5.75% 8/15/50 (Reg. S) (c) | 2,324,000 | 2,393,720 | |
Hartford Financial Services Group, Inc. 5.125% 4/15/22 | 9,420,000 | 9,917,118 | |
Liberty Mutual Group, Inc. 4.569% 2/1/29 (b) | 8,055,000 | 8,152,119 | |
Marsh & McLennan Companies, Inc.: | |||
4.375% 3/15/29 | 12,747,000 | 13,137,541 | |
4.75% 3/15/39 | 5,849,000 | 6,056,326 | |
4.8% 7/15/21 | 4,517,000 | 4,671,926 | |
4.9% 3/15/49 | 11,640,000 | 12,243,884 | |
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (b) | 19,445,000 | 18,292,489 | |
MetLife, Inc.: | |||
3.048% 12/15/22 (c) | 7,921,000 | 7,904,967 | |
4.75% 2/8/21 | 836,000 | 862,256 | |
Metropolitan Life Global Funding I 3% 1/10/23 (b) | 5,030,000 | 5,001,500 | |
Pacific LifeCorp 5.125% 1/30/43 (b) | 21,516,000 | 22,006,871 | |
Pricoa Global Funding I 5.375% 5/15/45 (c) | 11,144,000 | 11,068,778 | |
Prudential Financial, Inc. 7.375% 6/15/19 | 2,058,000 | 2,084,067 | |
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b) | 11,520,000 | 12,325,636 | |
TIAA Asset Management Finance LLC 4.125% 11/1/24 (b) | 3,853,000 | 3,977,936 | |
Unum Group: | |||
3.875% 11/5/25 | 13,752,000 | 13,373,943 | |
4% 3/15/24 | 12,741,000 | 12,752,045 | |
5.625% 9/15/20 | 5,342,000 | 5,517,379 | |
5.75% 8/15/42 | 16,274,000 | 16,961,854 | |
USIS Merger Sub, Inc. 6.875% 5/1/25 (b) | 3,985,000 | 3,875,413 | |
241,739,940 | |||
Mortgage Real Estate Investment Trusts - 0.0% | |||
Starwood Property Trust, Inc. 4.75% 3/15/25 | 1,226,000 | 1,192,653 | |
Thrifts & Mortgage Finance - 0.0% | |||
Prime Securities Services Borrower LLC/Prime Finance, Inc. 9.25% 5/15/23 (b) | 1,657,000 | 1,747,307 | |
Quicken Loans, Inc. 5.25% 1/15/28 (b) | 4,740,000 | 4,319,325 | |
6,066,632 | |||
TOTAL FINANCIALS | 2,543,865,100 | ||
HEALTH CARE - 2.6% | |||
Biotechnology - 0.0% | |||
AbbVie, Inc. 4.5% 5/14/35 | 12,471,000 | 11,703,022 | |
Health Care Equipment & Supplies - 0.1% | |||
Becton, Dickinson & Co.: | |||
2.894% 6/6/22 | 9,500,000 | 9,394,532 | |
3.7% 6/6/27 | 4,160,000 | 4,029,910 | |
Hologic, Inc.: | |||
4.375% 10/15/25 (b) | 2,379,000 | 2,337,368 | |
4.625% 2/1/28 (b) | 443,000 | 428,603 | |
Teleflex, Inc. 4.875% 6/1/26 | 4,444,000 | 4,505,105 | |
20,695,518 | |||
Health Care Providers & Services - 1.7% | |||
Aetna, Inc. 2.75% 11/15/22 | 1,281,000 | 1,251,966 | |
Cigna Corp. 3.75% 7/15/23 (b) | 15,701,000 | 15,889,017 | |
Community Health Systems, Inc.: | |||
5.125% 8/1/21 | 3,220,000 | 3,159,625 | |
6.25% 3/31/23 | 14,608,000 | 14,060,200 | |
8% 3/15/26 (b) | 2,685,000 | 2,649,639 | |
8.625% 1/15/24 (b) | 8,598,000 | 8,834,445 | |
CVS Health Corp.: | |||
3.7% 3/9/23 | 5,734,000 | 5,769,195 | |
4% 12/5/23 | 5,431,000 | 5,520,175 | |
4.1% 3/25/25 | 45,449,000 | 46,071,752 | |
4.3% 3/25/28 | 41,514,000 | 41,542,472 | |
4.78% 3/25/38 | 18,481,000 | 17,977,642 | |
5.05% 3/25/48 | 27,172,000 | 26,925,184 | |
Elanco Animal Health, Inc.: | |||
3.912% 8/27/21 (b) | 3,218,000 | 3,238,364 | |
4.272% 8/28/23 (b) | 10,157,000 | 10,307,391 | |
4.9% 8/28/28 (b) | 4,279,000 | 4,433,090 | |
HCA Holdings, Inc.: | |||
4.25% 10/15/19 | 4,835,000 | 4,865,514 | |
4.5% 2/15/27 | 3,357,000 | 3,384,425 | |
4.75% 5/1/23 | 379,000 | 391,936 | |
5% 3/15/24 | 4,061,000 | 4,248,351 | |
5.25% 6/15/26 | 7,307,000 | 7,705,255 | |
5.875% 3/15/22 | 456,000 | 485,134 | |
5.875% 2/15/26 | 2,434,000 | 2,570,913 | |
6.5% 2/15/20 | 19,305,000 | 19,882,318 | |
Medco Health Solutions, Inc. 4.125% 9/15/20 | 4,769,000 | 4,837,607 | |
Rede D Oregon Finance Sarl 4.95% 1/17/28 (b) | 525,000 | 493,500 | |
Sabra Health Care LP/Sabra Capital Corp.: | |||
5.375% 6/1/23 | 649,000 | 652,245 | |
5.5% 2/1/21 | 991,000 | 1,005,246 | |
Tenet Healthcare Corp.: | |||
4.375% 10/1/21 | 2,437,000 | 2,467,463 | |
4.625% 7/15/24 | 3,529,000 | 3,506,944 | |
5.125% 5/1/25 | 2,803,000 | 2,778,474 | |
6.25% 2/1/27 (b) | 2,480,000 | 2,552,850 | |
6.75% 6/15/23 | 6,838,000 | 7,008,950 | |
8.125% 4/1/22 | 19,870,000 | 21,211,225 | |
THC Escrow Corp. III 7% 8/1/25 | 4,453,000 | 4,464,133 | |
Toledo Hospital: | |||
5.325% 11/15/28 | 6,970,000 | 7,161,773 | |
6.015% 11/15/48 | 33,459,000 | 35,400,673 | |
Wellcare Health Plans, Inc.: | |||
5.25% 4/1/25 | 2,125,000 | 2,169,519 | |
5.375% 8/15/26 (b) | 6,204,000 | 6,382,365 | |
WellPoint, Inc. 3.3% 1/15/23 | 4,104,000 | 4,111,280 | |
357,368,250 | |||
Life Sciences Tools & Services - 0.0% | |||
Charles River Laboratories International, Inc. 5.5% 4/1/26 (b) | 1,805,000 | 1,877,200 | |
Pharmaceuticals - 0.8% | |||
Actavis Funding SCS 3.45% 3/15/22 | 30,800,000 | 30,664,612 | |
Bayer AG 3% 7/1/75 (Reg S.) (c) | EUR | 2,200,000 | 2,535,477 |
Bayer Capital Corp. BV 1.5% 6/26/26 (Reg. S) | EUR | 3,400,000 | 3,889,227 |
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) | 18,106,000 | 18,109,764 | |
Catalent Pharma Solutions 4.875% 1/15/26 (b) | 3,265,000 | 3,232,350 | |
Mylan NV: | |||
2.25% 11/22/24 (Reg. S) | EUR | 1,172,000 | 1,332,326 |
2.5% 6/7/19 | 5,750,000 | 5,742,099 | |
3.15% 6/15/21 | 13,528,000 | 13,373,832 | |
3.95% 6/15/26 | 7,088,000 | 6,609,809 | |
4.55% 4/15/28 | 13,507,000 | 12,745,838 | |
Perrigo Finance PLC 3.5% 12/15/21 | 982,000 | 944,574 | |
Teva Pharmaceutical Finance Co. BV: | |||
2.95% 12/18/22 | 669,000 | 623,964 | |
3.65% 11/10/21 | 956,000 | 932,001 | |
Teva Pharmaceutical Finance IV BV 3.65% 11/10/21 | 2,006,000 | 1,955,643 | |
Teva Pharmaceutical Finance IV LLC 2.25% 3/18/20 | 577,000 | 568,346 | |
Teva Pharmaceutical Finance Netherlands III BV: | |||
0.375% 7/25/20 (Reg. S) | EUR | 7,071,000 | 7,958,917 |
2.2% 7/21/21 | 9,555,000 | 9,078,553 | |
2.8% 7/21/23 | 13,994,000 | 12,661,966 | |
4.5% 3/1/25 | EUR | 2,072,000 | 2,433,590 |
Valeant Pharmaceuticals International, Inc.: | |||
5.5% 11/1/25 (b) | 2,322,000 | 2,342,318 | |
5.625% 12/1/21 (b) | 4,449,000 | 4,455,674 | |
5.875% 5/15/23 (b) | 5,906,000 | 5,876,470 | |
6.5% 3/15/22 (b) | 1,593,000 | 1,650,746 | |
7% 3/15/24 (b) | 7,310,000 | 7,702,913 | |
9% 12/15/25 (b) | 618,000 | 662,613 | |
Zoetis, Inc.: | |||
3.25% 2/1/23 | 3,117,000 | 3,097,178 | |
3.45% 11/13/20 | 3,299,000 | 3,315,816 | |
164,496,616 | |||
TOTAL HEALTH CARE | 556,140,606 | ||
INDUSTRIALS - 1.1% | |||
Aerospace & Defense - 0.3% | |||
BAE Systems Holdings, Inc.: | |||
3.8% 10/7/24 (b) | 5,811,000 | 5,848,602 | |
6.375% 6/1/19 (b) | 5,142,000 | 5,182,204 | |
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (b) | 6,329,000 | 6,447,669 | |
Bombardier, Inc.: | |||
6.125% 1/15/23 (b) | 8,365,000 | 8,427,738 | |
7.5% 12/1/24 (b) | 6,813,000 | 6,949,260 | |
7.5% 3/15/25 (b) | 1,914,000 | 1,916,393 | |
7.875% 4/15/27 (b) | 4,565,000 | 4,530,580 | |
BWX Technologies, Inc. 5.375% 7/15/26 (b) | 6,413,000 | 6,541,260 | |
TransDigm, Inc.: | |||
6% 7/15/22 | 2,555,000 | 2,602,268 | |
6.25% 3/15/26 (b) | 9,375,000 | 9,609,375 | |
6.375% 6/15/26 | 615,000 | 598,088 | |
6.5% 7/15/24 | 4,365,000 | 4,408,650 | |
6.5% 5/15/25 | 5,288,000 | 5,268,170 | |
68,330,257 | |||
Air Freight & Logistics - 0.1% | |||
Aercap Global Aviation Trust 6.5% 6/15/45 (b)(c) | 9,097,000 | 9,051,515 | |
Rumo Luxembourg Sarl 7.375% 2/9/24 (b) | 2,228,000 | 2,391,312 | |
11,442,827 | |||
Airlines - 0.0% | |||
Azul Investments LLP 5.875% 10/26/24 (b) | 768,000 | 738,048 | |
Commercial Services & Supplies - 0.1% | |||
APX Group, Inc.: | |||
7.625% 9/1/23 | 4,231,000 | 3,728,569 | |
8.75% 12/1/20 | 4,255,000 | 4,228,406 | |
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (b) | 3,087,000 | 2,786,018 | |
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (b) | 3,899,000 | 3,689,429 | |
Multi-Color Corp. 4.875% 11/1/25 (b) | 2,985,000 | 3,026,044 | |
Prime Security One MS, Inc. 4.875% 7/15/32 (b) | 2,657,000 | 2,238,523 | |
Tervita Escrow Corp. 7.625% 12/1/21 (b) | 963,000 | 960,593 | |
20,657,582 | |||
Construction & Engineering - 0.1% | |||
AECOM: | |||
5.125% 3/15/27 | 7,722,000 | 7,326,248 | |
5.875% 10/15/24 | 4,702,000 | 4,926,050 | |
Cementos Progreso Trust 7.125% 11/6/23 (b) | 1,036,000 | 1,064,500 | |
Odebrecht Finance Ltd.: | |||
4.375% 4/25/25 (b)(f) | 1,640,000 | 207,050 | |
7.125% 6/26/42 (b)(f) | 2,456,000 | 310,070 | |
13,833,918 | |||
Electrical Equipment - 0.0% | |||
Sensata Technologies BV 5% 10/1/25 (b) | 2,730,000 | 2,757,300 | |
Vestas Wind Systems A/S 2.75% 3/11/22 (Reg. S) | EUR | 1,994,000 | 2,384,199 |
5,141,499 | |||
Industrial Conglomerates - 0.0% | |||
Turk Sise ve Cam Fabrikalari A/S 4.25% 5/9/20 (b) | 382,000 | 379,628 | |
Machinery - 0.1% | |||
Fiat Industrial Finance Europe SA 1.875% 1/19/26 (Reg. S) | EUR | 1,242,000 | 1,409,280 |
U.S.A. Compression Partners LP: | |||
6.875% 4/1/26 | 3,685,000 | 3,749,488 | |
6.875% 9/1/27 (b)(e) | 1,210,000 | 1,234,200 | |
6,392,968 | |||
Marine - 0.0% | |||
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (b) | 2,225,000 | 1,613,125 | |
Navios Maritime Holdings, Inc. 7.375% 1/15/22 (b) | 398,000 | 178,105 | |
1,791,230 | |||
Professional Services - 0.0% | |||
Thomson Reuters Corp. 3.85% 9/29/24 | 2,221,000 | 2,173,607 | |
Road & Rail - 0.0% | |||
Alpha Trains Finance SA 2.064% 6/30/25 | EUR | 4,151,000 | 4,863,532 |
JSC Georgian Railway 7.75% 7/11/22 (b) | 347,000 | 367,702 | |
Ukraine Railways via Shortline PLC 9.875% 9/15/21 (b) | 995,000 | 990,883 | |
6,222,117 | |||
Trading Companies & Distributors - 0.4% | |||
Air Lease Corp.: | |||
3% 9/15/23 | 2,041,000 | 1,958,697 | |
3.375% 6/1/21 | 6,685,000 | 6,637,937 | |
3.75% 2/1/22 | 16,816,000 | 16,844,504 | |
3.875% 4/1/21 | 7,396,000 | 7,450,722 | |
4.25% 2/1/24 | 18,355,000 | 18,458,840 | |
4.25% 9/15/24 | 7,664,000 | 7,659,136 | |
4.75% 3/1/20 | 7,515,000 | 7,620,803 | |
Avantor, Inc. 6% 10/1/24 (b) | 1,863,000 | 1,900,260 | |
FLY Leasing Ltd.: | |||
5.25% 10/15/24 | 7,453,000 | 7,080,350 | |
6.375% 10/15/21 | 3,822,000 | 3,850,665 | |
Travis Perkins PLC: | |||
4.375% 9/15/21 (Reg. S) | GBP | 1,121,000 | 1,527,665 |
4.5% 9/7/23 (Reg. S) | GBP | 1,536,000 | 2,052,415 |
83,041,994 | |||
Transportation Infrastructure - 0.0% | |||
Aeropuertos Argentina 2000 SA 6.875% 2/1/27 (b) | 3,753,000 | 3,592,372 | |
TOTAL INDUSTRIALS | 223,738,047 | ||
INFORMATION TECHNOLOGY - 0.5% | |||
Communications Equipment - 0.1% | |||
Banglalink Digital Communications Ltd.: | |||
8.625% 5/6/19 (b) | 6,630,000 | 6,572,319 | |
8.625% 5/6/19 (Reg. S) | 500,000 | 495,650 | |
CommScope Finance LLC: | |||
5.5% 3/1/24 (b) | 600,000 | 610,500 | |
6% 3/1/26 (b) | 600,000 | 614,250 | |
Proven Glory Capital Ltd. 3.25% 2/21/22 (Reg. S) | 1,975,000 | 1,922,424 | |
10,215,143 | |||
Electronic Equipment & Components - 0.1% | |||
Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | |||
3.48% 6/1/19 (b) | 507,000 | 506,828 | |
4.42% 6/15/21 (b) | 1,529,000 | 1,556,473 | |
5.45% 6/15/23 (b) | 14,700,000 | 15,446,402 | |
6.02% 6/15/26 (b) | 5,064,000 | 5,370,258 | |
TTM Technologies, Inc. 5.625% 10/1/25 (b) | 6,930,000 | 6,566,175 | |
29,446,136 | |||
IT Services - 0.0% | |||
First Data Corp. 5.75% 1/15/24 (b) | 2,365,000 | 2,440,893 | |
Gartner, Inc. 5.125% 4/1/25 (b) | 850,000 | 856,375 | |
Indra Sistemas SA 3% 4/19/24 (Reg. S) | EUR | 1,900,000 | 2,162,668 |
5,459,936 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
Micron Technology, Inc. 5.5% 2/1/25 | 4,545,000 | 4,669,760 | |
NXP BV/NXP Funding LLC 4.125% 6/1/21 (b) | 1,347,000 | 1,356,631 | |
Qorvo, Inc. 5.5% 7/15/26 (b) | 2,714,000 | 2,768,280 | |
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (b) | 1,927,000 | 2,032,985 | |
10,827,656 | |||
Software - 0.2% | |||
Ascend Learning LLC: | |||
6.875% 8/1/25 (b) | 345,000 | 335,944 | |
6.875% 8/1/25 (b) | 3,245,000 | 3,180,100 | |
CDK Global, Inc.: | |||
4.875% 6/1/27 | 1,159,000 | 1,138,961 | |
5.875% 6/15/26 | 2,418,000 | 2,493,563 | |
Ensemble S Merger Sub, Inc. 9% 9/30/23 (b) | 5,546,000 | 5,726,245 | |
Fair Isaac Corp. 5.25% 5/15/26 (b) | 5,794,000 | 5,851,940 | |
Nuance Communications, Inc.: | |||
5.375% 8/15/20 (b) | 824,000 | 824,000 | |
5.625% 12/15/26 | 2,663,000 | 2,716,260 | |
Open Text Corp. 5.875% 6/1/26 (b) | 7,059,000 | 7,426,633 | |
Symantec Corp. 5% 4/15/25 (b) | 9,874,000 | 9,836,623 | |
Uber Technologies, Inc. 7.5% 11/1/23 (b) | 956,000 | 977,510 | |
40,507,779 | |||
TOTAL INFORMATION TECHNOLOGY | 96,456,650 | ||
MATERIALS - 0.8% | |||
Chemicals - 0.3% | |||
Braskem Finance Ltd.: | |||
5.375% 5/2/22 (b) | 771,000 | 803,768 | |
5.75% 4/15/21 (b) | 529,000 | 549,372 | |
Element Solutions, Inc. 5.875% 12/1/25 (b) | 5,514,000 | 5,579,506 | |
International Flavors & Fragrances, Inc. 1.8% 9/25/26 | EUR | 4,273,000 | 4,930,653 |
NOVA Chemicals Corp. 4.875% 6/1/24 (b) | 7,147,000 | 6,919,725 | |
Nufarm Australia Ltd. 5.75% 4/30/26 (b) | 4,026,000 | 3,751,950 | |
OCI NV 6.625% 4/15/23 (b) | 6,832,000 | 7,071,120 | |
OCP SA 5.625% 4/25/24 (b) | 567,000 | 595,067 | |
Olin Corp. 5.125% 9/15/27 | 3,663,000 | 3,690,473 | |
Petkim Petrokimya Holding A/S 5.875% 1/26/23 (b) | 2,383,000 | 2,263,850 | |
SABIC Capital II BV 4% 10/10/23 (b) | 1,108,000 | 1,122,072 | |
Sasol Financing U.S.A. LLC 5.875% 3/27/24 | 704,000 | 729,730 | |
The Chemours Co. LLC 5.375% 5/15/27 | 3,380,000 | 3,295,500 | |
The Dow Chemical Co.: | |||
4.125% 11/15/21 | 6,936,000 | 7,084,072 | |
4.25% 11/15/20 | 2,327,000 | 2,364,765 | |
TPC Group, Inc. 8.75% 12/15/20 (b) | 8,502,000 | 8,331,960 | |
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 5.375% 9/1/25 (b) | 2,962,000 | 2,784,280 | |
Valvoline, Inc. 4.375% 8/15/25 | 2,450,000 | 2,321,375 | |
64,189,238 | |||
Construction Materials - 0.0% | |||
CEMEX Finance LLC: | |||
4.625% 6/15/24 | EUR | 3,086,000 | 3,694,314 |
6% 4/1/24 (b) | 589,000 | 606,965 | |
CEMEX S.A.B. de CV 7.75% 4/16/26 (b) | 1,179,000 | 1,281,349 | |
Union Andina de Cementos SAA 5.875% 10/30/21 (b) | 55,000 | 56,169 | |
5,638,797 | |||
Containers & Packaging - 0.1% | |||
Ard Securities Finance SARL 8.75% 1/31/23 pay-in-kind (b)(c) | 4,192,814 | 3,941,245 | |
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 6% 2/15/25 (b) | 7,298,000 | 7,206,775 | |
Crown Americas LLC/Crown Americas Capital Corp. V 4.25% 9/30/26 | 3,408,000 | 3,280,200 | |
Flex Acquisition Co., Inc.: | |||
6.875% 1/15/25 (b) | 2,890,000 | 2,731,050 | |
7.875% 7/15/26 (b) | 720,000 | 689,400 | |
OI European Group BV 4% 3/15/23 (b) | 3,440,000 | 3,362,600 | |
Owens-Brockway Glass Container, Inc. 5.375% 1/15/25 (b) | 2,504,000 | 2,553,955 | |
Silgan Holdings, Inc. 4.75% 3/15/25 | 1,876,000 | 1,838,480 | |
25,603,705 | |||
Metals & Mining - 0.4% | |||
BHP Billiton Financial (U.S.A.) Ltd.: | |||
6.25% 10/19/75 (b)(c) | 4,471,000 | 4,653,417 | |
6.75% 10/19/75 (b)(c) | 11,105,000 | 12,181,630 | |
Commercial Metals Co. 5.375% 7/15/27 | 3,269,000 | 3,060,601 | |
Corporacion Nacional del Cobre de Chile (Codelco): | |||
3.625% 8/1/27 (b) | 5,273,000 | 5,203,449 | |
4.5% 8/1/47 (b) | 4,170,000 | 4,178,173 | |
CSN Islands XI Corp. 6.875% 9/21/19 (b) | 3,414,000 | 3,424,276 | |
CSN Resources SA 6.5% 7/21/20 (b) | 2,914,000 | 2,914,000 | |
Ferrexpo Finance PLC: | |||
10.375% 4/7/19 (b) | 556,000 | 554,721 | |
10.375% 4/7/19 (b) | 183,500 | 183,078 | |
10.375% 4/7/19 (Reg. S) | 737,500 | 735,804 | |
10.375% 4/7/19 (Reg. S) | 377,500 | 376,632 | |
First Quantum Minerals Ltd.: | |||
6.5% 3/1/24 (b) | 2,201,000 | 2,079,945 | |
7.25% 5/15/22 (b) | 1,414,000 | 1,422,838 | |
7.25% 4/1/23 (b) | 9,837,000 | 9,664,853 | |
Freeport-McMoRan, Inc.: | |||
3.55% 3/1/22 | 3,329,000 | 3,291,549 | |
3.875% 3/15/23 | 1,962,000 | 1,933,512 | |
Gold Fields Orogen Holding BVI Ltd. 4.875% 10/7/20 (b) | 1,773,000 | 1,795,783 | |
Metinvest BV 7.75% 4/23/23 (b) | 5,794,000 | 5,608,128 | |
Polyus Finance PLC 5.25% 2/7/23 (b) | 2,218,000 | 2,201,698 | |
POSCO 4% 8/1/23 (b) | 615,000 | 625,619 | |
Stillwater Mining Co. 6.125% 6/27/22 (b) | 4,142,000 | 3,990,784 | |
Vale Overseas Ltd. 4.375% 1/11/22 | 435,000 | 435,435 | |
Vedanta Resources PLC: | |||
6.375% 7/30/22 (b) | 2,380,000 | 2,248,862 | |
8.25% 6/7/21 (b) | 2,210,000 | 2,232,100 | |
VM Holding SA 5.375% 5/4/27 (b) | 400,000 | 406,760 | |
75,403,647 | |||
TOTAL MATERIALS | 170,835,387 | ||
REAL ESTATE - 2.6% | |||
Equity Real Estate Investment Trusts (REITs) - 1.6% | |||
Alexandria Real Estate Equities, Inc.: | |||
2.75% 1/15/20 | 1,837,000 | 1,829,126 | |
4.6% 4/1/22 | 3,119,000 | 3,219,198 | |
alstria office REIT-AG 1.5% 11/15/27 (Reg. S) | EUR | 4,200,000 | 4,461,879 |
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 2,224,000 | 2,220,274 | |
American Homes 4 Rent 4.25% 2/15/28 | 896,000 | 873,675 | |
AvalonBay Communities, Inc. 3.625% 10/1/20 | 3,189,000 | 3,219,249 | |
Boston Properties, Inc.: | |||
3.85% 2/1/23 | 3,713,000 | 3,775,967 | |
4.5% 12/1/28 | 12,665,000 | 13,131,750 | |
Camden Property Trust: | |||
2.95% 12/15/22 | 4,218,000 | 4,170,137 | |
4.25% 1/15/24 | 5,855,000 | 6,029,654 | |
Care Capital Properties LP 5.125% 8/15/26 | 4,710,000 | 4,476,958 | |
CommonWealth REIT 5.875% 9/15/20 | 1,357,000 | 1,387,235 | |
Corporate Office Properties LP 5% 7/1/25 | 7,885,000 | 8,082,537 | |
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 | 3,260,000 | 3,276,300 | |
DDR Corp.: | |||
3.625% 2/1/25 | 5,451,000 | 5,258,351 | |
4.25% 2/1/26 | 14,523,000 | 14,354,973 | |
4.625% 7/15/22 | 4,060,000 | 4,154,294 | |
4.7% 6/1/27 | 904,000 | 915,022 | |
Duke Realty LP: | |||
3.625% 4/15/23 | 4,005,000 | 4,026,837 | |
3.75% 12/1/24 | 3,445,000 | 3,457,964 | |
3.875% 10/15/22 | 11,077,000 | 11,278,842 | |
Equity One, Inc. 3.75% 11/15/22 | 11,531,000 | 11,591,173 | |
ERP Operating LP: | |||
2.375% 7/1/19 | 5,592,000 | 5,583,178 | |
4.75% 7/15/20 | 4,905,000 | 4,999,449 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 4,561,000 | 4,492,839 | |
iStar Financial, Inc. 6% 4/1/22 | 832,000 | 830,960 | |
Lexington Corporate Properties Trust 4.4% 6/15/24 | 2,936,000 | 2,929,301 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
5% 10/15/27 | 3,424,000 | 3,398,320 | |
5.25% 8/1/26 | 3,615,000 | 3,660,188 | |
6.375% 3/1/24 | 1,433,000 | 1,501,068 | |
Omega Healthcare Investors, Inc.: | |||
4.375% 8/1/23 | 26,812,000 | 26,968,419 | |
4.5% 1/15/25 | 6,808,000 | 6,775,240 | |
4.5% 4/1/27 | 32,478,000 | 31,853,273 | |
4.75% 1/15/28 | 18,782,000 | 18,780,742 | |
4.95% 4/1/24 | 11,179,000 | 11,383,815 | |
5.25% 1/15/26 | 18,623,000 | 19,149,499 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 2,151,000 | 2,048,857 | |
5% 12/15/23 | 1,293,000 | 1,300,241 | |
Senior Housing Properties Trust 6.75% 4/15/20 | 159,000 | 161,441 | |
Store Capital Corp. 4.625% 3/15/29 | 5,948,000 | 5,871,321 | |
Ventas Realty LP: | |||
3.125% 6/15/23 | 3,477,000 | 3,426,235 | |
3.5% 2/1/25 | 3,798,000 | 3,743,238 | |
3.75% 5/1/24 | 15,927,000 | 15,991,815 | |
4% 3/1/28 | 6,996,000 | 6,897,036 | |
4.125% 1/15/26 | 3,540,000 | 3,553,633 | |
Weingarten Realty Investors 3.375% 10/15/22 | 1,739,000 | 1,722,053 | |
WP Carey, Inc. 4% 2/1/25 | 21,671,000 | 21,374,776 | |
323,588,332 | |||
Real Estate Management & Development - 1.0% | |||
Altareit SCA 2.875% 7/2/25 (Reg. S) | EUR | 3,100,000 | 3,338,376 |
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 18,541,000 | 18,621,549 | |
3.95% 11/15/27 | 14,429,000 | 13,892,061 | |
4.1% 10/1/24 | 10,117,000 | 10,080,053 | |
4.55% 10/1/29 | 10,929,000 | 10,821,869 | |
CPI Property Group SA 1.45% 4/14/22 (Reg. S) | EUR | 6,565,000 | 7,467,464 |
Deutsche Annington Finance BV: | |||
1.8% 6/29/25 (Reg. S) | EUR | 1,400,000 | 1,635,943 |
5% 10/2/23 (b) | 3,695,000 | 3,771,782 | |
Digital Realty Trust LP: | |||
3.4% 10/1/20 | 11,281,000 | 11,314,449 | |
3.625% 10/1/22 | 5,865,000 | 5,879,835 | |
3.95% 7/1/22 | 7,543,000 | 7,637,838 | |
4.75% 10/1/25 | 19,502,000 | 20,286,545 | |
5.25% 3/15/21 | 3,636,000 | 3,751,356 | |
Essex Portfolio LP 3.875% 5/1/24 | 5,607,000 | 5,662,326 | |
Greystar Real Estate Partners 5.75% 12/1/25 (b) | 459,000 | 461,194 | |
Heimstaden Bostad AB 1.75% 12/7/21 (Reg. S) | EUR | 5,330,000 | 6,105,326 |
Host Hotels & Resorts LP 4.75% 3/1/23 | 96,000 | 98,479 | |
Howard Hughes Corp. 5.375% 3/15/25 (b) | 7,035,000 | 6,947,063 | |
Inversiones y Representaciones SA 11.5% 7/20/20 (Reg. S) | 5,000 | 5,145 | |
IRSA Propiedades Comerciales SA 8.75% 3/23/23 (b) | 1,843,000 | 1,834,946 | |
Kennedy-Wilson, Inc. 5.875% 4/1/24 | 516,000 | 507,594 | |
Liberty Property LP: | |||
3.375% 6/15/23 | 5,207,000 | 5,151,265 | |
4.125% 6/15/22 | 9,480,000 | 9,691,214 | |
4.4% 2/15/24 | 8,293,000 | 8,571,965 | |
4.75% 10/1/20 | 7,187,000 | 7,328,591 | |
Mack-Cali Realty LP: | |||
3.15% 5/15/23 | 9,387,000 | 7,968,820 | |
4.5% 4/18/22 | 11,063,000 | 10,500,647 | |
Post Apartment Homes LP 3.375% 12/1/22 | 1,637,000 | 1,628,932 | |
Shimao Property Holdings Ltd. 4.75% 7/3/22 | 1,695,000 | 1,663,514 | |
Tanger Properties LP: | |||
3.125% 9/1/26 | 8,723,000 | 7,915,159 | |
3.75% 12/1/24 | 13,668,000 | 13,319,960 | |
3.875% 12/1/23 | 3,066,000 | 3,041,574 | |
Ventas Realty LP/Ventas Capital Corp. 4.25% 3/1/22 | 191,000 | 195,693 | |
217,098,527 | |||
TOTAL REAL ESTATE | 540,686,859 | ||
UTILITIES - 1.9% | |||
Electric Utilities - 0.9% | |||
American Electric Power Co., Inc. 2.95% 12/15/22 | 3,144,000 | 3,106,672 | |
Clearway Energy Operating LLC 5.75% 10/15/25 (b) | 2,198,000 | 2,159,535 | |
DPL, Inc. 6.75% 10/1/19 | 785,000 | 795,794 | |
Duquesne Light Holdings, Inc.: | |||
5.9% 12/1/21 (b) | 18,694,000 | 19,694,968 | |
6.4% 9/15/20 (b) | 16,498,000 | 17,180,173 | |
Eskom Holdings SOC Ltd.: | |||
5.75% 1/26/21 (Reg. S) | 1,260,000 | 1,251,865 | |
6.75% 8/6/23 (b) | 700,000 | 704,522 | |
Eversource Energy 2.8% 5/1/23 | 9,622,000 | 9,451,473 | |
Exelon Corp. 2.85% 6/15/20 | 3,114,000 | 3,105,039 | |
FirstEnergy Corp.: | |||
4.25% 3/15/23 | 19,904,000 | 20,384,959 | |
7.375% 11/15/31 | 40,851,000 | 52,642,492 | |
InterGen NV 7% 6/30/23 (b) | 7,075,000 | 6,367,500 | |
IPALCO Enterprises, Inc.: | |||
3.45% 7/15/20 | 17,516,000 | 17,469,053 | |
3.7% 9/1/24 | 6,665,000 | 6,551,101 | |
Israel Electric Corp. Ltd. 7.75% 12/15/27 (Reg. S) | 600,000 | 732,486 | |
LG&E and KU Energy LLC 3.75% 11/15/20 | 924,000 | 930,276 | |
Monongahela Power Co. 4.1% 4/15/24 (b) | 2,537,000 | 2,620,185 | |
NRG Yield Operating LLC 5% 9/15/26 | 2,513,000 | 2,343,373 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (b) | 5,463,451 | 5,845,893 | |
NV Energy, Inc. 6.25% 11/15/20 | 2,230,000 | 2,344,471 | |
Pampa Holding SA 7.5% 1/24/27 (b) | 564,000 | 508,277 | |
PPL Capital Funding, Inc. 3.4% 6/1/23 | 4,577,000 | 4,541,391 | |
TECO Finance, Inc. 5.15% 3/15/20 | 2,396,000 | 2,444,625 | |
Vistra Operations Co. LLC 5.5% 9/1/26 (b) | 11,371,000 | 11,797,413 | |
194,973,536 | |||
Gas Utilities - 0.0% | |||
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 2,323,000 | 2,378,749 | |
Independent Power and Renewable Electricity Producers - 0.6% | |||
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 | 64,189,000 | 68,842,703 | |
Dynegy, Inc. 7.625% 11/1/24 | 3,472,000 | 3,689,000 | |
Emera U.S. Finance LP: | |||
2.15% 6/15/19 | 3,272,000 | 3,261,097 | |
2.7% 6/15/21 | 3,220,000 | 3,160,583 | |
3.55% 6/15/26 | 5,152,000 | 4,942,153 | |
NextEra Energy Partners LP: | |||
4.25% 9/15/24 (b) | 3,341,000 | 3,282,533 | |
4.5% 9/15/27 (b) | 596,000 | 566,200 | |
NRG Energy, Inc.: | |||
5.75% 1/15/28 | 2,250,000 | 2,309,063 | |
6.25% 5/1/24 | 2,873,000 | 2,969,389 | |
6.625% 1/15/27 | 1,080,000 | 1,150,200 | |
Talen Energy Supply LLC: | |||
6.5% 6/1/25 | 538,000 | 479,358 | |
10.5% 1/15/26 (b) | 10,735,000 | 11,110,725 | |
TerraForm Power Operating LLC: | |||
4.25% 1/31/23 (b) | 1,293,000 | 1,280,988 | |
5% 1/31/28 (b) | 1,443,000 | 1,370,850 | |
6.625% 6/15/25 (b)(c) | 3,430,000 | 3,601,500 | |
The AES Corp.: | |||
4.5% 3/15/23 | 1,851,000 | 1,864,883 | |
4.875% 5/15/23 | 6,062,000 | 6,120,726 | |
5.125% 9/1/27 | 4,638,000 | 4,765,545 | |
6% 5/15/26 | 984,000 | 1,035,660 | |
Three Gorges Finance II (Cayman Islands) Ltd. 1.3% 6/21/24 (Reg. S) | EUR | 1,206,000 | 1,362,498 |
127,165,654 | |||
Multi-Utilities - 0.4% | |||
Dominion Resources, Inc.: | |||
3 month U.S. LIBOR + 2.300% 5.103% 9/30/66 (c)(d) | 22,443,000 | 20,647,560 | |
3 month U.S. LIBOR + 2.825% 5.628% 6/30/66 (c)(d) | 6,590,000 | 6,260,500 | |
NiSource Finance Corp.: | |||
5.25% 2/15/43 | 8,116,000 | 8,591,420 | |
5.8% 2/1/42 | 4,036,000 | 4,442,980 | |
5.95% 6/15/41 | 7,538,000 | 8,513,854 | |
Puget Energy, Inc.: | |||
6% 9/1/21 | 9,916,000 | 10,466,590 | |
6.5% 12/15/20 | 3,265,000 | 3,430,629 | |
Sempra Energy: | |||
2.875% 10/1/22 | 3,670,000 | 3,562,281 | |
6% 10/15/39 | 9,562,000 | 10,770,012 | |
Wind Tre SpA 3.125% 1/20/25 (Reg. S) | EUR | 1,654,000 | 1,728,178 |
Wisconsin Energy Corp. 3 month U.S. LIBOR + 2.113% 4.7963% 5/15/67 (c)(d) | 2,459,000 | 2,162,813 | |
80,576,817 | |||
TOTAL UTILITIES | 405,094,756 | ||
TOTAL NONCONVERTIBLE BONDS | 7,575,311,698 | ||
TOTAL CORPORATE BONDS | |||
(Cost $7,589,475,912) | 7,579,973,919 | ||
U.S. Government and Government Agency Obligations - 27.5% | |||
U.S. Treasury Inflation-Protected Obligations - 3.5% | |||
U.S. Treasury Inflation-Indexed Bonds: | |||
0.75% 2/15/45 | $97,083,469 | $89,072,723 | |
1% 2/15/46 | 88,143,799 | 85,714,051 | |
U.S. Treasury Inflation-Indexed Notes: | |||
0.125% 7/15/24 | 33,255,989 | 32,508,801 | |
0.375% 7/15/25 | 171,146,202 | 168,509,512 | |
0.375% 1/15/27 | 143,394,606 | 139,444,936 | |
0.625% 1/15/26 | 127,159,792 | 126,633,982 | |
0.75% 7/15/28 | 99,940,274 | 100,071,341 | |
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 741,955,346 | ||
U.S. Treasury Obligations - 24.0% | |||
U.S. Treasury Bonds: | |||
2.25% 8/15/46 (h)(i)(j) | 261,200 | 220,500 | |
2.75% 11/15/47 | 182,698,900 | 170,787,789 | |
3% 5/15/45 | 42,618,500 | 42,014,183 | |
3% 2/15/48 | 13,722,100 | 13,483,035 | |
3% 2/15/49 (k) | 593,371,000 | 583,496,939 | |
5% 5/15/37 | 16,600 | 21,657 | |
U.S. Treasury Notes: | |||
1.25% 10/31/21 (h) | 3,057,900 | 2,958,996 | |
1.625% 5/15/26 | 15,926,700 | 14,875,289 | |
1.75% 6/30/22 | 607,029,000 | 592,588,288 | |
1.875% 3/31/22 | 527,421,700 | 517,841,581 | |
1.875% 7/31/22 | 575,545,600 | 563,674,972 | |
2% 4/30/24 | 15,926,700 | 15,507,380 | |
2% 11/15/26 | 11,093,000 | 10,589,048 | |
2.125% 12/31/22 | 275,186,800 | 271,252,487 | |
2.125% 7/31/24 | 222,547,000 | 217,644,011 | |
2.125% 11/30/24 | 43,567,300 | 42,517,260 | |
2.125% 5/15/25 (h)(j) | 1,465,300 | 1,425,290 | |
2.25% 12/31/24 | 394,208,100 | 387,155,473 | |
2.25% 11/15/27 | 200,057,200 | 193,148,975 | |
2.375% 2/29/24 | 225,610,000 | 224,102,995 | |
2.5% 3/31/23 | 416,562,200 | 416,236,761 | |
2.5% 2/28/26 | 316,674,000 | 314,187,615 | |
2.75% 11/30/20 (h)(i) | 1,228,000 | 1,232,029 | |
2.75% 8/15/21 | 9,492,300 | 9,545,323 | |
2.75% 2/15/28 | 96,082,900 | 96,443,211 | |
2.875% 9/30/23 | 46,915,700 | 47,610,272 | |
3.125% 11/15/28 | 277,000,000 | 286,456,952 | |
TOTAL U.S. TREASURY OBLIGATIONS | 5,037,018,311 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $5,857,383,588) | 5,778,973,657 | ||
U.S. Government Agency - Mortgage Securities - 26.3% | |||
Fannie Mae - 12.3% | |||
12 month U.S. LIBOR + 1.445% 3.542% 4/1/37 (c)(d) | 34,570 | 35,894 | |
12 month U.S. LIBOR + 1.480% 4.287% 7/1/34 (c)(d) | 12,149 | 12,583 | |
12 month U.S. LIBOR + 1.495% 4.511% 1/1/35 (c)(d) | 38,144 | 39,580 | |
12 month U.S. LIBOR + 1.507% 4.2% 7/1/37 (c)(d) | 9,989 | 10,363 | |
12 month U.S. LIBOR + 1.553% 4.269% 6/1/36 (c)(d) | 30,472 | 31,703 | |
12 month U.S. LIBOR + 1.565% 3.565% 3/1/37 (c)(d) | 15,308 | 15,980 | |
12 month U.S. LIBOR + 1.594% 4.161% 5/1/36 (c)(d) | 72,476 | 75,464 | |
12 month U.S. LIBOR + 1.617% 4.355% 3/1/33 (c)(d) | 28,126 | 29,263 | |
12 month U.S. LIBOR + 1.641% 4.371% 9/1/36 (c)(d) | 24,829 | 25,903 | |
12 month U.S. LIBOR + 1.643% 4.315% 9/1/36 (c)(d) | 12,692 | 13,211 | |
12 month U.S. LIBOR + 1.645% 4.355% 6/1/47 (c)(d) | 31,406 | 33,037 | |
12 month U.S. LIBOR + 1.718% 4.408% 5/1/35 (c)(d) | 59,746 | 62,290 | |
12 month U.S. LIBOR + 1.725% 2.592% 6/1/42 (c)(d) | 87,500 | 91,201 | |
12 month U.S. LIBOR + 1.728% 4.302% 11/1/36 (c)(d) | 21,500 | 22,452 | |
12 month U.S. LIBOR + 1.741% 4.625% 3/1/40 (c)(d) | 108,767 | 114,487 | |
12 month U.S. LIBOR + 1.745% 4.608% 7/1/35 (c)(d) | 30,936 | 32,384 | |
12 month U.S. LIBOR + 1.750% 4.5% 8/1/41 (c)(d) | 138,735 | 146,039 | |
12 month U.S. LIBOR + 1.788% 4.913% 2/1/36 (c)(d) | 75,723 | 79,618 | |
12 month U.S. LIBOR + 1.800% 4.546% 7/1/41 (c)(d) | 74,890 | 78,916 | |
12 month U.S. LIBOR + 1.800% 4.787% 1/1/42 (c)(d) | 305,304 | 321,714 | |
12 month U.S. LIBOR + 1.810% 4.81% 12/1/39 (c)(d) | 30,514 | 32,154 | |
12 month U.S. LIBOR + 1.812% 4.609% 12/1/40 (c)(d) | 2,450,497 | 2,525,226 | |
12 month U.S. LIBOR + 1.818% 3.702% 2/1/42 (c)(d) | 283,688 | 298,936 | |
12 month U.S. LIBOR + 1.818% 4.546% 7/1/41 (c)(d) | 44,856 | 46,263 | |
12 month U.S. LIBOR + 1.818% 4.568% 9/1/41 (c)(d) | 28,382 | 29,908 | |
12 month U.S. LIBOR + 1.820% 4.82% 12/1/35 (c)(d) | 90,151 | 94,797 | |
12 month U.S. LIBOR + 1.830% 4.662% 10/1/41 (c)(d) | 28,710 | 30,253 | |
12 month U.S. LIBOR + 1.851% 4.271% 5/1/36 (c)(d) | 24,966 | 26,165 | |
12 month U.S. LIBOR + 1.900% 4.634% 7/1/37 (c)(d) | 40,466 | 42,641 | |
6 month U.S. LIBOR + 1.475% 3.975% 10/1/33 (c)(d) | 629 | 640 | |
6 month U.S. LIBOR + 1.505% 4.255% 1/1/35 (c)(d) | 73,317 | 75,333 | |
6 month U.S. LIBOR + 1.510% 4.251% 2/1/33 (c)(d)(l) | 657 | 674 | |
6 month U.S. LIBOR + 1.535% 4.12% 12/1/34 (c)(d) | 14,523 | 14,941 | |
6 month U.S. LIBOR + 1.535% 4.266% 3/1/35 (c)(d) | 9,258 | 9,529 | |
6 month U.S. LIBOR + 1.556% 4.102% 10/1/33 (c)(d) | 5,450 | 5,604 | |
6 month U.S. LIBOR + 1.565% 4.42% 7/1/35 (c)(d) | 5,825 | 6,003 | |
6 month U.S. LIBOR + 1.740% 4.365% 12/1/34 (c)(d) | 864 | 898 | |
6 month U.S. LIBOR + 1.960% 4.46% 9/1/35 (c)(d) | 10,570 | 11,033 | |
U.S. TREASURY 1 YEAR INDEX + 1.945% 4.199% 10/1/33 (c)(d) | 111,937 | 115,353 | |
U.S. TREASURY 1 YEAR INDEX + 2.208% 4.083% 3/1/35 (c)(d) | 9,154 | 9,529 | |
U.S. TREASURY 1 YEAR INDEX + 2.270% 4.676% 6/1/36 (c)(d) | 70,167 | 73,939 | |
U.S. TREASURY 1 YEAR INDEX + 2.295% 4.678% 10/1/33 (c)(d) | 35,304 | 37,202 | |
U.S. TREASURY 1 YEAR INDEX + 2.447% 4.654% 7/1/34 (c)(d) | 79,029 | 83,277 | |
2.5% 3/1/34 (e) | 24,401,670 | 23,923,327 | |
2.5% 3/1/34 (e) | 8,350,000 | 8,186,316 | |
2.5% 3/1/34 (e) | 3,148,330 | 3,086,614 | |
2.5% 3/1/34 (e) | 2,500,000 | 2,450,993 | |
2.5% 3/1/34 (e) | 20,000,000 | 19,607,942 | |
2.5% 3/1/34 (e) | 2,500,000 | 2,450,993 | |
2.5% 12/1/42 to 8/1/43 | 6,966,812 | 6,635,421 | |
2.5% 3/1/49 (e) | 3,125,000 | 2,961,265 | |
2.5% 3/1/49 (e) | 3,125,000 | 2,961,265 | |
2.5% 3/1/49 (e) | 7,201,503 | 6,824,179 | |
2.5% 3/1/49 (e) | 7,201,503 | 6,824,179 | |
3% 3/1/25 to 9/1/48 | 289,402,576 | 285,449,684 | |
3% 3/1/34 (e) | 44,700,000 | 44,610,801 | |
3% 3/1/34 (e) | 45,200,000 | 45,109,803 | |
3% 3/1/34 (e) | 45,200,000 | 45,109,803 | |
3% 3/1/34 (e) | 55,100,000 | 54,990,048 | |
3% 3/1/34 (e) | 21,700,000 | 21,656,698 | |
3% 3/1/34 (e) | 24,125,000 | 24,076,859 | |
3% 3/1/34 (e) | 9,180,000 | 9,161,681 | |
3% 3/1/49 (e) | 3,125,000 | 3,052,751 | |
3% 3/1/49 (e) | 3,125,000 | 3,052,751 | |
3% 3/1/49 (e) | 48,175,000 | 47,061,204 | |
3% 3/1/49 (e) | 48,175,000 | 47,061,204 | |
3% 3/1/49 (e) | 11,900,000 | 11,624,874 | |
3% 3/1/49 (e) | 22,900,000 | 22,370,557 | |
3% 3/1/49 (e) | 11,000,000 | 10,745,682 | |
3% 3/1/49 (e) | 22,900,000 | 22,370,557 | |
3% 3/1/49 (e) | 56,550,000 | 55,242,575 | |
3% 3/1/49 (e) | 27,650,000 | 27,010,738 | |
3% 3/1/49 (e) | 34,500,000 | 33,702,367 | |
3% 3/1/49 (e) | 5,900,000 | 5,763,593 | |
3% 3/1/49 (e) | 5,900,000 | 5,763,593 | |
3% 3/1/49 (e) | 10,800,000 | 10,550,306 | |
3% 3/1/49 (e) | 34,500,000 | 33,702,367 | |
3% 3/1/49 (e) | 9,200,000 | 8,987,298 | |
3.5% 7/1/32 to 10/1/56 | 461,596,663 | 464,148,227 | |
3.5% 3/1/34 (e) | 144,000,000 | 146,285,050 | |
3.5% 3/1/34 (e) | 9,600,000 | 9,752,337 | |
3.5% 3/1/34 (e) | 9,600,000 | 9,752,337 | |
3.5% 3/1/34 (e) | 9,600,000 | 9,752,337 | |
3.5% 3/1/34 (e) | 29,800,000 | 30,272,878 | |
3.5% 3/1/34 (e) | 49,000,000 | 49,777,552 | |
3.5% 3/1/34 (e) | 10,850,000 | 11,022,172 | |
3.5% 3/1/34 (e) | 54,350,000 | 55,212,448 | |
3.5% 3/1/49 (e) | 2,400,000 | 2,400,473 | |
3.5% 3/1/49 (e) | 4,000,000 | 4,000,788 | |
4% 11/1/31 to 5/1/48 | 348,004,517 | 357,249,576 | |
4% 3/1/49 (e) | 3,800,000 | 3,873,424 | |
4% 3/1/49 (e) | 23,550,000 | 24,005,035 | |
4% 3/1/49 (e) | 23,550,000 | 24,005,035 | |
4% 3/1/49 (e) | 3,800,000 | 3,873,424 | |
4.5% 6/1/33 to 8/1/56 | 203,445,887 | 212,751,281 | |
4.5% 3/1/49 (e) | 59,600,000 | 61,668,615 | |
4.5% 3/1/49 (e) | 30,800,000 | 31,869,016 | |
5% 5/1/19 to 8/1/56 | 68,649,512 | 72,923,015 | |
5.257% 8/1/41 | 1,198,151 | 1,295,126 | |
5.5% 9/1/21 to 5/1/44 | 14,980,841 | 16,185,822 | |
6% 7/1/19 to 1/1/42 | 7,761,484 | 8,575,713 | |
6.5% 8/1/20 to 8/1/39 | 12,822,796 | 14,300,371 | |
6.52% 2/1/39 | 1,500,168 | 1,620,565 | |
7% 9/1/21 to 7/1/37 | 559,834 | 622,896 | |
7.5% 6/1/25 to 2/1/32 | 242,300 | 270,903 | |
8% 8/1/29 to 3/1/37 | 7,288 | 8,529 | |
8.5% 12/1/19 | 1 | 1 | |
9.5% 9/1/21 | 183 | 188 | |
TOTAL FANNIE MAE | 2,596,457,802 | ||
Freddie Mac - 5.7% | |||
12 month U.S. LIBOR + 1.325% 4.205% 1/1/36 (c)(d) | 23,711 | 24,411 | |
12 month U.S. LIBOR + 1.325% 4.325% 3/1/37 (c)(d) | 9,929 | 10,239 | |
12 month U.S. LIBOR + 1.375% 4.192% 3/1/36 (c)(d) | 81,597 | 84,168 | |
12 month U.S. LIBOR + 1.500% 4.295% 3/1/36 (c)(d) | 56,329 | 58,429 | |
12 month U.S. LIBOR + 1.515% 4.39% 11/1/35 (c)(d) | 16,615 | 17,226 | |
12 month U.S. LIBOR + 1.750% 4.5% 7/1/41 (c)(d) | 222,150 | 233,414 | |
12 month U.S. LIBOR + 1.750% 4.643% 12/1/40 (c)(d) | 1,236,554 | 1,272,445 | |
12 month U.S. LIBOR + 1.754% 4.5% 9/1/41 (c)(d) | 432,505 | 454,393 | |
12 month U.S. LIBOR + 1.793% 4.695% 4/1/37 (c)(d) | 21,777 | 22,844 | |
12 month U.S. LIBOR + 1.864% 4.239% 4/1/36 (c)(d)(l) | 21,756 | 22,801 | |
12 month U.S. LIBOR + 1.877% 4.194% 4/1/41 (c)(d) | 31,020 | 32,167 | |
12 month U.S. LIBOR + 1.880% 4.63% 9/1/41 (c)(d) | 34,444 | 36,295 | |
12 month U.S. LIBOR + 1.884% 4.624% 10/1/42 (c)(d) | 386,639 | 399,376 | |
12 month U.S. LIBOR + 1.910% 4.358% 5/1/41 (c)(d) | 73,363 | 75,738 | |
12 month U.S. LIBOR + 1.910% 4.477% 5/1/41 (c)(d) | 52,271 | 55,081 | |
12 month U.S. LIBOR + 1.910% 4.578% 6/1/41 (c)(d) | 65,067 | 67,044 | |
12 month U.S. LIBOR + 1.910% 4.66% 6/1/41 (c)(d) | 32,418 | 33,356 | |
12 month U.S. LIBOR + 1.920% 4.67% 6/1/36 (c)(d) | 12,421 | 13,052 | |
12 month U.S. LIBOR + 1.998% 4.292% 4/1/38 (c)(d) | 62,598 | 65,963 | |
12 month U.S. LIBOR + 2.045% 4.778% 7/1/36 (c)(d) | 34,587 | 36,446 | |
12 month U.S. LIBOR + 2.076% 5.009% 3/1/33 (c)(d) | 998 | 1,038 | |
12 month U.S. LIBOR + 2.200% 5.075% 12/1/36 (c)(d) | 53,432 | 56,035 | |
6 month U.S. LIBOR + 1.125% 3.775% 8/1/37 (c)(d) | 20,505 | 20,752 | |
6 month U.S. LIBOR + 1.445% 3.945% 3/1/35 (c)(d) | 22,270 | 22,779 | |
6 month U.S. LIBOR + 1.608% 4.148% 12/1/35 (c)(d) | 19,537 | 20,028 | |
6 month U.S. LIBOR + 1.647% 4.391% 2/1/37 (c)(d) | 82,888 | 85,595 | |
6 month U.S. LIBOR + 1.720% 4.567% 8/1/37 (c)(d) | 31,738 | 32,894 | |
6 month U.S. LIBOR + 1.746% 4.33% 5/1/37 (c)(d) | 8,247 | 8,575 | |
6 month U.S. LIBOR + 1.843% 4.426% 10/1/36 (c)(d) | 92,175 | 95,718 | |
6 month U.S. LIBOR + 1.913% 4.487% 10/1/35 (c)(d) | 56,087 | 58,244 | |
6 month U.S. LIBOR + 2.020% 4.662% 6/1/37 (c)(d) | 16,273 | 17,016 | |
6 month U.S. LIBOR + 2.040% 4.726% 6/1/37 (c)(d) | 24,434 | 25,575 | |
6 month U.S. LIBOR + 2.492% 5.028% 10/1/35 (c)(d) | 35,916 | 37,590 | |
U.S. TREASURY 1 YEAR INDEX + 2.035% 4.044% 6/1/33 (c)(d) | 86,014 | 89,745 | |
U.S. TREASURY 1 YEAR INDEX + 2.279% 4.221% 6/1/33 (c)(d) | 173,164 | 181,174 | |
U.S. TREASURY 1 YEAR INDEX + 2.407% 4.762% 3/1/35 (c)(d) | 345,977 | 364,573 | |
3% 4/1/32 to 2/1/47 | 231,391,336 | 227,427,958 | |
3% 3/1/34 (e) | 33,400,000 | 33,351,617 | |
3.5% 1/1/32 to 12/1/48 (h)(j) | 467,926,182 | 471,023,599 | |
3.5% 8/1/47 | 115,121 | 115,665 | |
3.5% 3/1/49 (e) | 27,100,000 | 27,121,217 | |
4% 7/1/31 to 5/1/48 | 298,031,861 | 306,189,987 | |
4% 4/1/48 | 1,020,946 | 1,043,086 | |
4% 3/1/49 (e) | 19,700,000 | 20,092,190 | |
4.5% 6/1/25 to 12/1/48 | 52,399,789 | 54,906,319 | |
4.5% 3/1/49 (e) | 31,900,000 | 33,045,822 | |
4.5% 3/1/49 (e) | 1,000,000 | 1,035,919 | |
5% 6/1/20 to 7/1/41 | 10,894,893 | 11,669,025 | |
5.5% 10/1/19 to 3/1/41 | 3,839,578 | 4,134,009 | |
6% 10/1/21 to 12/1/37 | 1,092,276 | 1,202,970 | |
6.5% 7/1/21 to 9/1/39 | 1,432,744 | 1,597,127 | |
7% 6/1/21 to 9/1/36 | 506,915 | 569,282 | |
7.5% 1/1/27 to 4/1/32 | 11,239 | 12,698 | |
8% 7/1/24 to 4/1/32 | 14,093 | 16,043 | |
8.5% 9/1/19 to 1/1/28 | 13,114 | 14,586 | |
9% 10/1/20 | 4 | 4 | |
9.5% 5/1/21 | 4 | 4 | |
10% 2/1/20 | 1 | 1 | |
TOTAL FREDDIE MAC | 1,198,701,347 | ||
Ginnie Mae - 8.3% | |||
3.5% 11/15/40 to 7/20/47 (h) | 227,184,722 | 229,880,669 | |
4% 5/20/33 to 4/20/47 | 66,748,951 | 68,988,906 | |
4.5% 6/20/33 to 8/15/41 | 26,488,678 | 27,891,423 | |
5% 12/15/32 to 9/15/41 | 11,609,047 | 12,327,959 | |
5.5% 7/15/33 to 9/15/39 | 930,435 | 1,006,479 | |
6% 10/15/30 to 11/15/39 | 284,589 | 315,306 | |
7% 10/15/22 to 3/15/33 | 583,117 | 655,348 | |
7.5% 11/15/21 to 9/15/31 | 233,233 | 255,867 | |
8% 11/15/21 to 11/15/29 | 63,400 | 68,810 | |
8.5% 10/15/21 to 1/15/31 | 12,068 | 13,599 | |
9% 9/15/19 to 1/15/23 | 153 | 162 | |
9.5% 12/15/20 to 3/15/23 | 80 | 83 | |
2.5% 11/20/46 | 61,955,735 | 59,243,963 | |
3% 5/20/42 to 9/20/48 | 247,059,692 | 244,258,945 | |
3% 3/1/49 (e) | 3,125,000 | 3,083,380 | |
3% 3/1/49 (e) | 4,875,000 | 4,810,073 | |
3% 3/1/49 (e) | 2,950,000 | 2,910,711 | |
3.5% 3/1/49 (e) | 155,100,000 | 156,442,111 | |
3.5% 3/1/49 (e) | 61,300,000 | 61,830,441 | |
3.5% 3/1/49 (e) | 7,200,000 | 7,262,303 | |
3.5% 3/1/49 (e) | 4,875,000 | 4,917,184 | |
3.5% 4/1/49 (e) | 3,125,000 | 3,150,454 | |
3.5% 4/1/49 (e) | 2,950,000 | 2,974,029 | |
4% 3/1/49 (e) | 5,000,000 | 5,131,132 | |
4% 3/1/49 (e) | 3,050,000 | 3,129,991 | |
4% 3/1/49 (e) | 5,000,000 | 5,131,132 | |
4% 3/1/49 (e) | 106,800,000 | 109,600,980 | |
4% 3/1/49 (e) | 62,000,000 | 63,626,037 | |
4% 3/1/49 (e) | 9,500,000 | 9,749,151 | |
4% 3/1/49 (e) | 48,350,000 | 49,618,046 | |
4% 3/1/49 (e) | 101,925,000 | 104,598,126 | |
4% 3/1/49 (e) | 2,950,000 | 3,027,368 | |
4% 4/1/49 (e) | 150,275,000 | 154,098,777 | |
4% 4/1/49 (e) | 2,950,000 | 3,025,063 | |
4.5% 3/1/49 (e) | 39,200,000 | 40,558,778 | |
4.5% 3/1/49 (e) | 36,800,000 | 38,075,587 | |
4.5% 3/1/49 (e) | 17,700,000 | 18,313,530 | |
4.5% 3/1/49 (e) | 23,100,000 | 23,900,708 | |
4.5% 3/1/49 (e) | 32,500,000 | 33,626,538 | |
4.5% 3/1/49 (e) | 38,400,000 | 39,731,048 | |
4.5% 3/1/49 (e) | 13,700,000 | 14,174,879 | |
4.5% 4/1/49 (e) | 62,700,000 | 64,839,067 | |
4.5% 4/1/49 (e) | 31,400,000 | 32,471,239 | |
4.5% 4/1/49 (e) | 31,300,000 | 32,367,828 | |
6.5% 3/20/31 to 6/15/37 | 162,022 | 182,926 | |
11% 9/20/19 | 29 | 30 | |
TOTAL GINNIE MAE | 1,741,266,166 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $5,573,681,972) | 5,536,425,315 | ||
Asset-Backed Securities - 1.7% | |||
AASET Trust Series 2018-1A Class A, 3.844% 1/16/38 (b) | $13,759,210 | $13,688,200 | |
ALG Student Loan Trust I Series 2006-1A Class A3, 3 month U.S. LIBOR + 0.150% 2.9148% 10/28/23 (b)(c)(d) | 11,135,904 | 11,105,968 | |
American Homes 4 Rent: | |||
Series 2014-SFR2 Class E, 6.231% 10/17/36 (b) | 221,000 | 241,132 | |
Series 2014-SFR3 Class E, 6.418% 12/17/36 (b) | 478,000 | 525,846 | |
Series 2015-SFR1 Class E, 5.639% 4/17/52 (b) | 662,438 | 707,975 | |
Series 2015-SFR2: | |||
Class E, 6.07% 10/17/52 (b) | 1,118,000 | 1,217,313 | |
Class XS, 0% 10/17/52 (b)(c)(l)(m) | 781,637 | 8 | |
Argent Securities, Inc. pass-thru certificates Series 2004-W9 Class M7, 1 month U.S. LIBOR + 4.200% 4.4335% 6/26/34 (b)(c)(d) | 8,128 | 15,968 | |
Blackbird Capital Aircraft Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (b) | 25,564,047 | 25,814,319 | |
Class AA, 2.487% 12/16/41 (b) | 5,227,375 | 5,083,589 | |
Brazos Higher Education Authority, Inc. Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.850% 3.6206% 7/25/29 (c)(d) | 3,740,863 | 3,768,512 | |
CAM Mortgage Trust Series 2018-1 Class A1, 3.96% 12/1/65 (b) | 4,585,212 | 4,572,264 | |
Capital Trust RE CDO Ltd. Series 2005-1A Class E, 1 month U.S. LIBOR + 2.100% 4.5848% 3/20/50 (b)(c)(d)(m) | 330,000 | 33 | |
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (b) | 21,464,005 | 21,436,445 | |
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 3.8399% 10/25/37 (b)(c)(d) | 9,196,817 | 9,259,721 | |
Collegiate Funding Services Education Loan Trust Series 2004-A Class A4, 3 month U.S. LIBOR + 0.340% 3.1534% 9/28/30 (c)(d) | 8,711,253 | 8,719,206 | |
Countrywide Home Loans, Inc.: | |||
Series 2003-BC1 Class B1, 1 month U.S. LIBOR + 5.250% 7.7399% 3/25/32 (c)(d) | 2,025 | 2,073 | |
Series 2004-7 Class AF5, 4.7734% 1/25/35 | 230,505 | 231,060 | |
Series 2005-3 Class MV4, 1 month U.S. LIBOR + 0.930% 3.4199% 8/25/35 (c)(d) | 8,261 | 8,260 | |
Crest Ltd. Series 2004-1A Class H1, 3 month U.S. LIBOR + 3.690% 6.4416% 1/28/40 (b)(c)(d)(m) | 348,882 | 35 | |
DB Master Finance LLC Series 2017-1A: | |||
Class A2I, 3.629% 11/20/47 (b) | 10,926,688 | 10,753,566 | |
Class A2II, 4.03% 11/20/47 (b) | 18,510,688 | 18,206,340 | |
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 | 52,234 | 52,929 | |
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.825% 3.3149% 3/25/34 (c)(d) | 1,488 | 1,389 | |
Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 | 11,770,000 | 11,936,364 | |
GE Business Loan Trust Series 2006-2A: | |||
Class A, 1 month U.S. LIBOR + 0.180% 2.6688% 11/15/34 (b)(c)(d) | 185,634 | 182,423 | |
Class B, 1 month U.S. LIBOR + 0.280% 2.7688% 11/15/34 (b)(c)(d) | 67,051 | 65,807 | |
Class C, 1 month U.S. LIBOR + 0.380% 2.8688% 11/15/34 (b)(c)(d) | 111,461 | 106,165 | |
Class D, 1 month U.S. LIBOR + 0.750% 3.2388% 11/15/34 (b)(c)(d) | 42,282 | 39,841 | |
Home Partners of America Credit Trust Series 2017-1: | |||
Class E, 1 month U.S. LIBOR + 2.650% 5.1314% 7/17/34 (b)(c)(d) | 231,000 | 230,927 | |
Class F, 1 month U.S. LIBOR + 3.539% 6.0204% 7/17/34 (b)(c)(d) | 360,000 | 360,098 | |
Home Partners of America Trust Series 2018-1 Class F, 1 month U.S. LIBOR + 2.350% 4.8314% 7/17/37 (b)(c)(d) | 708,000 | 698,258 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | 9,804,667 | 9,944,080 | |
Invitation Homes Trust: | |||
Series 2017-SFR2: | |||
Class E, 1 month U.S. LIBOR + 2.250% 4.7314% 12/17/36 (b)(c)(d) | 561,000 | 560,998 | |
Class F, 1 month U.S. LIBOR + 3.000% 5.4814% 12/17/36 (b)(c)(d) | 473,000 | 475,378 | |
Series 2018-SFR1 Class F, 1 month U.S. LIBOR + 2.500% 4.9814% 3/17/37 (b)(c)(d) | 703,000 | 695,993 | |
Series 2018-SFR2 Class F, 1 month U.S. LIBOR + 2.250% 4.7388% 6/17/37 (b)(c)(d) | 1,275,000 | 1,247,280 | |
Keycorp Student Loan Trust Series 2006-A Class 2C, 3 month U.S. LIBOR + 1.150% 3.9716% 3/27/42 (c)(d) | 2,066,000 | 1,678,377 | |
Magnetite CLO Ltd. Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 0% 4/20/30 (b)(c)(d)(e) | 18,545,000 | 18,545,000 | |
Merit Securities Corp. Series 13 Class M1, 7.9484% 12/28/33 (c) | 159,626 | 165,706 | |
Merrill Lynch Mortgage Investors Trust Series 2006-FF1 Class M2, 1 month U.S. LIBOR + 0.290% 2.7799% 8/25/36 (c)(d) | 652,979 | 652,944 | |
Nationstar HECM Loan Trust: | |||
Series 2018-2A Class A, 3.1877% 7/25/28 (b) | 12,855,646 | 12,860,274 | |
Series 2018-3A Class A 3.5545% 11/25/28 (b) | 10,504,836 | 10,511,863 | |
Navient Student Loan Trust Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 3.0899% 7/26/66 (b)(c)(d) | 2,238,000 | 2,240,655 | |
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 2.9999% 9/25/35 (c)(d) | 617,509 | 616,474 | |
North Carolina State Ed Assistance Auth. Student Loan Rev. Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.800% 3.5706% 7/25/25 (c)(d) | 3,935,560 | 3,941,817 | |
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.245% 3.7349% 1/25/36 (c)(d) | 939,804 | 932,625 | |
Progress Residential Trust: | |||
Series 2015-SFR3 Class F, 6.643% 11/12/32 (b) | 168,000 | 171,317 | |
Series 2017-SFR1 Class F, 5.35% 8/17/34 (b) | 160,000 | 161,928 | |
Series 2017-SFR2 Class F, 1 month U.S. LIBOR + 2.750% 4.836% 12/17/34 (b)(d) | 160,000 | 159,337 | |
Series 2018-SFR1 Class F, 4.778% 3/17/35 (b) | 472,000 | 469,702 | |
Series 2018-SFR2 Class F, 4.953% 8/17/35 (b) | 292,000 | 291,212 | |
Series 2018-SFR3 Class F, 5.368% 10/17/35 (b) | 689,000 | 697,360 | |
Series 2019-SFR1 Class F, 5.061% 8/17/35 (b) | 600,000 | 601,507 | |
Residential Asset Securities Corp. Series 2003-KS10 Class MI3, 5.5617% 12/25/33 | 27,618 | 17,184 | |
SLM Student Loan Trust Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 3.2582% 12/15/27 (b)(c)(d) | 25,958,895 | 25,962,423 | |
Starwood Waypoint Homes Trust Series 2017-1: | |||
Class E, 1 month U.S. LIBOR + 2.600% 5.0888% 1/17/35 (b)(c)(d) | 954,000 | 948,907 | |
Class F, 1 month U.S. LIBOR + 3.400% 5.8888% 1/17/35 (b)(c)(d) | 963,000 | 959,619 | |
Taberna Preferred Funding III Ltd. Series 2005-3A Class D, 3 month U.S. LIBOR + 2.650% 5.3826% 2/5/36 (b)(c)(d)(m) | 326,043 | 24 | |
Taberna Preferred Funding VI Ltd. Series 2006-6A Class F1, 3 month U.S. LIBOR + 4.500% 7.2326% 12/5/36 (b)(c)(d)(m) | 625,269 | 47 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 3.3499% 9/25/34 (c)(d) | 15,831 | 15,199 | |
Thunderbolt Aircraft Lease Ltd.: | |||
Series 2017-A Class A, 4.212% 5/17/32 (b) | 15,048,797 | 15,152,799 | |
Series 2018-A Class A, 4.147% 9/15/38 (b) | 21,848,792 | 21,981,130 | |
Towd Point Mortgage Trust: | |||
Series 2018-3 Class A1, 3.75% 5/25/58 (b) | 19,395,715 | 19,467,010 | |
Series 2018-6 Class A1A, 3.75% 3/25/58 (b) | 25,607,166 | 25,664,431 | |
Series 2019-1 Class A1, 3.75% 3/25/58 (b) | 9,196,940 | 9,203,320 | |
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 3.355% 4/6/42 (b)(c)(d)(m) | 1,639,000 | 1,134,136 | |
Tricon American Homes: | |||
Series 2017-SFR1 Class F, 5.151% 9/17/34 (b) | 1,681,000 | 1,685,729 | |
Series 2017-SFR2 Class F, 5.104% 1/17/36 (b) | 280,000 | 281,569 | |
Series 2018-SFR1 Class F, 4.96% 5/17/37 (b) | 418,000 | 414,365 | |
Tricon American Homes Trust Series 2016-SFR1: | |||
Class B, 2.989% 11/17/33 (b) | 329,000 | 323,443 | |
Class F, 5.769% 11/17/33 (b) | 807,000 | 822,470 | |
Upgrade Receivables Trust Series 2019-1A Class A, 3.48% 3/15/25 (b) | 9,051,000 | 9,055,758 | |
VB-S1 Issuer LLC Series 2018-1A Class F, 5.25% 2/15/48 (b) | 734,000 | 709,327 | |
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A Class D, 3 month U.S. LIBOR + 0.850% 3.4913% 11/21/40 (b)(c)(d) | 305,000 | 303,311 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $347,303,584) | 350,756,062 | ||
Collateralized Mortgage Obligations - 2.3% | |||
Private Sponsor - 0.6% | |||
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 2.65% 6/27/36 (b)(c)(d) | 3,379,824 | 3,302,962 | |
BCAP LLC Trust sequential payer Series 2012-RR5 Class 8A5, 2.703% 7/26/36 (b)(c) | 614,816 | 602,506 | |
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1 month U.S. LIBOR + 0.560% 3.0499% 1/25/35 (c)(d) | 118,373 | 118,282 | |
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(c) | 3,184,362 | 3,171,435 | |
Citigroup Mortgage Loan Trust, Inc. sequential payer Series 2009-5 Class 5A1, 4.704% 1/25/37 (b)(c) | 756,739 | 768,583 | |
Countrywide Home Loans, Inc. Series 2003-R1: | |||
Class 2B4, 3.3614% 2/25/43 (b)(c)(m) | 4,890 | 1,096 | |
Class 2B5, 3.3614% 2/25/43 (b)(c) | 2,706 | 61 | |
Credit Suisse Mortgage Trust Series 2010-9R Class 2A5, 4% 2/27/38 (b) | 2,899,334 | 2,888,322 | |
CSMC: | |||
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 2.79% 5/27/37 (b)(c)(d) | 3,583,755 | 3,437,921 | |
Series 2014-3R Class 2A1, 1 month U.S. LIBOR + 0.700% 3.2063% 5/27/37 (b)(c)(d) | 304,309 | 291,756 | |
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (b)(c) | 7,007,018 | 6,941,839 | |
FREMF Mortgage Trust: | |||
Series 2010-K6 Class B, 5.3639% 12/25/46 (b)(c) | 580,000 | 590,070 | |
Series 2010-K7 Class B, 5.5006% 4/25/20 (b)(c) | 637,070 | 652,043 | |
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 3.101% 8/25/60 (b)(d) | 17,579,663 | 17,507,182 | |
GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 4.2404% 3/25/37 (c) | 144,891 | 143,410 | |
Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 3.2073% 10/15/54 (b)(c)(d) | 19,813,000 | 19,764,240 | |
JP Morgan Resecuritization Trust floater Series 2012-2 Class 6A1, 1 month U.S. LIBOR + 0.210% 2.709% 6/21/36 (b)(c)(d) | 1,552,412 | 1,539,891 | |
Lanark Master Issuer PLC floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 3.467% 12/22/69 (b)(c)(d) | 12,067,000 | 12,086,307 | |
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 2.68% 2/25/37 (c)(d) | 435,039 | 429,786 | |
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 1 month U.S. LIBOR + 0.290% 2.7799% 7/25/35 (c)(d) | 111,295 | 110,487 | |
Permanent Master Issuer PLC floater Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 3.1673% 7/15/58 (b)(c)(d) | 38,785,000 | 38,644,443 | |
RBSSP Resecuritization Trust sequential payer Series 2010-1 Class 2A1, 3.9389% 7/26/45 (b)(c) | 3,521,419 | 3,530,439 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 3.3769% 7/20/34 (c)(d) | 8,788 | 8,591 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 3.1299% 9/25/43 (c)(d) | 3,498,677 | 3,473,307 | |
Wells Fargo Mortgage Backed Securities Trust: | |||
Series 2004-BB Class A2, 4.942% 1/25/35 (c) | 641,838 | 650,614 | |
Series 2005-AR10 Class 2A15, 4.7686% 6/25/35 (c) | 3,694,296 | 3,796,987 | |
Series 2005-AR2 Class 1A2, 5.0795% 3/25/35 (c) | 505,892 | 509,408 | |
Wells Fargo Mortgage Loan Trust sequential payer Series 2011-RR4 Class 2A1, 4.0108% 6/27/36 (b)(c) | 122,470 | 122,100 | |
Winwater Mortgage Loan Trust sequential payer Series 2015-1 Class A9, 2.5% 1/20/45 (b) | 3,159,298 | 3,133,395 | |
TOTAL PRIVATE SPONSOR | 128,217,463 | ||
U.S. Government Agency - 1.7% | |||
Fannie Mae: | |||
floater: | |||
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 3.2899% 2/25/32 (c)(d) | 10,574 | 10,709 | |
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 3.4814% 3/18/32 (c)(d) | 19,214 | 19,609 | |
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 3.4899% 4/25/32 (c)(d) | 22,927 | 23,340 | |
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 3.4899% 10/25/32 (c)(d) | 29,669 | 30,199 | |
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 3.2399% 1/25/32 (c)(d) | 10,820 | 10,945 | |
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 5.6101% 12/25/33 (c)(l)(n) | 358,809 | 77,705 | |
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 4.1901% 11/25/36 (c)(l)(n) | 262,915 | 42,566 | |
planned amortization class: | |||
Series 1992-168 Class KB, 7% 10/25/22 | 9,394 | 9,757 | |
Series 1993-207 Class H, 6.5% 11/25/23 | 141,725 | 149,665 | |
Series 1996-28 Class PK, 6.5% 7/25/25 | 46,181 | 48,885 | |
Series 1999-17 Class PG, 6% 4/25/29 | 160,274 | 172,248 | |
Series 1999-32 Class PL, 6% 7/25/29 | 153,906 | 165,648 | |
Series 1999-33 Class PK, 6% 7/25/29 | 108,548 | 116,581 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 13,641 | 15,209 | |
Series 2003-28 Class KG, 5.5% 4/25/23 | 81,250 | 84,007 | |
Series 2005-102 Class CO 11/25/35 (o) | 82,051 | 72,368 | |
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 11.0763% 8/25/35 (c)(n) | 25,491 | 29,803 | |
Series 2005-81 Class PC, 5.5% 9/25/35 | 210,600 | 227,753 | |
Series 2006-12 Class BO 10/25/35 (o) | 371,011 | 328,060 | |
Series 2006-37 Class OW 5/25/36 (o) | 34,563 | 29,411 | |
Series 2006-45 Class OP 6/25/36 (o) | 118,143 | 100,767 | |
Series 2006-62 Class KP 4/25/36 (o) | 197,531 | 169,228 | |
Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 4,260,237 | 4,082,398 | |
Class GA, 1.75% 6/25/42 | 4,401,998 | 4,202,582 | |
sequential payer: | |||
Series 1997-41 Class J, 7.5% 6/18/27 | 33,044 | 36,722 | |
Series 1999-25 Class Z, 6% 6/25/29 | 123,505 | 134,384 | |
Series 2001-20 Class Z, 6% 5/25/31 | 170,143 | 183,763 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 93,322 | 103,041 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 49,250 | 54,995 | |
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 5.0601% 11/25/32 (c)(l)(n) | 212,564 | 26,535 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (l) | 950,500 | 84,092 | |
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 4.1501% 12/25/36 (c)(l)(n) | 173,357 | 32,767 | |
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 3.9501% 5/25/37 (c)(l)(n) | 100,620 | 16,439 | |
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 12.7571% 9/25/23 (c)(n) | 6,497 | 7,425 | |
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 5.6101% 3/25/33 (c)(l)(n) | 25,852 | 4,621 | |
Series 2005-72 Class ZC, 5.5% 8/25/35 | 1,356,281 | 1,446,850 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 895,713 | 994,136 | |
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 25.6807% 6/25/37 (c)(n) | 85,133 | 155,641 | |
Series 2007-66: | |||
Class SA, 39.600% - 1 month U.S. LIBOR 24.6607% 7/25/37 (c)(n) | 130,013 | 235,369 | |
Class SB, 39.600% - 1 month U.S. LIBOR 24.6607% 7/25/37 (c)(n) | 49,090 | 78,100 | |
Series 2007-75 Class JI, 6.545% - 1 month U.S. LIBOR 4.0551% 8/25/37 (c)(l)(n) | 3,834,121 | 616,123 | |
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 3.8601% 3/25/38 (c)(l)(n) | 683,057 | 102,583 | |
Series 2009-76 Class MI, 5.5% 9/25/24 (l) | 654 | 5 | |
Series 2009-85 Class IB, 4.5% 8/25/24 (l) | 16,444 | 227 | |
Series 2009-93 Class IC, 4.5% 9/25/24 (l) | 18,107 | 185 | |
Series 2010-112 Class SG, 6.360% - 1 month U.S. LIBOR 3.8701% 6/25/21 (c)(l)(n) | 4,768 | 65 | |
Series 2010-135: | |||
Class LS, 6.050% - 1 month U.S. LIBOR 3.5601% 12/25/40 (c)(l)(n) | 640,189 | 87,584 | |
Class ZA, 4.5% 12/25/40 | 2,593,226 | 2,750,095 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (l) | 508,926 | 43,811 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 3,164,305 | 3,408,276 | |
Series 2010-17 Class DI, 4.5% 6/25/21 (l) | 5,398 | 70 | |
Series 2010-29 Class LI, 4.5% 6/25/19 (l) | 215 | 0 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 6,425,394 | 6,973,717 | |
Series 2010-97 Class CI, 4.5% 8/25/25 (l) | 86,666 | 2,322 | |
Series 2011-39 Class ZA, 6% 11/25/32 | 457,322 | 504,298 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 1,416,231 | 1,582,364 | |
Series 2011-67 Class AI, 4% 7/25/26 (l) | 165,724 | 13,134 | |
Series 2011-83 Class DI, 6% 9/25/26 (l) | 175,289 | 11,997 | |
Series 2012-100 Class WI, 3% 9/25/27 (l) | 2,887,523 | 250,604 | |
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 4.1601% 12/25/30 (c)(l)(n) | 930,892 | 97,575 | |
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 4.0601% 6/25/41 (c)(l)(n) | 1,219,464 | 154,812 | |
Series 2013-133 Class IB, 3% 4/25/32 (l) | 1,814,497 | 156,091 | |
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 3.5601% 1/25/44 (c)(l)(n) | 959,093 | 144,617 | |
Series 2013-51 Class GI, 3% 10/25/32 (l) | 2,729,318 | 250,413 | |
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 4.2301% 6/25/35 (c)(l)(n) | 533,425 | 85,219 | |
Series 2015-42 Class IL, 6% 6/25/45 (l) | 3,996,061 | 876,149 | |
Series 2015-70 Class JC, 3% 10/25/45 | 3,429,005 | 3,418,827 | |
Series 2017-30 Class AI, 5.5% 5/25/47 | 2,138,649 | 446,839 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 339 Class 5, 5.5% 7/25/33 (l) | 99,476 | 21,500 | |
Series 343 Class 16, 5.5% 5/25/34 (l) | 85,692 | 15,571 | |
Series 348 Class 14, 6.5% 8/25/34 (c)(l) | 59,135 | 13,325 | |
Series 351: | |||
Class 12, 5.5% 4/25/34 (c)(l) | 39,833 | 7,613 | |
Class 13, 6% 3/25/34 (l) | 52,992 | 10,595 | |
Series 359 Class 19, 6% 7/25/35 (c)(l) | 32,617 | 6,662 | |
Series 384 Class 6, 5% 7/25/37 (l) | 417,510 | 76,656 | |
Freddie Mac: | |||
floater: | |||
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 3.2888% 1/15/32 (c)(d) | 8,786 | 8,898 | |
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 3.3888% 3/15/32 (c)(d) | 11,954 | 12,143 | |
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 3.4888% 3/15/32 (c)(d) | 11,949 | 12,159 | |
Series 2432: | |||
Class FE, 1 month U.S. LIBOR + 0.900% 3.3888% 6/15/31 (c)(d) | 22,841 | 23,184 | |
Class FG, 1 month U.S. LIBOR + 0.900% 3.3888% 3/15/32 (c)(d) | 6,748 | 6,853 | |
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 2.7388% 5/15/37 (c)(d) | 499,791 | 496,479 | |
planned amortization class: | |||
Series 2006-15 Class OP 3/25/36 (o) | 355,896 | 305,224 | |
Series 2095 Class PE, 6% 11/15/28 | 181,057 | 194,603 | |
Series 2101 Class PD, 6% 11/15/28 | 14,261 | 15,362 | |
Series 2121 Class MG, 6% 2/15/29 | 72,776 | 78,490 | |
Series 2131 Class BG, 6% 3/15/29 | 510,730 | 550,031 | |
Series 2137 Class PG, 6% 3/15/29 | 78,426 | 84,782 | |
Series 2154 Class PT, 6% 5/15/29 | 128,938 | 139,266 | |
Series 2162 Class PH, 6% 6/15/29 | 28,668 | 30,842 | |
Series 2520 Class BE, 6% 11/15/32 | 172,790 | 189,166 | |
Series 2585 Class KS, 7.600% - 1 month U.S. LIBOR 5.1113% 3/15/23 (c)(l)(n) | 5,448 | 221 | |
Series 2693 Class MD, 5.5% 10/15/33 | 1,907,814 | 2,074,050 | |
Series 2802 Class OB, 6% 5/15/34 | 258,613 | 275,753 | |
Series 2962 Class BE, 4.5% 4/15/20 | 79,400 | 79,863 | |
Series 3002 Class NE, 5% 7/15/35 | 483,999 | 510,486 | |
Series 3110 Class OP 9/15/35 (o) | 208,795 | 190,287 | |
Series 3119 Class PO 2/15/36 (o) | 425,595 | 363,689 | |
Series 3121 Class KO 3/15/36 (o) | 71,953 | 62,043 | |
Series 3123 Class LO 3/15/36 (o) | 235,716 | 201,978 | |
Series 3145 Class GO 4/15/36 (o) | 228,440 | 196,081 | |
Series 3189 Class PD, 6% 7/15/36 | 412,791 | 460,538 | |
Series 3225 Class EO 10/15/36 (o) | 130,014 | 111,129 | |
Series 3258 Class PM, 5.5% 12/15/36 | 208,416 | 222,207 | |
Series 3415 Class PC, 5% 12/15/37 | 162,924 | 172,994 | |
Series 3786 Class HI, 4% 3/15/38 (l) | 446,130 | 27,238 | |
Series 3806 Class UP, 4.5% 2/15/41 | 1,290,945 | 1,334,523 | |
Series 3832 Class PE, 5% 3/15/41 | 1,513,210 | 1,615,803 | |
Series 4135 Class AB, 1.75% 6/15/42 | 3,253,199 | 3,119,314 | |
sequential payer: | |||
Series 2135 Class JE, 6% 3/15/29 | 32,769 | 35,354 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 42,472 | 46,840 | |
Series 2281 Class ZB, 6% 3/15/30 | 99,967 | 106,885 | |
Series 2303 Class ZV, 6% 4/15/31 | 41,558 | 44,868 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 324,775 | 362,297 | |
Series 2502 Class ZC, 6% 9/15/32 | 84,479 | 92,467 | |
Series 2519 Class ZD, 5.5% 11/15/32 | 131,862 | 142,324 | |
Series 2546 Class MJ, 5.5% 3/15/23 | 49,627 | 51,124 | |
Series 2601 Class TB, 5.5% 4/15/23 | 23,757 | 24,663 | |
Series 2998 Class LY, 5.5% 7/15/25 | 77,513 | 81,140 | |
Series 3871 Class KB, 5.5% 6/15/41 | 2,688,155 | 2,986,664 | |
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 4.1113% 2/15/36 (c)(l)(n) | 149,377 | 26,397 | |
Series 2013-4281 Class AI, 4% 12/15/28 (l) | 1,576,060 | 115,920 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 4,812,456 | 4,775,342 | |
Series 2844: | |||
Class SC, 46.800% - 1 month U.S. LIBOR 30.6231% 8/15/24 (c)(n) | 2,330 | 2,907 | |
Class SD, 86.400% - 1 month U.S. LIBOR 54.0962% 8/15/24 (c)(n) | 3,425 | 5,036 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 1,752,714 | 1,979,061 | |
Series 2935 Class ZK, 5.5% 2/15/35 | 1,833,270 | 1,994,754 | |
Series 2947 Class XZ, 6% 3/15/35 | 619,421 | 681,586 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 1,308,613 | 1,452,397 | |
Series 3055 Class CS, 6.590% - 1 month U.S. LIBOR 4.1013% 10/15/35 (c)(l)(n) | 210,922 | 35,361 | |
Series 3237 Class C, 5.5% 11/15/36 | 1,891,241 | 2,072,383 | |
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 4.1713% 11/15/36 (c)(l)(n) | 535,262 | 90,767 | |
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 4.2613% 3/15/37 (c)(l)(n) | 762,471 | 136,200 | |
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 4.2713% 4/15/37 (c)(l)(n) | 1,125,293 | 206,379 | |
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 4.0913% 6/15/37 (c)(l)(n) | 392,710 | 60,925 | |
Series 3949 Class MK, 4.5% 10/15/34 | 347,255 | 360,958 | |
Series 3955 Class YI, 3% 11/15/21 (l) | 519,169 | 14,554 | |
Series 4055 Class BI, 3.5% 5/15/31 (l) | 1,630,428 | 158,158 | |
Series 4149 Class IO, 3% 1/15/33 (l) | 1,225,016 | 148,299 | |
Series 4314 Class AI, 5% 3/15/34 (l) | 517,599 | 47,040 | |
Series 4427 Class LI, 3.5% 2/15/34 (l) | 3,115,060 | 385,401 | |
Series 4471 Class PA 4% 12/15/40 | 3,506,520 | 3,573,256 | |
target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 93,787 | 99,336 | |
Freddie Mac Manufactured Housing participation certificates guaranteed: | |||
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 3.3888% 2/15/24 (c)(d) | 34,276 | 34,549 | |
sequential payer: | |||
Series 2043 Class ZH, 6% 4/15/28 | 69,155 | 74,342 | |
Series 2056 Class Z, 6% 5/15/28 | 130,766 | 140,567 | |
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 4,097,638 | 4,245,668 | |
Freddie Mac Seasoned Credit Risk Transfer Trust: | |||
sequential payer: | |||
Series 2017-1 Class MA, 3% 1/25/56 | 10,315,350 | 10,198,581 | |
Series 2018-2 Class MA, 3.5% 11/25/57 | 3,392,719 | 3,402,248 | |
Series 2018-3 Class MA, 3.5% 8/25/57 | 63,525,837 | 63,157,863 | |
Series 2018-4 Class MA, 3.5% 3/25/58 | 8,821,031 | 8,818,890 | |
Series 2018-3 Class M55D, 4% 8/25/57 | 9,316,049 | 9,584,039 | |
Freddie Mac SLST sequential payer Series 2018-1: | |||
Class A1, 3.5% 6/25/28 | 6,540,904 | 6,578,629 | |
Class A2, 3.5% 6/25/28 (b) | 1,656,000 | 1,642,156 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 4.2086% 6/16/37 (c)(l)(n) | 232,461 | 40,570 | |
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 3.05% 3/20/60 (c)(d)(p) | 3,054,198 | 3,060,093 | |
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 2.83% 7/20/60 (c)(d)(p) | 358,358 | 357,001 | |
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 2.8071% 9/20/60 (c)(d)(p) | 443,906 | 442,080 | |
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 2.8071% 8/20/60 (c)(d)(p) | 488,382 | 486,328 | |
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 2.8871% 12/20/60 (c)(d)(p) | 892,434 | 890,374 | |
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 3.0071% 12/20/60 (c)(d)(p) | 1,344,655 | 1,345,733 | |
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 3.0071% 2/20/61 (c)(d)(p) | 2,708,437 | 2,710,262 | |
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 2.9971% 2/20/61 (c)(d)(p) | 3,593,216 | 3,595,036 | |
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 3.0071% 4/20/61 (c)(d)(p) | 1,166,259 | 1,167,228 | |
Series 2011-H14: | |||
Class FB, 1 month U.S. LIBOR + 0.500% 3.0071% 5/20/61 (c)(d)(p) | 1,435,402 | 1,436,719 | |
Class FC, 1 month U.S. LIBOR + 0.500% 3.0071% 5/20/61 (c)(d)(p) | 1,322,131 | 1,323,253 | |
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 3.0371% 6/20/61 (c)(d)(p) | 1,641,243 | 1,643,623 | |
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 3.1071% 10/20/61 (c)(d)(p) | 3,198,997 | 3,208,984 | |
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 3.2071% 11/20/61 (c)(d)(p) | 1,618,277 | 1,627,326 | |
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 3.2071% 1/20/62 (c)(d)(p) | 1,040,496 | 1,046,064 | |
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 3.1371% 1/20/62 (c)(d)(p) | 1,533,235 | 1,539,239 | |
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 3.1371% 3/20/62 (c)(d)(p) | 911,316 | 913,429 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 3.1571% 5/20/61 (c)(d)(p) | 176,896 | 177,255 | |
Series 2012-H23 Class WA, 1 month U.S. LIBOR + 0.520% 3.0271% 10/20/62 (c)(d)(p) | 872,405 | 873,514 | |
Series 2012-H26, Class CA, 1 month U.S. LIBOR + 0.530% 3.0371% 7/20/60 (c)(d)(p) | 1,155,587 | 1,156,096 | |
Series 2013-H07 Class BA, 1 month U.S. LIBOR + 0.360% 2.8671% 3/20/63 (c)(d)(p) | 1,442,152 | 1,438,373 | |
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 3.1071% 1/20/64 (c)(d)(p) | 1,548,137 | 1,552,713 | |
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 3.1071% 12/20/63 (c)(d)(p) | 4,557,429 | 4,572,859 | |
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 3.0071% 6/20/64 (c)(d)(p) | 6,293,381 | 6,298,839 | |
Series 2014-H20 Class BF, 1 month U.S. LIBOR + 0.500% 3.0071% 9/20/64 (c)(d)(p) | 20,016,775 | 20,034,724 | |
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 2.9071% 12/20/62 (c)(d)(p) | 1,488,144 | 1,487,765 | |
planned amortization class: | |||
Series 1997-8 Class PE, 7.5% 5/16/27 | 83,935 | 93,838 | |
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 5.0305% 12/20/40 (c)(n) | 3,619,000 | 3,832,950 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (l) | 345,603 | 38,493 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 4,058,771 | 3,951,131 | |
sequential payer: | |||
Series 2004-24 Class ZM, 5% 4/20/34 | 721,178 | 768,155 | |
Series 2010-160 Class DY, 4% 12/20/40 | 8,713,206 | 9,076,195 | |
Series 2010-170 Class B, 4% 12/20/40 | 1,961,277 | 2,042,932 | |
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 4.0186% 5/16/34 (c)(l)(n) | 129,744 | 19,366 | |
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 4.7186% 8/17/34 (c)(l)(n) | 151,157 | 28,043 | |
Series 2007-35 Class SC, 40.200% - 1 month U.S. LIBOR 25.3117% 6/16/37 (c)(n) | 13,826 | 22,663 | |
Series 2010-116 Class QB, 4% 9/16/40 | 18,741,172 | 19,126,927 | |
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 2.83% 5/20/60 (c)(d)(p) | 1,211,590 | 1,207,490 | |
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 3.6153% 7/20/41 (c)(l)(n) | 750,897 | 114,168 | |
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 4.2186% 6/16/42 (c)(l)(n) | 476,487 | 76,943 | |
Series 2013-124: | |||
Class ES, 8.667% - 1 month U.S. LIBOR 5.3537% 4/20/39 (c)(n) | 847,096 | 861,311 | |
Class ST, 8.800% - 1 month U.S. LIBOR 5.487% 8/20/39 (c)(n) | 2,786,604 | 2,857,436 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 10,417,559 | 10,212,876 | |
Series 2014-2 Class BA, 3% 1/20/44 | 8,595,476 | 8,548,262 | |
Series 2014-21 Class HA, 3% 2/20/44 | 3,924,913 | 3,908,368 | |
Series 2014-25 Class HC, 3% 2/20/44 | 5,904,045 | 5,870,642 | |
Series 2014-5 Class A, 3% 1/20/44 | 5,243,272 | 5,214,731 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (p) | 8,051,207 | 8,016,869 | |
Series 2015-H21: | |||
Class HA, 2.5% 6/20/63 (p) | 1,329,312 | 1,324,906 | |
Class JA, 2.5% 6/20/65 (p) | 6,367,936 | 6,339,088 | |
Series 2017-186 Class HK, 3% 11/16/45 | 8,482,081 | 8,379,641 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 2.94% 8/20/66 (c)(d)(p) | 12,985,939 | 12,977,018 | |
TOTAL U.S. GOVERNMENT AGENCY | 358,720,423 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $490,303,153) | 486,937,886 | ||
Commercial Mortgage Securities - 4.2% | |||
280 Park Avenue Mortgage Trust floater Series 2017-280P Class F, 1 month U.S. LIBOR + 2.827% 5.3158% 9/15/34 (b)(c)(d) | 1,278,000 | 1,279,592 | |
Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (b) | 352,000 | 372,778 | |
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.8356% 2/14/43 (c)(l) | 13,693 | 73 | |
BAMLL Trust Series 2015-200P Class F, 3.5958% 4/14/33 (b)(c) | 831,000 | 794,527 | |
BANK: | |||
Series 2017-BNK4 Class D, 3.357% 5/15/50 (b) | 1,426,000 | 1,196,429 | |
Series 2017-BNK6 Class D, 3.1% 7/15/60 (b) | 830,000 | 677,738 | |
Series 2017-BNK8 Class D, 2.6% 11/15/50 (b) | 1,024,000 | 814,216 | |
Series 2018-BN12 Class D, 3% 5/15/61 (b) | 321,000 | 260,196 | |
Bank Series 2018-BN15: | |||
Class D, 3% 11/15/61 (b) | 735,000 | 596,476 | |
Class E, 3% 11/15/61 (b) | 735,000 | 535,657 | |
Bank of America Commercial Mortgage Securities Trust Series 2017-BNK3: | |||
Class C, 4.352% 2/15/50 (c) | 610,000 | 608,956 | |
Class D, 3.25% 2/15/50 (b) | 1,222,000 | 1,034,001 | |
Bank of America Commercial Mortgage Trust Series 2016-UB10 Class XA, 1.9775% 7/15/49 (c)(l) | 28,880,589 | 2,593,148 | |
Barclays Commercial Mortgage Securities LLC: | |||
Series 2015-STP Class E, 4.2844% 9/10/28 (b)(c) | 2,007,000 | 1,959,742 | |
Series 2018-C2 Class A5, 4.314% 12/15/51 | 9,200,000 | 9,721,591 | |
Bayview Commercial Asset Trust Series 2006-3A, Class IO, 0% 10/25/36 (b)(c)(l)(m) | 1,916,926 | 0 | |
BBCMS Mortgage Trust Series 2016-ETC: | |||
Class D, 3.6089% 8/14/36 (b)(c) | 868,000 | 809,082 | |
Class E, 3.6089% 8/14/36 (b)(c) | 637,000 | 561,104 | |
Benchmark Mortgage Trust: | |||
Series 2018-B7: | |||
Class D, 3% 5/15/53 (b)(c) | 614,000 | 510,473 | |
Class E, 3% 5/15/53 (b)(c) | 614,000 | 469,264 | |
Series 2018-B8 Class A5, 4.2317% 1/15/52 | 33,394,000 | 35,120,249 | |
Series 2019-B9 Class A5, 4.0156% 3/15/52 | 29,000,000 | 29,966,509 | |
BWAY Mortgage Trust Series 2015-1740 Class E, 4.4499% 1/10/35 (b)(c) | 637,000 | 631,645 | |
BX Commercial Mortgage Trust floater Series 2018-BIOA Class F, 1 month U.S. LIBOR + 2.471% 4.9598% 3/15/37 (b)(c)(d) | 613,000 | 610,690 | |
BX Trust: | |||
floater: | |||
Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.625% 5.1138% 9/15/37 (b)(c)(d) | 6,551,989 | 6,542,828 | |
Series 2018-IND: | |||
Class F, 1 month U.S. LIBOR + 1.800% 4.2888% 11/15/35 (b)(c)(d) | 9,470,099 | 9,484,950 | |
Class G, 1 month U.S. LIBOR + 2.050% 4.5388% 11/15/35 (b)(c)(d) | 1,333,126 | 1,336,468 | |
Class H, 1 month U.S. LIBOR + 3.000% 5.4888% 11/15/35 (b)(c)(d) | 502,863 | 504,123 | |
Series 2017-IMC Class F, 1 month U.S. LIBOR + 4.250% 6.7388% 10/15/32 (b)(c)(d) | 1,325,000 | 1,320,764 | |
BXMT Ltd. floater Series 2017-FL1 Class D, 1 month U.S. LIBOR + 2.700% 5.1888% 6/15/35 (b)(c)(d) | 533,000 | 532,334 | |
CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class G, 1 month U.S. LIBOR + 3.250% 5.7388% 12/15/37 (b)(c)(d) | 1,187,000 | 1,193,664 | |
CCRESG Commercial Mortgage Trust Series 2016-HEAT Class E, 5.4883% 4/10/29 (b)(c) | 769,000 | 773,390 | |
CD Mortgage Trust Series 2017-CD3: | |||
Class C, 4.5614% 2/10/50 (c) | 1,482,000 | 1,508,987 | |
Class D, 3.25% 2/10/50 (b) | 1,340,000 | 1,129,500 | |
CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.7557% 12/15/47 (b)(c) | 478,000 | 504,841 | |
CG-CCRE Commercial Mortgage Trust Series 2014-FL1: | |||
Class YTC1, 1 month U.S. LIBOR + 2.489% 4.9778% 6/15/31 (b)(c)(d) | 505,761 | 359,090 | |
Class YTC2, 1 month U.S. LIBOR + 2.489% 4.9778% 6/15/31 (b)(c)(d) | 505,761 | 251,523 | |
Class YTC3, 1 month U.S. LIBOR + 2.489% 4.9778% 6/15/31 (b)(c)(d) | 238,406 | 47,407 | |
CGBAM Commercial Mortgage Trust Series 2015-SMRT: | |||
Class E, 3.7859% 4/10/28 (b)(c) | 237,000 | 238,866 | |
Class F, 3.7859% 4/10/28 (b)(c) | 1,161,000 | 1,170,139 | |
Citigroup Commercial Mortgage Trust: | |||
Series 19-SMRT Class E, 4.744% 1/10/24 (b) | 791,000 | 795,603 | |
Series 2013-375P Class E, 3.5176% 5/10/35 (b)(c) | 1,306,000 | 1,263,107 | |
Series 2013-GC15 Class D, 5.2165% 9/10/46 (b)(c) | 2,196,000 | 2,193,636 | |
Series 2015-GC29 Class XA, 1.1059% 4/10/48 (c)(l) | 41,833,169 | 1,969,079 | |
Series 2015-GC33 Class XA, 0.9367% 9/10/58 (c)(l) | 58,037,704 | 2,675,358 | |
Series 2015-SHP2 Class E, 1 month U.S. LIBOR + 4.350% 6.8388% 7/15/27 (b)(c)(d) | 834,000 | 833,435 | |
Series 2016-C3 Class D, 3% 11/15/49 (b) | 1,507,000 | 1,174,682 | |
Series 2016-P6 Class XA, 0.8135% 12/10/49 (c)(l) | 52,471,628 | 2,051,803 | |
Series 2018-C6 Class A4, 4.412% 11/10/51 | 10,946,000 | 11,651,041 | |
COMM Mortgage Trust: | |||
floater: | |||
Series 2014-PAT Class E, 1 month U.S. LIBOR + 3.150% 5.6479% 8/13/27 (b)(c)(d) | 835,000 | 837,150 | |
Series 2018-HCLV: | |||
Class F, 1 month U.S. LIBOR + 3.050% 5.5388% 9/15/33 (b)(c)(d) | 468,000 | 449,784 | |
Class G, 1 month U.S. LIBOR + 5.056% 7.5451% 9/15/33 (b)(c)(d) | 544,000 | 512,845 | |
sequential payer: | |||
Series 2013-CR7 Class AM, 3.314% 3/10/46 (b) | 5,924,751 | 5,926,930 | |
Series 2013-LC6 Class E, 3.5% 1/10/46 (b) | 1,476,000 | 1,195,221 | |
Series 2012-CR1: | |||
Class C, 5.3206% 5/15/45 (c) | 769,000 | 792,932 | |
Class D, 5.3206% 5/15/45 (b)(c) | 2,108,000 | 2,116,946 | |
Class G, 2.462% 5/15/45 (b) | 774,000 | 591,678 | |
Series 2012-CR5 Class D, 4.3204% 12/10/45 (b)(c) | 642,000 | 636,136 | |
Series 2012-LC4: | |||
Class C, 5.5387% 12/10/44 (c) | 166,000 | 172,113 | |
Class D, 5.5387% 12/10/44 (b)(c) | 1,786,470 | 1,643,443 | |
Series 2013-CCRE6 Class E, 4.0837% 3/10/46 (b)(c) | 47,757 | 41,364 | |
Series 2013-CR10: | |||
Class C, 4.7924% 8/10/46 (b)(c) | 314,000 | 324,272 | |
Class D, 4.7924% 8/10/46 (b)(c) | 1,490,000 | 1,446,063 | |
Series 2013-CR12 Class D, 5.0852% 10/10/46 (b)(c) | 1,205,000 | 1,071,049 | |
Series 2013-CR6: | |||
Class D, 4.0837% 3/10/46 (b)(c) | 315,000 | 300,815 | |
Class F, 4.0837% 3/10/46 (b)(c) | 456,295 | 330,699 | |
Series 2013-CR9 Class C, 4.2563% 7/10/45 (b)(c) | 334,462 | 330,531 | |
Series 2013-LC6 Class D, 4.263% 1/10/46 (b)(c) | 1,664,000 | 1,634,646 | |
Series 2014-CR15 Class D, 4.7361% 2/10/47 (b)(c) | 298,000 | 302,508 | |
Series 2014-CR17 Class E, 4.7996% 5/10/47 (b)(c) | 255,000 | 231,565 | |
Series 2014-CR19 Class XA, 1.1684% 8/10/47 (c)(l) | 96,583,982 | 3,778,105 | |
Series 2014-CR20 Class XA, 1.1177% 11/10/47 (c)(l) | 78,531,779 | 3,437,595 | |
Series 2014-LC17 Class XA, 0.8865% 10/10/47 (c)(l) | 66,299,607 | 1,820,209 | |
Series 2014-UBS2 Class D, 5.002% 3/10/47 (b)(c) | 994,000 | 896,083 | |
Series 2014-UBS4 Class XA, 1.1704% 8/10/47 (c)(l) | 68,966,145 | 2,949,020 | |
Series 2014-UBS6 Class XA, 0.9432% 12/10/47 (c)(l) | 92,022,283 | 3,592,780 | |
Series 2015-3BP Class F, 3.2384% 2/10/35 (b)(c) | 1,538,000 | 1,418,200 | |
Series 2015-CR23 Class CME, 3.6845% 5/10/48 (b)(c) | 308,000 | 305,504 | |
Series 2015-DC1 Class XA, 1.1268% 2/10/48 (c)(l) | 97,225,548 | 4,199,764 | |
Series 2016-CD1 Class D, 2.7689% 8/10/49 (b)(c) | 947,000 | 783,362 | |
Series 2017-CD4 Class D, 3.3% 5/10/50 (b) | 1,079,000 | 908,211 | |
COMM Mortgage Trust pass-thru certificates Series 2005-LP5 Class F, 4.5327% 5/10/43 (b)(c) | 457,580 | 454,206 | |
COMM Trust Series 2017-COR2 Class D, 3% 9/10/50 (b) | 368,000 | 316,406 | |
Commercial Mortgage Asset Trust Series 1999-C2 Class H, 6% 11/17/32 (b) | 164,673 | 164,540 | |
Commercial Mortgage Trust Series 2016-CD2: | |||
Class C, 4.0293% 11/10/49 (c) | 619,000 | 609,728 | |
Class D, 2.7793% 11/10/49 (c) | 546,000 | 448,297 | |
Commercial Mortgage Trust pass-thru certificates: | |||
Series 2012-CR2: | |||
Class D, 4.8315% 8/15/45 (b)(c) | 105,000 | 104,042 | |
Class E, 4.8315% 8/15/45 (b)(c) | 1,801,000 | 1,742,563 | |
Class F, 4.25% 8/15/45 (b) | 1,773,000 | 1,453,647 | |
Series 2014-CR2 Class G, 4.25% 8/15/45 (b) | 522,000 | 338,664 | |
Core Industrial Trust: | |||
Series 2015-CALW Class G, 3.8504% 2/10/34 (b)(c) | 740,000 | 734,249 | |
Series 2015-TEXW Class F, 3.8487% 2/10/34 (b)(c) | 1,347,000 | 1,323,820 | |
Series 2015-WEST Class F, 4.2268% 2/10/37 (b)(c) | 1,711,000 | 1,656,758 | |
Credit Suisse First Boston Mortgage Securities Corp. Series 1998-C1 Class H, 6% 5/17/40 (b) | 231,784 | 182,089 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-SKLZ Class D, 1 month U.S. LIBOR + 3.600% 6.11% 1/15/34 (b)(c)(d) | 647,000 | 653,044 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (b) | 11,930,000 | 12,363,825 | |
Class B, 4.5349% 4/15/36 (b) | 2,139,000 | 2,215,563 | |
Class C, 4.6278% 4/15/36 (b) | 2,462,000 | 2,529,322 | |
Class D, 4.6278% 4/15/36 (b) | 4,923,000 | 4,946,078 | |
CSAIL Commercial Mortgage Trust: | |||
Series 2017-C8 Class D, 4.4701% 6/15/50 (b) | 1,278,000 | 1,152,924 | |
Series 2017-CX10 Class UESD, 4.2366% 10/15/32 (b)(c) | 1,055,000 | 1,024,703 | |
Series 2017-CX9 Class D, 4.157% 9/15/50 (b)(c) | 518,000 | 463,932 | |
Series 2018-CX11 Class C, 4.793% 4/15/51 (c) | 495,000 | 508,364 | |
CSAIL Commercial Mtg Trust Series 2018-C14 Class A4 4.4216% 11/15/51 | 8,986,000 | 9,541,166 | |
CSMC Trust: | |||
Series 2016-MFF Class F, 1 month U.S. LIBOR + 7.250% 9.7388% 11/15/33 (b)(c)(d) | 1,058,000 | 1,055,656 | |
Series 2017-MOON Class E, 3.1965% 7/10/34 (b)(c) | 240,000 | 232,103 | |
DBCCRE Mortgage Trust Series 2014-ARCP: | |||
Class D, 4.9345% 1/10/34 (b)(c) | 458,000 | 445,112 | |
Class E, 4.9345% 1/10/34 (b)(c) | 1,487,000 | 1,399,319 | |
DBUBS Mortgage Trust: | |||
Series 2011-LC1A: | |||
Class E, 5.6983% 11/10/46 (b)(c) | 2,136,000 | 2,197,413 | |
Class F, 5.6983% 11/10/46 (b)(c) | 2,129,000 | 2,150,796 | |
Class G, 4.652% 11/10/46 (b) | 2,273,000 | 2,094,605 | |
Class XB, 0.3062% 11/10/46 (b)(c)(l) | 13,328,000 | 80,825 | |
Series 2011-LC3A Class D, 5.3381% 8/10/44 (b)(c) | 969,000 | 1,000,392 | |
Deutsche Bank Commercial Mortgage Trust Series 2016-C3 Class C, 3.4924% 8/10/49 (c) | 382,000 | 362,516 | |
Fannie Mae Series 2017-T1 Class A, 2.898% 6/25/27 | 32,617,149 | 31,738,270 | |
Freddie Mac: | |||
pass-thru certificates: | |||
Series K011 Class X3, 2.5726% 12/25/43 (c)(l) | 1,045,000 | 45,719 | |
Series K012 Class X3, 2.2521% 1/25/41 (c)(l) | 1,128,055 | 45,287 | |
Series K013 Class X3, 2.8142% 1/25/43 (c)(l) | 1,113,000 | 56,717 | |
sequential payer: | |||
Series 2018-K074 Class A2, 3.6% 1/25/28 | 2,548,000 | 2,619,055 | |
Series K069 Class A2, 3.187% 9/25/27 | 11,850,000 | 11,843,075 | |
Series K072 Class A2, 3.444% 12/25/27 | 2,867,000 | 2,915,271 | |
Series K073 Class A2, 3.35% 1/25/28 | 32,618,000 | 32,907,361 | |
Series K155: | |||
Class A1, 3.75% 11/25/29 | 760,755 | 792,846 | |
Class A2, 3.75% 11/25/32 | 11,467,000 | 11,783,518 | |
Series K158 Class A2, 3.9% 12/25/30 | 9,700,000 | 9,955,498 | |
Series 2018-K075 Class A2, 3.65% 2/25/28 | 23,903,000 | 24,661,927 | |
Series K076 Class A2, 3.9% 4/25/28 | 14,207,000 | 14,935,396 | |
Series K077 Class A2, 3.85% 5/25/28 | 22,161,000 | 23,197,348 | |
Series K079 Class A2, 3.926% 6/25/28 | 18,046,000 | 19,033,719 | |
Series K084 Class A2, 3.78% 10/25/28 | 9,100,000 | 9,473,317 | |
Series K086 Class A2, 3.859% 11/25/28 | 14,845,000 | 15,564,614 | |
Series K157 Class A2, 3.99% 5/25/33 | 14,793,000 | 15,476,990 | |
Series KAIV Class X2, 3.6147% 6/25/41 (c)(l) | 574,000 | 42,623 | |
Freddie Mac Multi-family Structured pass-thru certificates Series K078 Class A2, 3.854% 6/25/51 | 4,714,000 | 4,936,245 | |
FREMF Mortgage Trust: | |||
Series 2010-K9 Class B, 5.2067% 9/25/45 (b)(c) | 1,156,000 | 1,187,809 | |
Series 2011-K10 Class B, 4.6218% 11/25/49 (b)(c) | 319,000 | 325,674 | |
Series 2011-K11 Class B, 4.4163% 12/25/48 (b)(c) | 478,000 | 487,658 | |
GAHR Commercial Mortgage Trust Series 2015-NRF: | |||
Class BFX, 3.3822% 12/15/34 (b)(c) | 12,047,000 | 11,993,338 | |
Class CFX, 3.3822% 12/15/34 (b)(c) | 9,016,000 | 8,963,445 | |
Class DFX, 3.3822% 12/15/34 (b)(c) | 17,713,000 | 17,550,458 | |
Class EFX, 3.3822% 12/15/34 (b)(c) | 1,115,000 | 1,099,942 | |
Class FFX, 3.3822% 12/15/34 (b)(c) | 2,384,000 | 2,338,077 | |
Class GFX, 3.3822% 12/15/34 (b)(c) | 3,474,000 | 3,402,714 | |
GMAC Commercial Mortgage Securities, Inc.: | |||
Series 1997-C2 Class H, 6.75% 4/15/29 (c) | 576,895 | 473,591 | |
Series 1999-C2I Class K, 6.481% 9/15/33 (q) | 1,126,711 | 1,129,586 | |
GPMT Ltd. floater Series 2018-FL1 Class D, 1 month U.S. LIBOR + 2.950% 5.4311% 11/21/35 (b)(c)(d) | 424,000 | 424,530 | |
Grace Mortgage Trust Series 2014-GRCE Class F, 3.5901% 6/10/28 (b)(c) | 1,219,000 | 1,201,515 | |
GS Mortgage Securities Corp. II Series 2010-C1 Class X, 1.3501% 8/10/43 (b)(c)(l) | 2,948,518 | 43,594 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 3.9388% 9/15/31 (b)(c)(d) | 27,904,000 | 27,945,117 | |
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 3.5788% 10/15/31 (b)(c)(d) | 10,027,000 | 10,045,858 | |
sequential payer: | |||
Series 2017-GS8 Class A4, 3.469% 11/10/50 | 3,190,000 | 3,172,350 | |
Series 2018-GS10 Class A5, 4.155% 7/10/51 | 2,990,000 | 3,120,946 | |
Series 2010-C2: | |||
Class D, 5.1811% 12/10/43 (b)(c) | 910,000 | 934,205 | |
Class XA, 0.0825% 12/10/43 (b)(c)(l) | 1,968,898 | 4,080 | |
Series 2011-GC3 Class D, 5.6371% 3/10/44 (b)(c) | 323,000 | 334,460 | |
Series 2011-GC5: | |||
Class C, 5.3908% 8/10/44 (b)(c) | 908,923 | 922,889 | |
Class D, 5.3908% 8/10/44 (b)(c) | 2,158,688 | 2,126,470 | |
Class E, 5.3908% 8/10/44 (b)(c) | 773,957 | 677,445 | |
Class F, 4.5% 8/10/44 (b) | 1,339,218 | 808,328 | |
Series 2012-GC6: | |||
Class D, 5.6516% 1/10/45 (b)(c) | 1,837,000 | 1,856,343 | |
Class E, 5% 1/10/45 (b)(c) | 463,000 | 412,323 | |
Series 2012-GC6I Class F, 5% 1/10/45 (c) | 447,457 | 328,165 | |
Series 2012-GCJ7: | |||
Class C, 5.7032% 5/10/45 (c) | 1,043,000 | 1,081,395 | |
Class D, 5.7032% 5/10/45 (b)(c) | 2,561,000 | 2,443,907 | |
Class E, 5% 5/10/45 (b) | 845,140 | 582,785 | |
Class F, 5% 5/10/45 (b) | 2,253,469 | 747,247 | |
Series 2012-GCJ9: | |||
Class D, 4.7464% 11/10/45 (b)(c) | 1,910,000 | 1,900,619 | |
Class E, 4.7464% 11/10/45 (b)(c) | 896,000 | 821,597 | |
Series 2013-GC10 Class D, 4.397% 2/10/46 (b)(c) | 586,000 | 567,556 | |
Series 2013-GC12: | |||
Class D, 4.4503% 6/10/46 (b)(c) | 254,518 | 237,982 | |
Class XA, 1.4341% 6/10/46 (c)(l) | 16,736,106 | 813,500 | |
Series 2013-GC13 Class D, 4.0821% 7/10/46 (b)(c) | 1,907,000 | 1,805,192 | |
Series 2013-GC16: | |||
Class C, 5.3106% 11/10/46 (c) | 421,844 | 450,661 | |
Class D, 5.3106% 11/10/46 (b)(c) | 1,161,000 | 1,184,209 | |
Class F, 3.5% 11/10/46 (b) | 970,000 | 730,260 | |
Series 2014-GC20 Class XA, 1.0639% 4/10/47 (c)(l) | 89,914,934 | 3,395,062 | |
Series 2015-GC34 Class XA, 1.3348% 10/10/48 (c)(l) | 18,366,349 | 1,185,427 | |
Series 2016-GS2: | |||
Class C, 4.5282% 5/10/49 (c) | 771,000 | 788,524 | |
Class D, 2.753% 5/10/49 (b) | 703,000 | 585,942 | |
Series 2016-GS3 Class D, 2.62% 10/10/49 (b) | 1,935,000 | 1,552,993 | |
Series 2016-GS4 Class C, 3.8018% 11/10/49 (c) | 464,000 | 441,171 | |
Series 2016-REMZ Class MZB, 7.727% 2/10/21 (b) | 1,224,000 | 1,225,145 | |
Series 2016-RENT: | |||
Class E, 4.0667% 2/10/29 (b)(c) | 3,220,000 | 3,203,687 | |
Class F, 4.0667% 2/10/29 (b)(c) | 1,670,000 | 1,653,345 | |
Series 2017-GS6 Class D, 3.243% 5/10/50 (b) | 1,195,000 | 969,236 | |
Series 2018-GS9 Class D, 3% 3/10/51 (b) | 835,000 | 649,834 | |
Series 2019-GC38 Class D, 3% 2/10/52 (b) | 446,000 | 374,261 | |
Hilton U.S.A. Trust: | |||
Series 2016-HHV Class F, 4.1935% 11/5/38 (b)(c) | 1,817,000 | 1,678,000 | |
Series 2016-SFP Class F, 6.1552% 11/5/35 (b) | 1,462,000 | 1,495,402 | |
IMT Trust Series 2017-APTS: | |||
Class EFL, 1 month U.S. LIBOR + 2.150% 4.6388% 6/15/34 (b)(c)(d) | 608,000 | 604,627 | |
Class FFL, 1 month U.S. LIBOR + 2.850% 5.3388% 6/15/34 (b)(c)(d) | 228,000 | 226,473 | |
Independence Plaza Trust Series 2018-INDP Class E, 4.996% 7/10/35 (b) | 1,064,000 | 1,064,238 | |
Invitation Homes Trust floater: | |||
Series 2018-SFR3 Class F, 1 month U.S. LIBOR + 2.250% 4.7314% 7/17/37 (b)(c)(d) | 1,184,000 | 1,157,976 | |
Series 2018-SFR4 Class F, 1 month U.S. LIBOR + 2.200% 4.6814% 1/17/38 (b)(c)(d) | 744,000 | 724,399 | |
JP Morgan Chase Commercial Mortgage Securities Trust floater Series 2018-LAQ Class E, 1 month U.S. LIBOR + 3.000% 5.4888% 6/15/35 (b)(c)(d) | 67,000 | 67,125 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C19 Class XA, 1.0488% 4/15/47 (c)(l) | 12,347,260 | 222,243 | |
Series 2014-C23 Class UH5, 4.7094% 9/15/47 (b) | 194,000 | 162,459 | |
Series 2014-C26 Class D, 3.9091% 1/15/48 (b)(c) | 758,000 | 685,362 | |
Series 2015-C30 Class XA, 0.5671% 7/15/48 (c)(l) | 48,041,509 | 1,354,972 | |
Series 2015-C32 Class C, 4.6668% 11/15/48 (c) | 1,942,000 | 1,970,100 | |
JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class D, 3.4421% 12/15/49 (b)(c) | 1,251,000 | 1,054,456 | |
JPMDB Commercial Mortgage Securities Trust: | |||
Series 2016-C4: | |||
Class C, 3.0931% 12/15/49 (c) | 603,000 | 556,944 | |
Class D, 3.0931% 12/15/49 (b)(c) | 1,242,000 | 1,014,432 | |
Series 2017-C7: | |||
Class C, 4.1849% 10/15/50 (c) | 347,000 | 344,220 | |
Class D, 3% 10/15/50 (b) | 602,000 | 488,918 | |
Series 2018-C8 Class D, 3.2453% 6/15/51 (b)(c) | 406,000 | 336,824 | |
JPMorgan Chase Commercial Mortgage Securities Corp.: | |||
Series 2009-IWST: | |||
Class C, 7.4453% 12/5/27 (b)(c) | 242,000 | 247,656 | |
Class D, 7.4453% 12/5/27 (b)(c) | 1,201,000 | 1,229,069 | |
Series 2012-CBX: | |||
Class C, 5.1909% 6/15/45 (c) | 159,000 | 162,583 | |
Class D, 5.1909% 6/15/45 (b)(c) | 886,000 | 879,741 | |
Class E, 5.1909% 6/15/45 (b)(c) | 1,122,000 | 1,049,252 | |
Class F, 4% 6/15/45 (b) | 1,124,000 | 903,333 | |
Class G 4% 6/15/45 (b) | 1,233,000 | 680,837 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2004-CBX Class D, 5.097% 1/12/37 (c) | 242,000 | 242,512 | |
Series 2005-LDP2 Class F, 5.01% 7/15/42 (c) | 131,012 | 132,611 | |
Series 2011-C3: | |||
Class E, 5.6605% 2/15/46 (b)(c) | 1,156,000 | 1,128,134 | |
Class G, 4.409% 2/15/46 (b)(c) | 368,000 | 314,417 | |
Class H, 4.409% 2/15/46 (b)(c) | 828,000 | 647,885 | |
Class J, 4.409% 2/15/46 (b)(c) | 106,000 | 74,810 | |
Series 2011-C4: | |||
Class E, 5.5355% 7/15/46 (b)(c) | 1,398,000 | 1,450,606 | |
Class F, 3.873% 7/15/46 (b) | 166,000 | 163,865 | |
Class H, 3.873% 7/15/46 (b) | 784,250 | 730,069 | |
Class NR, 3.873% 7/15/46 (b) | 420,000 | 310,961 | |
Series 2011-C5: | |||
Class B. 5.3736% 8/15/46 (b)(c) | 726,000 | 756,857 | |
Class C, 5.3736% 8/15/46 (b)(c) | 414,648 | 429,446 | |
Series 2013-LC11: | |||
Class C, 3.9582% 4/15/46 (c) | 1,025,000 | 1,017,126 | |
Class D, 4.1686% 4/15/46 (c) | 1,631,000 | 1,412,306 | |
Class F, 3.25% 4/15/46 (b)(c) | 1,851,000 | 1,165,560 | |
Series 2014-DSTY: | |||
Class D, 3.8046% 6/10/27 (b)(c) | 945,000 | 682,143 | |
Class E, 3.8046% 6/10/27 (b)(c) | 1,519,000 | 488,570 | |
Series 2015-UES Class F, 3.621% 9/5/32 (b)(c) | 1,253,000 | 1,220,110 | |
Series 2018-AON Class F, 4.6132% 7/5/31 (b) | 743,000 | 716,066 | |
Series 2018-WPT: | |||
Class CFX, 4.9498% 7/5/33 (b) | 2,322,000 | 2,423,264 | |
Class DFX, 5.3503% 7/5/33 (b) | 3,571,000 | 3,726,353 | |
Class EFX, 5.5422% 7/5/33 (b) | 4,886,000 | 5,077,641 | |
Class XAFX, 1 month U.S. LIBOR + 0.000% 1.116% 7/5/33 (b)(c)(d)(l) | 35,039,000 | 1,593,031 | |
JPMorgan Commercial Mortgage Finance Corp. Series 1999-C8 Class H, 6% 7/15/31 (b) | 4,542 | 4,479 | |
Ladder Capital Commercial Mortgage Securities Trust Series 2014-909 Class E, 3.8979% 5/15/31 (b)(c) | 1,339,000 | 1,326,231 | |
Liberty Street Trust Series 2016-225L: | |||
Class D, 4.6485% 2/10/36 (b)(c) | 375,000 | 388,072 | |
Class E, 4.6485% 2/10/36 (b)(c) | 942,000 | 952,377 | |
LSTAR Commercial Mortgage Trust Series 2014-2: | |||
Class D, 5.6012% 1/20/41 (b)(c) | 298,000 | 296,943 | |
Class E, 5.6012% 1/20/41 (b)(c) | 466,000 | 438,732 | |
Mach One Trust LLC Series 2004-1A Class M, 5.45% 5/28/40 (b)(c) | 124,858 | 123,508 | |
Merrill Lynch Mortgage Trust Series 2006-C1 Class AJ, 5.6763% 5/12/39 (c) | 280,613 | 282,053 | |
Morgan Stanley BAML Trust: | |||
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 | 698,000 | 698,866 | |
Series 2012-C5 Class E, 4.6853% 8/15/45 (b)(c) | 288,000 | 288,391 | |
Series 2012-C6 Class D, 4.6094% 11/15/45 (b)(c) | 1,469,000 | 1,487,683 | |
Series 2013-C12 Class D, 4.7659% 10/15/46 (b)(c) | 1,299,000 | 1,272,365 | |
Series 2013-C13: | |||
Class D, 4.9089% 11/15/46 (b)(c) | 1,579,000 | 1,595,203 | |
Class E, 4.9089% 11/15/46 (b)(c) | 785,081 | 688,099 | |
Series 2013-C7: | |||
Class C, 4.1162% 2/15/46 (c) | 308,000 | 311,718 | |
Class D, 4.2322% 2/15/46 (b)(c) | 1,341,000 | 1,236,640 | |
Class E, 4.2322% 2/15/46 (b)(c) | 391,000 | 317,187 | |
Series 2013-C8 Class D, 4.0585% 12/15/48 (b)(c) | 504,000 | 463,058 | |
Series 2013-C9: | |||
Class C, 4.0376% 5/15/46 (c) | 920,000 | 915,822 | |
Class D, 4.1256% 5/15/46 (b)(c) | 1,700,000 | 1,609,106 | |
Series 2014-C17 Class XA, 1.1893% 8/15/47 (c)(l) | 108,158,073 | 3,820,673 | |
Series 2015-C25 Class XA, 1.1156% 10/15/48 (c)(l) | 29,838,190 | 1,611,716 | |
Series 2016-C30: | |||
Class C, 4.1273% 9/15/49 (c) | 266,000 | 259,588 | |
Class D, 3% 9/15/49 (b) | 495,000 | 391,806 | |
Series 2016-C31: | |||
Class C, 4.3165% 11/15/49 (c) | 603,000 | 597,896 | |
Class D, 3% 11/15/49 (b)(c) | 772,000 | 605,634 | |
Series 2016-C32: | |||
Class C, 4.2938% 12/15/49 (c) | 415,000 | 407,844 | |
Class D, 3.396% 12/15/49 (b) | 997,000 | 830,390 | |
Series 2017-C33 Class D, 3.356% 5/15/50 (b) | 947,000 | 779,564 | |
Morgan Stanley Capital I Trust: | |||
sequential payer Series 2018-L1 Class A4, 4.407% 10/15/51 | 8,710,000 | 9,250,447 | |
Series 1998-CF1 Class G, 7.35% 7/15/32 (b) | 42,973 | 37,365 | |
Series 2011-C1: | |||
Class D, 5.3749% 9/15/47 (b)(c) | 2,059,000 | 2,135,082 | |
Class E, 5.3749% 9/15/47 (b)(c) | 530,100 | 549,912 | |
Series 2011-C2: | |||
Class D, 5.4847% 6/15/44 (b)(c) | 1,788,000 | 1,798,032 | |
Class E, 5.4847% 6/15/44 (b)(c) | 921,000 | 893,382 | |
Class F, 5.4847% 6/15/44 (b)(c) | 748,000 | 651,930 | |
Class XB, 0.5352% 6/15/44 (b)(c)(l) | 5,734,008 | 64,908 | |
Series 2011-C3: | |||
Class D, 5.1539% 7/15/49 (b)(c) | 2,163,000 | 2,164,029 | |
Class E, 5.1539% 7/15/49 (b)(c) | 1,210,000 | 1,183,697 | |
Class F, 5.1539% 7/15/49 (b)(c) | 332,000 | 312,080 | |
Class G, 5.1539% 7/15/49 (b)(c) | 1,117,000 | 999,943 | |
Series 2012-C4 Class D, 5.4198% 3/15/45 (b)(c) | 425,000 | 410,294 | |
Series 2014-150E: | |||
Class C, 4.295% 9/9/32 (b)(c) | 418,000 | 427,671 | |
Class F, 4.295% 9/9/32 (b)(c) | 734,000 | 729,903 | |
Series 2014-CPT Class F, 3.4455% 7/13/29 (b)(c) | 915,000 | 899,784 | |
Series 2015-MS1: | |||
Class C, 4.0307% 5/15/48 (c) | 468,000 | 465,119 | |
Class D, 4.0307% 5/15/48 (b)(c) | 1,371,000 | 1,252,990 | |
Series 2015-UBS8 Class D, 3.18% 12/15/48 (b) | 883,000 | 739,822 | |
Series 2016-BNK2: | |||
Class C, 3% 11/15/49 (b) | 1,456,000 | 1,212,046 | |
Class D, 3.9077% 11/15/49 (c) | 603,000 | 589,165 | |
Series 2017-CLS Class F, 1 month U.S. LIBOR + 2.600% 5.0888% 11/15/34 (b)(c)(d) | 822,000 | 816,345 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 33,617,000 | 35,463,592 | |
Series 2018-MP Class E, 4.276% 7/11/40 (b) | 892,000 | 817,362 | |
Morgan Stanley Dean Witter Capital I Trust Series 2001-TOP3 Class E, 7.6163% 7/15/33 (b)(c) | 101,378 | 106,416 | |
Motel 6 Trust floater: | |||
Series 2017-M6MZ, Class M, 1 month U.S. LIBOR + 6.927% 9.4153% 8/15/19 (b)(c)(d) | 633,720 | 639,704 | |
Series 2017-MTL6, Class F, 1 month U.S. LIBOR + 4.250% 6.7388% 8/15/34 (b)(c)(d) | 3,265,830 | 3,280,105 | |
MSCCG Trust floater Series 2018-SELF Class E, 1 month U.S. LIBOR + 2.150% 4.6388% 10/15/37 (b)(c)(d) | 679,000 | 675,178 | |
MSCG Trust Series 2016-SNR: | |||
Class A, 3.348% 11/15/34 (b)(c) | 10,823,096 | 10,590,937 | |
Class B, 4.181% 11/15/34 (b) | 4,567,900 | 4,496,991 | |
Class C, 5.205% 11/15/34 (b) | 3,195,150 | 3,180,460 | |
Class D, 6.55% 11/15/34 (b) | 2,028,100 | 2,016,708 | |
Class E, 6.8087% 11/15/34 (b) | 561,000 | 538,518 | |
MSJP Commercial Securities Mortgage Trust Series 2015-HAUL Class E, 4.851% 9/5/47 (b)(c) | 311,000 | 290,371 | |
MTRO Commercial Mortgage Trust floater Series 2019-TECH Class E, 1 month U.S. LIBOR + 2.050% 4.539% 12/15/33 (b)(c)(d) | 742,000 | 742,928 | |
NationsLink Funding Corp. Series 1999-LTL1 Class D, 6.45% 1/22/26 (b) | 107,370 | 108,101 | |
Natixis Commercial Mortgage Securities Trust: | |||
floater Series 2018-FL1: | |||
Class WAN1, 1 month U.S. LIBOR + 2.750% 5.259% 6/15/35 (b)(c)(d) | 132,000 | 131,959 | |
Class WAN2, 1 month U.S. LIBOR + 3.750% 6.259% 6/15/35 (b)(c)(d) | 128,000 | 126,888 | |
Series 2018-285M Class F, 3.7904% 11/15/32 (b)(c) | 307,000 | 291,715 | |
Series 2018-TECH Class F, 1 month U.S. LIBOR + 3.000% 5.4888% 11/15/34 (b)(c)(d) | 245,000 | 241,510 | |
NYT Mortgage Trust floater Series 2019-NYT Class F, 1 month U.S. LIBOR + 3.000% 5.4888% 11/15/35 (b)(c)(d) | 1,385,000 | 1,394,101 | |
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b) | 1,154,952 | 1,343,241 | |
RETL floater Series 2018-RVP: | |||
Class A, 1 month U.S. LIBOR + 1.100% 3.5888% 3/15/33 (b)(c)(d) | 16,496,327 | 16,454,542 | |
Class E, 1 month U.S. LIBOR + 4.500% 6.9888% 3/15/33 (b)(c)(d) | 453,000 | 453,556 | |
Class F, 1 month U.S. LIBOR + 6.000% 8.4888% 3/15/33 (b)(c)(d) | 459,750 | 456,641 | |
TIAA Seasoned Commercial Mortgage Trust: | |||
sequential payer Series 2007-C4 Class AJ, 5.4818% 8/15/39 (c) | 21,999 | 22,050 | |
Series 2007-C4 Class F, 5.4818% 8/15/39 (c) | 1,110,000 | 1,087,800 | |
TPG Real Estate Finance floater Series 2018-FL1 Class D, 1 month U.S. LIBOR + 2.700% 5.1888% 2/15/35 (b)(c)(d) | 323,000 | 322,798 | |
UBS Commercial Mortgage Trust: | |||
Series 2012-C1: | |||
Class D, 5.5436% 5/10/45 (b)(c) | 1,367,000 | 1,357,674 | |
Class E, 5% 5/10/45 (b)(c) | 595,000 | 531,650 | |
Class F, 5% 5/10/45 (b)(c) | 762,700 | 569,710 | |
Series 2017-C7 Class XA, 1.0685% 12/15/50 (c)(l) | 54,078,950 | 3,723,849 | |
UBS-BAMLL Trust: | |||
Series 12-WRM Class D, 4.238% 6/10/30 (b)(c) | 368,000 | 348,815 | |
Series 2012-WRM: | |||
Class C, 4.238% 6/10/30 (b)(c) | 110,000 | 108,448 | |
Class E, 4.238% 6/10/30 (b)(c) | 618,000 | 574,784 | |
VNO Mortgage Trust Series 2012-6AVE Class D, 3.3372% 11/15/30 (b)(c) | 828,000 | 811,374 | |
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (b) | 180,000 | 186,160 | |
Wells Fargo Commercial Mortgage Trust: | |||
Series 2010-C1 Class XB, 0.5694% 11/15/43 (b)(c)(l) | 15,792,886 | 135,403 | |
Series 2012-LC5: | |||
Class C, 4.693% 10/15/45 (c) | 362,000 | 367,556 | |
Class D, 4.7612% 10/15/45 (b)(c) | 1,939,000 | 1,921,229 | |
Class E, 4.7612% 10/15/45 (b)(c) | 869,082 | 844,442 | |
Series 2015-C31 Class XA, 1.0626% 11/15/48 (c)(l) | 23,898,465 | 1,318,373 | |
Series 2015-NXS4 Class E, 3.5985% 12/15/48 (b)(c) | 645,000 | 536,535 | |
Series 2016-BNK1: | |||
Class C, 3.071% 8/15/49 | 446,000 | 410,293 | |
Class D, 3% 8/15/49 (b) | 487,000 | 408,869 | |
Series 2016-C34 Class XA, 2.1537% 6/15/49 (c)(l) | 21,536,205 | 2,204,474 | |
Series 2016-C35 Class D, 3.142% 7/15/48 (b) | 1,739,000 | 1,366,388 | |
Series 2016-LC25 Class C, 4.42% 12/15/59 (c) | 575,000 | 574,664 | |
Series 2016-NXS6 Class D, 3.059% 11/15/49 (b) | 1,337,000 | 1,103,238 | |
Series 2017-C38 Class D, 3% 7/15/50 (b)(c) | 1,478,000 | 1,187,009 | |
Series 2017-RB1 Class D, 3.401% 3/15/50 (b) | 595,000 | 501,036 | |
Series 2018-C43 Class C, 4.514% 3/15/51 | 401,000 | 384,432 | |
Series 2018-C46 Class XA, 0.9491% 8/15/51 (c)(l) | 47,239,411 | 2,912,919 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 25,297,000 | 26,666,800 | |
WF-RBS Commercial Mortgage Trust: | |||
floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 3.2088% 6/15/46 (b)(c)(d) | 19,571,368 | 19,596,824 | |
sequential payer Series 2011-C4I Class G, 5% 6/15/44 | 372,000 | 235,127 | |
Series 2011-C3: | |||
Class C, 5.335% 3/15/44 (b) | 229,000 | 234,394 | |
Class D, 5.6829% 3/15/44 (b)(c) | 949,000 | 852,663 | |
Class E, 5% 3/15/44 (b) | 733,000 | 399,142 | |
Class F, 5% 3/15/44 (b) | 761,000 | 213,636 | |
Series 2011-C4: | |||
Class D, 5.2308% 6/15/44 (b)(c) | 474,000 | 471,879 | |
Class E, 5.2308% 6/15/44 (b)(c) | 335,432 | 327,442 | |
Series 2011-C5: | |||
Class C, 5.6722% 11/15/44 (b)(c) | 160,000 | 167,247 | |
Class D, 5.6722% 11/15/44 (b)(c) | 1,195,000 | 1,233,621 | |
Class E, 5.6722% 11/15/44 (b)(c) | 1,670,000 | 1,682,309 | |
Class F, 5.25% 11/15/44 (b)(c) | 1,099,000 | 993,181 | |
Class G, 5.25% 11/15/44 (b)(c) | 376,000 | 320,028 | |
Class XA, 1.734% 11/15/44 (b)(c)(l) | 2,389,014 | 83,620 | |
Series 2012-C6 Class D, 5.5823% 4/15/45 (b)(c) | 702,000 | 723,214 | |
Series 2012-C7: | |||
Class C, 4.8207% 6/15/45 (c) | 1,226,000 | 1,231,139 | |
Class E, 4.8207% 6/15/45 (b)(c) | 2,074,312 | 1,709,584 | |
Class F, 4.5% 6/15/45 (b) | 421,434 | 279,376 | |
Class G, 4.5% 6/15/45 (b) | 1,242,487 | 409,048 | |
Series 2012-C8: | |||
Class D, 4.8923% 8/15/45 (b)(c) | 524,000 | 520,756 | |
Class E, 4.8923% 8/15/45 (b)(c) | 367,000 | 359,234 | |
Series 2013-C11: | |||
Class D, 4.2652% 3/15/45 (b)(c) | 801,251 | 777,168 | |
Class E, 4.2652% 3/15/45 (b)(c) | 1,774,872 | 1,587,548 | |
Series 2013-C13 Class D, 4.1326% 5/15/45 (b)(c) | 580,000 | 571,886 | |
Series 2013-C16 Class D, 5.0372% 9/15/46 (b)(c) | 211,000 | 199,370 | |
Series 2013-UBS1 Class D, 4.7417% 3/15/46 (b)(c) | 830,625 | 812,109 | |
Series 2014-C21 Class XA, 1.0687% 8/15/47 (c)(l) | 64,546,902 | 2,658,035 | |
Series 2014-C24 Class XA, 0.8715% 11/15/47 (c)(l) | 20,944,127 | 742,589 | |
Series 2014-LC14 Class XA, 1.2676% 3/15/47 (c)(l) | 35,966,822 | 1,670,421 | |
WFCG Commercial Mortgage Trust floater Series 2015-BXRP: | |||
Class F, 1 month U.S. LIBOR + 3.720% 6.2091% 11/15/29 (b)(c)(d) | 1,153,721 | 1,152,174 | |
Class G, 1 month U.S. LIBOR + 3.020% 5.5088% 11/15/29 (b)(c)(d) | 496,518 | 490,380 | |
Worldwide Plaza Trust Series 2017-WWP: | |||
Class E, 3.5955% 11/10/36 (b)(c) | 348,000 | 322,205 | |
Class F, 3.5955% 11/10/36 (b)(c) | 1,960,000 | 1,725,471 | |
WP Glimcher Mall Trust Series 2015-WPG: | |||
Class PR1, 3.516% 6/5/35 (b)(c) | 528,000 | 427,943 | |
Class PR2, 3.516% 6/5/35 (b)(c) | 1,378,000 | 1,035,377 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $884,691,584) | 888,680,197 | ||
Municipal Securities - 1.1% | |||
California Gen. Oblig.: | |||
Series 2009: | $ | $ | |
7.35% 11/1/39 | 1,690,000 | 2,384,810 | |
7.5% 4/1/34 | 5,800,000 | 8,166,052 | |
7.55% 4/1/39 | 11,940,000 | 17,536,875 | |
Series 2010: | |||
7.6% 11/1/40 | 9,060,000 | 13,537,090 | |
7.625% 3/1/40 | 6,440,000 | 9,434,536 | |
7.3% 10/1/39 | 17,580,000 | 24,636,612 | |
Chicago Gen. Oblig. (Taxable Proj.): | |||
Series 2008 B, 5.63% 1/1/22 | 1,040,000 | 1,052,948 | |
Series 2010 C1, 7.781% 1/1/35 | 8,885,000 | 9,788,693 | |
Series 2012 B, 5.432% 1/1/42 | 2,095,000 | 1,856,589 | |
Illinois Gen. Oblig.: | |||
Series 2003: | |||
4.95% 6/1/23 | 15,445,000 | 15,597,906 | |
5.1% 6/1/33 | 40,165,000 | 38,096,101 | |
Series 2010-1, 6.63% 2/1/35 | 7,610,000 | 8,113,858 | |
Series 2010-3: | |||
5.547% 4/1/19 | 210,000 | 210,410 | |
6.725% 4/1/35 | 11,345,000 | 11,979,866 | |
7.35% 7/1/35 | 5,200,000 | 5,771,168 | |
Series 2010-5, 6.2% 7/1/21 | 3,120,000 | 3,217,406 | |
Series 2011, 5.877% 3/1/19 | 49,595,000 | 49,595,000 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $219,248,754) | 220,975,920 | ||
Foreign Government and Government Agency Obligations - 1.3% | |||
Arab Republic of Egypt: | |||
5.577% 2/21/23 (b) | $922,000 | $917,390 | |
5.875% 6/11/25 | 487,000 | 480,786 | |
5.875% 6/11/25 (b) | 1,050,000 | 1,036,602 | |
6.125% 1/31/22 (b) | 8,592,000 | 8,720,863 | |
6.2004% 3/1/24 (b) | 720,000 | 730,780 | |
7.5% 1/31/27 (b) | 382,000 | 394,931 | |
7.6003% 3/1/29 (b) | 720,000 | 737,640 | |
7.903% 2/21/48 (b) | 806,000 | 787,270 | |
8.5% 1/31/47 (b) | 1,586,000 | 1,622,643 | |
Argentine Republic: | |||
5.625% 1/26/22 | 5,645,000 | 5,063,565 | |
6.875% 4/22/21 | 12,736,000 | 12,080,223 | |
7.5% 4/22/26 | 13,752,000 | 11,971,254 | |
7.625% 4/22/46 | 2,065,000 | 1,652,000 | |
Azerbaijan Republic 4.75% 3/18/24 (b) | 635,000 | 648,381 | |
Bahamian Republic 6% 11/21/28 (b) | 373,000 | 383,258 | |
Barbados Government: | |||
7% 8/4/22 (b)(f) | 972,000 | 544,320 | |
7.25% 12/15/21 (b)(f) | 57,000 | 31,920 | |
Belarus Republic: | |||
6.875% 2/28/23 (b) | 3,501,000 | 3,646,712 | |
7.625% 6/29/27 (b) | 853,000 | 917,589 | |
Bermuda Government 4.75% 2/15/29 (b) | 1,165,000 | 1,214,513 | |
Brazilian Federative Republic: | |||
4.25% 1/7/25 | 6,374,000 | 6,418,618 | |
5.625% 1/7/41 | 8,891,000 | 8,904,425 | |
5.625% 2/21/47 | 809,000 | 794,042 | |
8.25% 1/20/34 | 4,929,000 | 6,259,830 | |
Buenos Aires Province: | |||
9.95% 6/9/21 (b) | 3,209,379 | 3,115,344 | |
10.875% 1/26/21 (b) | 1,603,333 | 1,616,320 | |
10.875% 1/26/21 (Reg. S) | 5,906,667 | 5,954,511 | |
Cameroon Republic 9.5% 11/19/25 (b) | 2,381,000 | 2,559,575 | |
City of Buenos Aires 8.95% 2/19/21 (b) | 836,160 | 841,428 | |
Colombian Republic: | |||
7.375% 9/18/37 | 777,000 | 975,920 | |
10.375% 1/28/33 | 1,144,000 | 1,727,440 | |
Democratic Socialist Republic of Sri Lanka: | |||
5.125% 4/11/19 (b) | 534,000 | 533,309 | |
5.75% 4/18/23 (b) | 516,000 | 500,682 | |
6.2% 5/11/27 (b) | 305,000 | 282,167 | |
6.25% 10/4/20 (b) | 909,000 | 911,373 | |
6.25% 7/27/21 (b) | 360,000 | 362,166 | |
Dominican Republic: | |||
5.95% 1/25/27 (b) | 726,000 | 752,499 | |
6% 7/19/28 (b) | 666,000 | 689,310 | |
6.6% 1/28/24 (b) | 743,000 | 791,295 | |
6.85% 1/27/45 (b) | 663,000 | 689,520 | |
6.875% 1/29/26 (b) | 1,117,000 | 1,210,549 | |
7.45% 4/30/44 (b) | 934,000 | 1,028,568 | |
Ecuador Republic: | |||
8.875% 10/23/27 (b) | 1,023,000 | 1,021,670 | |
9.65% 12/13/26 (b) | 637,000 | 663,563 | |
10.75% 1/31/29 (b) | 735,000 | 802,400 | |
El Salvador Republic: | |||
5.875% 1/30/25 (Reg.S) | 320,000 | 309,398 | |
7.375% 12/1/19 (b) | 3,557,000 | 3,584,567 | |
7.75% 1/24/23 (b) | 898,000 | 947,121 | |
Gabonese Republic 6.375% 12/12/24 (b) | 660,799 | 636,957 | |
Georgia Republic 6.875% 4/12/21 (b) | 525,000 | 552,653 | |
Ghana Republic 7.875% 8/7/23 (b) | 675,000 | 704,464 | |
Indonesian Republic: | |||
2.625% 6/14/23 | EUR | 5,863,000 | 7,044,327 |
7.75% 1/17/38 (b) | 1,803,000 | 2,397,258 | |
8.5% 10/12/35 (b) | 130,000 | 181,137 | |
8.5% 10/12/35 (Reg. S) | 2,025,000 | 2,821,564 | |
Islamic Republic of Pakistan: | |||
6.75% 12/3/19 (b) | 1,823,000 | 1,825,643 | |
7.25% 4/15/19 (b) | 5,167,000 | 5,155,116 | |
8.25% 4/15/24 (b) | 436,000 | 458,977 | |
Italian Republic 4.25% 9/1/19 | EUR | 8,350,000 | 9,694,063 |
Ivory Coast 5.75% 12/31/32 | 1,323,110 | 1,252,218 | |
Kingdom of Saudi Arabia: | |||
3.625% 3/4/28 (b) | 1,483,000 | 1,445,720 | |
4.375% 4/16/29 (b) | 1,640,000 | 1,672,767 | |
Lebanese Republic: | |||
5.45% 11/28/19 | 2,986,000 | 2,936,492 | |
5.5% 4/23/19 | 2,591,000 | 2,577,164 | |
5.8% 4/14/20 | 1,104,000 | 1,058,482 | |
6% 5/20/19 | 4,941,000 | 4,918,311 | |
6.15% 6/19/20 | 575,000 | 551,634 | |
6.375% 3/9/20 | 1,501,000 | 1,460,698 | |
Ministry of Finance of the Russian Federation: | |||
5.25% 6/23/47 (b) | 3,800,000 | 3,767,411 | |
5.625% 4/4/42 (b) | 1,250,000 | 1,347,480 | |
5.875% 9/16/43 (b) | 540,000 | 602,100 | |
12.75% 6/24/28 (Reg. S) | 2,318,000 | 3,705,903 | |
Mongolian People's Republic 8.75% 3/9/24 (b) | 1,267,000 | 1,426,741 | |
Moroccan Kingdom 4.25% 12/11/22 (b) | 2,170,000 | 2,200,050 | |
Panamanian Republic 9.375% 4/1/29 | 143,000 | 204,647 | |
Peruvian Republic 4% 3/7/27 (r) | 866,000 | 865,984 | |
Plurinational State of Bolivia 5.95% 8/22/23 (b) | 275,000 | 282,106 | |
Province of Santa Fe 7% 3/23/23 (b) | 3,599,000 | 3,136,529 | |
Provincia de Cordoba: | |||
7.125% 6/10/21 (b) | 6,342,000 | 5,825,190 | |
7.45% 9/1/24 (b) | 1,223,000 | 1,034,047 | |
Republic of Angola 7% 8/17/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S) | 274,750 | 275,437 | |
Republic of Armenia: | |||
6% 9/30/20 (b) | 1,380,000 | 1,414,500 | |
7.15% 3/26/25 (b) | 494,000 | 542,966 | |
Republic of Iraq: | |||
5.8% 1/15/28 (Reg. S) | 7,476,000 | 7,223,311 | |
6.752% 3/9/23 (b) | 558,000 | 566,426 | |
Republic of Kenya 6.875% 6/24/24 (b) | 205,000 | 210,433 | |
Republic of Nigeria: | |||
6.375% 7/12/23 (b) | 1,665,000 | 1,712,919 | |
6.75% 1/28/21 (b) | 240,000 | 248,400 | |
Republic of Paraguay 5.4% 3/30/50 (b) | 735,000 | 745,437 | |
Republic of Serbia 7.25% 9/28/21 (b) | 600,000 | 649,114 | |
Rwanda Republic 6.625% 5/2/23 (b) | 573,000 | 586,007 | |
State of Qatar: | |||
3.875% 4/23/23 (b) | 1,309,000 | 1,340,047 | |
4.5% 4/23/28 (b) | 4,359,000 | 4,604,194 | |
9.75% 6/15/30 (b) | 917,000 | 1,395,795 | |
Sultanate of Oman: | |||
3.875% 3/8/22 (b) | 2,125,000 | 2,059,210 | |
4.125% 1/17/23 (b) | 325,000 | 312,326 | |
6.75% 1/17/48 (b) | 924,000 | 834,086 | |
Turkish Republic: | |||
5.125% 3/25/22 | 860,000 | 848,583 | |
5.625% 3/30/21 | 1,593,000 | 1,606,541 | |
5.75% 5/11/47 | 573,000 | 475,590 | |
6% 3/25/27 | 564,000 | 539,624 | |
6.25% 9/26/22 | 10,240,000 | 10,392,207 | |
6.75% 5/30/40 | 780,000 | 734,791 | |
6.875% 3/17/36 | 1,144,000 | 1,098,240 | |
7% 3/11/19 | 2,058,000 | 2,058,967 | |
7% 6/5/20 | 2,617,000 | 2,687,062 | |
7.25% 12/23/23 | 2,679,000 | 2,792,616 | |
7.25% 3/5/38 | 488,000 | 485,443 | |
7.375% 2/5/25 | 1,687,000 | 1,764,602 | |
Turkiye Ihracat Kredi Bankasi A/S 5.375% 2/8/21 (b) | 570,000 | 562,795 | |
Ukraine Government: | |||
7.75% 9/1/19 (b) | 3,593,000 | 3,597,563 | |
7.75% 9/1/20 (b) | 6,385,000 | 6,331,494 | |
7.75% 9/1/21 (b) | 10,925,000 | 10,733,813 | |
7.75% 9/1/22 (b) | 6,414,000 | 6,237,615 | |
7.75% 9/1/27 (b) | 575,000 | 526,079 | |
United Kingdom, Great Britain and Northern Ireland: | |||
1.625% 10/22/28 | GBP | 350,000 | 477,360 |
1.75% 9/7/37 (h)(j) | GBP | 975,991 | 1,292,359 |
4.25% 3/7/36 (h)(j) | GBP | 697,592 | 1,274,904 |
4.25% 12/7/49 (j) | GBP | 2,600,717 | 5,430,452 |
United Mexican States: | |||
4.5% 4/22/29 | 1,285,000 | 1,293,365 | |
6.05% 1/11/40 | 1,535,000 | 1,693,888 | |
Uruguay Republic: | |||
4.375% 1/23/31 | 765,000 | 779,918 | |
7.875% 1/15/33 pay-in-kind | 331,276 | 449,376 | |
Venezuelan Republic: | |||
9.25% 9/15/27 (f) | 7,846,000 | 2,432,260 | |
11.95% 8/5/31 (Reg. S) (f) | 1,641,700 | 500,719 | |
12.75% 8/23/22 (f) | 350,400 | 105,996 | |
Vietnamese Socialist Republic: | |||
6 month U.S. LIBOR + 0.813% 3.375% 3/13/28 (c)(d) | 124,000 | 124,322 | |
5.5% 3/12/28 | 4,157,600 | 4,094,600 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $282,659,939) | 279,717,835 | ||
Shares | Value | ||
Common Stocks - 0.0% | |||
COMMUNICATION SERVICES - 0.0% | |||
Wireless Telecommunication Services - 0.0% | |||
CUI Acquisition Corp. Class E (m)(s) | 1 | 34,600 | |
CONSUMER DISCRETIONARY - 0.0% | |||
Specialty Retail - 0.0% | |||
David's Bridal, Inc. (m) | 3,431 | 1,784 | |
ENERGY - 0.0% | |||
Energy Equipment & Services - 0.0% | |||
Expro Holdings U.S., Inc. (m) | 179,923 | 3,238,614 | |
Expro Holdings U.S., Inc. (b)(m) | 66,030 | 1,188,540 | |
Forbes Energy Services Ltd. (s) | 90,425 | 298,403 | |
Forbes Energy Services Ltd. rights 12/31/99 (m)(s) | 9,442 | 0 | |
4,725,557 | |||
INDUSTRIALS - 0.0% | |||
Commercial Services & Supplies - 0.0% | |||
Cenveo Corp. (m) | 2,500 | 72,900 | |
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
LyondellBasell Industries NV Class A | 20,000 | 1,710,400 | |
Metals & Mining - 0.0% | |||
Warrior Metropolitan Coal, Inc. | 10,422 | 305,156 | |
TOTAL MATERIALS | 2,015,556 | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
TexGen Power LLC (m) | 88,700 | 3,450,430 | |
TOTAL COMMON STOCKS | |||
(Cost $17,417,332) | 10,300,827 | ||
Preferred Stocks - 0.0% | |||
Convertible Preferred Stocks - 0.0% | |||
REAL ESTATE - 0.0% | |||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
Alexandria Real Estate Equities, Inc. Series D, 7.00% | 12,775 | 479,063 | |
RLJ Lodging Trust Series A, 1.95% | 20,725 | 520,612 | |
999,675 | |||
Nonconvertible Preferred Stocks - 0.0% | |||
FINANCIALS - 0.0% | |||
Mortgage Real Estate Investment Trusts - 0.0% | |||
Annaly Capital Management, Inc. Series C, 7.625% | 13,302 | 336,408 | |
MFA Financial, Inc. Series B, 7.50% | 24,975 | 618,503 | |
Two Harbors Investment Corp. 7.50% | 2,275 | 54,896 | |
1,009,807 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Nationwide Building Society 10.25% | 9,106 | 1,727,117 | |
TOTAL FINANCIALS | 2,736,924 | ||
REAL ESTATE - 0.0% | |||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
American Homes 4 Rent Series D, 6.50% | 26,975 | 695,416 | |
Boston Properties, Inc. 5.25% | 11,150 | 274,513 | |
Cedar Realty Trust, Inc.: | |||
Series B, 7.25% | 1,766 | 42,614 | |
Series C, 6.50% | 26,075 | 530,626 | |
DDR Corp. Series K, 6.25% | 21,323 | 540,112 | |
National Storage Affiliates Trust Series A, 6.00% | 12,600 | 304,920 | |
PS Business Parks, Inc. Series W, 5.20% | 14,075 | 322,972 | |
Public Storage Series F, 5.15% | 39,800 | 949,230 | |
Rexford Industrial Realty, Inc. Series B, 5.875% | 30,100 | 735,945 | |
Spirit Realty Capital, Inc. Series A, 6.00% | 18,100 | 416,843 | |
Taubman Centers, Inc. Series J, 6.50% | 14,513 | 368,558 | |
5,181,749 | |||
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 7,918,673 | ||
TOTAL PREFERRED STOCKS | |||
(Cost $8,957,527) | 8,918,348 | ||
Principal Amount(a) | Value | ||
Bank Loan Obligations - 5.2% | |||
COMMUNICATION SERVICES - 0.7% | |||
Diversified Telecommunication Services - 0.2% | |||
Frontier Communications Corp.: | |||
Tranche A, term loan 3 month U.S. LIBOR + 2.750% 5.25% 3/31/21 (c)(d) | 5,839,011 | 5,751,426 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.25% 6/15/24 (c)(d) | 20,365,826 | 19,602,108 | |
Level 3 Financing, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.7311% 2/22/24 (c)(d) | 7,521,000 | 7,486,103 | |
Sable International Finance Ltd. Tranche B 4LN, term loan 3 month U.S. LIBOR + 3.250% 5.743% 2/2/26 (c)(d) | 4,778,000 | 4,754,779 | |
Securus Technologies, Inc. Tranche B, term loan: | |||
3 month U.S. LIBOR + 4.500% 6.993% 11/1/24 (c)(d) | 2,522,630 | 2,506,863 | |
3 month U.S. LIBOR + 8.250% 10.743% 11/1/25 (c)(d) | 956,000 | 930,503 | |
SFR Group SA: | |||
Tranche B 11LN, term loan 3 month U.S. LIBOR + 2.750% 5.243% 7/31/25 (c)(d) | 4,929,569 | 4,723,759 | |
Tranche B 12LN, term loan 3 month U.S. LIBOR + 3.688% 6.1763% 1/31/26 (c)(d) | 997,475 | 963,810 | |
Tranche B 13LN, term loan 3 month U.S. LIBOR + 4.000% 6.4888% 8/14/26 (c)(d) | 2,541,630 | 2,468,558 | |
49,187,909 | |||
Entertainment - 0.0% | |||
AMC Entertainment Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.7388% 12/15/23 (c)(d) | 1,095,284 | 1,087,409 | |
AMC Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.7388% 12/15/22 (c)(d) | 1,232,814 | 1,224,493 | |
CDS U.S. Intermediate Holdings, Inc.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.3853% 7/8/22 (c)(d) | 2,237,050 | 2,095,377 | |
Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 10.9207% 7/8/23 (c)(d) | 296,000 | 266,894 | |
4,674,173 | |||
Media - 0.3% | |||
Acosta, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.743% 9/26/21 (c)(d) | 1,100,912 | 551,303 | |
Altice Financing SA Tranche B, term loan: | |||
3 month U.S. LIBOR + 2.750% 5.2311% 1/31/26 (c)(d) | 2,504,659 | 2,429,519 | |
3 month U.S. LIBOR + 2.750% 5.2388% 7/15/25 (c)(d) | 939,110 | 907,415 | |
Cable One, Inc. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.24% 5/1/24 (c)(d) | 639,627 | 636,428 | |
CBS Radio, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.243% 11/18/24 (c)(d) | 3,093,661 | 3,074,325 | |
Cengage Learning, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.7399% 6/7/23 (c)(d) | 3,860,327 | 3,557,523 | |
Charter Communication Operating LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.5% 4/30/25 (c)(d) | 14,906,970 | 14,857,777 | |
Clear Channel Communications, Inc. Tranche D, term loan 3 month U.S. LIBOR + 6.750% 0% 1/30/19 (d)(f) | 1,304,000 | 908,992 | |
CSC Holdings LLC: | |||
Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.9888% 1/25/26 (c)(d) | 2,823,563 | 2,805,915 | |
Tranche B3 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.7388% 1/15/26 (c)(d) | 1,274,000 | 1,256,801 | |
Tranche B4 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.5905% 4/6/27 (c)(d) | 1,000,000 | 998,250 | |
Houghton Mifflin Harcourt Publishing, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.493% 5/29/21 (c)(d) | 2,882,521 | 2,723,982 | |
ION Media Networks, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.25% 12/18/20 (c)(d) | 1,152,413 | 1,148,092 | |
Lamar Media Corp. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.25% 3/16/25 (c)(d) | 1,346,957 | 1,342,472 | |
McGraw-Hill Global Education Holdings, LLC term loan 3 month U.S. LIBOR + 4.000% 6.493% 5/4/22 (c)(d) | 3,238,247 | 2,977,374 | |
NEP/NCP Holdco, Inc.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.743% 10/19/25 (c)(d) | 570,000 | 569,048 | |
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 9.493% 10/19/26 (c)(d) | 478,000 | 465,453 | |
Nielsen Finance LLC Tranche B 4LN, term loan 3 month U.S. LIBOR + 2.000% 4.5169% 10/4/23 (c)(d) | 1,750,000 | 1,739,080 | |
Proquest LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.743% 10/24/21 (c)(d) | 1,025,687 | 1,021,410 | |
Springer Science+Business Media Deutschland GmbH Tranche B 13LN, term loan 3 month U.S. LIBOR + 3.500% 5.993% 8/24/22 (c)(d) | 4,204,563 | 4,196,154 | |
WideOpenWest Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.7311% 8/19/23 (c)(d) | 9,688,180 | 9,518,637 | |
57,685,950 | |||
Wireless Telecommunication Services - 0.2% | |||
Intelsat Jackson Holdings SA: | |||
Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.2291% 11/27/23 (c)(d) | 19,395,000 | 19,375,023 | |
Tranche B-4, term loan 3 month U.S. LIBOR + 4.500% 6.9791% 1/2/24 (c)(d) | 2,230,000 | 2,259,726 | |
Tranche B-5, term loan 6.625% 1/2/24 | 3,017,000 | 3,047,170 | |
SBA Senior Finance II, LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.5% 4/11/25 (c)(d) | 2,000,948 | 1,980,478 | |
Sprint Communications, Inc.: | |||
Tranche B 2LN, term loan 3 month U.S. LIBOR + 3.000% 5.5% 2/2/24 (c)(d) | 1,750,000 | 1,728,125 | |
Tranche B, term loan 3 month U.S. LIBOR + 2.500% 5% 2/3/24 (c)(d) | 1,105,769 | 1,090,564 | |
Syniverse Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.000% 7.4888% 3/9/23 (c)(d) | 2,845,333 | 2,684,572 | |
32,165,658 | |||
TOTAL COMMUNICATION SERVICES | 143,713,690 | ||
CONSUMER DISCRETIONARY - 1.2% | |||
Auto Components - 0.0% | |||
North American Lifting Holdings, Inc.: | |||
Tranche 1LN, term loan 3 month U.S. LIBOR + 4.500% 7.303% 11/27/20 (c)(d) | 2,848,235 | 2,591,894 | |
Tranche 2LN, term loan 3 month U.S. LIBOR + 9.000% 11.803% 11/27/21 (c)(d) | 1,015,000 | 828,494 | |
3,420,388 | |||
Automobiles - 0.0% | |||
UOS LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 7.9927% 4/18/23 (c)(d) | 1,548,364 | 1,556,106 | |
Distributors - 0.0% | |||
Owens & Minor Distribution, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 7.0091% 4/30/25 (c)(d) | 1,901,445 | 1,630,489 | |
Diversified Consumer Services - 0.2% | |||
Alpine Finance Merger Sub LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.493% 7/12/24 (c)(d) | 1,570,000 | 1,554,300 | |
Bright Horizons Family Solutions Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.243% 11/7/23 (c)(d) | 944,137 | 935,290 | |
CSM Bakery Supplies Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.8% 7/3/20 (c)(d) | 1,547,725 | 1,452,277 | |
Frontdoor, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 5% 8/16/25 (c)(d) | 937,650 | 933,552 | |
KUEHG Corp.: | |||
Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 11.053% 8/22/25 (c)(d) | 637,000 | 630,630 | |
Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.553% 2/21/25 (c)(d) | 4,672,913 | 4,630,857 | |
Laureate Education, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.993% 4/26/24 (c)(d) | 9,140,455 | 9,143,928 | |
Learning Care Group (U.S.) No 2 Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.8157% 3/13/25 (c)(d) | 1,410,298 | 1,399,283 | |
SMG U.S. Midco 2, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.493% 1/23/25 (c)(d) | 881,804 | 871,513 | |
Spin Holdco, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 6.0289% 11/14/22 (c)(d) | 7,330,191 | 7,249,998 | |
SSH Group Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.8961% 7/30/25 (c)(d) | 1,500,000 | 1,481,250 | |
WASH Multifamily Acquisition, Inc.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.743% 5/14/22 (c)(d) | 2,997,060 | 2,877,178 | |
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 9.498% 5/14/23 (c)(d) | 229,000 | 219,840 | |
Weight Watchers International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 7.56% 11/29/24 (c)(d) | 4,841,299 | 4,687,975 | |
38,067,871 | |||
Hotels, Restaurants & Leisure - 0.6% | |||
Affinity Gaming LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.743% 7/1/23 (c)(d) | 1,194,365 | 1,158,534 | |
Aimbridge Acquisition Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.2591% 2/1/26 (c)(d) | 1,135,000 | 1,132,878 | |
Alterra Mountain Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.493% 7/31/24 (c)(d) | 2,153,948 | 2,144,966 | |
AP Gaming I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.993% 2/15/24 (c)(d) | 1,127,446 | 1,123,691 | |
Aramark Services, Inc. Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 4.243% 3/11/25 (c)(d) | 3,416,809 | 3,399,725 | |
Aristocrat Technologies, Inc. Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 4.5258% 10/19/24 (c)(d) | 2,440,656 | 2,420,960 | |
Boyd Gaming Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.6639% 9/15/23 (c)(d) | 1,303,446 | 1,295,599 | |
Burger King Worldwide, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.743% 2/17/24 (c)(d) | 7,688,464 | 7,623,189 | |
Caesars Resort Collection LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.243% 12/22/24 (c)(d) | 16,199,406 | 16,138,658 | |
CEC Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.743% 2/14/21 (c)(d) | 1,899,496 | 1,850,983 | |
CityCenter Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.743% 4/18/24 (c)(d) | 2,122,711 | 2,106,366 | |
Delta 2 SARL Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.993% 2/1/24 (c)(d) | 9,115,709 | 8,907,779 | |
Eldorado Resorts, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.8678% 4/17/24 (c)(d) | 2,042,762 | 2,024,255 | |
Equinox Holdings, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 9.493% 9/8/24 (c)(d) | 599,000 | 600,995 | |
Tranche B-1, term loan 3 month U.S. LIBOR + 3.000% 5.493% 3/8/24 (c)(d) | 2,665,614 | 2,646,955 | |
ESH Hospitality, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.493% 8/30/23 (c)(d) | 1,892,784 | 1,878,891 | |
Four Seasons Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.493% 11/30/23 (c)(d) | 4,050,850 | 4,028,895 | |
Gaming VC Holdings SA Tranche B2 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.9989% 3/15/24 (c)(d) | 1,906,124 | 1,901,949 | |
Gateway Casinos & Entertainment Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.803% 3/13/25 (c)(d) | 1,851,049 | 1,840,054 | |
Golden Entertainment, Inc. Tranche B, term loan: | |||
3 month U.S. LIBOR + 3.000% 5.5% 10/20/24 (c)(d) | 6,685,617 | 6,635,475 | |
3 month U.S. LIBOR + 7.000% 9.5% 10/20/25 (c)(d) | 1,720,000 | 1,677,000 | |
Golden Nugget, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.2411% 10/4/23 (c)(d) | 9,320,287 | 9,273,686 | |
Greektown Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.243% 4/25/24 (c)(d) | 696,358 | 695,195 | |
Hilton Worldwide Finance LLC Tranche B 2LN, term loan 3 month U.S. LIBOR + 1.750% 4.2399% 10/25/23 (c)(d) | 2,928,862 | 2,926,313 | |
K-Mac Holdings Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.7399% 3/16/25 (c)(d) | 373,110 | 367,629 | |
KFC Holding Co. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.2314% 4/3/25 (c)(d) | 1,868,667 | 1,857,455 | |
Las Vegas Sands LLC Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.243% 3/27/25 (c)(d) | 3,161,038 | 3,137,330 | |
LTF Merger Sub, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.3785% 6/10/22 (c)(d) | 3,302,475 | 3,283,023 | |
Marriott Ownership Resorts, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.743% 8/31/25 (c)(d) | 2,074,000 | 2,066,223 | |
Mohegan Tribal Gaming Authority Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.4989% 10/14/23 (c)(d) | 867,428 | 829,114 | |
Penn National Gaming, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.8405% 10/15/25 (c)(d) | 1,911,000 | 1,901,445 | |
PFC Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.500% 2/7/26 (d)(t) | 2,125,000 | 2,107,299 | |
Playa Resorts Holding BV Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.24% 4/27/24 (c)(d) | 306,972 | 299,810 | |
Red Lobster Hospitality LLC Tranche B, term loan 3 month U.S. LIBOR + 5.250% 7.743% 7/28/21 (c)(d) | 1,501,655 | 1,486,638 | |
Restaurant Technologies, Inc.: | |||
1LN, term loan 3 month U.S. LIBOR + 3.250% 5.743% 10/1/25 (c)(d) | 510,000 | 509,684 | |
2LN, term loan 3 month U.S. LIBOR + 6.500% 8.993% 10/1/26 (c)(d) | 319,000 | 317,405 | |
Ryman Hospitality Properties, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.78% 5/11/24 (c)(d) | 735,607 | 731,701 | |
Scientific Games Corp. Tranche B 5LN, term loan 3 month U.S. LIBOR + 2.750% 5.3123% 8/14/24 (c)(d) | 11,301,339 | 11,194,428 | |
SeaWorld Parks & Entertainment, Inc. Tranche B 5LN, term loan 3 month U.S. LIBOR + 3.000% 5.493% 3/31/24 (c)(d) | 1,263,784 | 1,251,829 | |
Seminole Tribe of Florida Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.243% 7/6/24 (c)(d) | 1,573,018 | 1,566,458 | |
Stars Group Holdings BV Tranche B, term loan 3 month U.S. LIBOR + 3.500% 6.303% 7/10/25 (c)(d) | 7,690,417 | 7,687,802 | |
Station Casinos LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 5% 6/8/23 (c)(d) | 3,777,415 | 3,757,924 | |
Tacala Investment Corp. term loan 3 month U.S. LIBOR + 3.250% 5.743% 2/1/25 (c)(d) | 1,087,660 | 1,076,109 | |
Wyndham Hotels & Resorts, Inc. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.243% 5/30/25 (c)(d) | 2,509,710 | 2,496,107 | |
Wynn America LLC Tranche A 1LN, term loan 3 month U.S. LIBOR + 1.750% 4.25% 12/31/21 (c)(d) | 1,618,000 | 1,569,460 | |
Wynn Resorts Ltd. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.75% 10/30/24 (c)(d) | 478,000 | 471,327 | |
135,399,191 | |||
Internet & Direct Marketing Retail - 0.2% | |||
Bass Pro Shops LLC. Tranche B, term loan 3 month U.S. LIBOR + 5.000% 7.493% 9/25/24 (c)(d) | 29,422,738 | 29,324,760 | |
Harbor Freight Tools U.S.A., Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.993% 8/19/23 (c)(d) | 2,431,417 | 2,397,231 | |
31,721,991 | |||
Leisure Products - 0.0% | |||
Callaway Golf Co. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 7.0138% 12/14/25 (c)(d) | 1,380,000 | 1,384,319 | |
SP PF Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 7.3216% 12/21/25 (c)(d) | 1,625,000 | 1,600,625 | |
Varsity Brands Holding Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.993% 12/15/24 (c)(d) | 3,153,557 | 3,126,625 | |
6,111,569 | |||
Media - 0.1% | |||
AppLovin Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.243% 8/15/25 (c)(d) | 1,911,000 | 1,915,778 | |
Crown Finance U.S., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.993% 2/28/25 (c)(d) | 6,177,866 | 6,132,829 | |
MCC Iowa LLC Tranche M, term loan 3 month U.S. LIBOR + 2.000% 4.42% 1/15/25 (c)(d) | 522,378 | 518,622 | |
Neptune Finco Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.7388% 7/17/25 (c)(d) | 4,796,547 | 4,731,458 | |
Virgin Media Bristol LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.9888% 1/15/26 (c)(d) | 3,185,000 | 3,161,144 | |
16,459,831 | |||
Specialty Retail - 0.1% | |||
ABB Optical Group LLC Tranche B, term loan 3 month U.S. LIBOR + 5.000% 7.4929% 6/15/23 (c)(d) | 837,957 | 811,771 | |
Academy Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.5106% 7/2/22 (c)(d) | 3,226,663 | 2,234,464 | |
ACProducts, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 2/14/24 (d)(t) | 1,625,000 | 1,543,750 | |
Burlington Coat Factory Warehouse Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.49% 11/17/24 (c)(d) | 2,340,664 | 2,328,961 | |
David's Bridal, Inc. term loan: | |||
3 month U.S. LIBOR + 7.500% 10.29% 7/18/23 (c)(d)(m) | 45,125 | 45,125 | |
3 month U.S. LIBOR + 8.000% 10.79% 1/18/24 (c)(d)(m) | 180,501 | 180,501 | |
Party City Holdings, Inc. term loan 3 month U.S. LIBOR + 2.500% 5% 8/19/22 (c)(d) | 1,959,127 | 1,952,603 | |
PETCO Animal Supplies, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.9944% 1/26/23 (c)(d) | 2,324,699 | 1,810,685 | |
PetSmart, Inc. term loan 3 month U.S. LIBOR + 3.000% 5.52% 3/11/22 (c)(d) | 1,605,300 | 1,366,688 | |
Sports Authority, Inc. Tranche B, term loan 3 month U.S. LIBOR + 6.000% 0% 11/16/17 (d)(f)(m) | 1,812,470 | 1,812 | |
12,276,360 | |||
TOTAL CONSUMER DISCRETIONARY | 246,643,796 | ||
CONSUMER STAPLES - 0.2% | |||
Beverages - 0.0% | |||
Arterra Wines Canada, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.542% 12/16/23 (c)(d) | 1,248,814 | 1,245,692 | |
Food & Staples Retailing - 0.1% | |||
8th Avenue Food & Provisions, Inc.: | |||
2LN, term loan 3 month U.S. LIBOR + 7.750% 10.2638% 10/1/26 (c)(d) | 172,000 | 170,710 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.2638% 10/1/25 (c)(d) | 506,000 | 506,633 | |
Agro Merchants Intermediate Ho Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.553% 12/6/24 (c)(d) | 1,410,242 | 1,390,851 | |
Albertson's LLC: | |||
Tranche B 7LN, term loan 3 month U.S. LIBOR + 3.000% 5.493% 10/29/25 (c)(d) | 1,595,000 | 1,582,782 | |
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.8216% 12/21/22 (c)(d) | 3,338,540 | 3,327,055 | |
BI-LO LLC Tranche B, term loan 3 month U.S. LIBOR + 8.000% 10.7665% 5/31/24 (c)(d) | 5,705,165 | 5,472,224 | |
BJ's Wholesale Club, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.4979% 2/3/24 (c)(d) | 5,663,482 | 5,643,433 | |
Eg Finco Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.8134% 2/6/25 (c)(d) | 1,708,645 | 1,662,733 | |
GOBP Holdings, Inc.: | |||
2LN, term loan 3 month U.S. LIBOR + 7.250% 10.053% 10/22/26 (c)(d) | 319,000 | 312,620 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.553% 10/22/25 (c)(d) | 1,564,000 | 1,552,270 | |
JP Intermediate B LLC Tranche B, term loan 3 month U.S. LIBOR + 5.500% 8.2444% 11/20/25 (c)(d) | 1,696,525 | 1,615,940 | |
Shearer's Foods, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 9.243% 6/30/22 (c)(d) | 1,823,004 | 1,759,199 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.743% 6/30/21 (c)(d) | 2,078,378 | 2,059,319 | |
Smart & Final, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 6.1289% 11/15/22 (c)(d) | 4,014,000 | 3,813,300 | |
U.S. Foods, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.493% 6/27/23 (c)(d) | 2,173,676 | 2,159,548 | |
U.S. Salt LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 1/18/26 (d)(m)(t) | 755,000 | 754,056 | |
33,782,673 | |||
Food Products - 0.1% | |||
Chobani LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.993% 10/7/23 (c)(d) | 2,720,138 | 2,637,854 | |
Hostess Brands LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.8922% 8/3/22 (c)(d) | 664,427 | 654,129 | |
JBS USA Lux SA Tranche B, term loan 3 month U.S. LIBOR + 2.500% 5.2557% 10/30/22 (c)(d) | 7,521,474 | 7,498,007 | |
Post Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.49% 5/24/24 (c)(d) | 2,068,965 | 2,060,337 | |
12,850,327 | |||
Personal Products - 0.0% | |||
Coty, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.7626% 4/5/25 (c)(d) | 1,144,125 | 1,116,243 | |
Prestige Brands, Inc. term loan 3 month U.S. LIBOR + 2.000% 4.493% 1/26/24 (c)(d) | 801,169 | 796,667 | |
Rodan & Fields LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.4888% 6/15/25 (c)(d) | 764,068 | 696,257 | |
2,609,167 | |||
TOTAL CONSUMER STAPLES | 50,487,859 | ||
ENERGY - 0.3% | |||
Energy Equipment & Services - 0.0% | |||
BCP Raptor II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.750% 7.3695% 11/3/25 (c)(d) | 2,230,000 | 2,154,738 | |
Brazos Delaware II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.4823% 5/21/25 (c)(d) | 1,102,879 | 1,056,701 | |
FTS International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 7.243% 4/16/21 (c)(d) | 273,928 | 273,158 | |
3,484,597 | |||
Oil, Gas & Consumable Fuels - 0.3% | |||
Arctic LNG Carriers Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.993% 5/18/23 (c)(d) | 3,066,569 | 2,974,572 | |
BCP Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.8789% 6/22/24 (c)(d) | 2,784,229 | 2,656,043 | |
California Resources Corp.: | |||
Tranche 1LN, term loan 3 month U.S. LIBOR + 10.375% 12.868% 12/31/21 (c)(d) | 5,326,000 | 5,582,340 | |
Tranche B, term loan 3 month U.S. LIBOR + 4.750% 7.243% 12/31/22 (c)(d) | 9,202,000 | 9,048,603 | |
Citgo Petroleum Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 6.303% 7/29/21 (c)(d) | 4,677,870 | 4,560,924 | |
Consolidated Energy Finance SA Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.9938% 5/7/25 (c)(d) | 3,169,536 | 3,066,526 | |
Delek U.S. Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.75% 3/13/25 (c)(d) | 1,918,726 | 1,893,149 | |
EG America LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.8134% 2/6/25 (c)(d) | 295,257 | 287,323 | |
Epic Crude Services LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 2/21/26 (d)(t) | 3,000,000 | 2,962,500 | |
Equitrans Midstream Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 7% 1/31/24 (c)(d) | 1,225,000 | 1,230,108 | |
Foresight Energy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.750% 8.3789% 3/28/22 (c)(d) | 1,175,049 | 1,154,485 | |
Gavilan Resources LLC Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 8.4899% 3/1/24 (c)(d) | 3,441,000 | 2,729,160 | |
GIP III Stetson I LP Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.7314% 7/18/25 (c)(d) | 5,908,159 | 5,841,692 | |
Houston Fuel Oil Terminal Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.25% 6/26/25 (c)(d) | 3,486,490 | 3,473,416 | |
Limetree Bay Terminals LLC term loan 3 month U.S. LIBOR + 4.000% 6.493% 2/15/24 (c)(d) | 1,793,467 | 1,705,659 | |
Medallion Midland Acquisition Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.743% 10/30/24 (c)(d) | 1,548,475 | 1,502,996 | |
Moxie Patriot LLC Tranche B, term loan 3 month U.S. LIBOR + 5.750% 8.553% 12/19/20 (c)(d) | 3,484,318 | 3,381,984 | |
Natgasoline LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 6.25% 11/14/25 (c)(d) | 1,805,000 | 1,805,000 | |
55,856,480 | |||
TOTAL ENERGY | 59,341,077 | ||
FINANCIALS - 0.5% | |||
Capital Markets - 0.1% | |||
Abe Investment Holdings, Inc./Getty Images, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 7.0625% 2/12/26 (c)(d) | 1,375,000 | 1,371,136 | |
AssuredPartners, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.7489% 10/22/24 (c)(d) | 2,985,000 | 2,955,150 | |
Cypress Intermediate Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.5% 4/27/24 (c)(d) | 1,911,087 | 1,887,600 | |
HarbourVest Partners LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.8489% 3/1/25 (c)(d) | 1,990,690 | 1,973,272 | |
Recess Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.398% 9/29/24 (c)(d) | 463,550 | 456,596 | |
8,643,754 | |||
Diversified Financial Services - 0.2% | |||
Avolon TLB Borrower 1 (U.S.) LLC Tranche B3 1LN, term loan 3 month U.S. LIBOR + 2.000% 4.4804% 1/15/25 (c)(d) | 8,955,651 | 8,945,352 | |
BCP Renaissance Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 6.2444% 10/31/24 (c)(d) | 2,165,023 | 2,164,568 | |
Citadel Securities LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 2/22/26 (d)(m)(t) | 2,500,000 | 2,506,250 | |
Deerfield Dakota Holding LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 2/13/25 (d)(t) | 495,000 | 493,763 | |
Delos Finance SARL Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.553% 10/6/23 (c)(d) | 2,623,000 | 2,620,849 | |
Extell Boston 5.154% 8/31/21 (c)(m) | 759,199 | 759,048 | |
Financial & Risk U.S. Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.243% 10/1/25 (c)(d) | 5,734,000 | 5,642,887 | |
Finco I LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.493% 12/27/22 (c)(d) | 1,800,240 | 1,786,180 | |
Flying Fortress Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.553% 10/30/22 (c)(d) | 2,274,000 | 2,271,180 | |
Focus Financial Partners LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.993% 7/3/24 (c)(d) | 884,978 | 880,783 | |
Franklin Square Holdings LP Tranche B, term loan 3 month U.S. LIBOR + 2.500% 5.0625% 8/3/25 (c)(d) | 953,610 | 950,635 | |
Greensky Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.75% 3/29/25 (c)(d) | 881,804 | 873,541 | |
Kingpin Intermediate Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.99% 7/3/24 (c)(d) | 629,423 | 625,098 | |
Lions Gate Capital Holdings Ll Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.743% 3/24/25 (c)(d) | 1,264,814 | 1,257,706 | |
NAB Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.803% 6/30/24 (c)(d) | 1,103,714 | 1,076,121 | |
Onvoy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 7.303% 2/10/24 (c)(d) | 1,721,370 | 1,515,666 | |
RegionalCare Hospital Partners Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.9814% 11/16/25 (c)(d) | 4,750,000 | 4,742,068 | |
TransUnion LLC: | |||
Tranche B 4LN, term loan 3 month U.S. LIBOR + 2.000% 4.493% 6/19/25 (c)(d) | 1,267,815 | 1,259,891 | |
Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.493% 4/9/23 (c)(d) | 2,984,997 | 2,968,997 | |
UFC Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.75% 8/18/23 (c)(d) | 1,865,545 | 1,864,966 | |
Veritas-B Junior Mezz C LLC 10.48% 2/6/21 (c)(m) | 898,000 | 933,291 | |
46,138,840 | |||
Insurance - 0.2% | |||
Acrisure LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.8789% 11/22/23 (c)(d) | 2,744,902 | 2,744,902 | |
Alliant Holdings Intermediate LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.2314% 5/10/25 (c)(d) | 3,424,154 | 3,381,797 | |
AmWINS Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.2484% 1/25/24 (c)(d) | 1,887,129 | 1,876,014 | |
Asurion LLC: | |||
Tranche B 6LN, term loan 3 month U.S. LIBOR + 3.000% 5.493% 11/3/23 (c)(d) | 4,654,124 | 4,649,982 | |
Tranche B 7LN, term loan 3 month U.S. LIBOR + 3.000% 5.493% 11/3/24 (c)(d) | 3,792,471 | 3,790,120 | |
Tranche B, term loan: | |||
3 month U.S. LIBOR + 3.000% 5.493% 8/4/22 (c)(d) | 8,946,583 | 8,940,231 | |
3 month U.S. LIBOR + 6.500% 8.993% 8/4/25 (c)(d) | 8,606,000 | 8,733,283 | |
HUB International Ltd. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.5144% 4/25/25 (c)(d) | 8,749,301 | 8,658,833 | |
USI, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.803% 5/16/24 (c)(d) | 3,548,616 | 3,513,130 | |
46,288,292 | |||
Real Estate Management & Development - 0.0% | |||
MGM Growth Properties Operating Partner LP Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.493% 3/23/25 (c)(d) | 3,017,736 | 2,999,419 | |
Thrifts & Mortgage Finance - 0.0% | |||
Ocwen Loan Servicing LLC Tranche B, term loan 3 month U.S. LIBOR + 5.000% 7.4899% 12/5/20 (c)(d) | 577,183 | 576,825 | |
TOTAL FINANCIALS | 104,647,130 | ||
HEALTH CARE - 0.3% | |||
Health Care Equipment & Supplies - 0.1% | |||
American Renal Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.743% 6/22/24 (c)(d) | 3,173,187 | 3,123,622 | |
Ortho-Clinical Diagnostics, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.752% 6/30/25 (c)(d) | 5,564,978 | 5,504,208 | |
VVC Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 7.197% 2/5/26 (c)(d) | 8,000,000 | 7,950,000 | |
16,577,830 | |||
Health Care Providers & Services - 0.1% | |||
Accelerated Health Systems LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 6.0138% 11/1/25 (c)(d) | 1,000,000 | 998,750 | |
Community Health Systems, Inc. Tranche H, term loan 3 month U.S. LIBOR + 3.250% 5.8789% 1/27/21 (c)(d) | 3,839,574 | 3,813,657 | |
CVS Holdings I LP: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 9.25% 2/6/26 (c)(d) | 478,000 | 472,025 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.25% 2/6/25 (c)(d) | 774,923 | 761,850 | |
HCA Holdings, Inc.: | |||
Tranche B 10LN, term loan 3 month U.S. LIBOR + 2.000% 4.493% 3/13/25 (c)(d) | 1,897,221 | 1,896,557 | |
Tranche B 11LN, term loan 3 month U.S. LIBOR + 1.750% 4.243% 3/18/23 (c)(d) | 4,159,015 | 4,155,314 | |
MPH Acquisition Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.553% 6/7/23 (c)(d) | 1,289,496 | 1,275,311 | |
Prospect Medical Holdings, Inc. Tranche 1LN, term loan 3 month U.S. LIBOR + 5.500% 8.0625% 2/22/24 (c)(d) | 1,346,957 | 1,218,996 | |
Surgery Center Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.75% 8/31/24 (c)(d) | 2,450,000 | 2,387,721 | |
U.S. Anesthesia Partners, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.493% 6/23/24 (c)(d) | 1,442,071 | 1,435,582 | |
U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 7.053% 12/31/22 (c)(d) | 4,084,410 | 4,077,099 | |
Wink Holdco, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.493% 12/1/24 (c)(d) | 1,576,270 | 1,551,049 | |
24,043,911 | |||
Health Care Technology - 0.0% | |||
Press Ganey Holdings, Inc. Tranche 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.243% 10/21/23 (c)(d) | 1,523,214 | 1,512,429 | |
Life Sciences Tools & Services - 0.0% | |||
PAREXEL International Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.243% 9/27/24 (c)(d) | 2,550,690 | 2,474,169 | |
Pharmaceuticals - 0.1% | |||
HLF Financing SARL LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.743% 8/18/25 (c)(d) | 1,995,000 | 1,995,000 | |
Innoviva, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 7.1413% 8/18/22 (c)(d) | 88,700 | 88,700 | |
Lannett Co., Inc.: | |||
Tranche B, term loan 3 month U.S. LIBOR + 5.000% 7.493% 11/25/20 (c)(d) | 138,509 | 132,969 | |
Tranche B, term loan 3 month U.S. LIBOR + 5.375% 7.868% 11/25/22 (c)(d) | 5,525,007 | 5,073,780 | |
NVA Holdings, Inc. Tranche B 3LN, term loan 3 month U.S. LIBOR + 2.750% 5.243% 2/2/25 (c)(d) | 1,328,242 | 1,297,533 | |
RPI Finance Trust Tranche B 6LN, term loan 3 month U.S. LIBOR + 2.000% 4.493% 3/27/23 (c)(d) | 3,675,385 | 3,667,740 | |
Valeant Pharmaceuticals International, Inc.: | |||
Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 5.2623% 11/27/25 (c)(d) | 1,443,750 | 1,439,058 | |
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.5123% 6/1/25 (c)(d) | 13,259,908 | 13,266,538 | |
26,961,318 | |||
TOTAL HEALTH CARE | 71,569,657 | ||
INDUSTRIALS - 0.5% | |||
Aerospace & Defense - 0.1% | |||
TransDigm, Inc.: | |||
Tranche E, term loan 3 month U.S. LIBOR + 2.500% 4.993% 5/30/25 (c)(d) | 1,881,347 | 1,853,127 | |
Tranche F, term loan 3 month U.S. LIBOR + 2.500% 4.993% 6/9/23 (c)(d) | 7,443,177 | 7,349,319 | |
Tranche G, term loan 3 month U.S. LIBOR + 2.500% 4.993% 8/22/24 (c)(d) | 2,509,812 | 2,473,294 | |
Wesco Aircraft Hardware Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 5% 2/28/21 (c)(d) | 1,274,000 | 1,250,113 | |
WP CPP Holdings LLC: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.5094% 4/30/25 (c)(d) | 1,589,018 | 1,582,391 | |
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.750% 10.51% 4/30/26 (c)(d) | 319,000 | 315,411 | |
14,823,655 | |||
Air Freight & Logistics - 0.1% | |||
Dynasty Acquisition Co., Inc.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 1/24/26 (d)(t) | 2,237,203 | 2,242,527 | |
Tranche B 2LN, term loan 3 month U.S. LIBOR + 4.000% 1/24/26 (d)(t) | 1,202,797 | 1,205,660 | |
Hanjin International Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.9814% 10/18/20 (c)(d) | 678,000 | 669,105 | |
Transplace Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.2311% 10/5/24 (c)(d) | 1,182,981 | 1,175,588 | |
XPO Logistics, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.493% 2/23/25 (c)(d) | 940,000 | 930,835 | |
6,223,715 | |||
Building Products - 0.0% | |||
GYP Holdings III Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.243% 6/1/25 (c)(d) | 2,388,258 | 2,314,628 | |
HD Supply, Inc. Tranche B 5LN, term loan 3 month U.S. LIBOR + 1.750% 4.243% 10/17/23 (c)(d) | 635,408 | 632,230 | |
The Hillman Group, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.803% 5/31/25 (c)(d) | 1,615,441 | 1,559,708 | |
4,506,566 | |||
Commercial Services & Supplies - 0.2% | |||
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.9565% 6/21/24 (c)(d) | 5,695,108 | 5,553,641 | |
Filtration Group Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.4989% 3/29/25 (c)(d) | 2,712,552 | 2,701,023 | |
Harland Clarke Holdings Corp. Tranche B 7LN, term loan 3 month U.S. LIBOR + 4.750% 7.553% 11/3/23 (c)(d) | 2,918,555 | 2,758,035 | |
KAR Auction Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 5.3125% 3/9/23 (c)(d) | 702,655 | 700,899 | |
Lineage Logistics Holdings, LLC. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.493% 2/27/25 (c)(d) | 10,559,812 | 10,368,469 | |
Merrill Communications LLC Tranche B, term loan 3 month U.S. LIBOR + 5.250% 7.9944% 6/1/22 (c)(d) | 465,766 | 466,931 | |
Prime Security Services Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.243% 5/2/22 (c)(d) | 1,070,629 | 1,067,064 | |
SAI Global GP Tranche B, term loan 3 month U.S. LIBOR + 4.500% 7.206% 12/8/23 (c)(d) | 1,561,267 | 1,319,271 | |
SuperMoose Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.243% 8/29/25 (c)(d) | 1,529,000 | 1,512,441 | |
The Brickman Group, Ltd. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 5% 8/15/25 (c)(d) | 1,267,815 | 1,263,859 | |
Thomson Reuters IP&S Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.743% 10/3/23 (c)(d) | 2,326,965 | 2,317,424 | |
TMK Hawk Parent Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 6% 9/26/24 (c)(d) | 818,068 | 706,811 | |
Tunnel Hill Partners LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.993% 2/8/26 (c)(d) | 554,000 | 543,225 | |
WTG Holdings III Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.493% 12/20/24 (c)(d) | 2,141,770 | 2,139,092 | |
33,418,185 | |||
Construction & Engineering - 0.1% | |||
AECOM Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.243% 3/13/25 (c)(d) | 1,181,551 | 1,165,305 | |
Hamilton Holdco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 4.81% 7/2/25 (c)(d) | 1,425,793 | 1,420,446 | |
Pike Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 6% 3/23/25 (c)(d) | 833,098 | 832,581 | |
Pisces Midco, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.5469% 4/12/25 (c)(d) | 594,222 | 577,138 | |
Traverse Midstream Partners Ll Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.6% 9/27/24 (c)(d) | 1,712,708 | 1,711,098 | |
Ventia Deco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 6.303% 5/21/22 (c)(d) | 2,003,133 | 1,998,125 | |
7,704,693 | |||
Electrical Equipment - 0.0% | |||
Vertiv Group Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.6289% 11/30/23 (c)(d) | 2,700,499 | 2,612,733 | |
Machinery - 0.0% | |||
Altra Industrial Motion Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 4.493% 10/1/25 (c)(d) | 1,687,358 | 1,667,667 | |
Apergy Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 5.1622% 5/9/25 (c)(d) | 684,666 | 683,811 | |
CPM Holdings, Inc.: | |||
2LN, term loan 3 month U.S. LIBOR + 8.250% 10.7489% 11/15/26 (c)(d) | 280,000 | 275,100 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.243% 11/15/25 (c)(d) | 930,000 | 917,798 | |
The Gates Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.243% 3/31/24 (c)(d) | 1,996,475 | 1,988,988 | |
5,533,364 | |||
Marine - 0.0% | |||
International Seaways Operating Corp. Tranche B, term loan 3 month U.S. LIBOR + 5.500% 8.5% 6/22/22 (c)(d) | 2,958,419 | 2,958,419 | |
Navios Maritime Partners LP Tranche B, term loan 3 month U.S. LIBOR + 5.000% 7.78% 9/14/20 (c)(d) | 1,744,112 | 1,728,851 | |
4,687,270 | |||
Professional Services - 0.0% | |||
AlixPartners LLP Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.243% 4/4/24 (c)(d) | 2,112,001 | 2,107,101 | |
Cast & Crew Payroll LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 1/15/26 (d)(t) | 1,200,000 | 1,204,200 | |
3,311,301 | |||
Road & Rail - 0.0% | |||
Hertz Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.25% 6/30/23 (c)(d) | 2,103,779 | 2,075,904 | |
IBC Capital Ltd.: | |||
2LN, term loan 3 month U.S. LIBOR + 7.000% 9.8007% 9/11/24 (c)(d) | 280,000 | 254,800 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.5507% 9/11/23 (c)(d) | 1,897,221 | 1,856,905 | |
4,187,609 | |||
Trading Companies & Distributors - 0.0% | |||
Avantor, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.5716% 11/21/24 (c)(d) | 2,313,371 | 2,317,512 | |
Fly Funding II SARL Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.7% 2/9/23 (c)(d) | 2,130,303 | 2,103,674 | |
4,421,186 | |||
Transportation Infrastructure - 0.0% | |||
DAE Aviation Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.24% 7/7/22 (c)(d) | 2,063,049 | 2,065,628 | |
TOTAL INDUSTRIALS | 93,495,905 | ||
INFORMATION TECHNOLOGY - 1.0% | |||
Communications Equipment - 0.1% | |||
Anastasia Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.243% 8/10/25 (c)(d) | 2,430,908 | 2,303,528 | |
CommScope, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 2/7/26 (d)(t) | 6,035,000 | 6,050,088 | |
Radiate Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.493% 2/1/24 (c)(d) | 8,110,633 | 8,061,239 | |
16,414,855 | |||
Electronic Equipment & Components - 0.1% | |||
ATS Consolidated, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.243% 2/28/25 (c)(d) | 3,817,954 | 3,830,668 | |
DG Investment Intermediate Holdings, Inc.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.4989% 2/1/25 (c)(d) | 730,864 | 716,246 | |
Tranche B 2LN, term loan 3 month U.S. LIBOR + 6.750% 9.2489% 2/1/26 (c)(d) | 277,000 | 265,920 | |
Electro Rent Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 7.7789% 1/31/24 (c)(d) | 491,069 | 491,683 | |
EPV Merger Sub, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 9.743% 3/8/26 (c)(d) | 226,000 | 216,960 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.743% 3/8/25 (c)(d) | 779,965 | 745,842 | |
EXC Holdings III Corp. Tranche B, term loan: | |||
3 month U.S. LIBOR + 3.500% 6.303% 12/2/24 (c)(d) | 1,238,912 | 1,231,949 | |
3 month U.S. LIBOR + 7.500% 10.3076% 12/1/25 (c)(d) | 478,000 | 475,213 | |
Go Daddy Operating Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.743% 2/15/24 (c)(d) | 4,961,234 | 4,948,831 | |
Infor U.S., Inc. Tranche B 6LN, term loan 3 month U.S. LIBOR + 2.750% 5.243% 2/1/22 (c)(d) | 1,375,040 | 1,373,679 | |
LMBE-MC HoldCo II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.81% 12/3/25 (c)(d) | 1,000,000 | 995,000 | |
TTM Technologies, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 5.0091% 9/28/24 (c)(d) | 4,168,034 | 4,098,552 | |
19,390,543 | |||
Internet Software & Services - 0.1% | |||
Ancestry.Com Operations, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.75% 10/19/23 (c)(d) | 3,097,574 | 3,076,913 | |
McAfee LLC Tranche B, term loan: | |||
3 month U.S. LIBOR + 3.750% 6.243% 9/29/24 (c)(d) | 4,622,192 | 4,629,402 | |
3 month U.S. LIBOR + 8.500% 10.993% 9/29/25 (c)(d) | 1,747,833 | 1,767,496 | |
Severin Acquisition LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.9885% 8/1/25 (c)(d) | 1,462,000 | 1,443,725 | |
10,917,536 | |||
IT Services - 0.2% | |||
EIG Investors Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.3878% 2/9/23 (c)(d) | 1,834,714 | 1,826,916 | |
First Data Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.4899% 7/10/22 (c)(d) | 11,636,197 | 11,620,721 | |
Global Payments, Inc. Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 4.2489% 4/22/23 (c)(d) | 778,959 | 773,444 | |
GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.24% 5/31/25 (c)(d) | 3,176,722 | 3,038,439 | |
Sedgwick Claims Management Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.743% 12/31/25 (c)(d) | 1,000,000 | 994,650 | |
Tempo Acquisition LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.493% 5/1/24 (c)(d) | 3,369,323 | 3,364,438 | |
Vantiv LLC Tranche B 4LN, term loan 3 month U.S. LIBOR + 1.750% 4.2117% 8/9/24 (c)(d) | 2,371,277 | 2,353,208 | |
Verscend Holding Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.993% 8/27/25 (c)(d) | 3,418,433 | 3,422,706 | |
VFH Parent LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 1/24/26 (d)(t) | 3,965,000 | 3,973,683 | |
Web.com Group, Inc.: | |||
2LN, term loan 3 month U.S. LIBOR + 7.750% 10.2669% 10/11/26 (c)(d) | 887,714 | 869,960 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.2669% 10/11/25 (c)(d) | 2,319,000 | 2,301,608 | |
WEX, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.743% 7/1/23 (c)(d) | 2,013,940 | 2,002,622 | |
Xerox Business Services LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.9989% 12/7/23 (c)(d) | 1,170,698 | 1,156,556 | |
37,698,951 | |||
Multi Inds Software & Services - 0.0% | |||
Brave Parent Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.493% 4/19/25 (c)(d) | 635,404 | 629,844 | |
Semiconductors & Semiconductor Equipment - 0.0% | |||
Cabot Microelectronics Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.75% 11/15/25 (c)(d) | 1,955,000 | 1,947,669 | |
Microchip Technology, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.5% 5/29/25 (c)(d) | 2,276,502 | 2,266,258 | |
4,213,927 | |||
Software - 0.5% | |||
Almonde, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 10.053% 6/13/25 (c)(d) | 4,012,000 | 3,940,105 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 6.303% 6/13/24 (c)(d) | 7,630,888 | 7,547,635 | |
Aptean, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 9.500% 12.31% 12/20/23 (c)(d) | 436,000 | 436,728 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 7.06% 12/20/22 (c)(d) | 565,167 | 564,930 | |
Boxer Parent Co., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 7.053% 10/2/25 (c)(d) | 2,350,000 | 2,334,420 | |
Bracket Intermediate Holding Corp. 1LN, term loan 3 month U.S. LIBOR + 4.250% 7.0013% 9/5/25 (c)(d) | 1,270,815 | 1,254,930 | |
Ceridian HCM Holding, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.743% 4/30/25 (c)(d) | 2,224,425 | 2,217,485 | |
Compuware Corp. 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.993% 8/23/25 (c)(d) | 959,000 | 962,002 | |
Cvent, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.243% 11/29/24 (c)(d) | 1,580,519 | 1,556,811 | |
Digicert Holdings, Inc. Tranche B, term loan: | |||
3 month U.S. LIBOR + 4.000% 6.493% 10/31/24 (c)(d) | 5,784,415 | 5,741,032 | |
3 month U.S. LIBOR + 8.000% 10.493% 10/31/25 (c)(d) | 1,347,800 | 1,303,997 | |
Dynatrace LLC: | |||
2LN, term loan 3 month U.S. LIBOR + 7.000% 9.493% 8/23/26 (c)(d) | 139,500 | 138,803 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.743% 8/23/25 (c)(d) | 1,733,000 | 1,723,607 | |
EagleView Technology Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.9814% 8/14/25 (c)(d) | 1,230,000 | 1,200,788 | |
Epicor Software Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.75% 6/1/22 (c)(d) | 3,055,556 | 3,027,567 | |
Evo Payments International LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.73% 12/22/23 (c)(d) | 1,564,684 | 1,559,473 | |
Hyland Software, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 9.493% 7/7/25 (c)(d) | 121,000 | 120,274 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.993% 7/1/24 (c)(d) | 1,000,450 | 1,001,701 | |
Ion Trading Finance Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.6336% 11/21/24 (c)(d) | 2,818,062 | 2,670,114 | |
Kronos, Inc.: | |||
2LN, term loan 3 month U.S. LIBOR + 8.250% 10.9863% 11/1/24 (c)(d) | 4,746,000 | 4,826,492 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.7363% 11/1/23 (c)(d) | 8,299,630 | 8,262,282 | |
Landesk Group, Inc. term loan: | |||
3 month U.S. LIBOR + 4.250% 6.77% 1/20/24 (c)(d) | 3,280,154 | 3,251,453 | |
3 month U.S. LIBOR + 9.000% 11.52% 1/20/25 (c)(d) | 637,000 | 610,565 | |
MA FinanceCo. LLC: | |||
Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.250% 4.743% 11/20/21 (c)(d) | 303,069 | 299,714 | |
Tranche B 3LN, term loan: | |||
3 month U.S. LIBOR + 2.500% 4.993% 6/21/24 (c)(d) | 10,226,458 | 10,111,411 | |
3 month U.S. LIBOR + 2.500% 4.993% 6/21/24 (c)(d) | 1,522,527 | 1,505,399 | |
MH Sub I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.2399% 9/15/24 (c)(d) | 1,257,816 | 1,249,439 | |
NAVEX TopCo, Inc.: | |||
2LN, term loan 3 month U.S. LIBOR + 7.000% 9.5% 9/4/26 (c)(d) | 175,000 | 171,063 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.75% 9/4/25 (c)(d) | 721,193 | 707,894 | |
Renaissance Holding Corp.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.743% 5/31/25 (c)(d) | 2,056,720 | 2,006,166 | |
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 9.493% 5/31/26 (c)(d) | 899,000 | 818,090 | |
Solera LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.243% 3/3/23 (c)(d) | 3,084,581 | 3,061,447 | |
Sophia L.P. term loan 3 month U.S. LIBOR + 3.250% 6.053% 9/30/22 (c)(d) | 4,605,393 | 4,589,551 | |
SS&C Technologies, Inc.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.743% 7/8/22 (c)(d) | 940,548 | 937,021 | |
Tranche B 3LN, term loan 3 month U.S. LIBOR + 2.250% 4.743% 4/16/25 (c)(d) | 8,328,114 | 8,289,055 | |
Tranche B 4LN, term loan 3 month U.S. LIBOR + 2.250% 4.743% 4/16/25 (c)(d) | 3,190,240 | 3,175,278 | |
Tranche B 5LN, term loan 3 month U.S. LIBOR + 2.250% 4.743% 4/16/25 (c)(d) | 3,570,997 | 3,554,249 | |
Sybil Software LLC. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 5.303% 9/30/23 (c)(d) | 1,675,256 | 1,672,458 | |
TIBCO Software, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 6.01% 12/4/20 (c)(d) | 487,790 | 486,877 | |
Uber Technologies, Inc. Tranche B, term loan: | |||
3 month U.S. LIBOR + 3.500% 5.9814% 7/13/23 (c)(d) | 3,762,008 | 3,744,364 | |
3 month U.S. LIBOR + 4.000% 6.5169% 4/4/25 (c)(d) | 2,852,583 | 2,852,583 | |
Vertafore, Inc.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 6.053% 7/2/25 (c)(d) | 4,141,000 | 4,089,238 | |
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.250% 10.053% 7/2/26 (c)(d) | 1,433,000 | 1,413,898 | |
110,988,389 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Dell International LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.5% 9/7/23 (c)(d) | 1,012,015 | 1,008,078 | |
TOTAL INFORMATION TECHNOLOGY | 201,262,123 | ||
MATERIALS - 0.3% | |||
Chemicals - 0.1% | |||
American Rock Salt Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.243% 3/21/25 (c)(d) | 1,919,200 | 1,910,813 | |
ASP Chromaflo Intermediate Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.993% 11/18/23 (c)(d) | 1,136,251 | 1,114,947 | |
Invictus U.S. Newco LLC: | |||
Tranche 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.5791% 3/28/25 (c)(d) | 863,001 | 859,765 | |
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 9.243% 3/28/26 (c)(d) | 478,000 | 473,220 | |
MacDermid, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.743% 1/31/26 (c)(d) | 1,280,000 | 1,276,006 | |
Messer Industries U.S.A., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 9/28/25 (d)(t) | 3,185,000 | 3,161,113 | |
OCI Partners LP Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.803% 3/13/25 (c)(d) | 2,230,519 | 2,224,943 | |
Oxea Corp. Tranche B2, term loan 3 month U.S. LIBOR + 3.500% 6.0625% 10/11/24 (c)(d) | 2,402,653 | 2,392,634 | |
PQ Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 5.2444% 2/8/25 (c)(d) | 552,864 | 548,618 | |
Starfruit U.S. Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.7638% 10/1/25 (c)(d) | 6,982,000 | 6,934,034 | |
The Chemours Co. LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 4.25% 4/3/25 (c)(d) | 2,115,662 | 2,092,517 | |
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. term loan 3 month U.S. LIBOR + 2.000% 4.493% 9/6/24 (c)(d) | 1,257,816 | 1,241,313 | |
Tronox Blocked Borrower LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.4989% 9/22/24 (c)(d) | 1,048,672 | 1,044,739 | |
Tronox Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.493% 9/22/24 (c)(d) | 2,420,318 | 2,411,242 | |
Univar, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.743% 7/1/24 (c)(d) | 682,560 | 681,065 | |
W. R. Grace & Co.-Conn.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 4.553% 4/3/25 (c)(d) | 473,025 | 469,950 | |
Tranche B 2LN, term loan 3 month U.S. LIBOR + 1.750% 4.553% 4/3/25 (c)(d) | 810,758 | 805,488 | |
29,642,407 | |||
Containers & Packaging - 0.2% | |||
Berlin Packaging, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.5384% 11/7/25 (c)(d) | 5,282,034 | 5,182,996 | |
Berry Global, Inc.: | |||
Tranche Q, term loan 3 month U.S. LIBOR + 2.000% 4.6101% 10/1/22 (c)(d) | 5,090,205 | 5,073,051 | |
Tranche T, term loan 3 month U.S. LIBOR + 1.750% 4.2669% 1/6/21 (c)(d) | 2,263,000 | 2,257,116 | |
BWAY Holding Co. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 6.0325% 4/3/24 (c)(d) | 627,906 | 614,683 | |
Charter Nex U.S., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.243% 5/16/24 (c)(d) | 774,597 | 756,363 | |
Consolidated Container Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.243% 5/22/24 (c)(d) | 1,440,505 | 1,428,808 | |
Crown Americas LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 4.4888% 4/3/25 (c)(d) | 805,333 | 806,630 | |
Flex Acquisition Co., Inc.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.5091% 12/29/23 (c)(d) | 4,102,504 | 4,027,634 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.7591% 6/29/25 (c)(d) | 3,964,768 | 3,900,341 | |
Reynolds Group Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.243% 2/5/23 (c)(d) | 10,679,527 | 10,626,129 | |
34,673,751 | |||
Metals & Mining - 0.0% | |||
Gulf Finance LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 7.8666% 8/25/23 (c)(d) | 2,936,494 | 2,341,854 | |
JMC Steel Group, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.73% 6/14/21 (c)(d) | 1,771,156 | 1,755,658 | |
Murray Energy Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.250% 9.8789% 10/17/22 (c)(d) | 3,750,807 | 3,079,187 | |
7,176,699 | |||
TOTAL MATERIALS | 71,492,857 | ||
REAL ESTATE - 0.1% | |||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
Invitation Homes Operating Par Tranche B, term loan 3 month U.S. LIBOR + 1.700% 4.1899% 2/6/22 (c)(d)(m) | 1,367,000 | 1,336,243 | |
iStar Financial, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.2471% 6/28/23 (c)(d) | 1,126,420 | 1,113,748 | |
The GEO Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 4.5% 3/23/24 (c)(d) | 618,525 | 603,835 | |
3,053,826 | |||
Real Estate Management & Development - 0.1% | |||
Capital Automotive LP: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 8.493% 3/24/25 (c)(d) | 939,161 | 936,033 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 5% 3/24/24 (c)(d) | 1,279,678 | 1,259,421 | |
DTZ U.S. Borrower LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.743% 8/21/25 (c)(d) | 4,985,505 | 4,943,427 | |
Forest City Enterprises LP Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.5123% 12/7/25 (c)(d) | 1,180,000 | 1,184,425 | |
Realogy Group LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.7388% 2/8/25 (c)(d) | 3,143,650 | 3,059,809 | |
VICI Properties, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 4.4811% 12/22/24 (c)(d) | 6,732,909 | 6,690,020 | |
18,073,135 | |||
TOTAL REAL ESTATE | 21,126,961 | ||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
Brookfield WEC Holdings, Inc.: | |||
2LN, term loan 3 month U.S. LIBOR + 6.750% 9.243% 8/1/26 (c)(d) | 2,576,000 | 2,576,000 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.243% 8/1/25 (c)(d) | 5,097,000 | 5,101,791 | |
ExGen Renewables IV, LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.63% 11/28/24 (c)(d) | 1,874,098 | 1,741,749 | |
Green Energy Partners/Stonewall LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 8.303% 11/13/21 (c)(d) | 1,913,735 | 1,885,029 | |
Invenergy Thermal Operating I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 6.303% 8/28/25 (c)(d) | 1,584,202 | 1,584,202 | |
Lightstone Holdco LLC: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.243% 1/30/24(c)(d) | 1,550,916 | 1,515,587 | |
Tranche C 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.243% 1/30/24 (c)(d) | 85,503 | 83,555 | |
Tex Operations Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.493% 8/4/23 (c)(d) | 5,219,392 | 5,201,698 | |
Vistra Operations Co. LLC: | |||
Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.250% 4.743% 12/14/23 (c)(d) | 936,361 | 934,798 | |
Tranche B 3LN, term loan 3 month U.S. LIBOR + 2.000% 4.4845% 12/31/25 (c)(d) | 4,863,621 | 4,840,178 | |
25,464,587 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Oregon Clean Energy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 2/15/26 (d)(m)(t) | 750,000 | 744,375 | |
Terra-Gen Finance Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.75% 12/9/21 (c)(d) | 1,585,889 | 1,371,794 | |
TerraForm Power Operating LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.493% 11/8/22 (c)(d) | 510,636 | 504,891 | |
2,621,060 | |||
TOTAL UTILITIES | 28,085,647 | ||
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $1,102,021,616) | 1,091,866,702 | ||
Bank Notes - 0.4% | |||
Capital One NA 2.95% 7/23/21 | 11,994,000 | 11,883,339 | |
Discover Bank: | |||
(Delaware) 3.2% 8/9/21 | $16,424,000 | $16,365,357 | |
3.1% 6/4/20 | 14,388,000 | 14,376,187 | |
4.682% 8/9/28 (c) | 8,844,000 | 8,816,760 | |
8.7% 11/18/19 | 1,884,000 | 1,952,819 | |
KeyBank NA 6.95% 2/1/28 | 1,259,000 | 1,506,742 | |
RBS Citizens NA 2.5% 3/14/19 | 7,211,000 | 7,211,187 | |
Synchrony Bank 3.65% 5/24/21 | 14,890,000 | 14,954,121 | |
TOTAL BANK NOTES | |||
(Cost $76,873,147) | 77,066,512 | ||
Preferred Securities - 0.9% | |||
COMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
Colombia Telecomunicaciones SA 8.5% (b)(c)(g) | $930,000 | $997,602 | |
CONSUMER DISCRETIONARY - 0.1% | |||
Automobiles - 0.1% | |||
Volkswagen International Finance NV: | |||
2.5%(Reg. S) (c)(g) | EUR | 7,214,000 | 8,295,404 |
2.7%(Reg. S) (c)(g) | EUR | 1,900,000 | 2,131,655 |
10,427,059 | |||
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Cosan Overseas Ltd. 8.25% (g) | 4,266,000 | 4,391,044 | |
Danone SA 1.75% (Reg. S) (c)(g) | EUR | 2,300,000 | 2,562,594 |
6,953,638 | |||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Andeavor Logistics LP 6.875% (c)(g) | 4,950,000 | 4,848,074 | |
FINANCIALS - 0.7% | |||
Banks - 0.6% | |||
Alfa Bond Issuance PLC 8% (Reg. S) (c)(g) | 2,756,000 | 2,693,556 | |
Allied Irish Banks PLC 7.375% (Reg. S) (c)(g) | EUR | 2,037,000 | 2,529,061 |
Banco Bilbao Vizcaya Argentaria SA: | |||
5.875% (Reg. S) (c)(g) | EUR | 3,400,000 | 3,904,781 |
6.75% (Reg. S) (c)(g) | EUR | 4,200,000 | 4,937,493 |
Banco Do Brasil SA 9% (b)(c)(g) | 4,155,000 | 4,560,318 | |
Banco Mercantil del Norte SA 7.625% (b)(c)(g) | 1,123,000 | 1,113,384 | |
Bank of America Corp.: | |||
5.875% (c)(g) | 2,335,000 | 2,347,125 | |
6.1% (c)(g) | 5,186,000 | 5,656,857 | |
6.25% (c)(g) | 3,392,000 | 3,691,104 | |
6.5% (c)(g) | 1,911,000 | 2,117,456 | |
Bank of Nova Scotia 4.65% (c)(g) | 4,078,000 | 3,799,206 | |
Barclays Bank PLC 7.625% 11/21/22 | 16,553,000 | 18,204,865 | |
Barclays PLC: | |||
7.875% (Reg. S) (c)(g) | 8,292,000 | 8,834,090 | |
7.875% (Reg. S) (c)(g) | GBP | 2,504,000 | 3,520,940 |
Credit Agricole SA: | |||
6.625% (b)(c)(g) | 6,654,000 | 6,798,444 | |
7.875% (b)(c)(g) | 2,708,000 | 2,945,955 | |
Danske Bank A/S 5.875% (Reg. S) (c)(g) | EUR | 1,050,000 | 1,242,693 |
HSBC Holdings PLC 5.25% (c)(g) | EUR | 4,947,000 | 6,084,869 |
Itau Unibanco Holding SA 6.125% (b)(c)(g) | 1,600,000 | 1,609,269 | |
KBC Groep NV 5.625% (c)(g) | EUR | 4,645,000 | 5,353,925 |
Royal Bank of Scotland Group PLC: | |||
7.5% (c)(g) | 7,287,000 | 7,550,850 | |
8.625% (c)(g) | 2,335,000 | 2,537,946 | |
Stichting AK Rabobank Certificaten 6.5% (Reg. S) (g) | EUR | 2,396,800 | 3,220,647 |
Tinkoff Credit Systems 9.25% (Reg. S) (c)(g) | 2,342,000 | 2,434,574 | |
Wells Fargo & Co. 5.9% (c)(g) | 8,500,000 | 8,764,084 | |
116,453,492 | |||
Capital Markets - 0.0% | |||
Deutsche Bank AG 6% (Reg. S) (c)(g) | EUR | 2,000,000 | 2,224,026 |
Insurance - 0.1% | |||
Assicurazioni Generali SpA: | |||
6.416% (c)(g) | GBP | 2,650,000 | 3,633,247 |
8.5% (c)(g) | EUR | 2,000,000 | 2,396,218 |
Aviva PLC: | |||
5.9021% (c)(g) | GBP | 1,750,000 | 2,480,617 |
6.125% (c)(g) | GBP | 8,080,000 | 11,684,245 |
AXA SA: | |||
3.941% (c)(g) | EUR | 980,000 | 1,215,411 |
6.6862% (c)(g) | GBP | 100,000 | 157,053 |
QBE Insurance Group Ltd. 5.25% (Reg. S) (c)(g) | 3,897,000 | 3,668,799 | |
25,235,590 | |||
TOTAL FINANCIALS | 143,913,108 | ||
INDUSTRIALS - 0.0% | |||
Construction & Engineering - 0.0% | |||
Odebrecht Finance Ltd.: | |||
7.5% (b)(f)(g) | 4,237,000 | 508,482 | |
7.5% (Reg. S) (f)(g) | 100,000 | 12,001 | |
520,483 | |||
REAL ESTATE - 0.1% | |||
Real Estate Management & Development - 0.1% | |||
Deutsche Annington Finance BV 4% (Reg. S) (c)(g) | EUR | 1,900,000 | 2,304,460 |
Grand City Properties SA 3.75% (c)(g) | EUR | 7,700,000 | 8,965,326 |
11,269,786 | |||
UTILITIES - 0.0% | |||
Water Utilities - 0.0% | |||
Pennon Group PLC 2.875% (Reg. S) (c)(g) | GBP | 1,226,000 | 1,662,353 |
TOTAL PREFERRED SECURITIES | |||
(Cost $181,377,081) | 180,592,103 | ||
Shares | Value | ||
Money Market Funds - 5.2% | |||
Fidelity Cash Central Fund, 2.44% (u) | |||
(Cost $1,090,554,274) | 1,090,392,150 | 1,090,610,229 | |
Maturity Amount | Value | ||
Repurchase Agreements - 1.6% | |||
Investments in repurchase agreements in a joint trading account at 2.59%, dated 2/28/19 due 3/1/19 (Collateralized by U.S. Government Obligations) # (v) | |||
(Cost $338,887,000) | 338,911,419 | 338,887,000 |
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount | Value | ||
Call Options - 0.0% | ||||
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.805% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2029 | 1/28/22 | 27,800,000 | $811,557 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.8775% and pay quarterly a floating rate based on 3-month LIBOR, expiring January 2029 | 1/18/22 | 12,300,000 | 386,673 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.99% and pay quarterly a floating rate based on the 3 month LIBOR, expiring December 2028. | 12/6/21 | 27,380,000 | 955,250 | |
TOTAL CALL OPTIONS | 2,153,480 | |||
Put Options - 0.0% | ||||
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.805% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2029 | 1/28/22 | 27,800,000 | 800,967 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.8775% and receive quarterly a floating rate based on 3-month LIBOR, expiring January 2029 | 1/18/22 | 12,300,000 | 326,528 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.99% and receive quarterly a floating rate based on 3 month LIBOR, expiring December 2028. | 12/6/21 | 27,380,000 | 619,220 | |
Option with an exercise rate of 3.125% on a credit default swap with Citibank, N.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 30 Index expiring December 2023, paying 5% quarterly. | 4/17/19 | EUR 18,300,000 | 63,882 | |
Option with an exercise rate of 3.375% on a credit default swap with JPMorgan Chase Bank NA to buy protection on the 5-Year iTraxx Europe Crossover Series 30 Index expiring December 2023, paying 5% quarterly. | 3/20/19 | EUR 5,750,000 | 2,528 | |
Option with an exercise rate of 3.375% on a credit default swap with JPMorgan Chase Bank NA to buy protection on the 5-Year iTraxx Europe Crossover Series 30 Index expiring December 2023, paying 5% quarterly. | 3/20/19 | EUR 12,700,000 | 5,584 | |
Option with an exercise rate of 3.5% on a credit default swap with Goldman Sachs Bank U.S.A. to buy protection on the 7-Year iTraxx Europe Crossover Series 325 Index expiring December 2023, paying 5% quarterly. | 3/20/19 | EUR 9,550,000 | 3,387 | |
Option with an exercise rate of 3.75% on a credit default swap with JPMorgan Chase Bank NA to buy protection on the 5-Year iTraxx Europe Crossover Series 30 Index expiring December 2023, paying 5% quarterly. | 3/20/19 | EUR 21,700,000 | 5,660 | |
TOTAL PUT OPTIONS | 1,827,756 | |||
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $5,173,686) | 3,981,236 | |||
TOTAL INVESTMENT IN SECURITIES - 113.7% | ||||
(Cost $24,066,010,149) | 23,924,663,748 | |||
NET OTHER ASSETS (LIABILITIES) - (13.7)% | (2,874,708,780) | |||
NET ASSETS - 100% | $21,049,954,968 |
TBA Sale Commitments | ||
Principal Amount | Value | |
Fannie Mae | ||
2.5% 3/1/34 | $(8,350,000) | $(8,186,316) |
2.5% 3/1/34 | (3,148,330) | (3,086,614) |
2.5% 3/1/34 | (2,500,000) | (2,450,993) |
2.5% 3/1/34 | (27,550,000) | (27,009,940) |
2.5% 3/1/34 | (10,850,000) | (10,637,309) |
2.5% 3/1/34 | (8,501,670) | (8,335,013) |
2.5% 3/1/49 | (3,125,000) | (2,961,265) |
2.5% 3/1/49 | (3,125,000) | (2,961,265) |
2.5% 3/1/49 | (7,201,503) | (6,824,179) |
2.5% 3/1/49 | (7,201,503) | (6,824,179) |
3% 3/1/34 | (33,400,000) | (33,333,350) |
3% 3/1/34 | (28,300,000) | (28,243,527) |
3% 3/1/34 | (22,800,000) | (22,754,503) |
3% 3/1/49 | (3,125,000) | (3,052,751) |
3% 3/1/49 | (3,125,000) | (3,052,751) |
3% 3/1/49 | (22,900,000) | (22,370,557) |
3% 3/1/49 | (22,900,000) | (22,370,557) |
3% 3/1/49 | (11,900,000) | (11,624,874) |
3% 3/1/49 | (11,000,000) | (10,745,682) |
3% 3/1/49 | (11,900,000) | (11,624,874) |
3% 3/1/49 | (22,900,000) | (22,370,557) |
3% 3/1/49 | (11,000,000) | (10,745,682) |
3% 3/1/49 | (22,900,000) | (22,370,557) |
3% 3/1/49 | (84,200,000) | (82,253,313) |
3% 3/1/49 | (27,650,000) | (27,010,738) |
3% 3/1/49 | (49,600,000) | (48,453,258) |
3% 3/1/49 | (5,900,000) | (5,763,593) |
3% 3/1/49 | (34,500,000) | (33,702,367) |
3% 3/1/49 | (9,200,000) | (8,987,298) |
3.5% 3/1/34 | (49,000,000) | (49,777,552) |
3.5% 3/1/34 | (49,000,000) | (49,777,552) |
3.5% 3/1/34 | (9,600,000) | (9,752,337) |
3.5% 3/1/34 | (29,800,000) | (30,272,878) |
3.5% 3/1/34 | (49,000,000) | (49,777,552) |
3.5% 3/1/34 | (27,550,000) | (27,987,174) |
3.5% 3/1/34 | (10,850,000) | (11,022,172) |
3.5% 3/1/34 | (26,800,000) | (27,225,273) |
3.5% 3/1/34 | (10,850,000) | (11,022,172) |
3.5% 3/1/34 | (54,350,000) | (55,212,448) |
3.5% 3/1/49 | (2,300,000) | (2,300,453) |
3.5% 3/1/49 | (4,700,000) | (4,700,926) |
3.5% 3/1/49 | (49,600,000) | (49,609,771) |
3.5% 3/1/49 | (6,700,000) | (6,701,320) |
3.5% 3/1/49 | (12,200,000) | (12,202,403) |
4% 3/1/49 | (3,800,000) | (3,873,424) |
4% 3/1/49 | (19,700,000) | (20,080,645) |
4% 3/1/49 | (3,800,000) | (3,873,424) |
4.5% 3/1/49 | (49,000,000) | (50,700,707) |
TOTAL FANNIE MAE | (985,978,045) | |
Freddie Mac | ||
3.5% 3/1/49 | (27,100,000) | (27,121,217) |
4.5% 3/1/49 | (1,000,000) | (1,035,919) |
4.5% 3/1/49 | (1,000,000) | (1,035,919) |
TOTAL FREDDIE MAC | (29,193,055) | |
Ginnie Mae | ||
2.5% 3/1/49 | (3,125,000) | (2,986,711) |
2.5% 3/1/49 | (5,900,000) | (5,638,910) |
2.5% 3/1/49 | (4,875,000) | (4,659,269) |
2.5% 3/1/49 | (2,950,000) | (2,819,455) |
3.5% 3/1/49 | (61,300,000) | (61,830,441) |
3.5% 3/1/49 | (61,300,000) | (61,830,441) |
4% 3/1/49 | (19,500,000) | (20,011,415) |
4% 3/1/49 | (7,200,000) | (7,388,830) |
4% 3/1/49 | (4,875,000) | (5,002,854) |
4% 3/1/49 | (9,500,000) | (9,749,151) |
4% 3/1/49 | (150,275,000) | (154,216,172) |
4% 3/1/49 | (48,350,000) | (49,618,046) |
4% 3/1/49 | (101,925,000) | (104,598,126) |
4% 3/1/49 | (2,950,000) | (3,027,368) |
4% 4/1/49 | (2,950,000) | (3,025,063) |
4% 4/1/49 | (2,950,000) | (3,025,063) |
4% 4/1/49 | (3,125,000) | (3,204,516) |
4.5% 3/1/49 | (62,700,000) | (64,873,351) |
4.5% 3/1/49 | (31,400,000) | (32,488,409) |
4.5% 3/1/49 | (31,300,000) | (32,384,943) |
4.5% 3/1/49 | (38,400,000) | (39,731,048) |
4.5% 3/1/49 | (13,700,000) | (14,174,875) |
TOTAL GINNIE MAE | (686,284,457) | |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $1,702,844,632) | $(1,701,455,557) |
Written Swaptions | |||
Expiration Date | Notional Amount | Value | |
Put Swaptions | |||
Option on an interest rate swap with JPMorgan Chase Bank NA to pay semi-annually a fixed rate of 2.94% and receive quarterly a floating rate based on 3-month LIBOR, expiring August 2028 | 8/20/21 | 82,200,000 | $(1,767,162) |
Option on an interest rate swap with JPMorgan Chase Bank NA to pay semi-annually a fixed rate of 2.955% and receive quarterly a floating rate based on 3-month LIBOR, expiring August 2028 | 8/23/21 | 34,500,000 | (730,302) |
TOTAL PUT SWAPTIONS | (2,497,464) | ||
Call Swaptions | |||
Option on an interest rate swap with JPMorgan Chase Bank NA to receive semi-annually a fixed rate of 2.94% and pay quarterly a floating rate based on 3-month LIBOR, expiring August 2028 | 8/20/21 | 82,200,000 | (2,659,816) |
Option on an interest rate swap with JPMorgan Chase Bank NA to receive semi-annually a fixed rate of 2.955% and pay quarterly a floating rate based on 3-month LIBOR, expiring August 2028 | 8/23/21 | 34,500,000 | (1,135,701) |
TOTAL CALL SWAPTIONS | (3,795,517) | ||
TOTAL WRITTEN SWAPTIONS | $(6,292,981) |
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) | 40 | March 2019 | $3,830,840 | $89,250 | $89,250 |
ICE Long Gilt Contracts (United Kingdom) | 55 | June 2019 | 9,176,286 | (111,824) | (111,824) |
TME 10 Year Canadian Note Contracts (Canada) | 161 | June 2019 | 16,603,450 | (72,064) | (72,064) |
TOTAL BOND INDEX CONTRACTS | (94,638) | ||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 69 | June 2019 | 14,641,477 | (7,134) | (7,134) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 308 | June 2019 | 35,285,250 | (59,854) | (59,854) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 356 | June 2019 | 51,430,875 | (534,715) | (534,715) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 232 | June 2019 | 28,304,000 | (91,210) | (91,210) |
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 188 | June 2019 | 24,337,188 | (63,398) | (63,398) |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 117 | June 2019 | 18,672,469 | (323,256) | (323,256) |
TOTAL TREASURY CONTRACTS | (1,079,567) | ||||
TOTAL PURCHASED | (1,174,205) | ||||
Sold | |||||
Bond Index Contracts | |||||
Eurex Euro-Bobl Contracts (Germany) | 274 | March 2019 | 41,363,688 | 41,731 | 41,731 |
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 571 | June 2019 | 65,415,188 | 98,828 | 98,828 |
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 1,723 | June 2019 | 223,047,734 | 1,239,757 | 1,239,757 |
TOTAL TREASURY CONTRACTS | 1,338,585 | ||||
TOTAL SOLD | 1,380,316 | ||||
TOTAL FUTURES CONTRACTS | $206,111 |
The notional amount of futures purchased as a percentage of Net Assets is 1.0%
The notional amount of futures sold as a percentage of Net Assets is 1.6%
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/(Depreciation) | ||
USD | 257,553 | EUR | 225,000 | BNP Paribas SA | 5/16/19 | $4 |
USD | 1,462,409 | EUR | 1,277,000 | BNP Paribas SA | 5/16/19 | 671 |
USD | 335,089,281 | EUR | 293,562,000 | JPMorgan Chase Bank, N.A. | 5/16/19 | (940,965) |
USD | 50,091,993 | GBP | 38,179,000 | Royal Bank Of Canada | 5/16/19 | (740,590) |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | $(1,680,880) | |||||
Unrealized Appreciation | 675 | |||||
Unrealized Depreciation | (1,681,555) |
Swaps
Underlying Reference | Rating(1) | Maturity Date | Clearinghouse / Counterparty(2) | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount(3) | Value(1) | Upfront Premium Received/(Paid)(4) | Unrealized Appreciation/(Depreciation) |
Credit Default Swaps | |||||||||
Buy Protection | |||||||||
5-Year iTraxx Europe Series 25 Index | Jun. 2021 | ICE | (1%) | Quarterly | EUR 8,300,000 | $(83,483) | $0 | $(83,483) | |
Accor SA | Jun. 2022 | Citibank, N.A. | (1%) | Quarterly | EUR 4,200,000 | (105,191) | 61,627 | (43,564) | |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 26,046,000 | (128,553) | (188,762) | (317,315) | |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 23,900,000 | (117,961) | (27,614) | (145,575) | |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Credit Suisse International | (0.5%) | Monthly | 12,754,000 | (62,949) | (92,431) | (155,380) | |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Credit Suisse International | (0.5%) | Monthly | 17,000,000 | (83,905) | (60,608) | (144,513) | |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Credit Suisse International | (0.5%) | Monthly | 11,620,000 | (57,352) | (1,856) | (59,208) | |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | J.P. Morgan Securities LLC | (0.5%) | Monthly | 13,470,000 | (66,483) | (92,730) | (159,213) | |
Gas Natural Capital Markets SA | Jun. 2022 | BNP Paribas SA | (1%) | Quarterly | EUR 4,200,000 | (113,437) | 80,057 | (33,380) | |
Standard Chartered PLC | Jun. 2021 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR 1,550,000 | (29,732) | (72,347) | (102,079) | |
TOTAL BUY PROTECTION | (849,046) | (394,664) | (1,243,710) | ||||||
Sell Protection | |||||||||
5-Year iTraxx Europe Senior Financial Series 25 Index | NR | Jun. 2021 | ICE | 1% | Quarterly | EUR 8,300,000 | 218,173 | 0 | 218,173 |
Casino Guichard Perrachon SA | Ba1 | Jun. 2019 | JPMorgan Chase Bank, N.A. | 1% | Quarterly | EUR 550,000 | 338 | 4,657 | 4,995 |
TOTAL SELL PROTECTION | 218,511 | 4,657 | 223,168 | ||||||
TOTAL CREDIT DEFAULT SWAPS | $(630,535) | $(390,007) | $(1,020,542) | ||||||
(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) Swaps with Intercontinental Exchange (ICE) are centrally cleared over-the-counter (OTC) 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 Portfolio could be required to make if a credit event were to occur.
(4) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
Swaps
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount | Value | Upfront Premium Received/(Paid)(4) | Unrealized Appreciation/(Depreciation) |
Interest Rate Swaps | |||||||||
3-month LIBOR(3) | Quarterly | 3% | Semi - annual | LCH | Mar. 2029 | $8,200,000 | $(270,230) | $0 | $(270,230) |
1% | Semi - annual | 6-month EURIBOR(3) | Semi - annual | LCH | Jun. 2029 | EUR 950,000 | (670) | 0 | (670) |
1.25% | Semi - annual | 6-month EURIBOR(3) | Semi - annual | LCH | Jun. 2034 | EUR 21,715,000 | 664,849 | 0 | 664,849 |
1.5% | Semi - annual | 6-month EURIBOR(3) | Semi - annual | LCH | Jun. 2039 | EUR 450,000 | 105 | 0 | 105 |
TOTAL INTEREST RATE SWAPS | $394,054 | $0 | $394,054 | ||||||
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(3) Represents floating rate.
Currency Abbreviations
EUR – European Monetary Unit
GBP – British pound
USD – U.S. dollar
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 $2,455,457,209 or 11.7% 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) Non-income producing - Security is in default.
(g) Security is perpetual in nature with no stated maturity date.
(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 $4,523,453.
(i) 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 $634,069.
(j) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $1,763,109.
(k) Security or a portion of the security is on loan at period end.
(l) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(m) Level 3 security
(n) 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.
(o) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.
(p) 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.
(q) Restricted securities - 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 $1,129,586 or 0.0% of net assets.
(r) 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.
(s) Non-income producing
(t) The coupon rate will be determined upon settlement of the loan after period end.
(u) 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.
(v) Includes investment made with cash collateral received from securities on loan.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
GMAC Commercial Mortgage Securities, Inc. Series 1999-C2I Class K, 6.481% 9/15/33 | 3/23/07 - 11/28/18 | $1,099,660 |
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $7,585,498 |
Total | $7,585,498 |
Amounts in the 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.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Fund | Value, beginning of period | Purchases | Sales Proceeds(a) | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Real Estate High Income Fund | $-- | $100,000,000 | $100,000,000 | $-- | $-- | $-- | $-- |
Total | $-- | $100,000,000 | $100,000,000 | $-- | $-- | $-- | $-- |
(a) Includes the value of shares redeemed through in-kind transactions, if applicable.
Amounts in the 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.
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2019, 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 | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $34,600 | $-- | $-- | $34,600 |
Consumer Discretionary | 1,784 | -- | -- | 1,784 |
Energy | 4,725,557 | 298,403 | -- | 4,427,154 |
Financials | 2,736,924 | 1,009,807 | 1,727,117 | -- |
Industrials | 72,900 | -- | -- | 72,900 |
Materials | 2,015,556 | 2,015,556 | -- | -- |
Real Estate | 6,181,424 | 5,181,749 | 999,675 | -- |
Utilities | 3,450,430 | -- | -- | 3,450,430 |
Corporate Bonds | 7,579,973,919 | -- | 7,579,973,919 | -- |
U.S. Government and Government Agency Obligations | 5,778,973,657 | -- | 5,778,973,657 | -- |
U.S. Government Agency - Mortgage Securities | 5,536,425,315 | -- | 5,536,425,315 | -- |
Asset-Backed Securities | 350,756,062 | -- | 349,621,779 | 1,134,283 |
Collateralized Mortgage Obligations | 486,937,886 | -- | 486,936,790 | 1,096 |
Commercial Mortgage Securities | 888,680,197 | -- | 888,680,197 | -- |
Municipal Securities | 220,975,920 | -- | 220,975,920 | -- |
Foreign Government and Government Agency Obligations | 279,717,835 | -- | 279,717,835 | -- |
Bank Loan Obligations | 1,091,866,702 | -- | 1,084,606,001 | 7,260,701 |
Bank Notes | 77,066,512 | -- | 77,066,512 | -- |
Preferred Securities | 180,592,103 | -- | 180,592,103 | -- |
Money Market Funds | 1,090,610,229 | 1,090,610,229 | -- | -- |
Repurchase Agreements | 338,887,000 | -- | 338,887,000 | -- |
Purchased Swaptions | 3,981,236 | -- | 3,981,236 | -- |
Total Investments in Securities: | $23,924,663,748 | $1,099,115,744 | $22,809,165,056 | $16,382,948 |
Derivative Instruments: | ||||
Assets | ||||
Forward Foreign Currency Contracts | $675 | $-- | $675 | $-- |
Futures Contracts | 1,469,566 | 1,469,566 | -- | -- |
Swaps | 883,465 | -- | 883,465 | -- |
Total Assets | $2,353,706 | $1,469,566 | $884,140 | $-- |
Liabilities | ||||
Forward Foreign Currency Contracts | $(1,681,555) | $() | $(1,681,555) | $-- |
Futures Contracts | (1,263,455) | (1,263,455) | -- | -- |
Swaps | (1,119,946) | -- | (1,119,946) | -- |
Written Swaptions | (6,292,981) | -- | (6,292,981) | -- |
Total Liabilities | $(10,357,937) | $(1,263,455) | $(9,094,482) | $-- |
Total Derivative Instruments: | $(8,004,231) | $206,111 | $(8,210,342) | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(1,701,455,557) | $-- | $(1,701,455,557) | $-- |
Total Other Financial Instruments: | $(1,701,455,557) | $-- | $(1,701,455,557) | $-- |
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 28, 2019. 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 | |
Asset | Liability | |
Credit Risk | ||
Purchased Swaptions(a) | $81,041 | $0 |
Swaps(b) | 218,511 | (849,046) |
Total Credit Risk | 299,552 | (849,046) |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts(c) | 675 | (1,681,555) |
Total Foreign Exchange Risk | 675 | (1,681,555) |
Interest Rate Risk | ||
Futures Contracts(d) | 1,469,566 | (1,263,455) |
Purchased Swaptions(a) | 3,900,195 | 0 |
Swaps(b) | 664,954 | (270,900) |
Written Swaptions(e) | 0 | (6,292,981) |
Total Interest Rate Risk | 6,034,715 | (7,827,336) |
Total Value of Derivatives | $6,334,942 | $(10,357,937) |
(a) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.
(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. For centrally cleared OTC 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 OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in distributable earnings.
(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 distributable earnings.
(e) Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.
Other Information
# Additional information on each counterparty to the repurchase agreement is as follows:
Repurchase Agreement / Counterparty | Value |
$338,887,000 due 3/01/19 at 2.59% | |
J.P. Morgan Securities, Inc. | $67,790,468 |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 271,096,532 |
$338,887,000 |
Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):
United States of America | 87.1% |
United Kingdom | 2.4% |
Netherlands | 2.3% |
Mexico | 1.9% |
Canada | 1.0% |
Others (Individually Less Than 1%) | 5.3% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2019 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $334,762,111 and repurchase agreements of $338,887,000) See accompanying schedule: Unaffiliated issuers (cost $22,975,455,875) | $22,834,053,519 | |
Fidelity Central Funds (cost $1,090,554,274) | 1,090,610,229 | |
Total Investment in Securities (cost $24,066,010,149) | $23,924,663,748 | |
Cash | 1,060,136 | |
Foreign currency held at value (cost $23,955,532) | 23,955,497 | |
Receivable for investments sold | 89,448,503 | |
Receivable for premium on written options | 7,478,664 | |
Receivable for TBA sale commitments | 1,702,844,632 | |
Unrealized appreciation on forward foreign currency contracts | 675 | |
Receivable for fund shares sold | 35,522,231 | |
Dividends receivable | 178,897 | |
Interest receivable | 149,852,247 | |
Distributions receivable from Fidelity Central Funds | 1,923,519 | |
Receivable for daily variation margin on futures contracts | 106,224 | |
Bi-lateral OTC swaps, at value | 338 | |
Receivable from investment adviser for expense reductions | 160,238 | |
Other receivables | 182,542 | |
Total assets | 25,937,378,091 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $422,951,368 | |
Delayed delivery | 2,381,155,907 | |
TBA sale commitments, at value | 1,701,455,557 | |
Unrealized depreciation on forward foreign currency contracts | 1,681,555 | |
Payable for fund shares redeemed | 21,397,847 | |
Distributions payable | 4,237,855 | |
Bi-lateral OTC swaps, at value | 765,563 | |
Accrued management fee | 5,292,769 | |
Distribution and service plan fees payable | 301,671 | |
Payable for daily variation margin on centrally cleared OTC swaps | 204,273 | |
Written options, at value (premium receivable $7,478,664) | 6,292,981 | |
Other affiliated payables | 2,614,673 | |
Other payables and accrued expenses | 183,904 | |
Collateral on securities loaned | 338,887,200 | |
Total liabilities | 4,887,423,123 | |
Net Assets | $21,049,954,968 | |
Net Assets consist of: | ||
Paid in capital | $21,690,036,224 | |
Total distributable earnings (loss) | (640,081,256) | |
Net Assets | $21,049,954,968 | |
Net Asset Value and Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($503,316,929 ÷ 48,401,050 shares) | $10.40 | |
Maximum offering price per share (100/96.00 of $10.40) | $10.83 | |
Class M: | ||
Net Asset Value and redemption price per share ($305,227,595 ÷ 29,403,079 shares) | $10.38 | |
Maximum offering price per share (100/96.00 of $10.38) | $10.81 | |
Class C: | ||
Net Asset Value and offering price per share ($160,853,677 ÷ 15,462,753 shares)(a) | $10.40 | |
Total Bond: | ||
Net Asset Value, offering price and redemption price per share ($12,054,956,810 ÷ 1,159,712,626 shares) | $10.39 | |
Class I: | ||
Net Asset Value, offering price and redemption price per share ($5,174,994,265 ÷ 498,634,329 shares) | $10.38 | |
Class Z: | ||
Net Asset Value, offering price and redemption price per share ($2,850,605,692 ÷ 274,652,748 shares) | $10.38 |
(a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 28, 2019 (Unaudited) | ||
Investment Income | ||
Dividends | $5,658,653 | |
Interest | 411,521,940 | |
Income from Fidelity Central Funds | 7,585,498 | |
Total income | 424,766,091 | |
Expenses | ||
Management fee | $36,701,702 | |
Transfer agent fees | 12,737,106 | |
Distribution and service plan fees | 1,780,436 | |
Fund wide operations fee | 5,259,203 | |
Independent trustees' fees and expenses | 115,684 | |
Legal | 8 | |
Miscellaneous | 38,393 | |
Total expenses before reductions | 56,632,532 | |
Expense reductions | (532,048) | |
Total expenses after reductions | 56,100,484 | |
Net investment income (loss) | 368,665,607 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (145,875,219) | |
Redemptions in-kind with affiliated entities | (214,083,908) | |
Fidelity Central Funds | 20,537 | |
Forward foreign currency contracts | 4,897,874 | |
Foreign currency transactions | 493,583 | |
Futures contracts | (9,244,827) | |
Swaps | (11,193) | |
Written options | 335,555 | |
Total net realized gain (loss) | (363,467,598) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 303,706,211 | |
Fidelity Central Funds | (20,536) | |
Forward foreign currency contracts | 3,103,391 | |
Assets and liabilities in foreign currencies | (134,765) | |
Futures contracts | 531,416 | |
Swaps | (730,654) | |
Written options | 910,290 | |
Delayed delivery commitments | 1,361,166 | |
Total change in net unrealized appreciation (depreciation) | 308,726,519 | |
Net gain (loss) | (54,741,079) | |
Net increase (decrease) in net assets resulting from operations | $313,924,528 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2019 (Unaudited) | Year ended August 31, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $368,665,607 | $914,701,571 |
Net realized gain (loss) | (363,467,598) | (90,126,250) |
Change in net unrealized appreciation (depreciation) | 308,726,519 | (1,022,272,603) |
Net increase (decrease) in net assets resulting from operations | 313,924,528 | (197,697,282) |
Distributions to shareholders | (433,115,208) | |
Distributions to shareholders from net investment income | | (885,486,323) |
Distributions to shareholders from net realized gain | | (72,496,897) |
Total distributions | (433,115,208) | (957,983,220) |
Share transactions - net increase (decrease) | (11,101,339,698) | 2,739,351,141 |
Total increase (decrease) in net assets | (11,220,530,378) | 1,583,670,639 |
Net Assets | ||
Beginning of period | 32,270,485,346 | 30,686,814,707 |
End of period | $21,049,954,968 | $32,270,485,346 |
Other Information | ||
Undistributed net investment income end of period | $94,000,586 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Total Bond Fund Class A
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
Selected PerShare Data | ||||||
Net asset value, beginning of period | $10.38 | $10.77 | $10.87 | $10.53 | $10.77 | $10.48 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .142 | .273 | .272 | .312 | .287 | .292 |
Net realized and unrealized gain (loss) | .056B | (.375) | (.086) | .377 | (.224) | .382 |
Total from investment operations | .198 | (.102) | .186 | .689 | .063 | .674 |
Distributions from net investment income | (.178) | (.263) | (.258) | (.290) | (.270) | (.275) |
Distributions from net realized gain | | (.025) | (.028) | (.059) | (.033) | (.109) |
Total distributions | (.178) | (.288) | (.286) | (.349) | (.303) | (.384) |
Net asset value, end of period | $10.40 | $10.38 | $10.77 | $10.87 | $10.53 | $10.77 |
Total ReturnC,D,E | 1.94% | (.95)% | 1.77% | 6.71% | .58% | 6.56% |
Ratios to Average Net AssetsF,G | ||||||
Expenses before reductions | .76%H | .75% | .75% | .75% | .75% | .76% |
Expenses net of fee waivers, if any | .76%H | .75% | .75% | .75% | .75% | .76% |
Expenses net of all reductions | .76%H | .75% | .75% | .75% | .75% | .76% |
Net investment income (loss) | 2.79%H | 2.60% | 2.53% | 2.95% | 2.69% | 2.76% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $503,317 | $475,569 | $521,557 | $1,233,806 | $852,243 | $639,235 |
Portfolio turnover rateI | 187%H,J | 109% | 137% | 134% | 140%J | 108% |
A Calculated based on average shares outstanding during the period.
B The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Total returns do not include the effect of the sales charges.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H Annualized
I Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
J Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Total Bond Fund Class M
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
Selected PerShare Data | ||||||
Net asset value, beginning of period | $10.36 | $10.75 | $10.85 | $10.51 | $10.76 | $10.46 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .142 | .272 | .267 | .309 | .285 | .290 |
Net realized and unrealized gain (loss) | .055B | (.375) | (.083) | .378 | (.234) | .392 |
Total from investment operations | .197 | (.103) | .184 | .687 | .051 | .682 |
Distributions from net investment income | (.177) | (.262) | (.256) | (.288) | (.268) | (.273) |
Distributions from net realized gain | | (.025) | (.028) | (.059) | (.033) | (.109) |
Total distributions | (.177) | (.287) | (.284) | (.347) | (.301) | (.382) |
Net asset value, end of period | $10.38 | $10.36 | $10.75 | $10.85 | $10.51 | $10.76 |
Total ReturnC,D,E | 1.94% | (.96)% | 1.76% | 6.71% | .47% | 6.65% |
Ratios to Average Net AssetsF,G | ||||||
Expenses before reductions | .76%H | .76% | .76% | .77% | .77% | .78% |
Expenses net of fee waivers, if any | .76%H | .76% | .76% | .77% | .77% | .78% |
Expenses net of all reductions | .76%H | .76% | .76% | .77% | .77% | .78% |
Net investment income (loss) | 2.79%H | 2.60% | 2.53% | 2.94% | 2.67% | 2.74% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $305,228 | $307,837 | $287,111 | $155,518 | $101,673 | $57,972 |
Portfolio turnover rateI | 187%H,J | 109% | 137% | 134% | 140%J | 108% |
A Calculated based on average shares outstanding during the period.
B The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Total returns do not include the effect of the sales charges.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H Annualized
I Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
J Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Total Bond Fund Class C
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
Selected PerShare Data | ||||||
Net asset value, beginning of period | $10.39 | $10.77 | $10.87 | $10.53 | $10.77 | $10.48 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .103 | .193 | .188 | .231 | .205 | .211 |
Net realized and unrealized gain (loss) | .046B | (.365) | (.084) | .378 | (.225) | .382 |
Total from investment operations | .149 | (.172) | .104 | .609 | (.020) | .593 |
Distributions from net investment income | (.139) | (.183) | (.176) | (.210) | (.187) | (.194) |
Distributions from net realized gain | | (.025) | (.028) | (.059) | (.033) | (.109) |
Total distributions | (.139) | (.208) | (.204) | (.269) | (.220) | (.303) |
Net asset value, end of period | $10.40 | $10.39 | $10.77 | $10.87 | $10.53 | $10.77 |
Total ReturnC,D,E | 1.45% | (1.60)% | .99% | 5.90% | (.20)% | 5.75% |
Ratios to Average Net AssetsF,G | ||||||
Expenses before reductions | 1.53%H | 1.52% | 1.52% | 1.52% | 1.53% | 1.53% |
Expenses net of fee waivers, if any | 1.53%H | 1.52% | 1.52% | 1.52% | 1.53% | 1.53% |
Expenses net of all reductions | 1.53%H | 1.52% | 1.52% | 1.52% | 1.53% | 1.53% |
Net investment income (loss) | 2.02%H | 1.84% | 1.77% | 2.19% | 1.92% | 1.99% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $160,854 | $168,366 | $190,273 | $186,380 | $139,264 | $83,818 |
Portfolio turnover rateI | 187%H,J | 109% | 137% | 134% | 140%J | 108% |
A Calculated based on average shares outstanding during the period.
B The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Total returns do not include the effect of the contingent deferred sales charge.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H Annualized
I Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
J Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Total Bond Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
Selected PerShare Data | ||||||
Net asset value, beginning of period | $10.38 | $10.76 | $10.86 | $10.53 | $10.77 | $10.47 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .159 | .305 | .302 | .343 | .320 | .326 |
Net realized and unrealized gain (loss) | .044B | (.365) | (.085) | .368 | (.224) | .392 |
Total from investment operations | .203 | (.060) | .217 | .711 | .096 | .718 |
Distributions from net investment income | (.193) | (.295) | (.289) | (.322) | (.303) | (.309) |
Distributions from net realized gain | | (.025) | (.028) | (.059) | (.033) | (.109) |
Total distributions | (.193) | (.320) | (.317) | (.381) | (.336) | (.418) |
Net asset value, end of period | $10.39 | $10.38 | $10.76 | $10.86 | $10.53 | $10.77 |
Total ReturnC,D | 2.00% | (.55)% | 2.07% | 6.94% | .88% | 7.00% |
Ratios to Average Net AssetsE,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) | 3.10%G | 2.90% | 2.84% | 3.25% | 2.99% | 3.07% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $12,054,957 | $23,868,572 | $23,732,156 | $20,469,677 | $17,359,294 | $14,547,801 |
Portfolio turnover rateH | 187%G,I | 109% | 137% | 134% | 140%I | 108% |
A Calculated based on average shares outstanding during the period.
B The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Total Bond Fund Class I
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
Selected PerShare Data | ||||||
Net asset value, beginning of period | $10.36 | $10.75 | $10.85 | $10.51 | $10.76 | $10.46 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .155 | .299 | .295 | .337 | .313 | .319 |
Net realized and unrealized gain (loss) | .055B | (.374) | (.083) | .378 | (.233) | .393 |
Total from investment operations | .210 | (.075) | .212 | .715 | .080 | .712 |
Distributions from net investment income | (.190) | (.290) | (.284) | (.316) | (.297) | (.303) |
Distributions from net realized gain | | (.025) | (.028) | (.059) | (.033) | (.109) |
Total distributions | (.190) | (.315) | (.312) | (.375) | (.330) | (.412) |
Net asset value, end of period | $10.38 | $10.36 | $10.75 | $10.85 | $10.51 | $10.76 |
Total ReturnC,D | 2.07% | (.70)% | 2.02% | 6.99% | .73% | 6.95% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | .50%G | .50% | .50% | .50% | .50% | .51% |
Expenses net of fee waivers, if any | .50%G | .50% | .50% | .50% | .50% | .51% |
Expenses net of all reductions | .50%G | .50% | .50% | .50% | .50% | .51% |
Net investment income (loss) | 3.05%G | 2.85% | 2.79% | 3.20% | 2.94% | 3.02% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $5,174,994 | $4,959,911 | $4,481,725 | $2,846,878 | $1,266,870 | $573,410 |
Portfolio turnover rateH | 187%G,I | 109% | 137% | 134% | 140%I | 108% |
A Calculated based on average shares outstanding during the period.
B The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Total Bond Fund Class Z
Six months ended (Unaudited) February 28, | Years endedAugust 31, | ||||
2019 | 2018 | 2017 | 2016 | 2015 A | |
Selected PerShare Data | |||||
Net asset value, beginning of period | $10.36 | $10.75 | $10.85 | $10.51 | $10.66 |
Income from Investment Operations | |||||
Net investment income (loss)B | .162 | .312 | .310 | .352 | .234 |
Net realized and unrealized gain (loss) | .056C | (.373) | (.083) | .378 | (.167) |
Total from investment operations | .218 | (.061) | .227 | .730 | .067 |
Distributions from net investment income | (.198) | (.304) | (.299) | (.331) | (.217) |
Distributions from net realized gain | | (.025) | (.028) | (.059) | |
Total distributions | (.198) | (.329) | (.327) | (.390) | (.217) |
Net asset value, end of period | $10.38 | $10.36 | $10.75 | $10.85 | $10.51 |
Total ReturnD,E | 2.14% | (.56)% | 2.16% | 7.14% | .59% |
Ratios to Average Net AssetsF,G | |||||
Expenses before reductions | .40%H | .36% | .36% | .36% | .36%H |
Expenses net of fee waivers, if any | .36%H | .36% | .36% | .36% | .36%H |
Expenses net of all reductions | .36%H | .36% | .36% | .36% | .36%H |
Net investment income (loss) | 3.19%H | 2.99% | 2.93% | 3.34% | 3.29%H |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $2,850,606 | $2,490,230 | $1,473,993 | $811,440 | $546,968 |
Portfolio turnover rateI | 187%H,J | 109% | 137% | 134% | 140%J |
A For the period December 22, 2014 (commencement of sale of shares) to August 31, 2015.
B Calculated based on average shares outstanding during the period.
C The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H Annualized
I Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
J Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended February 28, 2019
1. Organization.
Fidelity Total Bond Fund (the Fund) is a fund of Fidelity Income Fund (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, Total Bond, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.
Effective March 1, 2019, Class C shares will automatically convert to Class A shares after a holding period of ten years from the initial date of purchase, with certain exceptions.
2. Investments in Fidelity Central Funds.
The Fund invests 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 Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
3. 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 Investments 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 following summarizes the significant accounting policies of the Fund:
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 delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. 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 vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (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.
The U.S. dollar value of 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 or official closing price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 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 28, 2019 is included at the end of the Fund's Schedule of Investments.
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. 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. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. 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.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the 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 the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. 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. 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 the Fund, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $182,292 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
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.
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 swaps, futures and options transactions, foreign currency transactions, market discount, deferred trustees compensation, certain conversion ratio adjustments, partnerships, 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 | $226,693,218 |
Gross unrealized depreciation | (344,492,497) |
Net unrealized appreciation (depreciation) | $(117,799,279) |
Tax cost | $24,042,936,528 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $(109,219,500) |
Long-term | (46,113,780) |
Total capital loss carryforward | $(155,333,280) |
Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with Fidelity Management & Research Company (FMR), or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-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 Fund monitors, on a daily basis, the value of the collateral 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.
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund 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. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. 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. During the period, the Fund transacted in TBA securities that involved 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. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the 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 the 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, the 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 Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Restricted Securities. The Fund 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 is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund invest[[s]] in direct debt instruments which 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 the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation. The Fund did not have any unfunded loan commitments, which are contractual obligations for future funding, at period end.
New Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.
Financial Statement | Current Line-Item Presentation (As Applicable) | Prior Line-Item Presentation (As Applicable) |
Statement of Assets and Liabilities | Total distributable earnings (loss) | Undistributed/Distributions in excess of/Accumulated net investment income (loss) Accumulated/Undistributed net realized gain (loss) Net unrealized appreciation (depreciation) |
Statement of Changes in Net Assets | N/A - removed | Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period |
Statement of Changes in Net Assets | Distributions to shareholders | Distributions to shareholders from net investment income Distributions to shareholders from net realized gain |
Distributions to Shareholders Note to Financial Statements | Distributions to shareholders | Distributions to shareholders from net investment income Distributions to shareholders from net realized gain |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, 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.
The Fund used derivatives 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 Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
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. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the 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 the 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, the 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 the 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, the Fund receives collateral in the form of cash or securities once the Fund's 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 Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss 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 the Fund. For OTC written options with upfront premiums received, the 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. The 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 futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC 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 of the Fund, 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) |
Credit Risk | ||
Purchased Options | $(178,443) | $(660,040) |
Swaps | (80,044) | (943,824) |
Total Credit Risk | (258,487) | (1,603,864) |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts | 4,897,874 | 3,103,391 |
Interest Rate Risk | ||
Futures Contracts | (9,244,827) | 531,416 |
Purchased Options | (464,399) | (223,568) |
Swaps | 68,851 | 213,170 |
Written Options | 335,555 | 910,290 |
Total Interest Rate Risk | (9,304,820) | 1,431,308 |
Totals | $(4,665,433) | $2,930,835 |
A summary of the value of derivatives by primary risk exposure as of period end 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. The Fund used forward foreign currency contracts 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 the Statement of Assets and Liabilities. When the contract is closed, the Fund realizes a gain or loss 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.
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. The Fund used futures contracts to manage its 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 (variation margin) 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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates and potential credit events.
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 on 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 the Fund will realize a gain or loss 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.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
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 net unrealized appreciation (depreciation) 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 OTC 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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC 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 OTC swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) 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 OTC 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.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the 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 the 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, the 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 the 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 the 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. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and certain in-kind transactions, aggregated $2,969,042,581 and $1,241,332,643, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (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 .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. 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 .31% 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 Corporation (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% | $598,853 | $39,638 |
Class M | -% | .25% | 382,071 | |
Class C | .75% | .25% | 799,512 | 86,586 |
$1,780,436 | $126,224 |
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 | $43,095 |
Class M | 2,623 |
Class C(a) | 8,327 |
$54,045 |
(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, Inc., (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 Total Bond and Class Z. FIIOC receives an asset-based fee of Total Bond's and Class Z's average net assets. Effective October 1, 2018, the transfer agent fees for Class Z changed to .05% of Class Z average net assets on an annual basis. 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 Assets(a) | |
Class A | $366,034 | .15 |
Class M | 236,798 | .16 |
Class C | 132,733 | .17 |
Total Bond | 7,784,657 | .10 |
Class I | 3,649,418 | .15 |
Class Z | 567,466 | .04 |
$12,737,106 |
(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 do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% of the Fund's average net assets less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annualized rate of .04% of average net assets.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions 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 $11,185 for the period.
Interfund Trades. The 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. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
Affiliated Redemptions In-Kind. During the period, 1,163,589,914 shares of the Fund were redeemed in-kind for investments, including accrued interest, and cash with a value of $11,926,796,615. The net realized loss of $214,083,908 on investments delivered through in-kind redemptions is included in the accompanying Statement of Operations. The amount of the in-kind redemptions is included in share transactions in the accompanying Statement of Changes in Net Assets as well as the Notes to Financial Statements. The Fund recognized no gain or loss for federal income tax purposes.
Affiliated Exchanges In-Kind. During the period, the Fund redeemed 11,848,341 shares of Fidelity Real Estate High Income Fund in exchange for cash and investments, including accrued interest, with a value of $100,000,000. There were no net realized gains or losses on the Fund's redemptions of Fidelity Real Estate High Income Fund shares. The Fund recognized no gains or losses on the exchanges for federal income tax purposes.
7. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $37,000 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the 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 the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, 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 interest income. Total security lending income during the period amounted to $22,294.
9. Expense Reductions.
Effective October 1, 2018, the investment adviser contractually agreed to reimburse Class Z 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, 2020. 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% | $468,881 |
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, these credits reduced the Fund's expenses by $62,930. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent expense reduction | |
Class C | $237 |
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended February 28, 2019 | Year ended August 31, 2018 |
|
Distributions to shareholders | ||
Class A | $8,247,306 | $ |
Class M | 5,285,183 | |
Class C | 2,142,970 | |
Total Bond | 276,061,084 | |
Class I | 91,214,825 | |
Class Z | 50,163,840 | |
Total | $433,115,208 | $ |
From net investment income | ||
Class A | $ | $12,629,695 |
Class M | | 7,579,587 |
Class C | | 3,169,213 |
Total Bond | | 672,052,162 |
Class I | | 131,904,177 |
Class Z | | 58,151,489 |
Total | $ | $885,486,323 |
From net realized gain | ||
Class A | $ | $1,217,520 |
Class M | | 687,881 |
Class C | | 431,234 |
Total Bond | | 55,742,692 |
Class I | | 10,651,836 |
Class Z | | 3,765,734 |
Total | $ | $72,496,897 |
11. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Six months ended February 28, 2019 | Year ended August 31, 2018 | Six months ended February 28, 2019 | Year ended August 31, 2018 | |
Class A | ||||
Shares sold | 10,216,960 | 14,416,516 | $105,267,805 | $151,885,453 |
Reinvestment of distributions | 787,663 | 1,290,713 | 8,093,288 | 13,581,684 |
Shares redeemed | (8,409,191) | (18,338,361) | (86,354,819) | (192,755,755) |
Net increase (decrease) | 2,595,432 | (2,631,132) | $27,006,274 | $(27,288,618) |
Class M | ||||
Shares sold | 3,575,963 | 8,921,941 | $36,703,141 | $93,879,005 |
Reinvestment of distributions | 513,472 | 784,090 | 5,265,761 | 8,230,681 |
Shares redeemed | (4,388,019) | (6,715,253) | (45,040,938) | (70,463,007) |
Net increase (decrease) | (298,584) | 2,990,778 | $(3,072,036) | $31,646,679 |
Class C | ||||
Shares sold | 2,217,172 | 4,002,793 | $22,805,144 | $42,271,985 |
Reinvestment of distributions | 202,807 | 332,075 | 2,083,204 | 3,497,759 |
Shares redeemed | (3,168,335) | (5,788,530) | (32,584,254) | (60,858,546) |
Net increase (decrease) | (748,356) | (1,453,662) | $(7,695,906) | $(15,088,802) |
Total Bond | ||||
Shares sold | 211,183,352 | 590,632,444 | $2,174,476,499 | $6,213,066,982 |
Reinvestment of distributions | 23,875,460 | 66,567,518 | 245,302,493 | 699,805,077 |
Shares redeemed | (1,375,201,254)(a) | (562,196,879) | (14,099,043,411)(a) | (5,894,522,419) |
Net increase (decrease) | (1,140,142,442) | 95,003,083 | $(11,679,264,419) | $1,018,349,640 |
Class I | ||||
Shares sold | 96,178,087 | 172,616,804 | $988,634,311 | $1,811,192,584 |
Reinvestment of distributions | 8,494,220 | 12,976,469 | 87,105,460 | 136,135,652 |
Shares redeemed | (84,691,189) | (123,960,373) | (867,920,633) | (1,297,111,589) |
Net increase (decrease) | 19,981,118 | 61,632,900 | $207,819,138 | $650,216,647 |
Class Z | ||||
Shares sold | 70,956,238 | 158,799,997 | $729,094,234 | $1,663,657,935 |
Reinvestment of distributions | 3,933,782 | 4,854,286 | 40,357,828 | 50,848,946 |
Shares redeemed | (40,552,066) | (60,482,889) | (415,584,811) | (632,991,286) |
Net increase (decrease) | 34,337,954 | 103,171,394 | $353,867,251 | $1,081,515,595 |
(a) Amount includes in-kind redemptions (see the Affiliated Redemptions In-Kind note for additional details).
12. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
13. Credit Risk.
The Fund invests a 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.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including 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 the 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, 2018 to February 28, 2019).
Actual Expenses
The first line of the accompanying table for each class of the Fund 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 of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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 for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' 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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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, 2018 | Ending Account Value February 28, 2019 | Expenses Paid During Period-B September 1, 2018 to February 28, 2019 |
|
Class A | .76% | |||
Actual | $1,000.00 | $1,019.40 | $3.81 | |
Hypothetical-C | $1,000.00 | $1,021.03 | $3.81 | |
Class M | .76% | |||
Actual | $1,000.00 | $1,019.40 | $3.81 | |
Hypothetical-C | $1,000.00 | $1,021.03 | $3.81 | |
Class C | 1.53% | |||
Actual | $1,000.00 | $1,014.50 | $7.64 | |
Hypothetical-C | $1,000.00 | $1,017.21 | $7.65 | |
Total Bond | .45% | |||
Actual | $1,000.00 | $1,020.00 | $2.25 | |
Hypothetical-C | $1,000.00 | $1,022.56 | $2.26 | |
Class I | .50% | |||
Actual | $1,000.00 | $1,020.70 | $2.51 | |
Hypothetical-C | $1,000.00 | $1,022.32 | $2.51 | |
Class Z | .36% | |||
Actual | $1,000.00 | $1,021.40 | $1.80 | |
Hypothetical-C | $1,000.00 | $1,023.01 | $1.81 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Total Bond Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (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 has established four standing committees (Committees) Operations, Audit, Fair Valuation, and Governance and Nominating each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. 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 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 2018 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 to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, 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. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.
Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. 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, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated 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, 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 the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.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 through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers. Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits 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 mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest, and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain growth equity funds and index funds; (vii) lowering expense caps for certain existing funds and classes, and converting certain voluntary expense caps to contractual caps, to reduce expenses borne by shareholders; (viii) eliminating short-term redemption fees for funds that had such fees; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals. Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that there were portfolio management changes for the fund in September 2017 and in April 2018.The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about 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 considers annualized return information for the fund for different time periods, measured against an appropriate securities market index ("benchmark index") and a peer group of funds with similar objectives ("peer group"), if any. 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 for specific 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. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. 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.The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year 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 considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison. Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.Fidelity Total Bond Fund
TBD-SANN-0419
1.783111.116
Fidelity Flex℠ Funds Fidelity Flex℠ Core Bond Fund Semi-Annual Report February 28, 2019 |
|
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a funds shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelitys website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
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Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-835-5092 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.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2019 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SECs web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SECs Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.Quality Diversification (% of fund's net assets)
As of February 28, 2019 | ||
U.S. Government and U.S. Government Agency Obligations | 50.8% | |
AAA | 2.6% | |
AA | 0.5% | |
A | 6.7% | |
BBB | 20.1% | |
BB and Below | 18.0% | |
Not Rated | 0.8% | |
Equities | 0.1% | |
Short-Term Investments and Net Other Assets | 0.4% |
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.
Asset Allocation (% of fund's net assets)
As of February 28, 2019*,**,*** | ||
Corporate Bonds | 36.3% | |
U.S. Government and U.S. Government Agency Obligations | 50.8% | |
Asset-Backed Securities | 1.7% | |
CMOs and Other Mortgage Related Securities | 3.2% | |
Municipal Bonds | 0.9% | |
Common Stocks | 0.1% | |
Other Investments | 6.6% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.4% |
* Foreign investments - 9.8%
** Futures and Swaps - 1.2%
*** Written options - (0.6)%
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.
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Schedule of Investments February 28, 2019 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 28.1% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 2.6% | |||
Diversified Telecommunication Services - 1.0% | |||
AT&T, Inc.: | |||
3.6% 2/17/23 | $95,000 | $95,597 | |
4.45% 4/1/24 | 3,000 | 3,106 | |
6.3% 1/15/38 | 50,000 | 55,774 | |
Verizon Communications, Inc.: | |||
3.85% 11/1/42 | 6,000 | 5,408 | |
4.522% 9/15/48 | 10,000 | 9,814 | |
4.862% 8/21/46 | 16,000 | 16,452 | |
5.012% 4/15/49 | 37,000 | 38,729 | |
5.012% 8/21/54 | 85,000 | 87,316 | |
5.5% 3/16/47 | 11,000 | 12,229 | |
324,425 | |||
Entertainment - 0.2% | |||
NBCUniversal, Inc.: | |||
4.45% 1/15/43 | 11,000 | 10,904 | |
5.95% 4/1/41 | 8,000 | 9,448 | |
Time Warner, Inc. 6.2% 3/15/40 | 40,000 | 43,843 | |
64,195 | |||
Media - 1.4% | |||
21st Century Fox America, Inc. 7.75% 12/1/45 | 20,000 | 29,473 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.908% 7/23/25 | 45,000 | 46,616 | |
5.375% 5/1/47 | 55,000 | 52,147 | |
Comcast Corp.: | |||
3.9% 3/1/38 | 6,000 | 5,675 | |
3.969% 11/1/47 | 18,000 | 16,697 | |
3.999% 11/1/49 | 21,000 | 19,502 | |
4% 3/1/48 | 11,000 | 10,284 | |
4.6% 8/15/45 | 15,000 | 15,144 | |
4.65% 7/15/42 | 14,000 | 14,217 | |
6.45% 3/15/37 | 15,000 | 18,470 | |
Fox Corp.: | |||
3.666% 1/25/22 (a) | 4,000 | 4,047 | |
4.03% 1/25/24 (a) | 6,000 | 6,115 | |
4.709% 1/25/29 (a) | 9,000 | 9,329 | |
5.476% 1/25/39 (a) | 9,000 | 9,434 | |
5.576% 1/25/49 (a) | 6,000 | 6,336 | |
Time Warner Cable, Inc.: | |||
4% 9/1/21 | 80,000 | 80,784 | |
7.3% 7/1/38 | 120,000 | 135,429 | |
479,699 | |||
TOTAL COMMUNICATION SERVICES | 868,319 | ||
CONSUMER DISCRETIONARY - 0.6% | |||
Automobiles - 0.6% | |||
General Motors Financial Co., Inc. 4.375% 9/25/21 | 200,000 | 203,264 | |
CONSUMER STAPLES - 1.5% | |||
Beverages - 0.8% | |||
Anheuser-Busch InBev Finance, Inc. 4.7% 2/1/36 | 125,000 | 120,988 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
4.75% 4/15/58 | 27,000 | 24,508 | |
5.45% 1/23/39 | 20,000 | 20,989 | |
5.55% 1/23/49 | 54,000 | 56,717 | |
5.8% 1/23/59 (Reg. S) | 34,000 | 36,271 | |
259,473 | |||
Tobacco - 0.7% | |||
Altria Group, Inc.: | |||
3.875% 9/16/46 | 30,000 | 22,735 | |
4.25% 8/9/42 | 27,000 | 21,807 | |
4.4% 2/14/26 | 13,000 | 13,102 | |
4.5% 5/2/43 | 80,000 | 66,221 | |
4.8% 2/14/29 | 16,000 | 15,968 | |
Reynolds American, Inc. 7.25% 6/15/37 | 75,000 | 81,975 | |
221,808 | |||
TOTAL CONSUMER STAPLES | 481,281 | ||
ENERGY - 5.8% | |||
Oil, Gas & Consumable Fuels - 5.8% | |||
Alberta Energy Co. Ltd.: | |||
7.375% 11/1/31 | 28,000 | 33,215 | |
8.125% 9/15/30 | 26,000 | 31,945 | |
Anadarko Finance Co. 7.5% 5/1/31 | 40,000 | 48,409 | |
Anadarko Petroleum Corp.: | |||
5.55% 3/15/26 | 50,000 | 53,428 | |
6.2% 3/15/40 | 10,000 | 10,978 | |
6.6% 3/15/46 | 36,000 | 42,564 | |
Canadian Natural Resources Ltd.: | |||
3.9% 2/1/25 | 25,000 | 25,073 | |
5.85% 2/1/35 | 25,000 | 27,324 | |
Cenovus Energy, Inc.: | |||
4.25% 4/15/27 | 24,000 | 22,855 | |
6.75% 11/15/39 | 25,000 | 26,402 | |
Columbia Pipeline Group, Inc.: | |||
4.5% 6/1/25 | 25,000 | 25,663 | |
5.8% 6/1/45 | 10,000 | 10,847 | |
DCP Midstream LLC 5.85% 5/21/43 (a)(b) | 45,000 | 39,825 | |
DCP Midstream Operating LP 3.875% 3/15/23 | 20,000 | 19,850 | |
Enbridge, Inc. 4.25% 12/1/26 | 25,000 | 25,493 | |
Encana Corp. 6.625% 8/15/37 | 15,000 | 17,067 | |
Energy Transfer Partners LP: | |||
4.2% 9/15/23 | 6,000 | 6,120 | |
4.95% 6/15/28 | 22,000 | 22,416 | |
5.8% 6/15/38 | 12,000 | 12,248 | |
6% 6/15/48 | 8,000 | 8,301 | |
Enterprise Products Operating LP 3.75% 2/15/25 | 20,000 | 20,253 | |
Kinder Morgan Energy Partners LP 6.55% 9/15/40 | 65,000 | 74,702 | |
Kinder Morgan, Inc. 5.55% 6/1/45 | 12,000 | 12,598 | |
Marathon Petroleum Corp. 5.125% 3/1/21 | 35,000 | 36,200 | |
MPLX LP: | |||
4.5% 7/15/23 | 10,000 | 10,336 | |
4.8% 2/15/29 | 6,000 | 6,151 | |
4.875% 12/1/24 | 14,000 | 14,616 | |
5.5% 2/15/49 | 17,000 | 17,411 | |
Petrobras Global Finance BV: | |||
6.125% 1/17/22 | 50,000 | 52,625 | |
7.25% 3/17/44 | 110,000 | 117,535 | |
7.375% 1/17/27 | 90,000 | 98,910 | |
Petroleos Mexicanos: | |||
4.625% 9/21/23 | 330,000 | 316,041 | |
5.625% 1/23/46 | 40,000 | 31,300 | |
6.35% 2/12/48 | 55,000 | 45,623 | |
6.5% 3/13/27 | 20,000 | 19,310 | |
6.75% 9/21/47 | 210,000 | 182,091 | |
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 | 51,000 | 49,059 | |
The Williams Companies, Inc.: | |||
4.55% 6/24/24 | 70,000 | 72,100 | |
5.75% 6/24/44 | 35,000 | 36,872 | |
Western Gas Partners LP: | |||
4.65% 7/1/26 | 35,000 | 34,741 | |
4.75% 8/15/28 | 6,000 | 5,921 | |
5.375% 6/1/21 | 48,000 | 49,451 | |
Williams Partners LP 4.3% 3/4/24 | 100,000 | 102,283 | |
1,916,152 | |||
FINANCIALS - 11.3% | |||
Banks - 4.7% | |||
Bank of America Corp.: | |||
3.004% 12/20/23 (b) | 66,000 | 65,142 | |
3.5% 4/19/26 | 160,000 | 158,379 | |
3.705% 4/24/28 (b) | 29,000 | 28,602 | |
Barclays PLC 4.375% 1/12/26 | 200,000 | 198,367 | |
CIT Group, Inc. 6.125% 3/9/28 | 30,000 | 32,475 | |
Citigroup, Inc.: | |||
2.4% 2/18/20 | 62,000 | 61,688 | |
3.142% 1/24/23 (b) | 23,000 | 22,913 | |
4.3% 11/20/26 | 9,000 | 9,012 | |
4.4% 6/10/25 | 74,000 | 75,195 | |
4.45% 9/29/27 | 40,000 | 40,138 | |
Credit Suisse Group Funding Guernsey Ltd. 3.8% 6/9/23 | 250,000 | 249,983 | |
JPMorgan Chase & Co.: | |||
2.95% 10/1/26 | 135,000 | 128,707 | |
3.797% 7/23/24 (b) | 35,000 | 35,500 | |
4.35% 8/15/21 | 125,000 | 128,734 | |
Royal Bank of Scotland Group PLC: | |||
5.125% 5/28/24 | 165,000 | 167,248 | |
6% 12/19/23 | 75,000 | 78,810 | |
6.125% 12/15/22 | 80,000 | 84,399 | |
1,565,292 | |||
Capital Markets - 4.2% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 22,000 | 22,597 | |
Deutsche Bank AG New York Branch: | |||
3.15% 1/22/21 | 100,000 | 97,683 | |
4.1% 1/13/26 | 100,000 | 92,515 | |
5% 2/14/22 | 48,000 | 48,297 | |
Goldman Sachs Group, Inc.: | |||
2.876% 10/31/22 (b) | 170,000 | 167,453 | |
3.2% 2/23/23 | 35,000 | 34,697 | |
3.691% 6/5/28 (b) | 170,000 | 164,617 | |
3.75% 5/22/25 | 50,000 | 49,758 | |
3.814% 4/23/29 (b) | 75,000 | 73,005 | |
6.75% 10/1/37 | 13,000 | 15,461 | |
Moody's Corp.: | |||
3.25% 1/15/28 | 10,000 | 9,550 | |
4.875% 2/15/24 | 9,000 | 9,519 | |
Morgan Stanley: | |||
3.125% 7/27/26 | 171,000 | 163,161 | |
3.737% 4/24/24 (b) | 115,000 | 116,002 | |
4.431% 1/23/30 (b) | 22,000 | 22,716 | |
5% 11/24/25 | 35,000 | 36,789 | |
5.625% 9/23/19 | 100,000 | 101,476 | |
5.75% 1/25/21 | 150,000 | 157,185 | |
1,382,481 | |||
Consumer Finance - 1.1% | |||
Capital One Financial Corp.: | |||
2.5% 5/12/20 | 125,000 | 124,158 | |
3.8% 1/31/28 | 22,000 | 21,142 | |
Discover Financial Services: | |||
3.95% 11/6/24 | 80,000 | 79,181 | |
4.1% 2/9/27 | 76,000 | 73,961 | |
4.5% 1/30/26 | 24,000 | 24,111 | |
Synchrony Financial 3.95% 12/1/27 | 42,000 | 38,460 | |
361,013 | |||
Diversified Financial Services - 0.5% | |||
AXA Equitable Holdings, Inc. 3.9% 4/20/23 | 6,000 | 6,047 | |
Brixmor Operating Partnership LP: | |||
3.25% 9/15/23 | 35,000 | 33,970 | |
3.85% 2/1/25 | 40,000 | 39,090 | |
Cigna Corp.: | |||
4.125% 11/15/25 (a) | 13,000 | 13,195 | |
4.375% 10/15/28 (a) | 33,000 | 33,451 | |
4.8% 8/15/38 (a) | 21,000 | 20,959 | |
4.9% 12/15/48 (a) | 21,000 | 20,909 | |
Voya Financial, Inc. 3.125% 7/15/24 | 12,000 | 11,612 | |
179,233 | |||
Insurance - 0.8% | |||
Marsh & McLennan Companies, Inc.: | |||
4.375% 3/15/29 | 20,000 | 20,613 | |
4.9% 3/15/49 | 18,000 | 18,934 | |
Pacific LifeCorp 5.125% 1/30/43 (a) | 50,000 | 51,141 | |
Pricoa Global Funding I 5.375% 5/15/45 (b) | 45,000 | 44,696 | |
TIAA Asset Management Finance LLC 4.125% 11/1/24 (a) | 80,000 | 82,594 | |
Unum Group 3.875% 11/5/25 | 50,000 | 48,625 | |
266,603 | |||
TOTAL FINANCIALS | 3,754,622 | ||
HEALTH CARE - 1.8% | |||
Biotechnology - 0.1% | |||
AbbVie, Inc. 4.5% 5/14/35 | 21,000 | 19,707 | |
Health Care Equipment & Supplies - 0.0% | |||
Becton, Dickinson & Co.: | |||
2.894% 6/6/22 | 10,000 | 9,889 | |
3.7% 6/6/27 | 7,000 | 6,781 | |
16,670 | |||
Health Care Providers & Services - 1.1% | |||
Cigna Corp. 3.75% 7/15/23 (a) | 27,000 | 27,323 | |
CVS Health Corp.: | |||
4.1% 3/25/25 | 55,000 | 55,754 | |
4.3% 3/25/28 | 64,000 | 64,044 | |
4.78% 3/25/38 | 29,000 | 28,210 | |
5.05% 3/25/48 | 42,000 | 41,618 | |
Elanco Animal Health, Inc.: | |||
3.912% 8/27/21 (a) | 5,000 | 5,032 | |
4.272% 8/28/23 (a) | 18,000 | 18,267 | |
4.9% 8/28/28 (a) | 7,000 | 7,252 | |
HCA Holdings, Inc. 6.5% 2/15/20 | 50,000 | 51,495 | |
Toledo Hospital: | |||
5.325% 11/15/28 | 12,000 | 12,330 | |
6.015% 11/15/48 | 56,000 | 59,250 | |
370,575 | |||
Pharmaceuticals - 0.6% | |||
Actavis Funding SCS 3.45% 3/15/22 | 40,000 | 39,824 | |
Mylan NV: | |||
3.15% 6/15/21 | 50,000 | 49,430 | |
3.95% 6/15/26 | 20,000 | 18,651 | |
4.55% 4/15/28 | 20,000 | 18,873 | |
Shire Acquisitions Investments Ireland DAC 2.4% 9/23/21 | 55,000 | 53,749 | |
Zoetis, Inc. 3.45% 11/13/20 | 15,000 | 15,076 | |
195,603 | |||
TOTAL HEALTH CARE | 602,555 | ||
INDUSTRIALS - 0.6% | |||
Aerospace & Defense - 0.1% | |||
BAE Systems Holdings, Inc. 3.8% 10/7/24 (a) | 40,000 | 40,259 | |
Trading Companies & Distributors - 0.5% | |||
Air Lease Corp.: | |||
3.875% 7/3/23 | 38,000 | 37,818 | |
4.25% 2/1/24 | 29,000 | 29,164 | |
International Lease Finance Corp. 5.875% 8/15/22 | 100,000 | 106,310 | |
173,292 | |||
TOTAL INDUSTRIALS | 213,551 | ||
INFORMATION TECHNOLOGY - 0.3% | |||
Electronic Equipment & Components - 0.3% | |||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 5.45% 6/15/23 (a) | 100,000 | 105,078 | |
REAL ESTATE - 2.7% | |||
Equity Real Estate Investment Trusts (REITs) - 1.8% | |||
Boston Properties, Inc. 4.5% 12/1/28 | 19,000 | 19,700 | |
Corporate Office Properties LP 5.25% 2/15/24 | 157,000 | 163,372 | |
DDR Corp. 4.625% 7/15/22 | 21,000 | 21,488 | |
Duke Realty LP 3.625% 4/15/23 | 50,000 | 50,273 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 9,000 | 8,866 | |
Omega Healthcare Investors, Inc.: | |||
4.375% 8/1/23 | 165,000 | 165,963 | |
4.5% 1/15/25 | 6,000 | 5,971 | |
4.75% 1/15/28 | 59,000 | 58,996 | |
Store Capital Corp. 4.625% 3/15/29 | 9,000 | 8,884 | |
Ventas Realty LP: | |||
3.5% 2/1/25 | 65,000 | 64,063 | |
4% 3/1/28 | 11,000 | 10,844 | |
WP Carey, Inc. 4% 2/1/25 | 28,000 | 27,617 | |
606,037 | |||
Real Estate Management & Development - 0.9% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 103,000 | 103,447 | |
3.95% 11/15/27 | 24,000 | 23,107 | |
Digital Realty Trust LP: | |||
4.75% 10/1/25 | 45,000 | 46,810 | |
5.25% 3/15/21 | 30,000 | 30,952 | |
Liberty Property LP 4.4% 2/15/24 | 40,000 | 41,346 | |
Mack-Cali Realty LP 3.15% 5/15/23 | 50,000 | 42,446 | |
288,108 | |||
TOTAL REAL ESTATE | 894,145 | ||
UTILITIES - 0.9% | |||
Electric Utilities - 0.5% | |||
FirstEnergy Corp.: | |||
4.25% 3/15/23 | 45,000 | 46,087 | |
7.375% 11/15/31 | 85,000 | 109,535 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 10,000 | 9,829 | |
165,451 | |||
Independent Power and Renewable Electricity Producers - 0.4% | |||
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 | 109,000 | 116,903 | |
TOTAL UTILITIES | 282,354 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $9,439,635) | 9,321,321 | ||
U.S. Government and Government Agency Obligations - 29.7% | |||
U.S. Treasury Inflation-Protected Obligations - 3.1% | |||
U.S. Treasury Inflation-Indexed Bonds 0.875% 2/15/47 | 260,220 | 245,067 | |
U.S. Treasury Inflation-Indexed Notes: | |||
0.375% 1/15/27 | $369,260 | $359,048 | |
0.375% 7/15/27 | 431,407 | 419,796 | |
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 1,023,911 | ||
U.S. Treasury Obligations - 26.6% | |||
U.S. Treasury Bonds: | |||
2.75% 11/15/47 | 299,000 | 279,507 | |
3% 2/15/49 | 1,104,000 | 1,085,629 | |
U.S. Treasury Notes: | |||
1.75% 6/30/22 | 655,000 | 639,418 | |
1.875% 3/31/22 | 2,204,000 | 2,163,964 | |
2.125% 11/30/24 | 336,000 | 327,902 | |
2.25% 12/31/24 | 595,000 | 584,355 | |
2.375% 2/29/24 | 360,000 | 357,595 | |
2.5% 3/31/23 | 1,172,000 | 1,171,084 | |
2.5% 1/31/24 | 985,000 | 983,923 | |
2.75% 2/28/25 | 582,000 | 587,229 | |
3.125% 11/15/28 | 635,000 | 656,679 | |
TOTAL U.S. TREASURY OBLIGATIONS | 8,837,285 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $9,930,610) | 9,861,196 | ||
U.S. Government Agency - Mortgage Securities - 3.5% | |||
Fannie Mae - 2.4% | |||
3% 3/1/49 (c) | 100,000 | 97,688 | |
3% 3/1/49 (c) | 100,000 | 97,688 | |
3.5% 3/1/49 (c) | 225,000 | 225,044 | |
3.5% 3/1/49 (c) | 225,000 | 225,044 | |
4% 3/1/49 (c) | 125,000 | 127,415 | |
4.5% 3/1/49 (c) | 25,000 | 25,868 | |
TOTAL FANNIE MAE | 798,747 | ||
Freddie Mac - 0.3% | |||
4% 3/1/49 (c) | 100,000 | 101,991 | |
Ginnie Mae - 0.8% | |||
3.5% 3/1/49 (c) | 275,000 | 277,380 | |
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $1,178,045) | 1,178,118 | ||
Asset-Backed Securities - 1.5% | |||
DB Master Finance LLC Series 2017-1A: | |||
Class A2I, 3.629% 11/20/47 (a) | $49,375 | $48,593 | |
Class A2II, 4.03% 11/20/47 (a) | 49,375 | 48,563 | |
Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 | 30,000 | 30,424 | |
GCO Education Loan Funding Master Trust II Series 2007-1A Class A6L, 3 month U.S. LIBOR + 0.110% 2.7993% 11/25/26 (a)(b)(d) | 55,738 | 55,424 | |
Kubota Credit Owner Trust Series 2018-1A Class A3, 3.1% 8/15/22 (a) | 100,000 | 100,203 | |
Nationstar HECM Loan Trust Series 2018-2A Class A, 3.1877% 7/25/28 (a) | 55,744 | 55,764 | |
Towd Point Mortgage Trust Series 2018-6 Class A1A, 3.75% 3/25/58 (a) | 95,024 | 95,237 | |
Upgrade Receivables Trust Series 2018-1A Class A, 3.76% 11/15/24 (a) | 79,219 | 79,262 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $513,850) | 513,470 | ||
Collateralized Mortgage Obligations - 0.2% | |||
Private Sponsor - 0.2% | |||
Citigroup Mortgage Loan Trust, Inc. sequential payer Series 2009-5 Class 5A1, 4.704% 1/25/37 (a)(b) | 19,381 | 19,685 | |
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(b) | 22,919 | 22,706 | |
Winwater Mortgage Loan Trust sequential payer Series 2015-1 Class A9, 2.5% 1/20/45 (a) | 14,672 | 14,552 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $57,385) | 56,943 | ||
Commercial Mortgage Securities - 3.0% | |||
Benchmark Mortgage Trust: | |||
Series 2018-B8 Class A5, 4.2317% 1/15/52 | 52,000 | 54,688 | |
Series 2019-B9 Class A5, 4.0156% 3/15/52 | 67,000 | 69,233 | |
BX Trust floater: | |||
Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.625% 5.1138% 9/15/37 (a)(b)(d) | 10,381 | 10,366 | |
Series 2018-IND Class F, 1 month U.S. LIBOR + 1.800% 4.2888% 11/15/35 (a)(b)(d) | 98,024 | 98,178 | |
Citigroup Commercial Mortgage Trust Series 2018-C6 Class A4, 4.412% 11/10/51 | 17,000 | 18,095 | |
COMM Mortgage Trust: | |||
Series 2014-CR17 Class XA, 1.0456% 5/10/47 (b)(e) | 89,522 | 3,476 | |
Series 2015-DC1 Class XA, 1.1268% 2/10/48 (b)(e) | 864,936 | 37,362 | |
Credit Suisse Mortgage Trust Series 2018-SITE Class D, 4.6278% 4/15/36 (a) | 100,000 | 100,469 | |
CSAIL Commercial Mtg Trust Series 2018-C14 Class A4 4.4216% 11/15/51 | 14,000 | 14,865 | |
CSMC Trust Series 2017-PFHP Class D, 1 month U.S. LIBOR + 2.250% 4.7388% 12/15/30 (a)(b)(d) | 76,000 | 75,627 | |
GAHR Commercial Mortgage Trust Series 2015-NRF Class DFX, 3.3822% 12/15/34 (a)(b) | 125,000 | 123,853 | |
GS Mortgage Securities Trust sequential payer: | |||
Series 2017-GS8 Class A4, 3.469% 11/10/50 | 20,000 | 19,889 | |
Series 2018-GS10 Class A5, 4.155% 7/10/51 | 20,000 | 20,876 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT: | |||
Class DFX, 5.3503% 7/5/33 (a) | 10,000 | 10,435 | |
Class EFX, 5.5422% 7/5/33 (a) | 10,000 | 10,392 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP: | |||
Class B, 1 month U.S. LIBOR + 1.250% 3.7388% 8/15/33 (a)(b)(d) | 23,000 | 22,856 | |
Class C, 1 month U.S. LIBOR + 1.500% 3.9888% 8/15/33 (a)(b)(d) | 56,000 | 55,720 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 53,000 | 55,911 | |
MSCG Trust Series 2016-SNR Class C, 5.205% 11/15/34 (a) | 21,250 | 21,152 | |
RETL floater Series 2018-RVP Class A, 1 month U.S. LIBOR + 1.100% 3.5888% 3/15/33 (a)(b)(d) | 27,418 | 27,349 | |
Wells Fargo Commercial Mortgage Trust Series 2018-C48 Class A5, 4.302% 1/15/52 | 40,000 | 42,166 | |
WF-RBS Commercial Mortgage Trust: | |||
Series 2014-C21 Class XA, 1.0687% 8/15/47 (b)(e) | 924,727 | 38,080 | |
Series 2014-C25 Class A5, 3.631% 11/15/47 | 50,000 | 50,838 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $998,445) | 981,876 | ||
Municipal Securities - 0.9% | |||
California Gen. Oblig. Series 2009, 7.35% 11/1/39 | 90,000 | 127,002 | |
Illinois Gen. Oblig.: | |||
Series 2003, 5.1% 6/1/33 | $125,000 | $118,561 | |
Series 2010-3, 5.547% 4/1/19 | 70,000 | 70,137 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $309,975) | 315,700 | ||
Foreign Government and Government Agency Obligations - 0.8% | |||
Argentine Republic 5.875% 1/11/28 | $100,000 | $78,000 | |
Dominican Republic 5.95% 1/25/27 (a) | 100,000 | 103,650 | |
Turkish Republic 7.375% 2/5/25 | 65,000 | 67,990 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $269,265) | 249,640 | ||
Shares | Value | ||
Fixed-Income Funds - 33.1% | |||
Fidelity Floating Rate Central Fund (f) | 18,792 | 1,913,764 | |
Fidelity Mortgage Backed Securities Central Fund (f) | 57,400 | 6,094,725 | |
Fidelity Specialized High Income Central Fund (f) | 30,232 | 2,994,208 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $11,194,040) | 11,002,697 | ||
Money Market Funds - 3.1% | |||
Fidelity Cash Central Fund, 2.44% (g) | |||
(Cost $1,041,329) | 1,041,121 | 1,041,329 |
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount | Value | ||
Put Options - 0.0% | ||||
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.805% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2029 | 1/28/22 | 100,000 | $2,881 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.99% and receive quarterly a floating rate based on 3 month LIBOR, expiring December 2028. | 12/6/21 | 70,000 | 1,583 | |
TOTAL PUT OPTIONS | 4,464 | |||
Call Options - 0.0% | ||||
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.805% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2029 | 1/28/22 | 100,000 | 2,919 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.99% and pay quarterly a floating rate based on the 3 month LIBOR, expiring December 2028. | 12/6/21 | 70,000 | 2,442 | |
TOTAL CALL OPTIONS | 5,361 | |||
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $10,934) | 9,825 | |||
TOTAL INVESTMENT IN SECURITIES - 103.9% | ||||
(Cost $34,943,513) | 34,532,115 | |||
NET OTHER ASSETS (LIABILITIES) - (3.9)% | (1,304,244) | |||
NET ASSETS - 100% | $33,227,871 |
TBA Sale Commitments | ||
Principal Amount | Value | |
Fannie Mae | ||
3.5% 3/1/49 | $(225,000) | $(225,044) |
3.5% 3/1/49 | (225,000) | (225,044) |
4% 3/1/49 | (100,000) | (101,933) |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $553,225) | $(552,021) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Sold | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 2 | June 2019 | $424,391 | $230 | $230 |
The notional amount of futures sold as a percentage of Net Assets is 1.3%
Swaps
Underlying Reference | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount | Value | Upfront Premium Received/(Paid) | Unrealized Appreciation/(Depreciation) |
Credit Default Swaps | ||||||||
Buy Protection | ||||||||
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | $10,000 | $(49) | $(73) | $(122) |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 50,000 | (247) | (57) | (304) |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Credit Suisse International | (0.5%) | Monthly | 20,000 | (99) | (145) | (244) |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Credit Suisse International | (0.5%) | Monthly | 55,000 | (271) | (9) | (280) |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | J.P. Morgan Securities LLC | (0.5%) | Monthly | 20,000 | (99) | (138) | (237) |
TOTAL CREDIT DEFAULT SWAPS | $(765) | $(422) | $(1,187) | |||||
Legend
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,700,582 or 5.1% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(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 represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(f) 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-Q 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.
(g) 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.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $7,462 |
Fidelity Floating Rate Central Fund | 54,681 |
Fidelity Mortgage Backed Securities Central Fund | 94,463 |
Fidelity Specialized High Income Central Fund | 95,062 |
Total | $251,668 |
Amounts in the 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.
Fiscal year to date information regarding the Funds investments in non-Money Market Central Funds, including the ownership percentage, is presented below.
Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Floating Rate Central Fund | $1,879,588 | $54,681 | $-- | $-- | $(20,505) | $1,913,764 | 0.1% |
Fidelity Mortgage Backed Securities Central Fund | 6,034,862 | 249,462 | 235,000 | (6,588) | 51,989 | 6,094,725 | 0.1% |
Fidelity Specialized High Income Central Fund | 2,920,771 | 95,062 | -- | -- | (21,625) | 2,994,208 | 0.3% |
Total | $10,835,221 | $399,205 | $235,000 | $(6,588) | $9,859 | $11,002,697 |
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2019, 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 | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Corporate Bonds | $9,321,321 | $-- | $9,321,321 | $-- |
U.S. Government and Government Agency Obligations | 9,861,196 | -- | 9,861,196 | -- |
U.S. Government Agency - Mortgage Securities | 1,178,118 | -- | 1,178,118 | -- |
Asset-Backed Securities | 513,470 | -- | 513,470 | -- |
Collateralized Mortgage Obligations | 56,943 | -- | 56,943 | -- |
Commercial Mortgage Securities | 981,876 | -- | 981,876 | -- |
Municipal Securities | 315,700 | -- | 315,700 | -- |
Foreign Government and Government Agency Obligations | 249,640 | -- | 249,640 | -- |
Fixed-Income Funds | 11,002,697 | 11,002,697 | -- | -- |
Money Market Funds | 1,041,329 | 1,041,329 | -- | -- |
Purchased Swaptions | 9,825 | -- | 9,825 | -- |
Total Investments in Securities: | $34,532,115 | $12,044,026 | $22,488,089 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $230 | $230 | $-- | $-- |
Total Assets | $230 | $230 | $-- | $-- |
Liabilities | ||||
Swaps | $(765) | $-- | $(765) | $-- |
Total Liabilities | $(765) | $-- | $(765) | $-- |
Total Derivative Instruments: | $(535) | $230 | $(765) | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(552,021) | $-- | $(552,021) | $-- |
Total Other Financial Instruments: | $(552,021) | $-- | $(552,021) | $-- |
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 28, 2019. 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 | |
Asset | Liability | |
Credit Risk | ||
Swaps(a) | $0 | $(765) |
Total Credit Risk | 0 | (765) |
Interest Rate Risk | ||
Futures Contracts(b) | 230 | 0 |
Purchased Swaptions(c) | 9,825 | 0 |
Total Interest Rate Risk | 10,055 | 0 |
Total Value of Derivatives | $10,055 | $(765) |
(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 distributable earnings.
(c) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.
Other Information
Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):
United States of America | 90.2% |
Mexico | 1.8% |
United Kingdom | 1.8% |
Netherlands | 1.5% |
Canada | 1.3% |
Others (Individually Less Than 1%) | 3.4% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2019 (Unaudited) | ||
Assets | ||
Investment in securities, at value See accompanying schedule: Unaffiliated issuers (cost $22,708,144) | $22,488,089 | |
Fidelity Central Funds (cost $12,235,369) | 12,044,026 | |
Total Investment in Securities (cost $34,943,513) | $34,532,115 | |
Segregated cash with brokers for derivative instruments | 1,160 | |
Cash | 56,663 | |
Receivable for investments sold | 2,228 | |
Receivable for TBA sale commitments | 553,225 | |
Receivable for fund shares sold | 24,221 | |
Interest receivable | 169,855 | |
Distributions receivable from Fidelity Central Funds | 2,225 | |
Receivable for daily variation margin on futures contracts | 188 | |
Total assets | 35,341,880 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $370,582 | |
Delayed delivery | 1,178,045 | |
TBA sale commitments, at value | 552,021 | |
Payable for fund shares redeemed | 12,596 | |
Bi-lateral OTC swaps, at value | 765 | |
Total liabilities | 2,114,009 | |
Net Assets | $33,227,871 | |
Net Assets consist of: | ||
Paid in capital | $33,912,634 | |
Total distributable earnings (loss) | (684,763) | |
Net Assets, for 3,374,843 shares outstanding | $33,227,871 | |
Net Asset Value, offering price and redemption price per share ($33,227,871 ÷ 3,374,843 shares) | $9.85 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 28, 2019 (Unaudited) | ||
Investment Income | ||
Interest | $341,427 | |
Income from Fidelity Central Funds | 232,972 | |
Total income | 574,399 | |
Expenses | ||
Independent trustees' fees and expenses | $79 | |
Commitment fees | 44 | |
Total expenses | 123 | |
Net investment income (loss) | 574,276 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (153,815) | |
Fidelity Central Funds | (6,588) | |
Futures contracts | (3,394) | |
Swaps | (52) | |
Capital gain distributions from Fidelity Central Funds | 18,696 | |
Total net realized gain (loss) | (145,153) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 203,831 | |
Fidelity Central Funds | 9,859 | |
Futures contracts | 230 | |
Swaps | (1,187) | |
Delayed delivery commitments | 1,204 | |
Total change in net unrealized appreciation (depreciation) | 213,937 | |
Net gain (loss) | 68,784 | |
Net increase (decrease) in net assets resulting from operations | $643,060 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2019 (Unaudited) | Year ended August 31, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $574,276 | $1,070,320 |
Net realized gain (loss) | (145,153) | (119,066) |
Change in net unrealized appreciation (depreciation) | 213,937 | (1,024,651) |
Net increase (decrease) in net assets resulting from operations | 643,060 | (73,397) |
Distributions to shareholders | (613,063) | |
Distributions to shareholders from net investment income | | (1,042,939) |
Distributions to shareholders from net realized gain | | (160,473) |
Total distributions | (613,063) | (1,203,412) |
Share transactions | ||
Proceeds from sales of shares | 8,478,691 | 48,985,193 |
Reinvestment of distributions | 613,063 | 1,203,412 |
Cost of shares redeemed | (10,167,125) | (43,441,240) |
Net increase (decrease) in net assets resulting from share transactions | (1,075,371) | 6,747,365 |
Total increase (decrease) in net assets | (1,045,374) | 5,470,556 |
Net Assets | ||
Beginning of period | 34,273,245 | 28,802,689 |
End of period | $33,227,871 | $34,273,245 |
Other Information | ||
Undistributed net investment income end of period | $53,209 | |
Shares | ||
Sold | 870,189 | 4,932,002 |
Issued in reinvestment of distributions | 63,013 | 120,969 |
Redeemed | (1,048,566) | (4,382,030) |
Net increase (decrease) | (115,364) | 670,941 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Flex Core Bond Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | ||
2019 | 2018 | 2017 A | |
Selected PerShare Data | |||
Net asset value, beginning of period | $9.82 | $10.22 | $10.00 |
Income from Investment Operations | |||
Net investment income (loss)B | .172 | .323 | .145 |
Net realized and unrealized gain (loss) | .043 | (.355) | .209 |
Total from investment operations | .215 | (.032) | .354 |
Distributions from net investment income | (.185) | (.316) | (.134) |
Distributions from net realized gain | | (.052) | |
Total distributions | (.185) | (.368) | (.134) |
Net asset value, end of period | $9.85 | $9.82 | $10.22 |
Total ReturnC,D | 2.22% | (.30)% | 3.55% |
Ratios to Average Net AssetsE,F | |||
Expenses before reductionsG | - %H | -% | - %H |
Expenses net of fee waivers, if anyG | - %H | -% | - %H |
Expenses net of all reductionsG | - %H | -% | - %H |
Net investment income (loss) | 3.57%H | 3.26% | 2.94%H |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $33,228 | $34,273 | $28,803 |
Portfolio turnover rateI | 93%H | 44% | 60%J |
A For the period March 7, 2017 (commencement of operations) to August 31, 2017.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
G Amount represents less than .005%.
H Annualized
I Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
J Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended February 28, 2019
1. Organization.
Fidelity Flex Core Bond Fund (the Fund) is a fund of Fidelity Income Fund (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. 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 is available only to certain fee-based accounts offered by Fidelity.
2. Investments in Fidelity Central Funds.
The Fund invests 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 Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the 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 Fund. These strategies are consistent with the investment objectives of the 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 Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Floating Rate Central Fund | FMR Co., Inc. (FMRC) | 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 Mortgage Backed Securities Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Futures Options Restricted Securities | Less than .005% |
Fidelity Specialized High Income Central Fund | FMRC | Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. | Delayed Delivery & When Issued Securities Loans & Direct Debt Instruments Restricted Securities | 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 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. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) 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 are available on the SEC website or upon request.
3. 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 Investments 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 following summarizes the significant accounting policies of the Fund:
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 delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, foreign government and government agency obligations, municipal securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in 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 28, 2019 is included at the end of the Fund's Schedule of Investments.
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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. 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.
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. 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 the short-term gain distributions from the Fidelity Central Funds, market discount, 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 | $139,306 |
Gross unrealized depreciation | (558,113) |
Net unrealized appreciation (depreciation) | $(418,807) |
Tax cost | $34,950,060 |
The Fund elected to defer to its next fiscal year approximately $121,445 of capital losses recognized during the period November 1, 2017 to August 31, 2018.
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund 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. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. 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. During the period, the Fund transacted in TBA securities that involved 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. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the 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 the 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, the 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 Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Restricted Securities. The Fund 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 is included at the end of the Fund's Schedule of Investments.
New Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.
Financial Statement | Current Line-Item Presentation (As Applicable) | Prior Line-Item Presentation (As Applicable) |
Statement of Assets and Liabilities | Total distributable earnings (loss) | Undistributed/Distributions in excess of/Accumulated net investment income (loss) Accumulated/Undistributed net realized gain (loss) Net unrealized appreciation (depreciation) |
Statement of Changes in Net Assets | N/A - removed | Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period |
Statement of Changes in Net Assets | Distributions to shareholders | Distributions to shareholders from net investment income Distributions to shareholders from net realized gain |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures 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.
The Fund used derivatives 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 Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the 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 the 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, the 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 the 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, the Fund receives collateral in the form of cash or securities once the Fund's 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 Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss 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 the Fund. The 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 futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
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 of the Fund, 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) |
Credit Risk | ||
Swaps | $(52) | $(1,187) |
Total Credit Risk | $(52) | $(1,187) |
Interest Rate Risk | ||
Futures Contracts | $(3,394) | $230 |
Purchased Options | | (1,109) |
Total Interest Rate Risk | $(3,394) | $(879) |
Totals | $(3,446) | $(2,066) |
A summary of the value of derivatives by primary risk exposure as of period end 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. The Fund used futures contracts to manage its 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 (variation margin) 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. 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. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its 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 on 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 the Fund will realize a gain or loss 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.
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.
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 net unrealized appreciation (depreciation) 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.
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.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the 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 the 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, the 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 the 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 the 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.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $2,423,546 and $1,009,048, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services and the Fund does not pay any fees for these services. Under the management contract, the investment adviser or an affiliate pays all other expenses of the Fund, excluding fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Interfund Trades. The Fund 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. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
7. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $44 and is reflected in Commitment fees on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
8. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the 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, 2018 to February 28, 2019).
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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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 Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2018 | Ending Account Value February 28, 2019 | Expenses Paid During Period-B September 1, 2018 to February 28, 2019 |
|
Actual | - %C | $1,000.00 | $1,022.20 | $-D |
Hypothetical-E | $1,000.00 | $1,024.79 | $-D |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year ranged from less than .005% to .01%.
C Amount represents less than .005%.
D Amount represents less than $.005
E 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Flex Core Bond Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (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 has established four standing committees (Committees) Operations, Audit, Fair Valuation, and Governance and Nominating each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. 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 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 2018 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.
Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. 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, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated 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, 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 the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.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 through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers. Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits 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 mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest, and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain growth equity funds and index funds; (vii) lowering expense caps for certain existing funds and classes, and converting certain voluntary expense caps to contractual caps, to reduce expenses borne by shareholders; (viii) eliminating short-term redemption fees for funds that had such fees; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals. Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. As the fund recently commenced operations, the Board did not believe that it was appropriate to assign significant weight to its limited investment performance.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 noted that the fund is available exclusively to certain Fidelity fee-based programs. The Board considered that the fund does not pay FMR a management fee for investment advisory services, but that FMR is indirectly compensated for its services out of the program fees. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except Independent Trustee fees and expenses, proxy and shareholder meeting expenses, interest, taxes, brokerage expenses, and extraordinary expenses (such as litigation expenses).Based on its review, the Board considered that the fund does not pay a management fee and concluded that the total expense ratio 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 level of Fidelity's profits in respect of all the Fidelity funds.PricewaterhouseCoopers LLP (PwC), auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of the fund profitability information and its conformity to established allocation methodologies. After considering PwC's 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 mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.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 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 Contract. 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 the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of Fidelity's voluntary expense limitation agreements; (vi) the methodology with respect to competitive fund data and peer group classifications; (vii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (viii) new developments in the retail and institutional marketplaces and the competitive positioning of the funds relative to other investment products and services; (ix) the impact of recent changes to the money market fund landscape, including the full implementation of money market fund reform and rising interest rates, on Fidelity's money market funds; (x) the funds' share class structures and distribution channels; and (xi) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons, and actions that might be taken by Fidelity to reduce total expense ratios for certain classes. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
ZCD-SANN-0419
1.9881606.101
Fidelity® Total Bond K6 Fund Semi-Annual Report February 28, 2019 |
|
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a funds shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
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Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-835-5092 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.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2019 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SECs web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SECs Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.Quality Diversification (% of fund's net assets)
As of February 28, 2019 | ||
U.S. Government and U.S. Government Agency Obligations | 56.9% | |
AAA | 2.8% | |
AA | 0.2% | |
A | 5.2% | |
BBB | 15.4% | |
BB and Below | 18.2% | |
Not Rated | 0.6% | |
Equities | 0.1% | |
Short-Term Investments and Net Other Assets | 0.6% |
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.
Asset Allocation (% of fund's net assets)
As of February 28, 2019*,**,*** | ||
Corporate Bonds | 31.5% | |
U.S. Government and U.S. Government Agency Obligations | 56.9% | |
Asset-Backed Securities | 1.6% | |
CMOs and Other Mortgage Related Securities | 2.4% | |
Municipal Bonds | 0.4% | |
Stocks | 0.1% | |
Other Investments | 6.5% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.6% |
* Foreign investments - 6.3%
** Futures and Swaps - 0.2%
*** Written options - (0.2)%
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.
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Schedule of Investments February 28, 2019 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 22.7% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 1.8% | |||
Diversified Telecommunication Services - 0.6% | |||
AT&T, Inc.: | |||
3.6% 2/17/23 | $1,890,000 | $1,901,872 | |
4.45% 4/1/24 | 51,000 | 52,795 | |
6.3% 1/15/38 | 1,100,000 | 1,227,023 | |
Verizon Communications, Inc.: | |||
3.85% 11/1/42 | 147,000 | 132,485 | |
4.522% 9/15/48 | 224,000 | 219,827 | |
4.862% 8/21/46 | 419,000 | 430,834 | |
5.012% 4/15/49 | 160,000 | 167,478 | |
5.012% 8/21/54 | 2,082,000 | 2,138,733 | |
5.5% 3/16/47 | 461,000 | 512,495 | |
6,783,542 | |||
Entertainment - 0.1% | |||
NBCUniversal, Inc.: | |||
4.45% 1/15/43 | 245,000 | 242,865 | |
5.95% 4/1/41 | 172,000 | 203,125 | |
Time Warner, Inc. 6.2% 3/15/40 | 840,000 | 920,699 | |
1,366,689 | |||
Media - 1.1% | |||
21st Century Fox America, Inc. 7.75% 12/1/45 | 370,000 | 545,249 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.908% 7/23/25 | 945,000 | 978,942 | |
5.375% 5/1/47 | 2,000,000 | 1,896,244 | |
5.75% 4/1/48 | 861,000 | 861,696 | |
Comcast Corp.: | |||
3.9% 3/1/38 | 132,000 | 124,843 | |
3.969% 11/1/47 | 439,000 | 407,227 | |
3.999% 11/1/49 | 486,000 | 451,332 | |
4% 3/1/48 | 241,000 | 225,323 | |
4.6% 8/15/45 | 347,000 | 350,338 | |
4.65% 7/15/42 | 310,000 | 314,799 | |
6.45% 3/15/37 | 365,000 | 449,432 | |
Fox Corp.: | |||
3.666% 1/25/22 (a) | 123,000 | 124,432 | |
4.03% 1/25/24 (a) | 216,000 | 220,133 | |
4.709% 1/25/29 (a) | 312,000 | 323,403 | |
5.476% 1/25/39 (a) | 308,000 | 322,864 | |
5.576% 1/25/49 (a) | 204,000 | 215,431 | |
Time Warner Cable, Inc.: | |||
4% 9/1/21 | 1,480,000 | 1,494,508 | |
7.3% 7/1/38 | 2,420,000 | 2,731,161 | |
12,037,357 | |||
TOTAL COMMUNICATION SERVICES | 20,187,588 | ||
CONSUMER DISCRETIONARY - 0.4% | |||
Automobiles - 0.4% | |||
General Motors Financial Co., Inc. 4.375% 9/25/21 | 3,950,000 | 4,014,469 | |
CONSUMER STAPLES - 2.3% | |||
Beverages - 1.4% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 2,325,000 | 2,250,372 | |
4.9% 2/1/46 | 4,500,000 | 4,330,834 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
4.75% 4/15/58 | 613,000 | 556,414 | |
5.45% 1/23/39 | 800,000 | 839,565 | |
5.55% 1/23/49 | 1,824,000 | 1,915,772 | |
5.8% 1/23/59 (Reg. S) | 1,933,000 | 2,062,118 | |
Molson Coors Brewing Co. 5% 5/1/42 | 2,945,000 | 2,786,813 | |
14,741,888 | |||
Tobacco - 0.9% | |||
Altria Group, Inc.: | |||
3.875% 9/16/46 | 1,521,000 | 1,152,683 | |
4.25% 8/9/42 | 932,000 | 752,749 | |
4.4% 2/14/26 | 412,000 | 415,246 | |
4.5% 5/2/43 | 632,000 | 523,148 | |
4.8% 2/14/29 | 536,000 | 534,939 | |
5.375% 1/31/44 | 1,137,000 | 1,058,443 | |
5.95% 2/14/49 | 600,000 | 598,550 | |
BAT Capital Corp. 4.54% 8/15/47 | 4,500,000 | 3,650,195 | |
Imperial Tobacco Finance PLC 4.25% 7/21/25 (a) | 1,564,000 | 1,561,898 | |
Reynolds American, Inc. 7.25% 6/15/37 | 75,000 | 81,975 | |
10,329,826 | |||
TOTAL CONSUMER STAPLES | 25,071,714 | ||
ENERGY - 4.6% | |||
Oil, Gas & Consumable Fuels - 4.6% | |||
Alberta Energy Co. Ltd.: | |||
7.375% 11/1/31 | 435,000 | 516,017 | |
8.125% 9/15/30 | 1,083,000 | 1,330,636 | |
Amerada Hess Corp. 7.3% 8/15/31 | 231,000 | 263,180 | |
Anadarko Finance Co. 7.5% 5/1/31 | 927,000 | 1,121,875 | |
Anadarko Petroleum Corp.: | |||
4.5% 7/15/44 | 1,032,000 | 933,648 | |
5.55% 3/15/26 | 831,000 | 887,967 | |
6.2% 3/15/40 | 700,000 | 768,486 | |
6.45% 9/15/36 | 600,000 | 675,246 | |
6.6% 3/15/46 | 807,000 | 954,143 | |
Canadian Natural Resources Ltd.: | |||
3.9% 2/1/25 | 525,000 | 526,530 | |
5.85% 2/1/35 | 525,000 | 573,802 | |
Cenovus Energy, Inc.: | |||
4.25% 4/15/27 | 1,034,000 | 984,686 | |
6.75% 11/15/39 | 650,000 | 686,452 | |
Columbia Pipeline Group, Inc.: | |||
4.5% 6/1/25 | 25,000 | 25,663 | |
5.8% 6/1/45 | 10,000 | 10,847 | |
DCP Midstream LLC 5.85% 5/21/43 (a)(b) | 2,020,000 | 1,787,700 | |
DCP Midstream Operating LP 3.875% 3/15/23 | 520,000 | 516,100 | |
Enbridge, Inc. 4.25% 12/1/26 | 525,000 | 535,357 | |
Encana Corp. 6.625% 8/15/37 | 350,000 | 398,221 | |
Energy Transfer Partners LP: | |||
4.2% 9/15/23 | 145,000 | 147,894 | |
4.5% 4/15/24 | 215,000 | 220,766 | |
4.95% 6/15/28 | 494,000 | 503,342 | |
5.25% 4/15/29 | 350,000 | 365,991 | |
5.8% 6/15/38 | 275,000 | 280,681 | |
6% 6/15/48 | 1,179,000 | 1,223,318 | |
6.25% 4/15/49 | 545,000 | 584,928 | |
Enterprise Products Operating LP 3.75% 2/15/25 | 20,000 | 20,253 | |
Kinder Morgan Energy Partners LP 6.55% 9/15/40 | 1,365,000 | 1,568,742 | |
Kinder Morgan, Inc. 5.55% 6/1/45 | 415,000 | 435,697 | |
Marathon Petroleum Corp. 5.125% 3/1/21 | 35,000 | 36,200 | |
MPLX LP: | |||
4.5% 7/15/23 | 274,000 | 283,209 | |
4.8% 2/15/29 | 175,000 | 179,406 | |
4.875% 12/1/24 | 272,000 | 283,959 | |
5.5% 2/15/49 | 525,000 | 537,698 | |
Petrobras Global Finance BV: | |||
5.75% 2/1/29 | 1,000,000 | 996,850 | |
6.125% 1/17/22 | 927,000 | 975,658 | |
7.25% 3/17/44 | 2,500,000 | 2,671,250 | |
7.375% 1/17/27 | 2,130,000 | 2,340,870 | |
Petroleos Mexicanos: | |||
4.625% 9/21/23 | 6,000,000 | 5,746,200 | |
6.35% 2/12/48 | 3,350,000 | 2,778,825 | |
6.375% 1/23/45 | 2,300,000 | 1,931,425 | |
6.5% 3/13/27 | 20,000 | 19,310 | |
6.75% 9/21/47 | 5,720,000 | 4,959,812 | |
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 | 923,000 | 887,865 | |
The Williams Companies, Inc.: | |||
3.7% 1/15/23 | 2,000,000 | 1,998,252 | |
4.55% 6/24/24 | 70,000 | 72,100 | |
5.75% 6/24/44 | 35,000 | 36,872 | |
Western Gas Partners LP: | |||
4.5% 3/1/28 | 200,000 | 193,572 | |
4.65% 7/1/26 | 35,000 | 34,741 | |
4.75% 8/15/28 | 168,000 | 165,787 | |
5.375% 6/1/21 | 1,563,000 | 1,610,246 | |
Williams Partners LP 4.3% 3/4/24 | 2,000,000 | 2,045,660 | |
49,633,935 | |||
FINANCIALS - 9.2% | |||
Banks - 3.7% | |||
Bank of America Corp.: | |||
3.004% 12/20/23 (b) | 2,001,000 | 1,974,983 | |
3.5% 4/19/26 | 2,630,000 | 2,603,351 | |
3.705% 4/24/28 (b) | 528,000 | 520,757 | |
4.45% 3/3/26 | 245,000 | 249,446 | |
Barclays PLC 4.375% 1/12/26 | 900,000 | 892,651 | |
CIT Group, Inc. 6.125% 3/9/28 | 640,000 | 692,800 | |
Citigroup, Inc.: | |||
2.4% 2/18/20 | 1,142,000 | 1,136,260 | |
3.142% 1/24/23 (b) | 443,000 | 441,330 | |
4.3% 11/20/26 | 3,714,000 | 3,718,865 | |
4.4% 6/10/25 | 2,086,000 | 2,119,698 | |
5.5% 9/13/25 | 566,000 | 611,327 | |
Credit Suisse Group Funding Guernsey Ltd.: | |||
3.75% 3/26/25 | 1,200,000 | 1,185,809 | |
3.8% 6/9/23 | 1,250,000 | 1,249,917 | |
4.55% 4/17/26 | 388,000 | 397,482 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (a) | 200,000 | 185,310 | |
5.71% 1/15/26 (a) | 1,649,000 | 1,544,182 | |
JPMorgan Chase & Co.: | |||
2.95% 10/1/26 | 3,085,000 | 2,941,196 | |
3.797% 7/23/24 (b) | 35,000 | 35,500 | |
3.882% 7/24/38 (b) | 1,000,000 | 948,439 | |
4.35% 8/15/21 | 2,425,000 | 2,497,440 | |
4.452% 12/5/29 (b) | 5,500,000 | 5,756,205 | |
Rabobank Nederland 4.375% 8/4/25 | 500,000 | 505,800 | |
Regions Bank 6.45% 6/26/37 | 250,000 | 297,153 | |
Royal Bank of Scotland Group PLC: | |||
6% 12/19/23 | 237,000 | 249,041 | |
6.125% 12/15/22 | 6,545,000 | 6,904,913 | |
UniCredit SpA 6.572% 1/14/22 (a) | 948,000 | 971,851 | |
40,631,706 | |||
Capital Markets - 3.7% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 390,000 | 400,586 | |
Credit Suisse Group AG: | |||
3.869% 1/12/29 (a)(b) | 1,570,000 | 1,510,349 | |
4.207% 6/12/24 (a)(b) | 500,000 | 502,510 | |
Deutsche Bank AG 4.5% 4/1/25 | 2,300,000 | 2,141,048 | |
Deutsche Bank AG New York Branch: | |||
3.15% 1/22/21 | 625,000 | 610,517 | |
4.1% 1/13/26 | 1,100,000 | 1,017,662 | |
5% 2/14/22 | 1,568,000 | 1,577,691 | |
Goldman Sachs Group, Inc.: | |||
2.876% 10/31/22 (b) | 170,000 | 167,453 | |
3.2% 2/23/23 | 3,000,000 | 2,974,006 | |
3.691% 6/5/28 (b) | 4,660,000 | 4,512,454 | |
3.75% 5/22/25 | 525,000 | 522,462 | |
3.814% 4/23/29 (b) | 1,025,000 | 997,738 | |
4.017% 10/31/38 (b) | 1,000,000 | 925,072 | |
4.223% 5/1/29 (b) | 2,500,000 | 2,505,010 | |
6.75% 10/1/37 | 278,000 | 330,627 | |
Moody's Corp.: | |||
3.25% 1/15/28 | 10,000 | 9,550 | |
4.875% 2/15/24 | 9,000 | 9,519 | |
Morgan Stanley: | |||
3.125% 7/27/26 | 2,621,000 | 2,500,842 | |
3.737% 4/24/24 (b) | 2,500,000 | 2,521,784 | |
3.772% 1/24/29 (b) | 1,500,000 | 1,476,374 | |
4.431% 1/23/30 (b) | 742,000 | 766,140 | |
5% 11/24/25 | 5,722,000 | 6,014,544 | |
5.625% 9/23/19 | 100,000 | 101,476 | |
5.75% 1/25/21 | 4,650,000 | 4,872,727 | |
UBS Group Funding AG 2.859% 8/15/23 (a)(b) | 1,000,000 | 977,743 | |
UBS Group Funding Ltd. 4.125% 9/24/25 (a) | 500,000 | 508,409 | |
40,454,293 | |||
Consumer Finance - 1.0% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
4.125% 7/3/23 | 512,000 | 508,610 | |
4.45% 12/16/21 | 500,000 | 506,569 | |
4.875% 1/16/24 | 258,000 | 264,011 | |
Capital One Financial Corp.: | |||
2.5% 5/12/20 | 625,000 | 620,791 | |
3.8% 1/31/28 | 437,000 | 419,964 | |
Discover Financial Services: | |||
3.95% 11/6/24 | 4,380,000 | 4,335,154 | |
4.1% 2/9/27 | 366,000 | 356,180 | |
4.5% 1/30/26 | 803,000 | 806,713 | |
Ford Motor Credit Co. LLC: | |||
5.085% 1/7/21 | 502,000 | 511,332 | |
5.596% 1/7/22 | 1,038,000 | 1,063,414 | |
Synchrony Financial 3.95% 12/1/27 | 1,065,000 | 975,223 | |
10,367,961 | |||
Diversified Financial Services - 0.4% | |||
AXA Equitable Holdings, Inc. 3.9% 4/20/23 | 110,000 | 110,859 | |
Brixmor Operating Partnership LP: | |||
3.25% 9/15/23 | 1,035,000 | 1,004,556 | |
3.875% 8/15/22 | 473,000 | 473,268 | |
Cigna Corp.: | |||
4.125% 11/15/25 (a) | 342,000 | 347,128 | |
4.375% 10/15/28 (a) | 884,000 | 896,071 | |
4.8% 8/15/38 (a) | 550,000 | 548,923 | |
4.9% 12/15/48 (a) | 550,000 | 547,618 | |
Voya Financial, Inc. 3.125% 7/15/24 | 812,000 | 785,765 | |
4,714,188 | |||
Insurance - 0.4% | |||
Marsh & McLennan Companies, Inc.: | |||
4.375% 3/15/29 | 678,000 | 698,772 | |
4.75% 3/15/39 | 311,000 | 322,024 | |
4.9% 3/15/49 | 619,000 | 651,114 | |
Pacific LifeCorp 5.125% 1/30/43 (a) | 950,000 | 971,674 | |
Pricoa Global Funding I 5.375% 5/15/45 (b) | 1,045,000 | 1,037,946 | |
TIAA Asset Management Finance LLC 4.125% 11/1/24 (a) | 80,000 | 82,594 | |
Unum Group 3.875% 11/5/25 | 50,000 | 48,625 | |
3,812,749 | |||
TOTAL FINANCIALS | 99,980,897 | ||
HEALTH CARE - 1.6% | |||
Biotechnology - 0.0% | |||
AbbVie, Inc. 4.5% 5/14/35 | 442,000 | 414,781 | |
Health Care Equipment & Supplies - 0.1% | |||
Becton, Dickinson & Co.: | |||
2.894% 6/6/22 | 460,000 | 454,893 | |
3.7% 6/6/27 | 164,000 | 158,871 | |
613,764 | |||
Health Care Providers & Services - 1.1% | |||
Cigna Corp. 3.75% 7/15/23 (a) | 708,000 | 716,478 | |
CVS Health Corp.: | |||
4.1% 3/25/25 | 1,145,000 | 1,160,689 | |
4.3% 3/25/28 | 1,329,000 | 1,329,911 | |
4.78% 3/25/38 | 2,092,000 | 2,035,021 | |
5.05% 3/25/48 | 2,870,000 | 2,843,930 | |
Elanco Animal Health, Inc.: | |||
3.912% 8/27/21 (a) | 146,000 | 146,924 | |
4.272% 8/28/23 (a) | 459,000 | 465,796 | |
4.9% 8/28/28 (a) | 194,000 | 200,986 | |
HCA Holdings, Inc. 6.5% 2/15/20 | 950,000 | 978,410 | |
Toledo Hospital: | |||
5.325% 11/15/28 | 319,000 | 327,777 | |
6.015% 11/15/48 | 1,529,000 | 1,617,730 | |
11,823,652 | |||
Pharmaceuticals - 0.4% | |||
Actavis Funding SCS 3.45% 3/15/22 | 40,000 | 39,824 | |
Bayer U.S. Finance II LLC 4.25% 12/15/25 (a) | 809,000 | 809,168 | |
Mylan NV: | |||
3.15% 6/15/21 | 50,000 | 49,430 | |
3.95% 6/15/26 | 1,370,000 | 1,277,573 | |
4.55% 4/15/28 | 450,000 | 424,641 | |
Shire Acquisitions Investments Ireland DAC 2.4% 9/23/21 | 1,162,000 | 1,135,576 | |
Teva Pharmaceutical Finance Netherlands III BV 2.8% 7/21/23 | 600,000 | 542,888 | |
Zoetis, Inc. 3.45% 11/13/20 | 15,000 | 15,076 | |
4,294,176 | |||
TOTAL HEALTH CARE | 17,146,373 | ||
INDUSTRIALS - 0.4% | |||
Aerospace & Defense - 0.1% | |||
BAE Systems Holdings, Inc. 3.8% 10/7/24 (a) | 1,040,000 | 1,046,730 | |
Trading Companies & Distributors - 0.3% | |||
Air Lease Corp.: | |||
3.875% 7/3/23 | 877,000 | 872,792 | |
4.25% 2/1/24 | 977,000 | 982,527 | |
International Lease Finance Corp. 5.875% 8/15/22 | 2,000,000 | 2,126,201 | |
3,981,520 | |||
TOTAL INDUSTRIALS | 5,028,250 | ||
INFORMATION TECHNOLOGY - 0.1% | |||
Electronic Equipment & Components - 0.1% | |||
Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | |||
5.45% 6/15/23 (a) | 800,000 | 840,621 | |
6.02% 6/15/26 (a) | 258,000 | 273,603 | |
1,114,224 | |||
MATERIALS - 0.1% | |||
Metals & Mining - 0.1% | |||
Corporacion Nacional del Cobre de Chile (Codelco): | |||
3.625% 8/1/27 (a) | 500,000 | 493,405 | |
4.5% 8/1/47 (a) | 500,000 | 500,980 | |
994,385 | |||
REAL ESTATE - 1.6% | |||
Equity Real Estate Investment Trusts (REITs) - 1.1% | |||
Boston Properties, Inc. 4.5% 12/1/28 | 605,000 | 627,296 | |
Corporate Office Properties LP: | |||
5% 7/1/25 | 3,650,000 | 3,741,441 | |
5.25% 2/15/24 | 146,000 | 151,926 | |
Duke Realty LP 3.625% 4/15/23 | 50,000 | 50,273 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 244,000 | 240,354 | |
Omega Healthcare Investors, Inc.: | |||
4.375% 8/1/23 | 1,665,000 | 1,674,713 | |
4.75% 1/15/28 | 3,349,000 | 3,348,776 | |
Store Capital Corp. 4.625% 3/15/29 | 315,000 | 310,939 | |
Ventas Realty LP: | |||
3.5% 2/1/25 | 1,265,000 | 1,246,761 | |
4% 3/1/28 | 218,000 | 214,916 | |
WP Carey, Inc. 4% 2/1/25 | 489,000 | 482,316 | |
12,089,711 | |||
Real Estate Management & Development - 0.5% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 560,000 | 562,433 | |
3.95% 11/15/27 | 421,000 | 405,334 | |
4.1% 10/1/24 | 833,000 | 829,958 | |
Digital Realty Trust LP: | |||
4.75% 10/1/25 | 1,445,000 | 1,503,131 | |
5.25% 3/15/21 | 30,000 | 30,952 | |
Liberty Property LP 4.4% 2/15/24 | 40,000 | 41,346 | |
Tanger Properties LP 3.125% 9/1/26 | 2,075,000 | 1,882,833 | |
5,255,987 | |||
TOTAL REAL ESTATE | 17,345,698 | ||
UTILITIES - 0.6% | |||
Electric Utilities - 0.3% | |||
FirstEnergy Corp.: | |||
4.25% 3/15/23 | 45,000 | 46,087 | |
7.375% 11/15/31 | 1,985,000 | 2,557,963 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 172,000 | 169,061 | |
2,773,111 | |||
Independent Power and Renewable Electricity Producers - 0.3% | |||
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 | 3,145,000 | 3,373,013 | |
TOTAL UTILITIES | 6,146,124 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $251,352,594) | 246,663,657 | ||
U.S. Government and Government Agency Obligations - 35.5% | |||
U.S. Treasury Inflation-Protected Obligations - 2.9% | |||
U.S. Treasury Inflation-Indexed Bonds: | |||
0.875% 2/15/47 | $8,162,343 | $7,687,842 | |
1% 2/15/48 | 560,340 | 544,590 | |
U.S. Treasury Inflation-Indexed Notes: | |||
0.375% 7/15/27 | 1,200,302 | 1,168,133 | |
0.5% 1/15/28 | 17,871,970 | 17,464,232 | |
0.75% 7/15/28 | 5,104,386 | 5,111,080 | |
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 31,975,877 | ||
U.S. Treasury Obligations - 32.6% | |||
U.S. Treasury Bonds: | |||
2.75% 11/15/47 | 12,580,000 | 11,759,843 | |
3% 2/15/49 (c) | 33,478,000 | 32,920,905 | |
U.S. Treasury Notes: | |||
1.5% 5/15/20 | 15,429,000 | 15,236,138 | |
1.75% 6/30/22 | 227,000 | 221,600 | |
1.875% 3/31/22 | 77,961,000 | 76,544,916 | |
1.875% 7/31/22 | 41,715,000 | 40,854,628 | |
2.125% 12/31/22 | 32,844,000 | 32,374,433 | |
2.125% 7/31/24 | 11,335,000 | 11,085,276 | |
2.25% 12/31/24 | 4,611,000 | 4,528,506 | |
2.375% 2/29/24 | 11,640,000 | 11,562,248 | |
2.5% 3/31/23 | 12,000,000 | 11,990,625 | |
2.5% 1/31/24 | 15,400,000 | 15,383,156 | |
2.625% 6/30/23 | 26,700,000 | 26,809,512 | |
2.875% 10/31/23 | 38,150,000 | 38,722,250 | |
2.875% 11/30/25 | 5,996,000 | 6,090,156 | |
3.125% 11/15/28 | 17,606,000 | 18,207,080 | |
TOTAL U.S. TREASURY OBLIGATIONS | 354,291,272 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $388,212,545) | 386,267,149 | ||
U.S. Government Agency - Mortgage Securities - 2.6% | |||
Fannie Mae - 2.2% | |||
3% 3/1/49 (d) | 2,750,000 | 2,686,421 | |
3% 3/1/49 (d) | 2,750,000 | 2,686,421 | |
3% 3/1/49 (d) | 5,500,000 | 5,372,841 | |
3.5% 3/1/49 (d) | 2,925,000 | 2,925,576 | |
3.5% 3/1/49 (d) | 450,000 | 450,089 | |
4% 3/1/49 (d) | 4,900,000 | 4,994,678 | |
4.5% 3/1/49 (d) | 1,100,000 | 1,138,179 | |
4.5% 3/1/49 (d) | 500,000 | 517,354 | |
4.5% 3/1/49 (d) | 1,700,000 | 1,759,004 | |
4.5% 3/1/49 (d) | 1,200,000 | 1,241,650 | |
TOTAL FANNIE MAE | 23,772,213 | ||
Freddie Mac - 0.2% | |||
4% 3/1/49 (d) | 2,000,000 | 2,039,816 | |
Ginnie Mae - 0.2% | |||
3.5% 3/1/49 (d) | 1,125,000 | 1,134,735 | |
4.5% 3/1/49 (d) | 100,000 | 103,466 | |
4.5% 3/1/49 (d) | 100,000 | 103,466 | |
4.5% 3/1/49 (d) | 100,000 | 103,466 | |
4.5% 3/1/49 (d) | 300,000 | 310,399 | |
4.5% 3/1/49 (d) | 100,000 | 103,466 | |
4.5% 4/1/49 (d) | 300,000 | 310,235 | |
4.5% 4/1/49 (d) | 100,000 | 103,412 | |
4.5% 4/1/49 (d) | 100,000 | 103,412 | |
TOTAL GINNIE MAE | 2,376,057 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $28,124,374) | 28,188,086 | ||
Asset-Backed Securities - 1.4% | |||
AASET Trust Series 2018-1A Class A, 3.844% 1/16/38 (a) | $423,567 | $421,381 | |
Argent Securities, Inc. pass-thru certificates Series 2005-W2 Class A2C, 1 month U.S. LIBOR + 0.360% 2.8499% 10/25/35 (b)(e) | 504,192 | 504,249 | |
CAM Mortgage Trust Series 2018-1 Class A1, 3.96% 12/1/65 (a) | 190,400 | 189,862 | |
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (a) | 815,136 | 814,089 | |
CLUB Credit Trust: | |||
Series 2017-P1 Class A, 2.42% 9/15/23 (a) | 24,077 | 24,063 | |
Series 2018-NP1 Class A, 2.99% 5/15/24 (a) | 1,118 | 1,118 | |
Consumer Loan Underlying Bond Credit Trust Series 2018-P3 Class A, 3.82% 1/15/26 (a) | 370,531 | 371,080 | |
DB Master Finance LLC: | |||
Series 2015-1A Class A2II, 3.98% 2/20/45 (a) | 2,020,800 | 2,025,852 | |
Series 2017-1A: | |||
Class A2I, 3.629% 11/20/47 (a) | 274,525 | 270,175 | |
Class A2II, 4.03% 11/20/47 (a) | 472,025 | 464,264 | |
Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 | 990,000 | 1,003,993 | |
GCO Education Loan Funding Master Trust II Series 2007-1A Class A6L, 3 month U.S. LIBOR + 0.110% 2.7993% 11/25/26 (a)(b)(e) | 334,426 | 332,543 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (a) | 467,923 | 474,577 | |
Kubota Credit Owner Trust Series 2018-1A Class A3, 3.1% 8/15/22 (a) | 1,800,000 | 1,803,646 | |
Magnetite CLO Ltd. Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 0% 4/20/30 (a)(b)(d)(e) | 975,000 | 975,000 | |
Nationstar HECM Loan Trust Series 2018-2A Class A, 3.1877% 7/25/28 (a) | 557,438 | 557,639 | |
Navient Student Loan Trust Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 3.0899% 7/26/66 (a)(b)(e) | 100,000 | 100,119 | |
Prosper Marketplace Issuance Trust: | |||
Series 2018-1A Class A, 3.11% 6/17/24 (a) | 140,199 | 140,268 | |
Series 2018-2A Class A, 3.35% 10/15/24 (a) | 660,386 | 661,127 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (a) | 973,149 | 979,043 | |
Towd Point Mortgage Trust: | |||
Series 2018-3 Class A1, 3.75% 5/25/58 (a) | 771,472 | 774,307 | |
Series 2018-6 Class A1A, 3.75% 3/25/58 (a) | 1,140,292 | 1,142,842 | |
Series 2019-1 Class A1, 3.75% 3/25/58 (a) | 494,459 | 494,802 | |
Upgrade Receivables Trust Series 2019-1A Class A, 3.48% 3/15/25 (a) | 475,000 | 475,250 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $14,974,653) | 15,001,289 | ||
Collateralized Mortgage Obligations - 0.4% | |||
Private Sponsor - 0.4% | |||
Citigroup Mortgage Loan Trust, Inc. sequential payer Series 2009-5 Class 5A1, 4.704% 1/25/37 (a)(b) | 316,398 | 321,350 | |
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(b) | 284,195 | 281,552 | |
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 3.101% 8/25/60 (a)(e) | 801,139 | 797,836 | |
Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 3.2073% 10/15/54 (a)(b)(e) | 900,000 | 897,785 | |
Lanark Master Issuer PLC floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 3.467% 12/22/69(a)(b)(e) | 638,000 | 639,021 | |
Permanent Master Issuer PLC floater Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 3.1673% 7/15/58 (a)(b)(e) | 1,579,000 | 1,573,278 | |
Winwater Mortgage Loan Trust sequential payer Series 2015-1 Class A9, 2.5% 1/20/45 (a) | 102,703 | 101,861 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $4,628,354) | 4,612,683 | ||
Commercial Mortgage Securities - 2.0% | |||
Barclays Commercial Mortgage Securities LLC Series 2018-C2 Class A5, 4.314% 12/15/51 | 1,100,000 | 1,162,364 | |
Benchmark Mortgage Trust: | |||
Series 2018-B8 Class A5, 4.2317% 1/15/52 | 1,658,000 | 1,743,708 | |
Series 2019-B9 Class A5, 4.0156% 3/15/52 | 2,100,000 | 2,169,989 | |
BX Trust: | |||
floater: | |||
Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.625% 5.1138% 9/15/37 (a)(b)(e) | 271,781 | 271,401 | |
Series 2018-IND Class F, 1 month U.S. LIBOR + 1.800% 4.2888% 11/15/35 (a)(b)(e) | 459,733 | 460,454 | |
Series 2017-IMC Class A, 1 month U.S. LIBOR + 1.050% 3.5388% 10/15/32 (a)(b)(e) | 500,000 | 499,915 | |
Citigroup Commercial Mortgage Trust: | |||
Series 2015-GC29 Class XA, 1.1059% 4/10/48 (b)(f) | 3,533,287 | 166,311 | |
Series 2018-C6 Class A4, 4.412% 11/10/51 | 523,000 | 556,687 | |
COMM Mortgage Trust: | |||
sequential payer Series 2013-CR7 Class AM, 3.314% 3/10/46 (a) | 273,000 | 273,100 | |
Series 2014-CR17 Class XA, 1.0456% 5/10/47 (b)(f) | 1,746,974 | 67,825 | |
Series 2014-CR19 Class XA, 1.1684% 8/10/47 (b)(f) | 4,941,350 | 193,292 | |
Series 2014-LC17 Class XA, 0.8865% 10/10/47 (b)(f) | 4,001,378 | 109,855 | |
Series 2015-DC1 Class XA, 1.1268% 2/10/48 (b)(f) | 1,167,664 | 50,439 | |
Credit Suisse Mortgage Trust Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (a) | 594,000 | 615,600 | |
Class B, 4.5349% 4/15/36 (a) | 107,000 | 110,830 | |
Class C, 4.6278% 4/15/36 (a) | 123,000 | 126,363 | |
Class D, 4.6278% 4/15/36 (a) | 245,000 | 246,149 | |
CSAIL Commercial Mtg Trust Series 2018-C14 Class A4 4.4216% 11/15/51 | 429,000 | 455,504 | |
CSMC Trust Series 2017-PFHP Class D, 1 month U.S. LIBOR + 2.250% 4.7388% 12/15/30 (a)(b)(e) | 1,296,000 | 1,289,641 | |
Freddie Mac Series K079 Class A2, 3.926% 6/25/28 | 312,000 | 329,077 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 3.9388% 9/15/31 (a)(b)(e) | 1,275,000 | 1,276,879 | |
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 3.5788% 10/15/31 (a)(b)(e) | 457,000 | 457,859 | |
sequential payer: | |||
Series 2017-GS8 Class A4, 3.469% 11/10/50 | 270,000 | 268,506 | |
Series 2018-GS10 Class A5, 4.155% 7/10/51 | 250,000 | 260,949 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT: | |||
Class CFX, 4.9498% 7/5/33 (a) | 103,000 | 107,492 | |
Class DFX, 5.3503% 7/5/33 (a) | 159,000 | 165,917 | |
Class EFX, 5.5422% 7/5/33 (a) | 218,000 | 226,550 | |
Class XAFX, 1 month U.S. LIBOR + 0.000% 1.116% 7/5/33 (a)(b)(e)(f) | 2,000,000 | 90,929 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP: | |||
Class B, 1 month U.S. LIBOR + 1.250% 3.7388% 8/15/33 (a)(b)(e) | 627,000 | 623,080 | |
Class C, 1 month U.S. LIBOR + 1.500% 3.9888% 8/15/33 (a)(b)(e) | 1,510,000 | 1,502,448 | |
sequential payer Series 2018-L1 Class A4, 4.407% 10/15/51 | 410,000 | 435,440 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 1,680,000 | 1,772,283 | |
RETL floater Series 2018-RVP Class A, 1 month U.S. LIBOR + 1.100% 3.5888% 3/15/33 (a)(b)(e) | 528,619 | 527,280 | |
UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 1.0685% 12/15/50 (b)(f) | 1,485,767 | 102,309 | |
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 3.2941% 4/10/46 (a)(b)(e) | 888,853 | 901,091 | |
Wells Fargo Commercial Mortgage Trust: | |||
Series 2017-C42 Class XA, 0.8968% 12/15/50 (b)(f) | 3,684,142 | 233,294 | |
Series 2018-C46 Class XA, 0.9491% 8/15/51 (b)(f) | 2,146,081 | 132,334 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 1,256,000 | 1,324,011 | |
WF-RBS Commercial Mortgage Trust: | |||
Series 2014-C21 Class XA, 1.0687% 8/15/47 (b)(f) | 1,202,146 | 49,504 | |
Series 2014-LC14 Class XA, 1.2676% 3/15/47 (b)(f) | 1,486,672 | 69,046 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $21,506,081) | 21,425,705 | ||
Municipal Securities - 0.4% | |||
California Gen. Oblig. Series 2009: | |||
7.35% 11/1/39 | $90,000 | $127,002 | |
7.5% 4/1/34 | 700,000 | 985,558 | |
Illinois Gen. Oblig.: | |||
Series 2003, 5.1% 6/1/33 | 2,525,000 | 2,394,937 | |
Series 2011, 5.877% 3/1/19 | 970,000 | 970,000 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $4,621,202) | 4,477,497 | ||
Foreign Government and Government Agency Obligations - 0.6% | |||
Argentine Republic 5.875% 1/11/28 | $2,000,000 | $1,560,000 | |
Dominican Republic: | |||
5.95% 1/25/27 (a) | 2,850,000 | 2,954,025 | |
6% 7/19/28 (a) | 550,000 | 569,250 | |
Turkish Republic 7.25% 12/23/23 | 1,840,000 | 1,918,034 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $7,342,774) | 7,001,309 | ||
Bank Notes - 0.1% | |||
Discover Bank 4.682% 8/9/28 (b) | 401,000 | 399,765 | |
Synchrony Bank 3.65% 5/24/21 | 559,000 | 561,407 | |
TOTAL BANK NOTES | |||
(Cost $959,464) | 961,172 | ||
Shares | Value | ||
Fixed-Income Funds - 34.4% | |||
Fidelity Floating Rate Central Fund (g) | 604,102 | $61,521,738 | |
Fidelity Mortgage Backed Securities Central Fund (g) | 1,954,761 | 207,556,490 | |
Fidelity Specialized High Income Central Fund (g) | 1,052,590 | 104,248,530 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $376,140,007) | 373,326,758 | ||
Principal Amount | Value | ||
Preferred Securities - 0.1% | |||
FINANCIALS - 0.1% | |||
Banks - 0.1% | |||
Barclays Bank PLC 7.625% 11/21/22 (Cost $1,553,595) | 1,350,000 | 1,484,748 | |
Shares | Value | ||
Money Market Funds - 3.0% | |||
Fidelity Cash Central Fund, 2.44% (h) | |||
(Cost $32,311,963) | 32,306,247 | 32,312,708 | |
Maturity Amount | Value | ||
Repurchase Agreements - 1.8% | |||
Investments in repurchase agreements in a joint trading account at 2.59%, dated 2/28/19 due 3/1/19 (Collateralized by U.S. Government Obligations) # (i) | |||
(Cost $19,106,000) | 19,107,377 | 19,106,000 |
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount | Value | ||
Put Options - 0.0% | ||||
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.99% and receive quarterly a floating rate based on 3 month LIBOR, expiring December 2028. | 12/6/21 | 5,800,000 | $131,172 | |
Call Options - 0.0% | ||||
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.99% and pay quarterly a floating rate based on the 3 month LIBOR, expiring December 2028. | 12/6/21 | 5,800,000 | 202,354 | |
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $376,420) | 333,526 | |||
TOTAL INVESTMENT IN SECURITIES - 105.0% | ||||
(Cost $1,151,210,026) | 1,141,162,287 | |||
NET OTHER ASSETS (LIABILITIES) - (5.0)% | (54,342,092) | |||
NET ASSETS - 100% | $1,086,820,195 |
TBA Sale Commitments | ||
Principal Amount | Value | |
Fannie Mae | ||
3% 3/1/49 | $(5,500,000) | $(5,372,841) |
3% 3/1/49 | (5,500,000) | (5,372,841) |
4% 3/1/49 | (2,000,000) | (2,038,644) |
TOTAL FANNIE MAE | (12,784,326) | |
Ginnie Mae | ||
4.5% 3/1/49 | (300,000) | (310,399) |
4.5% 3/1/49 | (100,000) | (103,466) |
4.5% 3/1/49 | (100,000) | (103,466) |
4.5% 3/1/49 | (100,000) | (103,467) |
TOTAL GINNIE MAE | (620,798) | |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $13,352,438) | $(13,405,124) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 5 | June 2019 | $572,813 | $(1,026) | $(1,026) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 13 | June 2019 | 1,878,094 | (19,526) | (19,526) |
TOTAL PURCHASED | (20,552) | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 15 | June 2019 | 3,182,930 | 1,728 | 1,728 |
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 29 | June 2019 | 3,754,141 | 20,866 | 20,866 |
TOTAL SOLD | 22,594 | ||||
TOTAL FUTURES CONTRACTS | $2,042 |
The notional amount of futures purchased as a percentage of Net Assets is 0.2%
The notional amount of futures sold as a percentage of Net Assets is 0.6%
Swaps
Underlying Reference | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount | Value | Upfront Premium Received/(Paid) | Unrealized Appreciation/(Depreciation) |
Credit Default Swaps | ||||||||
Buy Protection | ||||||||
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | $1,534,000 | $(7,571) | $(11,117) | $(18,688) |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 1,250,000 | (6,170) | (1,444) | (7,614) |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Credit Suisse International | (0.5%) | Monthly | 676,000 | (3,336) | (4,899) | (8,235) |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Credit Suisse International | (0.5%) | Monthly | 1,100,000 | (5,429) | (3,922) | (9,351) |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Credit Suisse International | (0.5%) | Monthly | 1,200,000 | (5,923) | (191) | (6,114) |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | J.P. Morgan Securities LLC | (0.5%) | Monthly | 650,000 | (3,208) | (4,475) | (7,683) |
TOTAL CREDIT DEFAULT SWAPS | $(31,637) | $(26,048) | $(57,685) | |||||
Legend
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $51,046,897 or 4.7% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Security or a portion of the security is on loan at period end.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(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 represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(g) 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-Q 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.
(h) 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.
(i) Includes investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $323,204 |
Fidelity Floating Rate Central Fund | 1,479,175 |
Fidelity Mortgage Backed Securities Central Fund | 2,783,979 |
Fidelity Specialized High Income Central Fund | 2,736,128 |
Total | $7,322,486 |
Amounts in the 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.
Fiscal year to date information regarding the Funds investments in non-Money Market Central Funds, including the ownership percentage, is presented below.
Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Floating Rate Central Fund | $45,682,761 | $15,971,899 | $-- | $-- | $(132,922) | $61,521,738 | 3.0% |
Fidelity Mortgage Backed Securities Central Fund | 160,906,288 | 47,483,506 | 2,505,000 | (3,825) | 1,675,521 | 207,556,490 | 2.3% |
Fidelity Specialized High Income Central Fund | 72,959,541 | 31,042,188 | -- | -- | 246,801 | 104,248,530 | 10.3% |
Total | $279,548,590 | $94,497,593 | $2,505,000 | $(3,825) | $1,789,400 | $373,326,758 |
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2019, 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 | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Corporate Bonds | $246,663,657 | $-- | $246,663,657 | $-- |
U.S. Government and Government Agency Obligations | 386,267,149 | -- | 386,267,149 | -- |
U.S. Government Agency - Mortgage Securities | 28,188,086 | -- | 28,188,086 | -- |
Asset-Backed Securities | 15,001,289 | -- | 15,001,289 | -- |
Collateralized Mortgage Obligations | 4,612,683 | -- | 4,612,683 | -- |
Commercial Mortgage Securities | 21,425,705 | -- | 21,425,705 | -- |
Municipal Securities | 4,477,497 | -- | 4,477,497 | -- |
Foreign Government and Government Agency Obligations | 7,001,309 | -- | 7,001,309 | -- |
Bank Notes | 961,172 | -- | 961,172 | -- |
Fixed-Income Funds | 373,326,758 | 373,326,758 | -- | -- |
Preferred Securities | 1,484,748 | -- | 1,484,748 | -- |
Money Market Funds | 32,312,708 | 32,312,708 | -- | -- |
Repurchase Agreements | 19,106,000 | -- | 19,106,000 | -- |
Purchased Swaptions | 333,526 | -- | 333,526 | -- |
Total Investments in Securities: | $1,141,162,287 | $405,639,466 | $735,522,821 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $22,594 | $22,594 | $-- | $-- |
Total Assets | $22,594 | $22,594 | $-- | $-- |
Liabilities | ||||
Futures Contracts | $(20,552) | $(20,552) | $-- | $-- |
Swaps | (31,637) | -- | (31,637) | -- |
Total Liabilities | $(52,189) | $(20,552) | $(31,637) | $-- |
Total Derivative Instruments: | $(29,595) | $2,042 | $(31,637) | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(13,405,124) | $-- | $(13,405,124) | $-- |
Total Other Financial Instruments: | $(13,405,124) | $-- | $(13,405,124) | $-- |
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 28, 2019. 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 | |
Asset | Liability | |
Credit Risk | ||
Swaps(a) | $0 | $(31,637) |
Total Credit Risk | 0 | (31,637) |
Interest Rate Risk | ||
Futures Contracts(b) | 22,594 | (20,552) |
Purchased Swaptions(c) | 333,526 | 0 |
Total Interest Rate Risk | 356,120 | (20,552) |
Total Value of Derivatives | $356,120 | $(52,189) |
(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 distributable earnings.
(c) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.
Other Information
# Additional information on each counterparty to the repurchase agreement is as follows:
Repurchase Agreement / Counterparty | Value |
$19,106,000 due 3/01/19 at 2.59% | |
J.P. Morgan Securities, Inc. | $3,821,937 |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 15,284,063 |
$19,106,000 |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2019 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $18,873,828 and repurchase agreements of $19,106,000) See accompanying schedule: Unaffiliated issuers (cost $742,758,056) | $735,522,821 | |
Fidelity Central Funds (cost $408,451,970) | 405,639,466 | |
Total Investment in Securities (cost $1,151,210,026) | $1,141,162,287 | |
Segregated cash with brokers for derivative instruments | 29,698 | |
Cash | 39,522 | |
Receivable for investments sold | 190,125 | |
Receivable for TBA sale commitments | 13,352,438 | |
Receivable for fund shares sold | 1,526,407 | |
Interest receivable | 5,065,065 | |
Distributions receivable from Fidelity Central Funds | 77,783 | |
Receivable for daily variation margin on futures contracts | 1,930 | |
Other receivables | 2,999 | |
Total assets | 1,161,448,254 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $12,011,644 | |
Delayed delivery | 29,099,374 | |
TBA sale commitments, at value | 13,405,124 | |
Payable for fund shares redeemed | 705,909 | |
Bi-lateral OTC swaps, at value | 31,637 | |
Accrued management fee | 267,971 | |
Collateral on securities loaned | 19,106,400 | |
Total liabilities | 74,628,059 | |
Net Assets | $1,086,820,195 | |
Net Assets consist of: | ||
Paid in capital | $1,099,207,997 | |
Total distributable earnings (loss) | (12,387,802) | |
Net Assets, for 111,370,470 shares outstanding | $1,086,820,195 | |
Net Asset Value, offering price and redemption price per share ($1,086,820,195 ÷ 111,370,470 shares) | $9.76 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 28, 2019 (Unaudited) | ||
Investment Income | ||
Dividends | $51,469 | |
Interest | 9,735,466 | |
Income from Fidelity Central Funds | 6,851,608 | |
Total income | 16,638,543 | |
Expenses | ||
Management fee | $1,465,623 | |
Independent trustees' fees and expenses | 2,220 | |
Commitment fees | 1,226 | |
Total expenses before reductions | 1,469,069 | |
Expense reductions | (677) | |
Total expenses after reductions | 1,468,392 | |
Net investment income (loss) | 15,170,151 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (1,363,649) | |
Fidelity Central Funds | (4,570) | |
Futures contracts | (129,912) | |
Swaps | (1,974) | |
Capital gain distributions from Fidelity Central Funds | 470,878 | |
Total net realized gain (loss) | (1,029,227) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 5,339,024 | |
Fidelity Central Funds | 1,790,145 | |
Futures contracts | 3,265 | |
Swaps | (57,685) | |
Delayed delivery commitments | (53,746) | |
Total change in net unrealized appreciation (depreciation) | 7,021,003 | |
Net gain (loss) | 5,991,776 | |
Net increase (decrease) in net assets resulting from operations | $21,161,927 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2019 (Unaudited) | Year ended August 31, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $15,170,151 | $19,153,359 |
Net realized gain (loss) | (1,029,227) | (1,042,263) |
Change in net unrealized appreciation (depreciation) | 7,021,003 | (19,307,487) |
Net increase (decrease) in net assets resulting from operations | 21,161,927 | (1,196,391) |
Distributions to shareholders | (16,240,359) | |
Distributions to shareholders from net investment income | | (17,758,228) |
Distributions to shareholders from net realized gain | | (646,200) |
Total distributions | (16,240,359) | (18,404,428) |
Share transactions | ||
Proceeds from sales of shares | 296,986,652 | 628,502,092 |
Reinvestment of distributions | 16,240,359 | 18,404,421 |
Cost of shares redeemed | (144,483,482) | (207,395,157) |
Net increase (decrease) in net assets resulting from share transactions | 168,743,529 | 439,511,356 |
Total increase (decrease) in net assets | 173,665,097 | 419,910,537 |
Net Assets | ||
Beginning of period | 913,155,098 | 493,244,561 |
End of period | $1,086,820,195 | $913,155,098 |
Other Information | ||
Undistributed net investment income end of period | $1,375,029 | |
Shares | ||
Sold | 30,846,806 | 64,085,404 |
Issued in reinvestment of distributions | 1,682,556 | 1,875,123 |
Redeemed | (14,998,836) | (21,121,775) |
Net increase (decrease) | 17,530,526 | 44,838,752 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Total Bond K6 Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | ||
2019 | 2018 | 2017 A | |
Selected PerShare Data | |||
Net asset value, beginning of period | $9.73 | $10.07 | $10.00 |
Income from Investment Operations | |||
Net investment income (loss)B | .150 | .280 | .061 |
Net realized and unrealized gain (loss) | .040 | (.347) | .073 |
Total from investment operations | .190 | (.067) | .134 |
Distributions from net investment income | (.160) | (.261) | (.064) |
Distributions from net realized gain | | (.012) | |
Total distributions | (.160) | (.273) | (.064) |
Net asset value, end of period | $9.76 | $9.73 | $10.07 |
Total ReturnC,D | 1.98% | (.66)% | 1.35% |
Ratios to Average Net AssetsE,F | |||
Expenses before reductions | .30%G | .30% | .30%G |
Expenses net of fee waivers, if any | .30%G | .30% | .30%G |
Expenses net of all reductions | .30%G | .30% | .30%G |
Net investment income (loss) | 3.14%G | 2.87% | 2.45%G |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $1,086,820 | $913,155 | $493,245 |
Portfolio turnover rateH | 79%G | 44% | 51%I |
A For the period May 25, 2017 (commencement of operations) to August 31, 2017.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
G Annualized
H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
I Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended February 28, 2019
1. Organization.
Fidelity Total Bond K6 Fund (the Fund) is a fund of Fidelity Income Fund (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. 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 generally are available only to employer-sponsored retirement plans that are recordkept by Fidelity, or to certain employer-sponsored retirement plans that are not recordkept by Fidelity.
2. Investments in Fidelity Central Funds.
The Fund invests 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 Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the 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 Fund. These strategies are consistent with the investment objectives of the 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 Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Floating Rate Central Fund | FMR Co., Inc. (FMRC) | 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 Mortgage Backed Securities Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Futures Options Restricted Securities | Less than .005% |
Fidelity Specialized High Income Central Fund | FMRC | Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. | Delayed Delivery & When Issued Securities Loans & Direct Debt Instruments Restricted Securities | 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 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. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) 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 are available on the SEC website or upon request.
3. 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 Investments 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 following summarizes the significant accounting policies of the Fund:
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 delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 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 28, 2019 is included at the end of the Fund's Schedule of Investments.
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. Dividend income is recorded on the ex-dividend date. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. 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.
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. 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 the short-term gain distributions from the Underlying Funds, 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 | $6,679,312 |
Gross unrealized depreciation | (16,862,101) |
Net unrealized appreciation (depreciation) | $(10,182,789) |
Tax cost | $1,151,236,747 |
The Fund elected to defer to its next fiscal year approximately $1,021,013 of capital losses recognized during the period November 1, 2017 to August 31, 2018.
Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with Fidelity Management & Research Company (FMR), or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-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 Fund monitors, on a daily basis, the value of the collateral 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.
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund 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. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. 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. During the period, the Fund transacted in TBA securities that involved 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. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the 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 the 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, the 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 Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Restricted Securities. The Fund 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 is included at the end of the Fund's Schedule of Investments.
New Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.
Financial Statement | Current Line-Item Presentation (As Applicable) | Prior Line-Item Presentation (As Applicable) |
Statement of Assets and Liabilities | Total distributable earnings (loss) | Undistributed/Distributions in excess of/Accumulated net investment income (loss) Accumulated/Undistributed net realized gain (loss) Net unrealized appreciation (depreciation) |
Statement of Changes in Net Assets | N/A - removed | Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period |
Statement of Changes in Net Assets | Distributions to shareholders | Distributions to shareholders from net investment income Distributions to shareholders from net realized gain |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures 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.
The Fund used derivatives 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 Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the 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 the 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, the 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 the 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, the Fund receives collateral in the form of cash or securities once the Fund's 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 Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss 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 the Fund. The 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 futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
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 of the Fund, 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) |
Credit Risk | ||
Swaps | $(1,974) | $(57,685) |
Total Credit Risk | (1,974) | (57,685) |
Interest Rate Risk | ||
Futures Contracts | (129,912) | 3,265 |
Purchased Options | | (42,894) |
Total Interest Rate Risk | (129,912) | (39,629) |
Totals | $(131,886) | $(97,314) |
A summary of the value of derivatives by primary risk exposure as of period end 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. The Fund used futures contracts to manage its 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 (variation margin) 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. 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. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its 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 on 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 the Fund will realize a gain or loss 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.
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.
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 net unrealized appreciation (depreciation) 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.
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.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the 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 the 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, the 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 the 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 the 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.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $170,350,963 and $10,824,635, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (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 .30% of average net assets. Under the management contract, the investment adviser or an affiliate pays all other expenses of the Fund, excluding fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Interfund Trades. The Fund 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. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
7. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $1,226 and is reflected in Commitment fees on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the 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 the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, 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 interest income. Total security lending income during the period amounted to $684.
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 management fee. During the period, these credits reduced the Fund's management fee by $677.
10. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, Fidelity Specialized High Income Central Fund was the owner of record of approximately 10% of the total outstanding shares of the Fund.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the 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, 2018 to February 28, 2019).
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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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 Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2018 | Ending Account Value February 28, 2019 | Expenses Paid During Period-B September 1, 2018 to February 28, 2019 |
|
Actual | .30% | $1,000.00 | $1,019.80 | $1.50 |
Hypothetical-C | $1,000.00 | $1,023.31 | $1.51 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year ranged from less than .005% to .01%.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Total Bond K6 Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (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 has established four standing committees (Committees) Operations, Audit, Fair Valuation, and Governance and Nominating each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. 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 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 2018 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 to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, 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. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.
Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. 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, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated 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, 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 the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.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 through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers. Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits 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 mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest, and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain growth equity funds and index funds; (vii) lowering expense caps for certain existing funds and classes, and converting certain voluntary expense caps to contractual caps, to reduce expenses borne by shareholders; (viii) eliminating short-term redemption fees for funds that had such fees; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals. Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. As the fund recently commenced operations, the Board did not believe that it was appropriate to assign significant weight to its limited investment performance.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 the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison. Management Fee. The Board considered two proprietary management fee comparisons for the period of the fund's operations shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG % and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.Fidelity Total Bond K6 Fund
TBDK6-SANN-0419
1.9884014.101
Fidelity® Series Government Bond Index Fund Semi-Annual Report February 28, 2019 |
|
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a funds shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelitys website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
Account Type | Website | Phone Number |
Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) | 1-800-343-0860 |
Advisor Sold Accounts Serviced Through Your Financial Intermediary: | Contact Your Financial Intermediary | Your Financial Intermediary's phone number |
Advisor Sold Accounts Serviced by Fidelity: | institutional.fidelity.com | 1-877-208-0098 |
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
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.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2019 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SECs web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SECs Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
Coupon Distribution as of February 28, 2019
% of fund's investments | |
1 - 1.99% | 7.8 |
2 - 2.99% | 73.9 |
3 - 3.99% | 13.6 |
4 - 4.99% | 0.7 |
5 - 5.99% | 0.9 |
6 - 6.99% | 0.1 |
7 - 7.99% | 0.1 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
Asset Allocation (% of fund's net assets)
As of February 28, 2019 | ||
U.S. Treasury Obligations | 95.8% | |
U.S. Government Agency Obligations | 1.3% | |
Short-Term Investments and Net Other Assets (Liabilities) | 2.9% |
Schedule of Investments February 28, 2019 (Unaudited)
Showing Percentage of Net Assets
U.S. Government and Government Agency Obligations - 97.1% | |||
Principal Amount | Value | ||
U.S. Government Agency Obligations - 1.3% | |||
Fannie Mae: | |||
1.875% 9/24/26 | $21,000 | $19,597 | |
2% 10/5/22 | 5,000 | 4,905 | |
2.125% 4/24/26 | 6,000 | 5,725 | |
5.625% 7/15/37 | 36,000 | 46,875 | |
7.125% 1/15/30 | 6,000 | 8,181 | |
Freddie Mac: | |||
2.75% 6/19/23 | 11,000 | 11,072 | |
6.75% 9/15/29 | 5,000 | 6,614 | |
102,969 | |||
U.S. Treasury Obligations - 95.8% | |||
U.S. Treasury Bonds: | |||
2.5% 2/15/45 | 10,000 | 8,951 | |
2.75% 8/15/47 | 43,000 | 40,227 | |
2.875% 5/15/43 | 10,000 | 9,654 | |
2.875% 8/15/45 | 66,000 | 63,520 | |
3% 5/15/42 | 158,000 | 156,494 | |
3% 11/15/45 | 70,000 | 68,988 | |
3% 2/15/47 | 212,000 | 208,928 | |
3% 8/15/48 | 10,000 | 9,828 | |
3.125% 2/15/43 | 137,000 | 138,284 | |
3.125% 5/15/48 | 127,000 | 127,878 | |
3.375% 11/15/48 | 82,000 | 86,689 | |
3.625% 8/15/43 | 81,000 | 88,689 | |
3.75% 8/15/41 | 61,000 | 68,129 | |
3.75% 11/15/43 | 61,000 | 68,139 | |
4.625% 2/15/40 | 30,000 | 37,727 | |
4.75% 2/15/41 | 12,000 | 15,360 | |
5% 5/15/37 | 13,000 | 16,960 | |
5.25% 11/15/28 | 5,000 | 6,070 | |
U.S. Treasury Notes: | |||
1.375% 4/30/21 | 171,000 | 166,879 | |
1.5% 5/31/20 | 106,000 | 104,625 | |
1.5% 8/15/26 | 27,000 | 24,916 | |
1.625% 2/15/26 | 10,000 | 9,363 | |
1.625% 5/15/26 | 222,000 | 207,345 | |
1.75% 11/30/21 | 72,000 | 70,560 | |
2% 2/15/25 | 56,000 | 54,167 | |
2% 11/15/26 | 10,000 | 9,546 | |
2.125% 12/31/22 | 69,000 | 68,014 | |
2.25% 12/31/24 | 24,000 | 23,571 | |
2.25% 2/15/27 | 52,000 | 50,466 | |
2.25% 8/15/27 | 96,000 | 92,861 | |
2.25% 11/15/27 | 38,000 | 36,688 | |
2.375% 4/15/21 | 10,000 | 9,969 | |
2.375% 1/31/23 | 9,000 | 8,952 | |
2.375% 2/29/24 | 138,000 | 137,078 | |
2.375% 5/15/27 | 80,000 | 78,281 | |
2.5% 5/31/20 | 110,000 | 109,914 | |
2.5% 6/30/20 | 7,000 | 6,994 | |
2.5% 12/31/20 | 235,000 | 234,789 | |
2.5% 1/31/21 | 311,000 | 310,818 | |
2.5% 1/15/22 | 191,000 | 190,970 | |
2.5% 2/15/22 | 86,000 | 86,010 | |
2.5% 3/31/23 | 67,000 | 66,948 | |
2.5% 1/31/24 | 179,000 | 178,804 | |
2.625% 8/31/20 | 313,000 | 313,281 | |
2.625% 12/15/21 | 259,000 | 259,870 | |
2.625% 2/28/23 | 122,000 | 122,481 | |
2.625% 6/30/23 | 20,000 | 20,082 | |
2.625% 12/31/23 | 223,000 | 223,923 | |
2.75% 9/30/20 | 315,000 | 315,898 | |
2.75% 11/30/20 | 25,000 | 25,082 | |
2.75% 8/15/21 | 31,000 | 31,173 | |
2.75% 9/15/21 | 58,000 | 58,342 | |
2.75% 5/31/23 | 237,000 | 239,148 | |
2.75% 7/31/23 | 493,000 | 497,584 | |
2.75% 8/31/23 | 23,000 | 23,224 | |
2.75% 2/28/25 | 40,000 | 40,359 | |
2.75% 8/31/25 | 17,000 | 17,139 | |
2.75% 2/15/28 | 20,000 | 20,075 | |
2.875% 10/31/20 | 102,000 | 102,518 | |
2.875% 10/15/21 | 139,000 | 140,265 | |
2.875% 11/15/21 | 399,000 | 402,756 | |
2.875% 9/30/23 | 17,000 | 17,252 | |
2.875% 10/31/23 | 36,000 | 36,540 | |
2.875% 11/30/23 | 59,000 | 59,929 | |
2.875% 5/31/25 | 412,000 | 418,454 | |
2.875% 7/31/25 | 123,000 | 124,941 | |
2.875% 11/30/25 | 12,000 | 12,188 | |
2.875% 5/15/28 | 99,000 | 100,330 | |
2.875% 8/15/28 | 172,000 | 174,231 | |
3% 9/30/25 | 29,000 | 29,674 | |
7,385,782 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $7,483,641) | 7,488,751 | ||
Shares | Value | ||
Money Market Funds - 2.9% | |||
Fidelity Cash Central Fund, 2.44% (a) | |||
(Cost $223,185) | 223,141 | 223,185 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% | |||
(Cost $7,706,826) | 7,711,936 | ||
NET OTHER ASSETS (LIABILITIES) - 0.0% | (2,855) | ||
NET ASSETS - 100% | $7,709,081 |
Legend
(a) 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.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $1,077 |
Total | $1,077 |
Amounts in the 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.
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2019, 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 | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | $7,488,751 | $-- | $7,488,751 | $-- |
Money Market Funds | 223,185 | 223,185 | -- | -- |
Total Investments in Securities: | $7,711,936 | $223,185 | $7,488,751 | $-- |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2019 (Unaudited) | ||
Assets | ||
Investment in securities, at value See accompanying schedule: Unaffiliated issuers (cost $7,483,641) | $7,488,751 | |
Fidelity Central Funds (cost $223,185) | 223,185 | |
Total Investment in Securities (cost $7,706,826) | $7,711,936 | |
Cash | 7,450 | |
Receivable for fund shares sold | 216,949 | |
Interest receivable | 35,916 | |
Distributions receivable from Fidelity Central Funds | 455 | |
Receivable from investment adviser for expense reductions | 17 | |
Total assets | 7,972,723 | |
Liabilities | ||
Payable for investments purchased | $263,364 | |
Other payables and accrued expenses | 278 | |
Total liabilities | 263,642 | |
Net Assets | $7,709,081 | |
Net Assets consist of: | ||
Paid in capital | $7,705,900 | |
Total distributable earnings (loss) | 3,181 | |
Net Assets, for 767,320 shares outstanding | $7,709,081 | |
Net Asset Value, offering price and redemption price per share ($7,709,081 ÷ 767,320 shares) | $10.05 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 28, 2019 (Unaudited) | ||
Investment Income | ||
Interest | $40,074 | |
Income from Fidelity Central Funds | 1,077 | |
Total income | 41,151 | |
Expenses | ||
Custodian fees and expenses | $562 | |
Independent trustees' fees and expenses | 4 | |
Total expenses before reductions | 566 | |
Expense reductions | (412) | |
Total expenses after reductions | 154 | |
Net investment income (loss) | 40,997 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (1,562) | |
Fidelity Central Funds | (3) | |
Total net realized gain (loss) | (1,565) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 5,502 | |
Fidelity Central Funds | 3 | |
Total change in net unrealized appreciation (depreciation) | 5,505 | |
Net gain (loss) | 3,940 | |
Net increase (decrease) in net assets resulting from operations | $44,937 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2019 (Unaudited) | For the period August 17, 2018 (commencement of operations) to August 31, 2018 |
|
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $40,997 | $1,045 |
Net realized gain (loss) | (1,565) | (52) |
Change in net unrealized appreciation (depreciation) | 5,505 | (395) |
Net increase (decrease) in net assets resulting from operations | 44,937 | 598 |
Distributions to shareholders | (41,311) | |
Distributions to shareholders from net investment income | | (1,043) |
Total distributions | (41,311) | (1,043) |
Share transactions | ||
Proceeds from sales of shares | 6,662,256 | 1,490,050 |
Reinvestment of distributions | 41,311 | 934 |
Cost of shares redeemed | (488,651) | |
Net increase (decrease) in net assets resulting from share transactions | 6,214,916 | 1,490,984 |
Total increase (decrease) in net assets | 6,218,542 | 1,490,539 |
Net Assets | ||
Beginning of period | 1,490,539 | |
End of period | $7,709,081 | $1,490,539 |
Other Information | ||
Undistributed net investment income end of period | $2 | |
Shares | ||
Sold | 662,712 | 149,005 |
Issued in reinvestment of distributions | 4,123 | 93 |
Redeemed | (48,613) | |
Net increase (decrease) | 618,222 | 149,098 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Series Government Bond Index Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |
2019 | 2018 A | |
Selected PerShare Data | ||
Net asset value, beginning of period | $10.00 | $10.00 |
Income from Investment Operations | ||
Net investment income (loss)B | .129 | .010 |
Net realized and unrealized gain (loss) | .057 | C |
Total from investment operations | .186 | .010 |
Distributions from net investment income | (.136) | (.010) |
Net asset value, end of period | $10.05 | $10.00 |
Total ReturnD,E | 1.88% | .10% |
Ratios to Average Net AssetsF,G | ||
Expenses before reductions | .04%H | - %H,I |
Expenses net of fee waivers, if any | .01%H | - %H,I |
Expenses net of all reductions | .01%H | - %H,I |
Net investment income (loss) | 2.69%H | 2.54%H |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $7,709 | $1,491 |
Portfolio turnover rateJ | 22%H | 4%K |
A For the period August 17, 2018 (commencement of operations) to August 31, 2018.
B Calculated based on average shares outstanding during the period.
C Amount represents less than $.0005 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
H Annualized
I Amount represents less than .005%.
J Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
K Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended February 28, 2019
1. Organization.
Fidelity Series Government Bond Index Fund (the Fund) is a fund of Fidelity Income Fund (the Trust) and is authorized to issue an unlimited number of shares. Shares of the Fund are only available for purchase by mutual funds for which Fidelity Management & Research Company (FMR) or an affiliate serves as an investment manager. 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.
The Fund invests 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 Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
3. 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 Investments 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 following summarizes the significant accounting policies of the Fund:
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 delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. 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 vendors. 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.
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 28, 2019 is included at the end of the Fund's Schedule of Investments.
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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. 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. 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 market discount.
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 | $20,349 |
Gross unrealized depreciation | (12,226) |
Net unrealized appreciation (depreciation) | $8,123 |
Tax cost | $7,703,813 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $(52) |
New Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.
Financial Statement | Current Line-Item Presentation (As Applicable) | Prior Line-Item Presentation (As Applicable) |
Statement of Assets and Liabilities | Total distributable earnings (loss) | Undistributed/Distributions in excess of/Accumulated net investment income (loss) Accumulated/Undistributed net realized gain (loss) Net unrealized appreciation (depreciation) |
Statement of Changes in Net Assets | N/A - removed | Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period |
Statement of Changes in Net Assets | Distributions to shareholders | Distributions to shareholders from net investment income Distributions to shareholders from net realized gain |
4. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (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.
Interfund Trades. The Fund 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. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
5. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .014% of average net assets. This reimbursement will remain in place through December 31, 2021. 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 $349.
In addition, 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, these credits reduced the Fund's custody expenses by $63.
6. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, mutual funds managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the 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, 2018 to February 28, 2019).
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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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 Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2018 | Ending Account Value February 28, 2019 | Expenses Paid During Period-B September 1, 2018 to February 28, 2019 |
|
Actual | .01% | $1,000.00 | $1,018.80 | $.05 |
Hypothetical-C | $1,000.00 | $1,024.74 | $.05 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
C 5% return per year before expenses
XGB-SANN-0419
1.9891226.100
Item 2.
Code of Ethics
Not applicable.
Item 3.
Audit Committee Financial Expert
Not applicable.
Item 4.
Principal Accountant Fees and Services
Not applicable.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Income Fund’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Income Fund’s (the “Trust”) disclosure controls and procedures (as defined
in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Income Fund
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer | |
Date: | April 24, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer | |
Date: | April 24, 2019 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | April 24, 2019 |
Exhibit EX-99.CERT
I, Laura M. Del Prato, certify that:
1.
I have reviewed this report on Form N-CSR of Fidelity Income Fund;
2.
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3.
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4.
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
a.
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b.
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c.
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and
d.
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5.
The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
a.
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
b.
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
Date:
April 24, 2019
/s/Laura M. Del Prato |
Laura M. Del Prato |
President and Treasurer |
I, John J. Burke III, certify that:
1.
I have reviewed this report on Form N-CSR of Fidelity Income Fund;
2.
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3.
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4.
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
a.
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b.
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c.
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and
d.
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5.
The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
a.
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
b.
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
Date:
April 24, 2019
/s/John J. Burke III |
John J. Burke III |
Chief Financial Officer |
Exhibit EX-99.906CERT
Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)
In connection with the attached Report of Fidelity Income Fund (the “Trust”) on Form N-CSR to be filed with the Securities and Exchange Commission (the “Report”), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer’s knowledge:
1.
The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and
2.
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.
Dated:
April 24, 2019
/s/Laura M. Del Prato |
Laura M. Del Prato |
President and Treasurer |
Dated:
April 24, 2019
/s/John J. Burke III |
John J. Burke III |
Chief Financial Officer |
A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.
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