NPORT-EX 2 QTLY_2944_20231130.htm 010 - Quarterly Front Cover
Quarterly Holdings Report
for
Fidelity® Total Bond K6 Fund
November 30, 2023
TBDK6-NPRT1-0124
1.9884013.106
Nonconvertible Bonds - 24.3%
 
  
Principal
Amount (a)
 
Value ($)
 
COMMUNICATION SERVICES - 2.2%
 
  
  
Diversified Telecommunication Services - 0.3%
  
  
  
AT&T, Inc.:
  
  
  
 2.55% 12/1/33
 
339,000
263,893
 3.8% 12/1/57
 
4,105,000
2,805,889
 4.3% 2/15/30
 
559,000
528,881
 5.15% 11/15/46
 
1,000,000
895,561
Verizon Communications, Inc.:
  
  
  
 2.1% 3/22/28
 
1,151,000
1,019,208
 2.55% 3/21/31
 
1,065,000
884,336
 3% 3/22/27
 
263,000
246,348
 4.862% 8/21/46
 
1,250,000
1,115,818
 5.012% 4/15/49
 
16,000
14,886
 
  
  
7,774,820
Entertainment - 0.1%
  
  
  
The Walt Disney Co. 3.8% 3/22/30
 
2,050,000
1,927,561
Media - 1.6%
  
  
  
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
  
  
  
 2.3% 2/1/32
 
5,000,000
3,823,928
 4.4% 4/1/33
 
6,526,000
5,790,327
 5.25% 4/1/53
 
5,499,000
4,403,737
 5.375% 5/1/47
 
2,000,000
1,617,434
 5.5% 4/1/63
 
2,499,000
1,977,270
 5.75% 4/1/48
 
861,000
726,324
Comcast Corp. 6.45% 3/15/37
 
365,000
393,280
Discovery Communications LLC:
  
  
  
 3.625% 5/15/30
 
708,000
625,636
 4.65% 5/15/50
 
1,913,000
1,444,587
Fox Corp.:
  
  
  
 4.03% 1/25/24
 
216,000
215,312
 4.709% 1/25/29
 
312,000
304,081
 5.476% 1/25/39
 
308,000
281,320
Magallanes, Inc.:
  
  
  
 3.755% 3/15/27
 
973,000
918,096
 4.054% 3/15/29
 
337,000
311,334
 4.279% 3/15/32
 
17,816,000
15,716,620
 5.05% 3/15/42
 
738,000
609,317
 5.141% 3/15/52
 
3,091,000
2,470,515
Time Warner Cable LLC:
  
  
  
 6.75% 6/15/39
 
545,000
519,746
 7.3% 7/1/38
 
2,420,000
2,420,659
 
  
  
44,569,523
Wireless Telecommunication Services - 0.2%
  
  
  
Millicom International Cellular SA 6.25% 3/25/29 (b)
  
1,440,000
1,328,400
Rogers Communications, Inc.:
  
  
  
 3.2% 3/15/27
 
1,051,000
979,687
 3.8% 3/15/32
 
917,000
798,192
T-Mobile U.S.A., Inc.:
  
  
  
 3.75% 4/15/27
 
1,250,000
1,191,761
 3.875% 4/15/30
 
2,100,000
1,928,882
 4.375% 4/15/40
 
269,000
229,898
 4.5% 4/15/50
 
528,000
439,098
 
  
  
6,895,918
TOTAL COMMUNICATION SERVICES
  
  
61,167,822
CONSUMER DISCRETIONARY - 0.4%
 
  
  
Hotels, Restaurants & Leisure - 0.0%
  
  
  
McDonald's Corp. 3.5% 7/1/27
 
353,000
335,900
Specialty Retail - 0.2%
  
  
  
AutoNation, Inc. 4.75% 6/1/30
 
156,000
144,737
AutoZone, Inc. 4% 4/15/30
 
1,110,000
1,027,145
Lowe's Companies, Inc.:
  
  
  
 3.35% 4/1/27
 
149,000
141,312
 3.75% 4/1/32
 
459,000
410,703
 4.25% 4/1/52
 
1,870,000
1,468,249
 4.45% 4/1/62
 
2,116,000
1,637,831
O'Reilly Automotive, Inc. 4.2% 4/1/30
 
246,000
230,246
 
  
  
5,060,223
Textiles, Apparel & Luxury Goods - 0.2%
  
  
  
Tapestry, Inc.:
  
  
  
 7% 11/27/26
 
896,000
905,662
 7.05% 11/27/25
 
332,000
336,113
 7.35% 11/27/28
 
1,433,000
1,443,926
 7.7% 11/27/30
 
1,598,000
1,619,961
 7.85% 11/27/33
 
1,598,000
1,622,904
 
  
  
5,928,566
TOTAL CONSUMER DISCRETIONARY
  
  
11,324,689
CONSUMER STAPLES - 1.3%
 
  
  
Beverages - 0.5%
  
  
  
Anheuser-Busch InBev Finance, Inc.:
  
  
  
 4.7% 2/1/36
 
2,133,000
2,032,548
 4.9% 2/1/46
 
430,000
398,185
Anheuser-Busch InBev Worldwide, Inc.:
  
  
  
 4.35% 6/1/40
 
720,000
637,781
 4.5% 6/1/50
 
1,000,000
881,576
 4.75% 4/15/58
 
613,000
544,797
 5.45% 1/23/39
 
800,000
802,455
 5.55% 1/23/49
 
1,824,000
1,859,527
 5.8% 1/23/59 (Reg. S)
 
1,933,000
2,018,805
Molson Coors Beverage Co. 5% 5/1/42
 
2,945,000
2,663,842
The Coca-Cola Co.:
  
  
  
 3.375% 3/25/27
 
1,279,000
1,232,758
 3.45% 3/25/30
 
713,000
665,427
 
  
  
13,737,701
Consumer Staples Distribution & Retail - 0.0%
  
  
  
Sysco Corp.:
  
  
  
 5.95% 4/1/30
 
471,000
487,584
 6.6% 4/1/50
 
710,000
778,065
 
  
  
1,265,649
Food Products - 0.4%
  
  
  
JBS U.S.A. Lux SA / JBS Food Co.:
  
  
  
 2.5% 1/15/27
 
1,945,000
1,750,442
 3% 5/15/32
 
1,955,000
1,523,533
 3.625% 1/15/32
 
353,000
288,862
 5.125% 2/1/28
 
735,000
713,584
 5.5% 1/15/30
 
342,000
324,164
 5.75% 4/1/33
 
6,515,000
6,152,300
 
  
  
10,752,885
Tobacco - 0.4%
  
  
  
Altria Group, Inc.:
  
  
  
 3.875% 9/16/46
 
1,521,000
1,070,217
 4.25% 8/9/42
 
932,000
712,306
 4.5% 5/2/43
 
632,000
498,559
 4.8% 2/14/29
 
173,000
168,817
 5.375% 1/31/44
 
1,137,000
1,103,157
 5.95% 2/14/49
 
600,000
584,696
BAT Capital Corp.:
  
  
  
 4.7% 4/2/27
 
1,252,000
1,222,187
 4.906% 4/2/30
 
1,500,000
1,431,763
 5.282% 4/2/50
 
1,500,000
1,206,678
Imperial Tobacco Finance PLC:
  
  
  
 4.25% 7/21/25 (b)
  
1,564,000
1,526,093
 6.125% 7/27/27 (b)
  
764,000
774,425
Reynolds American, Inc. 7.25% 6/15/37
 
75,000
78,387
 
  
  
10,377,285
TOTAL CONSUMER STAPLES
  
  
36,133,520
ENERGY - 3.1%
 
  
  
Oil, Gas & Consumable Fuels - 3.1%
  
  
  
Canadian Natural Resources Ltd.:
  
  
  
 2.05% 7/15/25
 
5,400,000
5,093,577
 3.85% 6/1/27
 
2,700,000
2,567,950
 3.9% 2/1/25
 
525,000
513,668
 5.85% 2/1/35
 
525,000
512,428
Cenovus Energy, Inc.:
  
  
  
 3.75% 2/15/52
 
210,000
145,594
 5.25% 6/15/37
 
717,000
651,586
 5.4% 6/15/47
 
146,000
130,444
 6.75% 11/15/39
 
58,000
60,070
Columbia Pipeline Group, Inc. 5.8% 6/1/45
 
10,000
9,264
Columbia Pipelines Operating Co. LLC:
  
  
  
 5.927% 8/15/30 (b)
  
290,000
291,161
 6.036% 11/15/33 (b)
  
781,000
788,085
 6.497% 8/15/43 (b)
  
233,000
235,772
 6.544% 11/15/53 (b)
  
420,000
429,743
 6.714% 8/15/63 (b)
  
252,000
259,970
DCP Midstream Operating LP 5.125% 5/15/29
 
659,000
647,839
Energy Transfer LP:
  
  
  
 3.75% 5/15/30
 
481,000
431,558
 4.95% 6/15/28
 
494,000
481,963
 5% 5/15/50
 
4,089,000
3,449,521
 5.25% 4/15/29
 
350,000
343,802
 5.4% 10/1/47
 
1,023,000
900,558
 5.75% 2/15/33
 
4,000,000
3,983,313
 5.8% 6/15/38
 
275,000
262,535
 6% 6/15/48
 
1,279,000
1,216,385
 6.125% 12/15/45
 
100,000
96,064
 6.25% 4/15/49
 
241,000
237,037
Exxon Mobil Corp. 3.482% 3/19/30
 
3,150,000
2,914,998
Hess Corp.:
  
  
  
 5.6% 2/15/41
 
549,000
552,129
 5.8% 4/1/47
 
874,000
900,637
 7.125% 3/15/33
 
201,000
227,994
 7.3% 8/15/31
 
2,102,000
2,373,686
Kinder Morgan Energy Partners LP 6.55% 9/15/40
 
1,365,000
1,376,019
Kinder Morgan, Inc. 5.55% 6/1/45
 
415,000
375,410
MPLX LP:
  
  
  
 4.8% 2/15/29
 
175,000
169,430
 4.875% 12/1/24
 
272,000
269,016
 4.95% 9/1/32
 
1,463,000
1,385,413
 5% 3/1/33
 
2,000,000
1,887,487
 5.5% 2/15/49
 
525,000
476,526
Occidental Petroleum Corp.:
  
  
  
 5.55% 3/15/26
 
831,000
828,248
 6.2% 3/15/40
 
700,000
690,179
 6.45% 9/15/36
 
600,000
614,454
 6.6% 3/15/46
 
807,000
826,989
 7.5% 5/1/31
 
927,000
1,009,239
Ovintiv, Inc.:
  
  
  
 5.15% 11/15/41
 
1,916,000
1,522,601
 6.625% 8/15/37
 
350,000
348,795
 7.375% 11/1/31
 
435,000
465,821
 8.125% 9/15/30
 
1,083,000
1,196,184
Petroleos Mexicanos:
  
  
  
 5.95% 1/28/31
 
13,510,000
10,070,354
 6.35% 2/12/48
 
3,548,000
2,091,156
 6.49% 1/23/27
 
570,000
513,029
 6.5% 3/13/27
 
20,000
17,968
 6.75% 9/21/47
 
5,720,000
3,488,628
 6.84% 1/23/30
 
6,742,000
5,434,052
 6.95% 1/28/60
 
989,000
602,746
 7.69% 1/23/50
 
2,090,000
1,383,371
Phillips 66 Co. 3.85% 4/9/25
 
125,000
122,289
Plains All American Pipeline LP/PAA Finance Corp.:
  
  
  
 3.55% 12/15/29
 
4,767,000
4,253,199
 3.6% 11/1/24
 
266,000
260,657
Sabine Pass Liquefaction LLC 4.5% 5/15/30
 
1,622,000
1,531,320
The Williams Companies, Inc.:
  
  
  
 3.5% 11/15/30
 
1,727,000
1,533,400
 4.3% 3/4/24
 
2,000,000
1,991,541
 4.55% 6/24/24
 
70,000
69,484
 4.65% 8/15/32
 
3,526,000
3,304,609
 5.3% 8/15/52
 
346,000
314,479
 5.4% 3/2/26
 
823,000
822,476
 5.75% 6/24/44
 
35,000
33,321
Transcontinental Gas Pipe Line Co. LLC 3.25% 5/15/30
 
207,000
182,691
Western Gas Partners LP:
  
  
  
 4.05% 2/1/30
 
3,000,000
2,718,810
 4.5% 3/1/28
 
200,000
190,356
 4.65% 7/1/26
 
138,000
134,008
 4.75% 8/15/28
 
168,000
161,398
 
  
  
85,376,484
FINANCIALS - 11.5%
 
  
  
Banks - 5.2%
  
  
  
Bank of America Corp.:
  
  
  
 2.299% 7/21/32 (c)
  
1,880,000
1,475,607
 3.705% 4/24/28 (c)
  
528,000
496,202
 4.376% 4/27/28 (c)
  
10,000,000
9,620,877
 5.015% 7/22/33 (c)
  
13,317,000
12,653,451
 5.288% 4/25/34 (c)
  
7,000,000
6,730,146
Barclays PLC:
  
  
  
 5.088% 6/20/30 (c)
  
1,421,000
1,304,427
 5.2% 5/12/26
 
1,318,000
1,286,994
 5.829% 5/9/27 (c)
  
2,370,000
2,354,197
 6.224% 5/9/34 (c)
  
1,576,000
1,548,618
 6.49% 9/13/29 (c)
  
2,400,000
2,426,981
 6.692% 9/13/34 (c)
  
2,000,000
2,037,846
BNP Paribas SA 2.219% 6/9/26 (b)(c)
  
1,520,000
1,437,123
Citigroup, Inc.:
  
  
  
 3.07% 2/24/28 (c)
  
2,000,000
1,854,088
 3.352% 4/24/25 (c)
  
953,000
942,623
 4.3% 11/20/26
 
6,314,000
6,092,398
 4.4% 6/10/25
 
933,000
914,604
 4.412% 3/31/31 (c)
  
2,221,000
2,058,916
 4.45% 9/29/27
 
4,372,000
4,186,585
 4.91% 5/24/33 (c)
  
3,224,000
3,033,152
 6.27% 11/17/33 (c)
  
2,000,000
2,062,527
Commonwealth Bank of Australia 3.61% 9/12/34 (b)(c)
  
517,000
442,839
First Citizens Bank & Trust Co. 6.125% 3/9/28
 
210,000
209,796
HSBC Holdings PLC 4.95% 3/31/30
 
298,000
288,699
Intesa Sanpaolo SpA:
  
  
  
 4.198% 6/1/32 (b)(c)
  
242,000
187,395
 5.017% 6/26/24 (b)
  
200,000
197,532
 5.71% 1/15/26 (b)
  
3,773,000
3,703,149
JPMorgan Chase & Co.:
  
  
  
 2.956% 5/13/31 (c)
  
880,000
748,971
 3.882% 7/24/38 (c)
  
1,000,000
839,242
 4.323% 4/26/28 (c)
  
5,000,000
4,836,585
 4.452% 12/5/29 (c)
  
5,500,000
5,268,232
 4.493% 3/24/31 (c)
  
3,000,000
2,836,330
 4.586% 4/26/33 (c)
  
2,682,000
2,496,285
 4.912% 7/25/33 (c)
  
9,234,000
8,782,338
 5.299% 7/24/29 (c)
  
6,500,000
6,477,782
 5.35% 6/1/34 (c)
  
2,000,000
1,953,031
 5.717% 9/14/33 (c)
  
2,700,000
2,690,234
NatWest Group PLC:
  
  
  
 3.073% 5/22/28 (c)
  
951,000
864,629
 5.847% 3/2/27 (c)
  
3,394,000
3,382,688
Rabobank Nederland 4.375% 8/4/25
 
500,000
484,978
Societe Generale:
  
  
  
 1.038% 6/18/25 (b)(c)
  
3,800,000
3,687,046
 1.488% 12/14/26 (b)(c)
  
1,953,000
1,767,536
Synchrony Bank:
  
  
  
 5.4% 8/22/25
 
1,384,000
1,340,764
 5.625% 8/23/27
 
1,253,000
1,186,911
Wells Fargo & Co.:
  
  
  
 3.526% 3/24/28 (c)
  
2,047,000
1,919,203
 4.478% 4/4/31 (c)
  
3,026,000
2,823,898
 4.897% 7/25/33 (c)
  
4,711,000
4,406,208
 5.013% 4/4/51 (c)
  
2,880,000
2,560,623
 5.389% 4/24/34 (c)
  
2,133,000
2,052,153
 5.557% 7/25/34 (c)
  
2,000,000
1,948,534
 5.574% 7/25/29 (c)
  
6,500,000
6,489,571
 6.303% 10/23/29 (c)
  
2,000,000
2,060,252
Westpac Banking Corp. 4.11% 7/24/34 (c)
  
744,000
657,711
 
  
  
144,108,507
Capital Markets - 3.0%
  
  
  
Ares Capital Corp. 3.875% 1/15/26
 
2,603,000
2,465,921
Blackstone Private Credit Fund:
  
  
  
 4.7% 3/24/25
 
3,937,000
3,835,485
 7.05% 9/29/25
 
1,775,000
1,793,926
Deutsche Bank AG 4.5% 4/1/25
 
3,804,000
3,689,546
Deutsche Bank AG New York Branch:
  
  
  
 4.1% 1/13/26
 
1,100,000
1,053,062
 5.882% 7/8/31 (c)
  
5,000,000
4,550,999
 6.72% 1/18/29 (c)
  
980,000
997,183
 6.819% 11/20/29 (c)
  
2,377,000
2,421,723
Goldman Sachs Group, Inc.:
  
  
  
 2.383% 7/21/32 (c)
  
4,922,000
3,875,773
 3.102% 2/24/33 (c)
  
4,272,000
3,522,447
 3.691% 6/5/28 (c)
  
4,660,000
4,375,506
 3.75% 5/22/25
 
525,000
510,399
 3.8% 3/15/30
 
3,630,000
3,290,078
 3.814% 4/23/29 (c)
  
6,025,000
5,597,880
 4.017% 10/31/38 (c)
  
1,000,000
827,591
 4.223% 5/1/29 (c)
  
2,500,000
2,360,066
 6.75% 10/1/37
 
278,000
292,077
Moody's Corp.:
  
  
  
 3.25% 1/15/28
 
10,000
9,340
 3.75% 3/24/25
 
1,044,000
1,021,319
Morgan Stanley:
  
  
  
 3.622% 4/1/31 (c)
  
2,099,000
1,862,795
 4.431% 1/23/30 (c)
  
2,242,000
2,128,393
 4.889% 7/20/33 (c)
  
5,947,000
5,570,688
 5% 11/24/25
 
2,646,000
2,616,981
 5.164% 4/20/29 (c)
  
6,000,000
5,900,287
 5.424% 7/21/34 (c)
  
2,000,000
1,939,518
 5.449% 7/20/29 (c)
  
1,318,000
1,313,002
UBS Group AG:
  
  
  
 1.494% 8/10/27 (b)(c)
  
1,190,000
1,057,143
 2.593% 9/11/25 (b)(c)
  
2,086,000
2,027,056
 3.75% 3/26/25
 
1,200,000
1,164,292
 3.869% 1/12/29 (b)(c)
  
1,570,000
1,445,561
 4.125% 9/24/25 (b)
  
500,000
483,191
 4.194% 4/1/31 (b)(c)
  
2,010,000
1,804,360
 4.55% 4/17/26
 
388,000
377,577
 6.537% 8/12/33 (b)(c)
  
5,000,000
5,102,615
 
  
  
81,283,780
Consumer Finance - 2.2%
  
  
  
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
  
  
  
 1.65% 10/29/24
 
622,000
596,816
 2.45% 10/29/26
 
868,000
790,741
 3% 10/29/28
 
909,000
801,152
 3.3% 1/30/32
 
2,872,000
2,380,591
 4.45% 4/3/26
 
561,000
545,336
 5.75% 6/6/28
 
2,000,000
1,992,016
 6.45% 4/15/27 (b)
  
4,752,000
4,815,250
 6.5% 7/15/25
 
731,000
734,455
Ally Financial, Inc.:
  
  
  
 4.75% 6/9/27
 
2,500,000
2,364,426
 5.125% 9/30/24
 
465,000
460,583
 5.75% 11/20/25
 
1,560,000
1,530,994
 5.8% 5/1/25
 
1,072,000
1,063,956
 6.992% 6/13/29 (c)
  
2,000,000
2,010,604
 7.1% 11/15/27
 
2,060,000
2,100,611
 8% 11/1/31
 
549,000
581,942
Capital One Financial Corp.:
  
  
  
 2.636% 3/3/26 (c)
  
1,062,000
1,004,340
 3.273% 3/1/30 (c)
  
1,358,000
1,166,939
 3.65% 5/11/27
 
2,746,000
2,550,371
 3.8% 1/31/28
 
877,000
807,030
 4.927% 5/10/28 (c)
  
2,786,000
2,665,179
 4.985% 7/24/26 (c)
  
1,448,000
1,413,471
 5.247% 7/26/30 (c)
  
2,210,000
2,078,581
 6.312% 6/8/29 (c)
  
5,000,000
4,970,669
 7.624% 10/30/31 (c)
  
2,238,000
2,338,979
Discover Financial Services:
  
  
  
 3.95% 11/6/24
 
4,380,000
4,282,911
 4.1% 2/9/27
 
284,000
263,662
 4.5% 1/30/26
 
803,000
777,353
 6.7% 11/29/32
 
361,000
358,321
Ford Motor Credit Co. LLC:
  
  
  
 4.063% 11/1/24
 
4,206,000
4,107,383
 5.584% 3/18/24
 
1,113,000
1,110,759
 6.8% 5/12/28
 
2,000,000
2,034,775
Synchrony Financial:
  
  
  
 3.95% 12/1/27
 
3,042,000
2,732,881
 4.375% 3/19/24
 
1,056,000
1,049,844
 5.15% 3/19/29
 
1,958,000
1,810,332
 
  
  
60,293,253
Financial Services - 0.8%
  
  
  
Brixmor Operating Partnership LP:
  
  
  
 3.85% 2/1/25
 
2,100,000
2,041,229
 4.05% 7/1/30
 
1,055,000
946,662
 4.125% 5/15/29
 
2,000,000
1,824,098
Corebridge Financial, Inc.:
  
  
  
 3.5% 4/4/25
 
445,000
431,226
 3.65% 4/5/27
 
1,551,000
1,456,756
 3.85% 4/5/29
 
623,000
570,410
 3.9% 4/5/32
 
6,241,000
5,463,521
 4.35% 4/5/42
 
169,000
135,592
 4.4% 4/5/52
 
498,000
388,295
Jackson Financial, Inc.:
  
  
  
 3.125% 11/23/31
 
194,000
154,419
 5.17% 6/8/27
 
682,000
662,444
 5.67% 6/8/32
 
734,000
712,235
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b)
  
5,175,000
5,160,822
Pine Street Trust I 4.572% 2/15/29 (b)
  
1,030,000
954,953
Pine Street Trust II 5.568% 2/15/49 (b)
  
1,000,000
846,566
 
  
  
21,749,228
Insurance - 0.3%
  
  
  
American International Group, Inc. 5.125% 3/27/33
 
1,500,000
1,458,256
Five Corners Funding Trust II 2.85% 5/15/30 (b)
  
2,287,000
1,955,041
Marsh & McLennan Companies, Inc. 4.375% 3/15/29
 
678,000
659,823
Pacific LifeCorp 5.125% 1/30/43 (b)
  
950,000
845,822
Pricoa Global Funding I 5.375% 5/15/45 (c)
  
1,045,000
1,009,579
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(c)
  
200,000
187,257
TIAA Asset Management Finance LLC 4.125% 11/1/24 (b)
  
80,000
78,703
Unum Group:
  
  
  
 3.875% 11/5/25
 
50,000
48,169
 4% 6/15/29
 
852,000
783,863
 
  
  
7,026,513
TOTAL FINANCIALS
  
  
314,461,281
HEALTH CARE - 1.4%
 
  
  
Biotechnology - 0.2%
  
  
  
Amgen, Inc.:
  
  
  
 5.25% 3/2/30
 
828,000
832,229
 5.25% 3/2/33
 
1,934,000
1,914,434
 5.6% 3/2/43
 
888,000
868,967
 5.65% 3/2/53
 
1,441,000
1,421,016
 5.75% 3/2/63
 
804,000
786,785
 
  
  
5,823,431
Health Care Providers & Services - 0.8%
  
  
  
Centene Corp.:
  
  
  
 2.45% 7/15/28
 
1,670,000
1,447,977
 2.625% 8/1/31
 
800,000
636,800
 3% 10/15/30
 
3,000,000
2,503,170
 3.375% 2/15/30
 
815,000
704,827
 4.25% 12/15/27
 
880,000
830,720
 4.625% 12/15/29
 
3,670,000
3,408,451
Cigna Group:
  
  
  
 3.05% 10/15/27
 
500,000
463,682
 4.8% 8/15/38
 
550,000
507,427
CVS Health Corp.:
  
  
  
 3% 8/15/26
 
125,000
117,922
 3.625% 4/1/27
 
375,000
356,717
 4.78% 3/25/38
 
2,092,000
1,877,194
 5% 1/30/29
 
801,000
796,512
 5.25% 1/30/31
 
329,000
327,475
HCA Holdings, Inc.:
  
  
  
 3.5% 9/1/30
 
3,709,000
3,260,980
 3.625% 3/15/32
 
195,000
168,320
 5.625% 9/1/28
 
1,054,000
1,056,857
 5.875% 2/1/29
 
981,000
989,694
Humana, Inc. 3.7% 3/23/29
 
585,000
547,018
Sabra Health Care LP 3.2% 12/1/31
 
1,971,000
1,541,540
Toledo Hospital 5.325% 11/15/28
 
319,000
282,522
 
  
  
21,825,805
Pharmaceuticals - 0.4%
  
  
  
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b)
  
3,209,000
3,092,606
Elanco Animal Health, Inc. 6.65% 8/28/28 (c)
  
194,000
193,758
Mylan NV 4.55% 4/15/28
 
450,000
425,169
Utah Acquisition Sub, Inc. 3.95% 6/15/26
 
1,370,000
1,305,927
Viatris, Inc.:
  
  
  
 2.7% 6/22/30
 
5,003,000
4,063,386
 3.85% 6/22/40
 
437,000
302,930
 
  
  
9,383,776
TOTAL HEALTH CARE
  
  
37,033,012
INDUSTRIALS - 0.6%
 
  
  
Aerospace & Defense - 0.3%
  
  
  
BAE Systems Holdings, Inc. 3.8% 10/7/24 (b)
  
1,040,000
1,022,233
The Boeing Co.:
  
  
  
 5.15% 5/1/30
 
5,723,000
5,670,202
 5.705% 5/1/40
 
720,000
709,882
 5.805% 5/1/50
 
700,000
682,719
 5.93% 5/1/60
 
720,000
698,901
 
  
  
8,783,937
Building Products - 0.0%
  
  
  
Carrier Global Corp.:
  
  
  
 5.9% 3/15/34 (b)
  
268,000
275,787
 6.2% 3/15/54 (b)
  
278,000
293,859
 
  
  
569,646
Trading Companies & Distributors - 0.0%
  
  
  
Air Lease Corp. 3.375% 7/1/25
 
1,294,000
1,241,677
Transportation Infrastructure - 0.3%
  
  
  
Avolon Holdings Funding Ltd.:
  
  
  
 3.95% 7/1/24 (b)
  
380,000
373,525
 4.25% 4/15/26 (b)
  
290,000
275,824
 4.375% 5/1/26 (b)
  
880,000
837,701
 5.25% 5/15/24 (b)
  
730,000
725,162
 6.375% 5/4/28 (b)
  
4,704,000
4,691,072
 
  
  
6,903,284
TOTAL INDUSTRIALS
  
  
17,498,544
INFORMATION TECHNOLOGY - 0.8%
 
  
  
Electronic Equipment, Instruments & Components - 0.0%
  
  
  
Dell International LLC/EMC Corp. 6.2% 7/15/30
 
418,000
435,017
Semiconductors & Semiconductor Equipment - 0.6%
  
  
  
Broadcom, Inc.:
  
  
  
 1.95% 2/15/28 (b)
  
351,000
308,008
 2.45% 2/15/31 (b)
  
8,421,000
6,923,823
 2.6% 2/15/33 (b)
  
8,032,000
6,324,142
 3.5% 2/15/41 (b)
  
2,410,000
1,798,908
 3.75% 2/15/51 (b)
  
1,131,000
823,856
 
  
  
16,178,737
Software - 0.2%
  
  
  
Oracle Corp.:
  
  
  
 1.65% 3/25/26
 
1,241,000
1,143,533
 2.3% 3/25/28
 
1,961,000
1,743,674
 2.875% 3/25/31
 
2,460,000
2,105,793
 
  
  
4,993,000
TOTAL INFORMATION TECHNOLOGY
  
  
21,606,754
MATERIALS - 0.1%
 
  
  
Chemicals - 0.1%
  
  
  
Celanese U.S. Holdings LLC:
  
  
  
 6.35% 11/15/28
 
1,024,000
1,046,111
 6.55% 11/15/30
 
1,038,000
1,064,409
 6.7% 11/15/33
 
607,000
628,951
 
  
  
2,739,471
REAL ESTATE - 1.8%
 
  
  
Equity Real Estate Investment Trusts (REITs) - 1.5%
  
  
  
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30
 
857,000
820,625
American Homes 4 Rent LP:
  
  
  
 2.375% 7/15/31
 
153,000
119,978
 3.625% 4/15/32
 
681,000
583,642
Boston Properties, Inc.:
  
  
  
 2.9% 3/15/30
 
2,000,000
1,602,949
 3.25% 1/30/31
 
792,000
641,786
 4.5% 12/1/28
 
605,000
555,994
 6.75% 12/1/27
 
1,120,000
1,139,354
Corporate Office Properties LP:
  
  
  
 2% 1/15/29
 
1,000,000
791,290
 2.25% 3/15/26
 
348,000
319,235
 2.75% 4/15/31
 
235,000
179,703
 2.9% 12/1/33
 
2,000,000
1,445,942
Healthcare Trust of America Holdings LP:
  
  
  
 3.1% 2/15/30
 
260,000
220,649
 3.5% 8/1/26
 
270,000
253,922
Healthpeak OP, LLC:
  
  
  
 3.25% 7/15/26
 
113,000
107,150
 3.5% 7/15/29
 
129,000
115,734
Hudson Pacific Properties LP 4.65% 4/1/29
 
1,473,000
1,092,346
Invitation Homes Operating Partnership LP:
  
  
  
 2.3% 11/15/28
 
1,000,000
854,240
 4.15% 4/15/32
 
1,026,000
897,370
Kite Realty Group Trust 4.75% 9/15/30
 
79,000
71,924
LXP Industrial Trust (REIT):
  
  
  
 2.375% 10/1/31
 
1,000,000
761,641
 2.7% 9/15/30
 
387,000
308,651
Omega Healthcare Investors, Inc.:
  
  
  
 3.25% 4/15/33
 
7,742,000
5,919,279
 3.375% 2/1/31
 
701,000
568,676
 3.625% 10/1/29
 
2,155,000
1,836,643
 4.75% 1/15/28
 
3,349,000
3,126,055
 4.95% 4/1/24
 
2,400,000
2,389,756
Piedmont Operating Partnership LP 2.75% 4/1/32
 
297,000
196,819
Realty Income Corp.:
  
  
  
 2.2% 6/15/28
 
172,000
149,733
 2.85% 12/15/32
 
211,000
170,839
 3.25% 1/15/31
 
213,000
184,933
 3.4% 1/15/28
 
320,000
296,810
Simon Property Group LP 2.45% 9/13/29
 
333,000
284,774
Store Capital Corp.:
  
  
  
 2.75% 11/18/30
 
424,000
311,048
 4.625% 3/15/29
 
315,000
274,221
Sun Communities Operating LP:
  
  
  
 2.3% 11/1/28
 
341,000
289,938
 2.7% 7/15/31
 
880,000
697,000
Ventas Realty LP:
  
  
  
 3% 1/15/30
 
1,531,000
1,300,329
 3.5% 2/1/25
 
1,265,000
1,226,543
 4% 3/1/28
 
218,000
203,367
 4.75% 11/15/30
 
2,100,000
1,962,235
VICI Properties LP:
  
  
  
 4.375% 5/15/25
 
176,000
171,402
 4.75% 2/15/28
 
1,390,000
1,317,518
 4.95% 2/15/30
 
4,092,000
3,805,053
 5.125% 5/15/32
 
485,000
446,548
Vornado Realty LP 2.15% 6/1/26
 
374,000
323,846
WP Carey, Inc.:
  
  
  
 3.85% 7/15/29
 
246,000
222,431
 4% 2/1/25
 
334,000
326,796
 4.6% 4/1/24
 
1,250,000
1,241,203
 
  
  
42,127,920
Real Estate Management & Development - 0.3%
  
  
  
Brandywine Operating Partnership LP:
  
  
  
 3.95% 11/15/27
 
421,000
364,537
 4.1% 10/1/24
 
995,000
964,700
 4.55% 10/1/29
 
260,000
214,596
 7.8% 3/15/28
 
1,521,000
1,456,844
CBRE Group, Inc. 2.5% 4/1/31
 
1,070,000
855,658
Tanger Properties LP:
  
  
  
 2.75% 9/1/31
 
897,000
686,325
 3.125% 9/1/26
 
2,775,000
2,553,817
 
  
  
7,096,477
TOTAL REAL ESTATE
  
  
49,224,397
UTILITIES - 1.1%
 
  
  
Electric Utilities - 0.6%
  
  
  
Alabama Power Co. 3.05% 3/15/32
 
1,447,000
1,230,501
Cleco Corporate Holdings LLC:
  
  
  
 3.375% 9/15/29
 
2,173,000
1,851,743
 3.743% 5/1/26
 
1,337,000
1,274,727
Duke Energy Corp. 2.45% 6/1/30
 
565,000
474,158
Duquesne Light Holdings, Inc.:
  
  
  
 2.532% 10/1/30 (b)
  
276,000
222,660
 2.775% 1/7/32 (b)
  
935,000
712,112
Edison International 5.75% 6/15/27
 
2,985,000
3,001,958
Entergy Corp. 2.8% 6/15/30
 
580,000
492,855
Exelon Corp.:
  
  
  
 3.35% 3/15/32
 
389,000
333,027
 4.05% 4/15/30
 
7,865,000
7,296,256
 4.1% 3/15/52
 
288,000
219,943
IPALCO Enterprises, Inc. 3.7% 9/1/24
 
172,000
168,359
 
  
  
17,278,299
Independent Power and Renewable Electricity Producers - 0.3%
  
  
  
The AES Corp.:
  
  
  
 2.45% 1/15/31
 
2,000,000
1,613,947
 3.3% 7/15/25 (b)
  
3,530,000
3,369,973
 3.95% 7/15/30 (b)
  
2,288,000
2,034,490
 
  
  
7,018,410
Multi-Utilities - 0.2%
  
  
  
Berkshire Hathaway Energy Co. 4.05% 4/15/25
 
2,556,000
2,510,474
NiSource, Inc. 2.95% 9/1/29
 
1,708,000
1,510,825
Puget Energy, Inc.:
  
  
  
 4.1% 6/15/30
 
683,000
609,549
 4.224% 3/15/32
 
1,329,000
1,163,818
 
  
  
5,794,666
TOTAL UTILITIES
  
  
30,091,375
 
TOTAL NONCONVERTIBLE BONDS
 (Cost $711,002,265)
  
  
  
666,657,349
 
  
  
  
U.S. Treasury Obligations - 27.9%
 
  
Principal
Amount (a)
 
Value ($)
 
U.S. Treasury Bonds:
  
  
  
 1.125% 5/15/40
 
8,834,000
5,236,906
 1.75% 8/15/41
 
11,769,000
7,573,995
 1.875% 11/15/51
 
34,881,000
20,206,454
 2% 11/15/41
 
11,400,000
7,637,555
 2% 8/15/51
 
38,514,000
23,069,284
 2.25% 2/15/52
 
24,090,000
15,347,965
 2.875% 5/15/52
 
20,540,000
15,084,865
 3% 2/15/47
 
17,645,000
13,355,059
 3.25% 5/15/42
 
9,100,000
7,449,203
 3.625% 2/15/53
 
13,000,000
11,092,148
 3.625% 5/15/53
 
44,000,000
37,558,125
 4.125% 8/15/53
 
28,401,000
26,559,373
 4.375% 8/15/43
 
6,320,000
6,040,538
U.S. Treasury Notes:
  
  
  
 0.75% 8/31/26
 
433,000
391,493
 2.75% 4/30/27
 
700,000
663,277
 2.75% 8/15/32
 
27,025,000
23,865,398
 2.875% 4/30/29
 
5,411,700
5,026,751
 2.875% 5/15/32
 
2,750,400
2,460,963
 3.375% 5/15/33
 
60,800,000
56,183,000
 3.5% 1/31/30
 
25,000,000
23,826,172
 3.5% 2/15/33
 
44,110,000
41,222,173
 3.875% 1/15/26
 
100,000
98,445
 3.875% 12/31/29
 
36,500,000
35,526,191
 3.875% 8/15/33
 
50,000,000
48,085,938
 4% 2/15/26
 
760,000
749,936
 4% 2/29/28 (d)
  
600,000
591,750
 4% 6/30/28 (e)
  
7,000,000
6,905,117
 4% 2/28/30
 
32,900,000
32,220,152
 4.375% 10/31/24
 
1,400,000
1,389,172
 4.625% 2/28/25
 
1,500,000
1,492,207
 4.625% 3/15/26
 
1,740,000
1,740,612
 4.875% 10/31/28
 
206,968,000
212,045,148
 4.875% 10/31/30
 
75,000,000
77,250,000
 
TOTAL U.S. TREASURY OBLIGATIONS
 (Cost $843,977,310)
  
  
767,945,365
 
  
  
  
U.S. Government Agency - Mortgage Securities - 29.7%
 
  
Principal
Amount (a)
 
Value ($)
 
Fannie Mae - 6.1%
 
  
  
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.360% 5.615% 10/1/35 (c)(f)
  
2,853
2,865
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.440% 3.945% 4/1/37 (c)(f)
  
667
673
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.460% 5.183% 1/1/35 (c)(f)
  
1,571
1,590
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.480% 5.73% 7/1/34 (c)(f)
  
196
198
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.500% 4.755% 1/1/35 (c)(f)
  
1,040
1,044
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.510% 7.024% 2/1/33 (c)(f)
  
182
183
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.530% 4.785% 12/1/34 (c)(f)
  
367
369
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.550% 5.232% 5/1/44 (c)(f)
  
628
638
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.550% 5.803% 6/1/36 (c)(f)
  
1,660
1,683
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.550% 7.29% 9/1/33 (c)(f)
  
12,290
12,370
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.560% 4.065% 3/1/37 (c)(f)
  
5,367
5,437
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.570% 4.164% 4/1/44 (c)(f)
  
1,976
2,009
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.580% 3.83% 1/1/44 (c)(f)
  
1,068
1,087
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.580% 4.08% 4/1/44 (c)(f)
  
744
755
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.620% 4.992% 3/1/33 (c)(f)
  
4,572
4,607
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.630% 5.815% 9/1/36 (c)(f)
  
368
372
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.640% 3.895% 6/1/47 (c)(f)
  
7,466
7,586
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.640% 4.999% 11/1/36 (c)(f)
  
1,991
2,013
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.640% 5.864% 5/1/35 (c)(f)
  
1,235
1,248
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.680% 4.872% 7/1/43 (c)(f)
  
10,946
11,127
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.700% 5.143% 6/1/42 (c)(f)
  
7,459
7,596
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.730% 4.375% 3/1/40 (c)(f)
  
5,163
5,269
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.740% 5.47% 5/1/36 (c)(f)
  
2,339
2,377
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 4.617% 7/1/35 (c)(f)
  
3,572
3,616
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 8/1/41 (c)(f)
  
2,095
2,126
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.770% 3.995% 2/1/37 (c)(f)
  
11,914
12,081
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 4.055% 1/1/42 (c)(f)
  
26,111
26,640
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 5.724% 12/1/40 (c)(f)
  
40,500
41,071
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 6.05% 7/1/41 (c)(f)
  
3,267
3,322
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 4.06% 12/1/39 (c)(f)
  
433
443
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 4.304% 2/1/42 (c)(f)
  
15,530
15,835
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 6.051% 7/1/41 (c)(f)
  
5,705
5,809
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 6.068% 9/1/41 (c)(f)
  
2,870
2,915
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.820% 4.296% 2/1/35 (c)(f)
  
1,834
1,862
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.830% 6.08% 10/1/41 (c)(f)
  
2,443
2,435
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.850% 4.429% 4/1/36 (c)(f)
  
9,294
9,449
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.890% 5.055% 8/1/35 (c)(f)
  
8,105
8,235
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.950% 5.771% 7/1/37 (c)(f)
  
2,131
2,179
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.960% 5.418% 9/1/35 (c)(f)
  
184
186
U.S. TREASURY 1 YEAR INDEX + 2.180% 5.643% 7/1/36 (c)(f)
  
1,144
1,149
U.S. TREASURY 1 YEAR INDEX + 2.200% 4.583% 3/1/35 (c)(f)
  
570
575
U.S. TREASURY 1 YEAR INDEX + 2.270% 6.395% 6/1/36 (c)(f)
  
970
978
U.S. TREASURY 1 YEAR INDEX + 2.280% 6.404% 10/1/33 (c)(f)
  
969
976
U.S. TREASURY 1 YEAR INDEX + 2.460% 5.864% 7/1/34 (c)(f)
  
1,267
1,281
1.5% 9/1/35 to 6/1/51
 
9,599,684
7,673,574
2% 2/1/28 to 3/1/52
 
45,512,319
37,667,769
2.5% 1/1/28 to 5/1/53 (e)
  
57,183,441
48,120,233
3% 2/1/31 to 2/1/52 (e)
  
28,080,928
24,739,326
3.5% 9/1/33 to 3/1/52
 
8,683,954
7,882,040
4% 3/1/36 to 4/1/52
 
7,659,965
7,080,203
4.5% to 4.5% 6/1/24 to 12/1/52
 
6,617,683
6,261,131
5% 7/1/33 to 4/1/53
 
3,713,012
3,623,809
5.283% 8/1/41 (c)
  
26,423
26,125
5.5% 8/1/25 to 8/1/53 (e)
  
10,316,002
10,233,619
6% to 6% 9/1/29 to 6/1/53
 
2,850,371
2,883,583
6.5% 5/1/27 to 10/1/53
 
9,846,103
10,033,397
6.697% 2/1/39 (c)
  
12,961
13,134
7% to 7% 3/1/24 to 6/1/32
 
5,053
5,218
7.5% 3/1/26 to 11/1/31
 
4,230
4,327
TOTAL FANNIE MAE
  
  
166,463,747
Freddie Mac - 3.4%
 
  
  
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.320% 3.575% 1/1/36 (c)(f)
  
2,937
2,939
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.370% 4.527% 3/1/36 (c)(f)
  
2,636
2,641
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.500% 4.632% 3/1/36 (c)(f)
  
1,533
1,539
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.660% 4.04% 7/1/36 (c)(f)
  
9,866
9,937
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.660% 5.165% 1/1/37 (c)(f)
  
2,390
2,392
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.660% 7.04% 7/1/35 (c)(f)
  
1,739
1,748
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 5.182% 12/1/40 (c)(f)
  
14,620
14,800
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 7/1/41 (c)(f)
  
3,466
3,504
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 9/1/41 (c)(f)
  
46,046
46,458
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.860% 5.239% 4/1/36 (c)(f)
  
1,048
1,063
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.880% 5.255% 4/1/41 (c)(f)
  
1,136
1,151
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.880% 5.368% 10/1/36 (c)(f)
  
17,331
17,408
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.880% 6.13% 9/1/41 (c)(f)
  
3,876
3,925
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.880% 6.13% 10/1/41 (c)(f)
  
27,680
27,972
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.900% 5.731% 10/1/42 (c)(f)
  
19,192
19,357
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 5.213% 5/1/41 (c)(f)
  
8,198
8,328
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 5.568% 5/1/41 (c)(f)
  
9,321
9,468
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 5.698% 6/1/41 (c)(f)
  
8,786
8,930
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 6.16% 6/1/41 (c)(f)
  
2,872
2,916
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.990% 5.435% 10/1/35 (c)(f)
  
8,763
8,817
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.010% 7.885% 5/1/37 (c)(f)
  
1,650
1,673
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.020% 4.936% 4/1/38 (c)(f)
  
868
881
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.020% 7.385% 6/1/37 (c)(f)
  
3,606
3,656
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.030% 6.158% 3/1/33 (c)(f)
  
36
37
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.040% 6.256% 7/1/36 (c)(f)
  
7,505
7,622
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.200% 4.45% 12/1/36 (c)(f)
  
1,245
1,276
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.680% 8.319% 10/1/35 (c)(f)
  
1,454
1,491
U.S. TREASURY 1 YEAR INDEX + 2.030% 4.951% 6/1/33 (c)(f)
  
12,066
12,074
U.S. TREASURY 1 YEAR INDEX + 2.230% 5.064% 4/1/34 (c)(f)
  
3,946
3,967
U.S. TREASURY 1 YEAR INDEX + 2.260% 5.216% 6/1/33 (c)(f)
  
3,301
3,315
U.S. TREASURY 1 YEAR INDEX + 2.430% 5.86% 3/1/35 (c)(f)
  
6,018
6,066
U.S. TREASURY 1 YEAR INDEX + 2.540% 5.875% 7/1/35 (c)(f)
  
6,779
6,853
1.5% 8/1/35 to 4/1/51
 
13,262,838
10,343,826
2% 12/1/35 to 3/1/52
 
23,968,975
19,759,202
2.5% 1/1/28 to 1/1/52
 
20,454,701
17,301,096
3% 12/1/30 to 3/1/52
 
6,382,369
5,532,962
3.5% 3/1/32 to 4/1/52
 
5,798,473
5,273,730
4% 1/1/36 to 10/1/52
 
3,767,739
3,516,369
4% 4/1/48
 
1,133
1,050
4.5% 7/1/25 to 10/1/52
 
6,029,308
5,676,718
5% 8/1/33 to 8/1/53
 
9,521,026
9,220,175
5.5% 10/1/52 to 8/1/53
 
10,604,859
10,525,719
6% 1/1/24 to 7/1/53
 
3,340,955
3,395,135
6.5% 1/1/32 to 10/1/53
 
3,477,950
3,558,617
7% 8/1/26 to 9/1/36
 
9,876
10,264
7.5% 1/1/27
 
14
14
8% 7/1/24 to 8/1/30
 
160
168
8.5% 8/1/27
 
91
94
TOTAL FREDDIE MAC
  
  
94,359,343
Ginnie Mae - 7.2%
 
  
  
3.5% 11/20/41 to 12/20/49
 
1,008,011
915,009
4% 8/15/39 to 5/20/49
 
1,938,537
1,818,940
4.5% 6/20/33 to 6/20/41
 
652,078
626,260
5.5% 10/15/35 to 9/15/39
 
19,385
19,629
7% to 7% 4/15/28 to 8/15/32
 
4,784
4,951
7.5% to 7.5% 9/15/25 to 1/15/31
 
1,170
1,194
8% 9/15/24 to 7/15/27
 
69
70
8.5% 8/15/29 to 7/15/30
 
38
40
2% 11/20/50 to 4/20/51
 
1,329,897
1,076,129
2% 12/1/53 (g)
  
9,750,000
7,873,702
2% 12/1/53 (g)
  
14,500,000
11,709,608
2% 12/1/53 (g)
  
6,500,000
5,249,135
2% 12/1/53 (g)
  
5,000,000
4,037,796
2% 12/1/53 (g)
  
3,958,000
3,196,319
2% 12/1/53 (g)
  
3,300,000
2,664,945
2% 12/1/53 (g)
  
2,100,000
1,695,874
2% 12/1/53 (g)
  
700,000
565,291
2% 1/1/54 (g)
  
8,600,000
6,955,087
2% 1/1/54 (g)
  
5,300,000
4,286,275
2% 1/1/54 (g)
  
10,450,000
8,451,240
2% 1/1/54 (g)
  
7,850,000
6,348,539
2% 1/1/54 (g)
  
2,875,000
2,325,102
2.5% 6/20/51 to 12/20/51
 
9,027,462
7,478,753
2.5% 12/1/53 (g)
  
2,450,000
2,047,225
2.5% 12/1/53 (g)
  
6,350,000
5,306,072
2.5% 12/1/53 (g)
  
4,900,000
4,094,449
2.5% 12/1/53 (g)
  
1,950,000
1,629,424
2.5% 12/1/53 (g)
  
3,500,000
2,924,607
2.5% 12/1/53 (g)
  
3,500,000
2,924,607
2.5% 1/1/54 (g)
  
8,800,000
7,362,235
2.5% 1/1/54 (g)
  
11,550,000
9,662,933
3% 5/15/42 to 2/20/50
 
412,560
363,237
3% 12/1/53 (g)
  
4,750,000
4,113,854
3% 12/1/53 (g)
  
2,300,000
1,991,971
3% 12/1/53 (g)
  
7,150,000
6,192,433
3% 12/1/53 (g)
  
1,900,000
1,645,542
3% 12/1/53 (g)
  
250,000
216,519
3% 12/1/53 (g)
  
4,200,000
3,637,513
3% 1/1/54 (g)
  
9,550,000
8,279,592
3% 1/1/54 (g)
  
6,100,000
5,288,535
3.5% 12/1/53 (g)
  
6,150,000
5,500,609
3.5% 12/1/53 (g)
  
4,300,000
3,845,954
3.5% 1/1/54 (g)
  
3,950,000
3,536,306
3.5% 1/1/54 (g)
  
3,925,000
3,513,924
4% 12/1/53 (g)
  
4,600,000
4,238,745
4.5% 12/1/53 (g)
  
1,200,000
1,135,758
5% 9/20/33 to 4/20/48
 
358,774
355,148
5% 12/1/53 (g)
  
1,850,000
1,798,418
5% 12/1/53 (g)
  
5,450,000
5,298,043
5.47% 8/20/59 (c)(h)
  
167
157
5.5% 12/1/53 (g)
  
5,650,000
5,613,147
5.5% 12/1/53 (g)
  
1,125,000
1,117,662
5.5% 12/1/53 (g)
  
1,225,000
1,217,010
5.5% 1/1/54 (g)
  
3,975,000
3,947,830
6% 11/20/31 to 5/15/40
 
207,513
212,496
6.5% 3/20/31 to 9/15/34
 
670
689
6.5% 12/1/53 (g)
  
2,000,000
2,033,780
6.5% 12/1/53 (g)
  
2,000,000
2,033,780
6.5% 12/1/53 (g)
  
2,800,000
2,847,293
6.5% 12/1/53 (g)
  
800,000
813,512
6.5% 1/1/54 (g)
  
4,800,000
4,877,136
TOTAL GINNIE MAE
  
  
198,918,033
Uniform Mortgage Backed Securities - 13.0%
 
  
  
2% 12/1/53 (g)
  
5,850,000
4,551,151
2% 12/1/53 (g)
  
5,850,000
4,551,151
2% 12/1/53 (g)
  
17,650,000
13,731,250
2% 12/1/53 (g)
  
8,750,000
6,807,277
2% 12/1/53 (g)
  
4,750,000
3,695,379
2% 12/1/53 (g)
  
4,050,000
3,150,797
2% 12/1/53 (g)
  
3,925,000
3,053,550
2% 12/1/53 (g)
  
3,350,000
2,606,215
2% 12/1/53 (g)
  
2,925,000
2,275,575
2% 12/1/53 (g)
  
5,100,000
3,967,670
2% 12/1/53 (g)
  
3,875,000
3,014,651
2% 12/1/53 (g)
  
18,700,000
14,548,123
2% 12/1/53 (g)
  
22,575,000
17,562,774
2% 12/1/53 (g)
  
2,900,000
2,256,126
2% 1/1/54 (g)
  
29,200,000
22,757,916
2% 1/1/54 (g)
  
2,800,000
2,182,266
2% 1/1/54 (g)
  
9,650,000
7,521,024
2% 1/1/54 (g)
  
2,500,000
1,948,452
2% 1/1/54 (g)
  
15,050,000
11,729,680
2.5% 12/1/53 (g)
  
10,550,000
8,556,218
2.5% 12/1/53 (g)
  
2,700,000
2,189,743
2.5% 12/1/53 (g)
  
2,675,000
2,169,468
2.5% 12/1/53 (g)
  
1,350,000
1,094,871
2.5% 12/1/53 (g)
  
800,000
648,813
2.5% 12/1/53 (g)
  
2,650,000
2,149,192
2.5% 12/1/53 (g)
  
1,575,000
1,277,350
2.5% 12/1/53 (g)
  
7,600,000
6,163,721
2.5% 1/1/54 (g)
  
15,050,000
12,225,777
3% 12/1/53 (g)
  
12,050,000
10,172,840
3% 12/1/53 (g)
  
9,050,000
7,640,183
3% 12/1/53 (g)
  
2,950,000
2,490,446
3% 12/1/53 (g)
  
2,350,000
1,983,915
3% 12/1/53 (g)
  
8,200,000
6,922,597
3% 12/1/53 (g)
  
6,675,000
5,635,162
3% 12/1/53 (g)
  
6,600,000
5,571,846
3% 12/1/53 (g)
  
800,000
675,375
3% 12/1/53 (g)
  
1,075,000
907,536
3% 12/1/53 (g)
  
200,000
168,844
3% 12/1/53 (g)
  
10,300,000
8,695,457
3% 12/1/53 (g)
  
6,675,000
5,635,163
3% 12/1/53 (g)
  
200,000
168,844
3% 12/1/53 (g)
  
1,875,000
1,582,911
3% 12/1/53 (g)
  
1,300,000
1,097,485
3% 1/1/54 (g)
  
22,650,000
19,147,221
3% 1/1/54 (g)
  
9,000,000
7,608,167
3% 1/1/54 (g)
  
3,350,000
2,831,929
3% 1/1/54 (g)
  
14,100,000
11,919,462
3.5% 12/1/53 (g)
  
14,400,000
12,637,685
3.5% 12/1/53 (g)
  
7,750,000
6,801,532
3.5% 12/1/53 (g)
  
3,900,000
3,422,706
3.5% 12/1/53 (g)
  
3,950,000
3,466,587
3.5% 12/1/53 (g)
  
7,400,000
6,494,366
3.5% 1/1/54 (g)
  
7,825,000
6,872,550
3.5% 1/1/54 (g)
  
11,950,000
10,495,459
4% 12/1/53 (g)
  
8,900,000
8,085,793
4% 12/1/53 (g)
  
10,000,000
9,085,161
4% 12/1/53 (g)
  
6,400,000
5,814,503
4.5% 12/1/53 (g)
  
1,400,000
1,311,952
4.5% 12/1/53 (g)
  
500,000
468,554
4.5% 12/1/53 (g)
  
500,000
468,554
4.5% 1/1/54 (g)
  
1,000,000
937,734
5% 12/1/38 (g)
  
2,100,000
2,046,680
5% 12/1/38 (g)
  
950,000
925,879
5% 12/1/53 (g)
  
1,700,000
1,637,643
5.5% 12/1/53 (g)
  
3,825,000
3,771,511
5.5% 12/1/53 (g)
  
1,200,000
1,183,219
6.5% 12/1/53 (g)
  
1,550,000
1,575,187
6.5% 12/1/53 (g)
  
850,000
863,812
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
  
  
357,608,630
 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
 (Cost $819,180,064)
  
  
  
817,349,753
 
  
  
  
Asset-Backed Securities - 6.2%
 
  
Principal
Amount (a)
 
Value ($)
 
AASET Trust:
  
  
  
 Series 2018-1A Class A, 3.844% 1/16/38 (b)
  
274,461
177,711
 Series 2019-1 Class A, 3.844% 5/15/39 (b)
  
236,794
177,598
 Series 2019-2:
 
  
  
Class A, 3.376% 10/16/39 (b)
 
  
777,417
683,675
Class B, 4.458% 10/16/39 (b)
 
  
220,258
96,922
 Series 2021-1A Class A, 2.95% 11/16/41 (b)
  
7,486,808
6,635,558
 Series 2021-2A Class A, 2.798% 1/15/47 (b)
  
2,037,310
1,744,344
AASET, Ltd. Series 2022-1A Class A, 6% 5/16/47 (b)
  
1,399,274
1,328,205
Aimco Series 2018-BA Class AR, CME Term SOFR 3 Month Index + 1.360% 6.7555% 1/15/32 (b)(c)(f)
  
365,000
364,562
AIMCO CLO Series 2021-AA Class AR2, CME Term SOFR 3 Month Index + 1.400% 6.8044% 10/17/34 (b)(c)(f)
  
1,889,000
1,880,397
AIMCO CLO Ltd. Series 2021-11A Class AR, CME Term SOFR 3 Month Index + 1.390% 6.7944% 10/17/34 (b)(c)(f)
  
869,000
866,376
AIMCO CLO Ltd. / AIMCO CLO LLC Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.250% 6.6674% 4/20/34 (b)(c)(f)
  
2,222,000
2,204,626
Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.500% 6.9158% 7/20/35 (b)(c)(f)
  
1,188,000
1,185,845
Allegro CLO, Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.400% 6.8174% 7/20/34 (b)(c)(f)
  
992,000
986,968
American Express Credit Account Master Trust Series 2023-1 Class A, 4.87% 5/15/28
 
1,220,000
1,213,853
American Money Management Corp. Series 2012-11A Class A1R2, CME Term SOFR 3 Month Index + 1.270% 6.6616% 4/30/31 (b)(c)(f)
  
1,313,846
1,311,316
Apollo Aviation Securitization Equity Trust Series 2020-1A:
  
  
  
 Class A, 3.351% 1/16/40 (b)
  
279,062
244,174
 Class B, 4.335% 1/16/40 (b)
  
138,939
76,766
Ares CLO Series 2019-54A Class A, CME Term SOFR 3 Month Index + 1.580% 6.9755% 10/15/32 (b)(c)(f)
  
1,101,000
1,100,988
Ares LIX CLO Ltd. Series 2021-59A Class A, CME Term SOFR 3 Month Index + 1.290% 6.6698% 4/25/34 (b)(c)(f)
  
657,000
651,594
Ares LV CLO Ltd. Series 2021-55A Class A1R, CME Term SOFR 3 Month Index + 1.390% 6.7855% 7/15/34 (b)(c)(f)
  
1,286,000
1,282,797
Ares LVIII CLO LLC Series 2022-58A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.7239% 1/15/35 (b)(c)(f)
  
1,808,000
1,793,319
Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, CME Term SOFR 3 Month Index + 1.330% 6.7255% 4/15/34 (b)(c)(f)
  
3,233,000
3,212,079
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, CME Term SOFR 3 Month Index + 1.510% 6.9144% 4/17/33 (b)(c)(f)
  
460,000
458,776
Babson CLO Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.8055% 10/15/36 (b)(c)(f)
  
860,000
856,456
Bank of America Credit Card Master Trust Series 2023-A1 Class A1, 4.79% 5/15/28
 
1,700,000
1,688,935
Barings CLO Ltd.:
  
  
  
 Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.280% 6.6598% 4/25/34 (b)(c)(f)
  
1,437,000
1,427,270
 Series 2021-4A Class A, CME Term SOFR 3 Month Index + 1.480% 6.8974% 1/20/32 (b)(c)(f)
  
1,680,000
1,679,995
Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME Term SOFR 3 Month Index + 1.300% 6.7028% 1/17/35 (b)(c)(f)
  
1,857,000
1,844,536
BETHP Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7855% 1/15/35 (b)(c)(f)
  
1,299,000
1,295,025
Blackbird Capital Aircraft Series 2021-1A Class A, 2.443% 7/15/46 (b)
  
1,797,479
1,532,351
Bristol Park CLO, Ltd. Series 2020-1A Class AR, CME Term SOFR 3 Month Index + 1.250% 6.6455% 4/15/29 (b)(c)(f)
  
1,134,739
1,133,147
Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28
 
1,036,000
1,054,093
Castlelake Aircraft Securitization Trust Series 2019-1A:
  
  
  
 Class A, 3.967% 4/15/39 (b)
  
700,145
612,650
 Class B, 5.095% 4/15/39 (b)
  
488,890
316,571
Castlelake Aircraft Structured Trust:
  
  
  
 Series 2018-1 Class A, 4.125% 6/15/43 (b)
  
255,562
232,981
 Series 2021-1A Class A, 3.474% 1/15/46 (b)
  
241,183
221,353
Cedar Funding Ltd.:
  
  
  
 Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.7774% 10/20/32 (b)(c)(f)
  
1,037,000
1,031,947
 Series 2022-15A Class A, CME Term SOFR 3 Month Index + 1.320% 6.7358% 4/20/35 (b)(c)(f)
  
1,721,000
1,705,169
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, CME Term SOFR 3 Month Index + 1.390% 6.7698% 10/25/34 (b)(c)(f)
  
838,000
832,974
Cedar Funding Xvii Clo Ltd. Series 2023-17A Class A, CME Term SOFR 3 Month Index + 1.850% 7.2758% 7/20/36 (b)(c)(f)
  
1,424,000
1,426,516
CEDF Series 2021-6A Class ARR, CME Term SOFR 3 Month Index + 1.310% 6.7274% 4/20/34 (b)(c)(f)
  
1,199,000
1,186,229
Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, CME Term SOFR 3 Month Index + 1.430% 6.8474% 10/20/34 (b)(c)(f)
  
1,364,000
1,350,009
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b)
  
611,519
588,458
Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/35 (b)
  
706,436
709,334
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, CME Term SOFR 3 Month Index + 1.460% 6.8774% 4/20/34 (b)(c)(f)
  
1,620,000
1,605,420
Columbia Cent Clo 32 Ltd. / Coliseum Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.700% 7.0985% 7/24/34 (b)(c)(f)
  
1,758,000
1,754,857
Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, CME Term SOFR 3 Month Index + 1.570% 6.9874% 1/20/34 (b)(c)(f)
  
2,220,000
2,208,651
Daimler Trucks Retail Trust 20 Series 2023-1 Class A2, 6.03% 9/15/25
 
2,340,000
2,343,218
DB Master Finance LLC:
  
  
  
 Series 2017-1A Class A2II, 4.03% 11/20/47 (b)
  
450,515
415,787
 Series 2019-1A Class A23, 4.352% 5/20/49 (b)
  
5,456,793
5,088,301
Dllaa 2023-1A Series 2023-1A:
  
  
  
 Class A2, 5.93% 7/20/26 (b)
  
554,000
554,845
 Class A3, 5.64% 2/22/28 (b)
  
421,000
420,937
Dryden 98 CLO Ltd. Series 2022-98A Class A, CME Term SOFR 3 Month Index + 1.300% 6.7158% 4/20/35 (b)(c)(f)
  
2,199,000
2,177,390
Dryden CLO, Ltd.:
  
  
  
 Series 2021-76A Class A1R, CME Term SOFR 3 Month Index + 1.410% 6.8274% 10/20/34 (b)(c)(f)
  
1,790,000
1,785,869
 Series 2021-83A Class A, CME Term SOFR 3 Month Index + 1.480% 6.8767% 1/18/32 (b)(c)(f)
  
1,259,000
1,258,072
Dryden CLO, Ltd. / Dryden CLO, LLC Series 2021-86A Class A1R, CME Term SOFR 3 Month Index + 1.360% 6.7644% 7/17/34 (b)(c)(f)
  
2,773,000
2,756,101
Dryden Senior Loan Fund:
  
  
  
 Series 2020-78A Class A, CME Term SOFR 3 Month Index + 1.440% 6.8444% 4/17/33 (b)(c)(f)
  
900,000
896,194
 Series 2021-85A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.8055% 10/15/35 (b)(c)(f)
  
2,514,000
2,502,375
 Series 2021-90A Class A1A, CME Term SOFR 3 Month Index + 1.390% 6.7587% 2/20/35 (b)(c)(f)
  
1,503,000
1,493,824
Eaton Vance CLO, Ltd.:
  
  
  
 Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.7555% 4/15/31 (b)(c)(f)
  
610,000
607,898
 Series 2021-2A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.8055% 1/15/35 (b)(c)(f)
  
1,578,000
1,575,515
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, CME Term SOFR 3 Month Index + 1.510% 6.9055% 1/15/34 (b)(c)(f)
  
350,000
349,200
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b)
  
1,655,000
1,675,546
Flatiron CLO Ltd. Series 2021-1A:
  
  
  
 Class A1, 3 month U.S. LIBOR + 1.110% 6.7684% 7/19/34 (b)(c)(f)
  
902,000
896,903
 Class AR, CME Term SOFR 3 Month Index + 1.340% 6.7318% 11/16/34 (b)(c)(f)
  
1,250,000
1,246,323
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, CME Term SOFR 3 Month Index + 1.560% 6.9287% 11/20/33 (b)(c)(f)
  
1,956,000
1,952,471
Ford Credit Floorplan Master Owner Trust Series 2023-1 Class A1, 4.92% 5/15/28 (b)
  
3,045,000
3,004,102
GM Financial Automobile Leasing Series 2023-2 Class A2A, 5.44% 10/20/25
 
460,344
459,376
Gm Financial Consumer Automobile Re Series 2023-3 Class A3, 5.45% 6/16/28
 
869,000
873,326
GM Financial Consumer Automobile Receivables Trust Series 2022-4 Class A3, 4.82% 8/16/27
 
1,000,000
990,601
Gm Financial Leasing Trust 202 Series 2023-3 Class A3, 5.38% 11/20/26
 
419,000
417,869
Honda Auto Receivables Series 2023-2 Class A3, 4.93% 11/15/27
 
834,000
827,833
Honda Auto Receivables 2023-3 Series 2023-3 Class A3, 5.41% 2/18/28
 
500,000
501,433
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b)
  
357,218
302,918
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b)
  
1,446,831
1,264,238
Invesco CLO Ltd. Series 2021-3A Class A, CME Term SOFR 3 Month Index + 1.390% 6.8035% 10/22/34 (b)(c)(f)
  
960,000
955,613
KKR CLO Ltd. Series 2022-41A Class A1, CME Term SOFR 3 Month Index + 1.330% 6.7239% 4/15/35 (b)(c)(f)
  
2,253,000
2,229,377
Lucali CLO Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.470% 6.8655% 1/15/33 (b)(c)(f)
  
820,000
819,982
Madison Park Funding Series 2020-19A Class A1R2, CME Term SOFR 3 Month Index + 1.180% 6.5935% 1/22/28 (b)(c)(f)
  
692,067
689,990
Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, CME Term SOFR 3 Month Index + 1.400% 6.7984% 4/19/34 (b)(c)(f)
  
1,690,000
1,675,343
Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, CME Term SOFR 3 Month Index + 1.360% 6.7735% 1/22/35 (b)(c)(f)
  
1,540,000
1,526,956
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, CME Term SOFR 3 Month Index + 1.380% 6.7755% 7/15/34 (b)(c)(f)
  
1,325,000
1,314,318
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A2R, CME Term SOFR 3 Month Index + 1.460% 6.8735% 1/22/31 (b)(c)(f)
  
364,000
360,359
Magnetite CLO LTD Series 2023-36A Class A, CME Term SOFR 3 Month Index + 1.800% 7.2119% 4/22/36 (b)(c)(f)
  
881,000
882,937
Magnetite CLO Ltd. Series 2021-27A Class AR, CME Term SOFR 3 Month Index + 1.400% 6.8174% 10/20/34 (b)(c)(f)
  
305,000
304,648
Magnetite IX, Ltd. / Magnetite IX LLC Series 2021-30A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7698% 10/25/34 (b)(c)(f)
  
1,565,000
1,559,626
Magnetite XXI Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.280% 6.6974% 4/20/34 (b)(c)(f)
  
1,158,000
1,148,195
Magnetite XXIII, Ltd. Series 2021-23A Class AR, CME Term SOFR 3 Month Index + 1.390% 6.7698% 1/25/35 (b)(c)(f)
  
1,132,000
1,126,560
Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, CME Term SOFR 3 Month Index + 1.250% 6.6455% 1/15/34 (b)(c)(f)
  
1,480,000
1,473,448
Marlette Funding Trust 2023-3 Series 2023-3A Class A, 6.49% 9/15/33 (b)
  
848,413
848,046
Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/36 (b)
  
900,000
903,175
Milos CLO, Ltd. Series 2020-1A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.7474% 10/20/30 (b)(c)(f)
  
1,247,757
1,247,691
Peace Park CLO, Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.390% 6.8074% 10/20/34 (b)(c)(f)
  
1,254,000
1,246,973
Planet Fitness Master Issuer LLC:
  
  
  
 Series 2018-1A Class A2II, 4.666% 9/5/48 (b)
  
1,898,100
1,834,368
 Series 2019-1A Class A2, 3.858% 12/5/49 (b)
  
931,700
789,490
 Series 2022-1A:
 
  
  
Class A2I, 3.251% 12/5/51 (b)
 
  
1,106,155
1,004,244
Class A2II, 4.008% 12/5/51 (b)
 
  
988,940
809,957
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b)
  
765,872
635,696
Prpm 2023-Rcf2 LLC Series 2023-RCF2 Class A1, 4% 11/25/53 (b)
  
600,000
559,291
Rockland Park CLO Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.380% 6.7974% 4/20/34 (b)(c)(f)
  
1,717,000
1,705,458
RR 7 Ltd. Series 2022-7A Class A1AB, CME Term SOFR 3 Month Index + 1.340% 6.7339% 1/15/37 (b)(c)(f)
  
1,862,000
1,848,774
Rram 2022-24A Series 2023-24A Class A1AR, CME Term SOFR 3 Month Index + 1.730% 0% 1/15/36 (b)(c)(f)
  
7,000,000
7,000,000
Sapphire Aviation Finance Series 2020-1A:
  
  
  
 Class A, 3.228% 3/15/40 (b)
  
872,792
744,072
 Class B, 4.335% 3/15/40 (b)
  
211,834
151,470
SBA Tower Trust:
  
  
  
 Series 2019, 2.836% 1/15/50 (b)
  
1,211,000
1,165,782
 1.884% 7/15/50 (b)
  
498,000
455,466
 2.328% 7/15/52 (b)
  
381,000
328,787
Sfs Auto Receivables Securitiz Series 2023-1A Class A2A, 5.89% 3/22/27 (b)
  
724,260
724,191
Stratus CLO, Ltd. Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.750% 7.1658% 7/20/30 (b)(c)(f)
  
224,533
224,547
SYMP Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.320% 6.7319% 4/23/35 (b)(c)(f)
  
1,936,000
1,914,290
Symphony CLO Ltd. Series 2020-22A Class A1A, CME Term SOFR 3 Month Index + 1.550% 6.9467% 4/18/33 (b)(c)(f)
  
3,000,000
2,989,989
Symphony CLO XIX, Ltd. / Symphony CLO XIX LLC Series 2018-19A Class A, CME Term SOFR 3 Month Index + 1.220% 6.6155% 4/16/31 (b)(c)(f)
  
741,481
737,181
Symphony CLO XXV Ltd. / Symphony CLO XXV LLC Series 2021-25A Class A, CME Term SOFR 3 Month Index + 1.240% 6.6384% 4/19/34 (b)(c)(f)
  
1,453,000
1,438,839
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, CME Term SOFR 3 Month Index + 1.340% 6.7574% 4/20/33 (b)(c)(f)
  
1,903,000
1,896,336
Tesla Auto Lease Trust 2023-B Series 2023-B:
  
  
  
 Class A2, 6.02% 9/22/25 (b)
  
1,871,000
1,873,345
 Class A3, 6.13% 9/21/26 (b)
  
1,200,000
1,204,188
Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (b)
  
1,000,000
998,693
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(c)
  
658,914
566,725
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b)
  
1,246,889
1,050,542
Toyota Lease Owner Trust Series 2023 A:
  
  
  
 Class A2, 5.3% 8/20/25 (b)
  
680,580
678,691
 Class A3, 4.93% 4/20/26 (b)
  
891,000
884,302
Verizon Master Trust:
  
  
  
 Series 2021-1 Class A, 0.5% 5/20/27
 
600,000
585,345
 Series 2023 2 Class A, 4.89% 4/13/28
 
500,000
495,522
Voya Clo 2023-1 Ltd. Series 2023-1A Class A1, CME Term SOFR 3 Month Index + 1.800% 1.8% 1/20/37 (b)(c)(f)(g)
  
2,007,000
2,006,316
Voya CLO Ltd. Series 2019-2A Class A, CME Term SOFR 3 Month Index + 1.530% 6.9474% 7/20/32 (b)(c)(f)
  
1,290,000
1,289,938
Voya CLO Ltd./Voya CLO LLC:
  
  
  
 Series 2021-2A Class A1R, CME Term SOFR 3 Month Index + 1.420% 6.8184% 7/19/34 (b)(c)(f)
  
851,000
845,600
 Series 2021-3A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.8274% 10/20/34 (b)(c)(f)
  
4,736,000
4,712,869
Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 6.8055% 7/16/34 (b)(c)(f)
  
860,000
856,329
Wheels Fleet Lease Funding 1 L Series 2023-2A Class A, 6.46% 8/18/38 (b)
  
1,800,000
1,813,547
Willis Engine Structured Trust Vi Series 2023-A Class A, 8% 10/15/48 (b)
  
900,000
895,104
World Omni Auto Receivables Trust:
  
  
  
 Series 2023 B:
 
  
  
Class A2A, 5.25% 11/16/26
 
  
475,381
473,927
Class A3, 4.66% 5/15/28
 
  
944,000
931,387
 Series 2023-C Class A3, 5.15% 11/15/28
 
514,000
512,830
World Omni Automobile Lease Series 2023-A Class A2A, 5.47% 11/17/25
 
873,364
871,869
 
TOTAL ASSET-BACKED SECURITIES
 (Cost $172,203,198)
  
  
169,430,375
 
  
  
  
Collateralized Mortgage Obligations - 2.1%
 
  
Principal
Amount (a)
 
Value ($)
 
Private Sponsor - 0.2%
 
  
  
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c)
  
238,741
230,194
Bravo Residential Funding Trust 2023- sequential payer Series 2023-RPL1 Class A1, 5% 5/25/63 (b)
  
1,215,880
1,169,699
Cascade Funding Mortgage Trust Series 2021-HB6 Class A, 0.8983% 6/25/36 (b)
  
485,805
462,396
CFMT Series 2022-HB10 Class A, 3.25% 11/25/35 (b)
  
810,849
781,207
MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (b)
  
398,995
356,723
New Residential Mortgage Loan Trust Series 2020-1A Class A1B, 3.5% 10/25/59 (b)
  
409,719
367,987
NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (b)
  
226,423
201,295
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b)
  
273,566
259,364
Preston Ridge Partners Mortgage Trust Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c)
  
331,780
291,813
Towd Point Mortgage Trust sequential payer Series 2022-K147 Class A2, 3.75% 7/25/62 (b)
  
675,450
609,073
TOTAL PRIVATE SPONSOR
  
  
4,729,751
U.S. Government Agency - 1.9%
 
  
  
Fannie Mae:
  
  
  
 floater:
 
  
  
Series 1994-42 Class FK, 10-Year Treasury Constant Maturity Rate - 0.500% 4.37% 4/25/24 (c)(f)
 
  
416
414
Series 2001-38 Class QF, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.090% 6.4226% 8/25/31 (c)(f)
 
  
2,125
2,131
Series 2002-18 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.2426% 2/25/32 (c)(f)
 
  
244
243
Series 2002-39 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4396% 3/18/32 (c)(f)
 
  
456
457
Series 2002-60 Class FV, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4426% 4/25/32 (c)(f)
 
  
978
980
Series 2002-63 Class FN, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4426% 10/25/32 (c)(f)
 
  
619
621
Series 2002-7 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.860% 6.1926% 1/25/32 (c)(f)
 
  
229
228
Series 2002-74 Class FV, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.560% 5.8926% 11/25/32 (c)(f)
 
  
8,724
8,706
Series 2002-75 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4426% 11/25/32 (c)(f)
 
  
958
960
Series 2003-118 Class S, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6574% 12/25/33 (c)(i)(j)
 
  
9,112
1,224
Series 2006-104 Class GI, 6.560% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2374% 11/25/36 (c)(i)(j)
 
  
6,528
543
Series 2010-15 Class FJ, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.040% 6.3726% 6/25/36 (c)(f)
 
  
187,273
187,273
 planned amortization class:
 
  
  
Series 1996-28 Class PK, 6.5% 7/25/25
 
  
26
26
Series 1999-17 Class PG, 6% 4/25/29
 
  
2,258
2,282
Series 1999-32 Class PL, 6% 7/25/29
 
  
2,869
2,886
Series 1999-33 Class PK, 6% 7/25/29
 
  
2,059
2,073
Series 2001-52 Class YZ, 6.5% 10/25/31
 
  
392
399
Series 2003-70 Class BJ, 5% 7/25/33
 
  
14,697
14,405
Series 2005-64 Class PX, 5.5% 6/25/35
 
  
7,794
7,756
Series 2005-68 Class CZ, 5.5% 8/25/35
 
  
200,185
201,312
Series 2005-81 Class PC, 5.5% 9/25/35
 
  
5,160
5,224
Series 2006-12 Class BO 10/25/35 (k)
 
  
6,522
5,590
Series 2006-15 Class OP 3/25/36 (k)
 
  
8,750
7,296
Series 2006-45 Class OP 6/25/36 (k)
 
  
2,747
2,159
Series 2006-62 Class KP 4/25/36 (k)
 
  
4,312
3,488
Series 2010-118 Class PB, 4.5% 10/25/40
 
  
151,991
147,989
Series 2012-149:
 
  
  
  
Class DA, 1.75% 1/25/43
 
  
49,481
44,695
Class GA, 1.75% 6/25/42
 
  
55,738
49,880
Series 2021-45 Class DA, 3% 7/25/51
 
  
395,284
339,576
Series 2021-69 Class JK, 1.5% 10/25/51
 
  
210,795
168,760
Series 2022-2 Class TH, 2.5% 2/25/52
 
  
167,554
147,684
 sequential payer:
 
  
  
Series 1997-41 Class J, 7.5% 6/18/27
 
  
422
427
Series 1999-25 Class Z, 6% 6/25/29
 
  
2,327
2,314
Series 2001-20 Class Z, 6% 5/25/31
 
  
2,719
2,743
Series 2001-31 Class ZC, 6.5% 7/25/31
 
  
1,290
1,295
Series 2002-16 Class ZD, 6.5% 4/25/32
 
  
1,130
1,152
Series 2002-74 Class SV, 7.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.1074% 11/25/32 (c)(i)(j)
 
  
1,818
44
Series 2004-52 Class KZ, 5.5% 7/25/34
 
  
71,422
70,963
Series 2004-91 Class Z, 5% 12/25/34
 
  
157,942
154,815
Series 2005-117 Class JN, 4.5% 1/25/36
 
  
11,657
11,496
Series 2005-14 Class ZB, 5% 3/25/35
 
  
48,966
47,995
Series 2006-72 Class CY, 6% 8/25/26
 
  
13,559
13,566
Series 2009-59 Class HB, 5% 8/25/39
 
  
87,140
85,959
Series 2012-67 Class AI, 4.5% 7/25/27 (i)
 
  
1,836
39
Series 2020-101 Class BA, 1.5% 9/25/45
 
  
278,138
232,415
Series 2020-43 Class MA, 2% 1/25/45
 
  
677,694
594,683
Series 2020-49 Class JA, 2% 8/25/44
 
  
113,111
99,983
Series 2020-80 Class BA, 1.5% 3/25/45
 
  
412,743
347,067
Series 2021-68 Class A, 2% 7/25/49
 
  
229,620
176,570
Series 2021-85 Class L, 2.5% 8/25/48
 
  
125,347
107,247
Series 2021-95:
 
  
  
  
Class 0, 2.5% 9/25/48
 
  
612,843
522,622
Class BA, 2.5% 6/25/49
 
  
933,210
795,701
Series 2021-96 Class HA, 2.5% 2/25/50
 
  
203,294
171,030
Series 2022-1 Class KA, 3% 5/25/48
 
  
197,646
174,817
Series 2022-11 Class B, 3% 6/25/49
 
  
236,576
212,143
Series 2022-13:
 
  
  
  
Class HA, 3% 8/25/46
 
  
232,191
212,054
Class JA, 3% 5/25/48
 
  
447,529
398,058
Class MA, 3% 5/25/44
 
  
3,642,595
3,367,351
Series 2022-15 Class GC, 3% 1/25/47
 
  
213,043
191,860
Series 2022-17 Class BH, 3% 5/25/47
 
  
236,264
213,098
Series 2022-25 Class AB, 4% 9/25/47
 
  
410,258
387,987
Series 2022-3:
 
  
  
  
Class D, 2% 2/25/48
 
  
925,944
793,293
Class N, 2% 10/25/47
 
  
2,375,953
1,980,287
Series 2022-30 Class E, 4.5% 7/25/48
 
  
519,603
495,500
Series 2022-4 Class B, 2.5% 5/25/49
 
  
149,230
127,554
Series 2022-49 Class TC, 4% 12/25/48
 
  
164,309
156,200
Series 2022-5:
 
  
  
  
Class 0, 2.5% 6/25/48
 
  
299,077
257,098
Class DA, 2.25% 11/25/47
 
  
840,084
719,556
Series 2022-69 Class AB, 4.5% 1/25/44
 
  
693,576
662,815
Series 2022-7:
 
  
  
  
Class A, 3% 5/25/48
 
  
281,823
249,294
Class E, 2.5% 11/25/47
 
  
919,980
803,211
Series 2022-9 Class BA, 3% 5/25/48
 
  
237,490
211,139
 Series 06-116 Class SG, 6.520% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1974% 12/25/36 (c)(i)(j)
  
4,304
383
 Series 07-40 Class SE, 6.320% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.9974% 5/25/37 (c)(i)(j)
  
2,323
237
 Series 2003-21 Class SK, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6574% 3/25/33 (c)(i)(j)
  
559
54
 Series 2005-72 Class ZC, 5.5% 8/25/35
 
36,129
35,943
 Series 2005-79 Class ZC, 5.9% 9/25/35
 
20,865
20,868
 Series 2007-66 Class SA, 38.910% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 6.9446% 7/25/37 (c)(f)(j)
  
2,903
3,429
 Series 2010-135 Class ZA, 4.5% 12/25/40
 
8,127
7,904
 Series 2010-139 Class NI, 4.5% 2/25/40 (i)
  
12,334
113
 Series 2010-150 Class ZC, 4.75% 1/25/41
 
76,779
74,508
 Series 2010-39 Class FG, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.030% 6.3626% 3/25/36 (c)(f)
  
129,099
128,962
 Series 2010-95 Class ZC, 5% 9/25/40
 
164,074
161,707
 Series 2011-39 Class ZA, 6% 11/25/32
 
10,498
10,678
 Series 2011-4 Class PZ, 5% 2/25/41
 
24,673
23,264
 Series 2011-67 Class AI, 4% 7/25/26 (i)
  
5,622
113
 Series 2012-100 Class WI, 3% 9/25/27 (i)
  
26,525
964
 Series 2012-9 Class SH, 6.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1074% 6/25/41 (c)(i)(j)
  
2,731
20
 Series 2013-133 Class IB, 3% 4/25/32 (i)
  
8,156
171
 Series 2013-134 Class SA, 5.930% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.6074% 1/25/44 (c)(i)(j)
  
10,137
938
 Series 2013-N1 Class A, 6.600% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2774% 6/25/35 (c)(i)(j)
  
12,351
851
 Series 2015-42 Class IL, 6% 6/25/45 (i)
  
62,276
10,425
 Series 2015-70 Class JC, 3% 10/25/45
 
68,431
64,102
 Series 2017-30 Class AI, 5.5% 5/25/47 (i)
  
34,970
5,932
 Series 2018-45 Class GI, 4% 6/25/48 (i)
  
408,557
82,681
 Series 2020-39 Class MG, 1.5% 6/25/40
 
1,160,764
935,201
 Series 2020-45:
 
  
  
Class JC, 1.5% 7/25/40
 
  
1,186,330
955,503
Class JL, 3% 7/25/40
 
  
20,107
17,880
 Series 2020-59 Class MC, 1.5% 8/25/40
 
1,298,051
1,044,910
 Series 2021-59 Class H, 2% 6/25/48
 
129,701
102,451
 Series 2021-66:
 
  
  
Class DA, 2% 1/25/48
 
  
139,602
110,987
Class DM, 2% 1/25/48
 
  
148,358
117,948
 Series 2022-28 Class A, 2.5% 2/25/52
 
772,327
698,628
 Series 2023-13 Class CK, 1.5% 11/25/50
 
1,362,655
1,056,191
Fannie Mae Stripped Mortgage-Backed Securities:
  
  
  
 Series 339 Class 5, 5.5% 7/25/33 (i)
  
2,238
354
 Series 343 Class 16, 5.5% 5/25/34 (i)
  
2,100
335
 Series 348 Class 14, 6.5% 8/25/34 (c)(i)
  
1,399
270
 Series 351 Class 13, 6% 3/25/34 (i)
  
1,306
236
 Series 384 Class 6, 5% 7/25/37 (i)
  
8,792
1,486
Freddie Mac:
  
  
  
 floater:
 
  
  
Series 2412 Class FK, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.2385% 1/15/32 (c)(f)
 
  
176
175
Series 2423 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.3385% 3/15/32 (c)(f)
 
  
276
276
Series 2424 Class FM, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4385% 3/15/32 (c)(f)
 
  
241
241
Series 2432:
 
  
  
  
Class FE, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.3385% 6/15/31 (c)(f)
 
  
431
431
Class FG, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.3385% 3/15/32 (c)(f)
 
  
153
153
Series 2526 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.510% 5.8385% 11/15/32 (c)(f)
 
  
3,194
3,172
Series 2711 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.3385% 2/15/33 (c)(f)
 
  
49,583
49,512
 floater planned amortization class Series 2770 Class FH, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.510% 5.8385% 3/15/34 (c)(f)
  
71,546
70,417
 planned amortization class:
 
  
  
Series 2021-5141 Class JM, 1.5% 4/25/51
 
  
154,429
123,007
Series 2021-5148:
 
  
  
  
Class AD, 1.5% 10/25/51
 
  
207,530
166,356
Class PC, 1.5% 10/25/51
 
  
206,241
163,321
Series 2022-5214 Class CG, 3.5% 4/25/52
 
  
304,460
278,500
Series 2022-5220 Class PK, 3.5% 1/25/51
 
  
490,704
451,425
Series 2095 Class PE, 6% 11/15/28
 
  
2,875
2,902
Series 2101 Class PD, 6% 11/15/28
 
  
1,497
1,509
Series 2121 Class MG, 6% 2/15/29
 
  
1,194
1,203
Series 2131 Class BG, 6% 3/15/29
 
  
8,648
8,717
Series 2137 Class PG, 6% 3/15/29
 
  
1,357
1,368
Series 2154 Class PT, 6% 5/15/29
 
  
2,224
2,241
Series 2162 Class PH, 6% 6/15/29
 
  
435
438
Series 2520 Class BE, 6% 11/15/32
 
  
4,489
4,583
Series 2693 Class MD, 5.5% 10/15/33
 
  
9,697
9,658
Series 2802 Class OB, 6% 5/15/34
 
  
8,246
8,334
Series 2996 Class MK, 5.5% 6/15/35
 
  
2,564
2,581
Series 3002 Class NE, 5% 7/15/35
 
  
10,254
10,192
Series 3110 Class OP 9/15/35 (k)
 
  
2,044
1,904
Series 3119 Class PO 2/15/36 (k)
 
  
10,427
8,249
Series 3123 Class LO 3/15/36 (k)
 
  
5,893
4,704
Series 3189 Class PD, 6% 7/15/36
 
  
9,326
9,569
Series 3258 Class PM, 5.5% 12/15/36
 
  
3,542
3,594
Series 3415 Class PC, 5% 12/15/37
 
  
33,150
32,722
Series 3806 Class UP, 4.5% 2/15/41
 
  
21,209
20,547
Series 3832 Class PE, 5% 3/15/41
 
  
41,255
40,874
Series 3857 Class ZP, 5% 5/15/41
 
  
318,078
314,477
Series 4135 Class AB, 1.75% 6/15/42
 
  
42,186
37,875
 sequential payer:
 
  
  
Series 1929 Class EZ, 7.5% 2/17/27
 
  
1,472
1,487
Series 2004-2862 Class NE, 5% 9/15/24
 
  
28
28
Series 2020-4993 Class LA, 2% 8/25/44
 
  
647,688
573,990
Series 2020-5018:
 
  
  
  
Class LC, 3% 10/25/40
 
  
135,437
120,018
Class LY, 3% 10/25/40
 
  
102,785
91,111
Series 2020-5058 Class BE, 3% 11/25/50
 
  
454,774
385,637
Series 2021-5083 Class BA, 2.5% 5/25/32
 
  
1,069,299
1,035,766
Series 2021-5115 Class A, 2% 3/25/40
 
  
570,948
489,823
Series 2021-5139 Class JC, 2% 8/25/40
 
  
544,467
460,405
Series 2021-5147 Class WN, 2% 1/25/40
 
  
591,020
502,689
Series 2021-5169:
 
  
  
  
Class BA, 2.5% 5/25/49
 
  
591,774
505,227
Class TP, 2.5% 6/25/49
 
  
212,058
179,071
Series 2021-5175 Class CB, 2.5% 4/25/50
 
  
725,120
610,360
Series 2021-5178:
 
  
  
  
Class CT, 2% 11/25/40
 
  
596,381
500,514
Class TP, 2.5% 4/25/49
 
  
510,582
435,326
Series 2021-5180 Class KA, 2.5% 10/25/47
 
  
147,270
128,376
Series 2022-5189:
 
  
  
  
Class DA, 2.5% 5/25/49
 
  
130,214
110,864
Class TP, 2.5% 5/25/49
 
  
330,291
281,171
Series 2022-5190:
 
  
  
  
Class BA, 2.5% 11/25/47
 
  
144,887
124,689
Class CA, 2.5% 5/25/49
 
  
276,614
235,321
Series 2022-5191 Class CA, 2.5% 4/25/50
 
  
173,814
146,483
Series 2022-5197:
 
  
  
  
Class A, 2.5% 6/25/49
 
  
276,615
235,438
Class DA, 2.5% 11/25/47
 
  
110,028
94,729
Series 2022-5198 Class BA, 2.5% 11/25/47
 
  
459,788
400,168
Series 2022-5200 Class LA, 3% 10/25/48
 
  
592,619
528,042
Series 2022-5202:
 
  
  
  
Class AG, 3% 1/25/49
 
  
148,338
131,593
Class BC, 3% 5/25/48
 
  
611,350
544,086
Class LB, 2.5% 10/25/47
 
  
117,483
100,920
Class UA, 3% 4/25/50
 
  
230,750
202,444
Series 2022-5210 Class TA, 3.5% 11/25/46
 
  
136,505
124,733
Series 2135 Class JE, 6% 3/15/29
 
  
458
466
Series 2145 Class MZ, 6.5% 4/15/29
 
  
8,507
8,560
Series 2274 Class ZM, 6.5% 1/15/31
 
  
852
855
Series 2281 Class ZB, 6% 3/15/30
 
  
1,595
1,607
Series 2303 Class ZV, 6% 4/15/31
 
  
5,344
5,395
Series 2357 Class ZB, 6.5% 9/15/31
 
  
14,532
14,743
Series 2502 Class ZC, 6% 9/15/32
 
  
1,751
1,788
Series 2519 Class ZD, 5.5% 11/15/32
 
  
2,646
2,671
Series 2877 Class ZD, 5% 10/15/34
 
  
194,221
190,747
Series 2998 Class LY, 5.5% 7/15/25
 
  
1,403
1,398
Series 3007 Class EW, 5.5% 7/15/25
 
  
3,680
3,666
Series 3871 Class KB, 5.5% 6/15/41
 
  
52,946
54,128
 Series 06-3115 Class SM, 6.480% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1615% 2/15/36 (c)(i)(j)
  
3,238
258
 Series 2013-4281 Class AI, 4% 12/15/28 (i)
  
3,140
30
 Series 2017-4683 Class LM, 3% 5/15/47
 
88,445
82,985
 Series 2020-5000 Class BA, 2% 4/25/45
 
590,305
515,708
 Series 2020-5041:
 
  
  
Class LA, 1.5% 11/25/40
 
  
1,346,477
1,088,479
Class LB, 3% 11/25/40
 
  
230,583
204,258
 Series 2020-5046 Class PT, 1.5% 11/25/40
 
1,021,395
824,977
 Series 2021-5083 Class VA, 1% 8/15/38
 
588,736
544,593
 Series 2021-5092 Class CL, 3% 4/25/41
 
1,580,019
1,385,887
 Series 2021-5176 Class AG, 2% 1/25/47
 
547,538
455,414
 Series 2021-5182 Class A, 2.5% 10/25/48
 
954,603
811,404
 Series 2022-5213 Class AH, 2.25% 4/25/37
 
560,991
511,053
 Series 2022-5214 Class CB, 3.25% 4/25/52
 
930,296
847,765
 Series 2022-5236 Class P, 5% 4/25/48
 
272,539
268,161
 Series 2022-5266 Class CD, 4.5% 10/25/44
 
607,806
590,559
 Series 2933 Class ZM, 5.75% 2/15/35
 
46,410
47,152
 Series 2935 Class ZK, 5.5% 2/15/35
 
36,227
36,718
 Series 2947 Class XZ, 6% 3/15/35
 
18,755
19,176
 Series 2996 Class ZD, 5.5% 6/15/35
 
31,853
32,092
 Series 3237 Class C, 5.5% 11/15/36
 
42,048
42,139
 Series 3244 Class SG, 6.540% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2215% 11/15/36 (c)(i)(j)
  
13,358
1,127
 Series 3336 Class LI, 6.460% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1415% 6/15/37 (c)(i)(j)
  
8,619
870
 Series 3843 Class PZ, 5% 4/15/41
 
254,246
252,162
 Series 3949 Class MK, 4.5% 10/15/34
 
7,281
7,150
 Series 4055 Class BI, 3.5% 5/15/31 (i)
  
6,448
94
 Series 4314 Class AI, 5% 3/15/34 (i)
  
1,701
37
 Series 4427 Class LI, 3.5% 2/15/34 (i)
  
30,581
1,633
 Series 4471 Class PA 4% 12/15/40
 
29,758
28,881
 target amortization class:
 
  
  
Series 2007-3366 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.360% 5.6885% 5/15/37 (c)(f)
 
  
11,292
10,985
Series 2156 Class TC, 6.25% 5/15/29
 
  
750
751
Freddie Mac Manufactured Housing participation certificates guaranteed:
  
  
  
 floater Series 1686 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.3385% 2/15/24 (c)(f)
  
3
3
 sequential payer:
 
  
  
Series 2043 Class ZH, 6% 4/15/28
 
  
970
977
Series 2056 Class Z, 6% 5/15/28
 
  
2,242
2,261
Freddie Mac Multi-family Structured pass-thru certificates:
  
  
  
 planned amortization class Series 20XX-5165 Class PC, 1.5% 11/25/51
 
264,075
212,591
 sequential payer:
 
  
  
Series 2021-5159:
 
  
  
  
Class EA, 2.5% 8/25/48
 
  
208,470
176,286
Class GC, 2% 11/25/47
 
  
118,005
100,256
Series 2021-5164 Class M, 2.5% 7/25/48
 
  
212,828
180,031
Series 4341 Class ML, 3.5% 11/15/31
 
  
181,078
173,956
 Series 4386 Class AZ, 4.5% 11/15/40
 
96,507
92,287
Ginnie Mae guaranteed REMIC pass-thru certificates:
  
  
  
 floater:
 
  
  
Series 2007-37 Class TS, 6.570% - CME Term SOFR 1 Month Index 1.246% 6/16/37 (c)(i)(j)
 
  
5,655
516
Series 2007-59 Class FC, CME Term SOFR 1 Month Index + 0.610% 5.9456% 7/20/37 (c)(f)
 
  
41,685
41,027
Series 2008-2 Class FD, CME Term SOFR 1 Month Index + 0.590% 5.9256% 1/20/38 (c)(f)
 
  
10,775
10,592
Series 2008-73 Class FA, CME Term SOFR 1 Month Index + 0.970% 6.3056% 8/20/38 (c)(f)
 
  
58,615
58,517
Series 2008-83 Class FB, CME Term SOFR 1 Month Index + 1.010% 6.3456% 9/20/38 (c)(f)
 
  
43,818
43,799
Series 2009-108 Class CF, CME Term SOFR 1 Month Index + 0.710% 6.044% 11/16/39 (c)(f)
 
  
54,767
54,016
Series 2009-116 Class KF, CME Term SOFR 1 Month Index + 0.640% 5.974% 12/16/39 (c)(f)
 
  
33,551
32,996
Series 2010-H03 Class FA, CME Term SOFR 1 Month Index + 0.660% 5.9905% 3/20/60 (c)(f)(h)
 
  
43,244
43,090
Series 2010-H17 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.7705% 7/20/60 (c)(f)(h)
 
  
432,760
429,936
Series 2010-H18 Class AF, CME Term SOFR 1 Month Index + 0.410% 5.7386% 9/20/60 (c)(f)(h)
 
  
402,312
399,225
Series 2010-H19 Class FG, CME Term SOFR 1 Month Index + 0.410% 5.7386% 8/20/60 (c)(f)(h)
 
  
343,509
340,926
Series 2010-H27 Class FA, CME Term SOFR 1 Month Index + 0.380% 5.8186% 12/20/60 (c)(f)(h)
 
  
196,735
195,610
Series 2011-H05 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.9386% 12/20/60 (c)(f)(h)
 
  
162,342
161,690
Series 2011-H07 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.9386% 2/20/61 (c)(f)(h)
 
  
142,011
141,323
Series 2011-H12 Class FA, CME Term SOFR 1 Month Index + 0.600% 5.9286% 2/20/61 (c)(f)(h)
 
  
198,588
197,604
Series 2011-H13 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.9386% 4/20/61 (c)(f)(h)
 
  
160,349
159,694
Series 2011-H14:
 
  
  
  
Class FB, CME Term SOFR 1 Month Index + 0.610% 5.9386% 5/20/61 (c)(f)(h)
 
  
247,659
246,846
Class FC, CME Term SOFR 1 Month Index + 0.610% 5.9386% 5/20/61 (c)(f)(h)
 
  
178,937
178,242
Series 2011-H17 Class FA, CME Term SOFR 1 Month Index + 0.640% 5.9686% 6/20/61 (c)(f)(h)
 
  
192,342
191,644
Series 2011-H20 Class FA, CME Term SOFR 1 Month Index + 0.660% 5.9886% 9/20/61 (c)(f)(h)
 
  
70,116
69,875
Series 2011-H21 Class FA, CME Term SOFR 1 Month Index + 0.710% 6.0386% 10/20/61 (c)(f)(h)
 
  
203,204
202,640
Series 2012-98 Class FA, CME Term SOFR 1 Month Index + 0.510% 5.8456% 8/20/42 (c)(f)
 
  
45,165
43,766
Series 2012-H01 Class FA, CME Term SOFR 1 Month Index + 0.810% 6.1386% 11/20/61 (c)(f)(h)
 
  
210,407
210,052
Series 2012-H03 Class FA, CME Term SOFR 1 Month Index + 0.810% 6.1386% 1/20/62 (c)(f)(h)
 
  
103,185
102,994
Series 2012-H06 Class FA, CME Term SOFR 1 Month Index + 0.740% 6.0686% 1/20/62 (c)(f)(h)
 
  
189,645
189,079
Series 2012-H07 Class FA, CME Term SOFR 1 Month Index + 0.740% 6.0686% 3/20/62 (c)(f)(h)
 
  
102,025
101,654
Series 2012-H21 Class DF, CME Term SOFR 1 Month Index + 0.760% 4.8706% 5/20/61 (c)(f)(h)
 
  
2,132
2,112
Series 2013-H19 Class FC, CME Term SOFR 1 Month Index + 0.600% 6.0386% 8/20/63 (c)(f)(h)
 
  
8,481
8,458
Series 2014-H03 Class FA, CME Term SOFR 1 Month Index + 0.710% 6.0386% 1/20/64 (c)(f)(h)
 
  
13,405
13,365
Series 2014-H05 Class FB, CME Term SOFR 1 Month Index + 0.710% 6.0386% 12/20/63 (c)(f)(h)
 
  
45,082
44,992
Series 2014-H11 Class BA, CME Term SOFR 1 Month Index + 0.610% 5.9386% 6/20/64 (c)(f)(h)
 
  
49,287
49,087
Series 2015-H13 Class FL, CME Term SOFR 1 Month Index + 0.390% 5.7186% 5/20/63 (c)(f)(h)
 
  
3,649
3,417
Series 2015-H19 Class FA, CME Term SOFR 1 Month Index + 0.310% 5.6386% 4/20/63 (c)(f)(h)
 
  
4,858
4,792
Series 2016-H20 Class FM, CME Term SOFR 1 Month Index + 0.510% 5.8386% 12/20/62 (c)(f)(h)
 
  
1,831
1,795
 planned amortization class:
 
  
  
Series 2010-31 Class BP, 5% 3/20/40
 
  
247,038
242,023
Series 2011-136 Class WI, 4.5% 5/20/40 (i)
 
  
14,988
963
Series 2011-68 Class EC, 3.5% 4/20/41
 
  
23,318
22,390
Series 2016-69 Class WA, 3% 2/20/46
 
  
48,334
43,527
Series 2017-134 Class BA, 2.5% 11/20/46
 
  
63,521
55,927
Series 2017-153 Class GA, 3% 9/20/47
 
  
126,693
111,202
Series 2017-182 Class KA, 3% 10/20/47
 
  
99,982
88,759
Series 2018-13 Class Q, 3% 4/20/47
 
  
124,978
113,234
 sequential payer:
 
  
  
Series 2004-24 Class ZM, 5% 4/20/34
 
  
15,618
15,224
Series 2010-160 Class DY, 4% 12/20/40
 
  
120,870
114,945
Series 2010-170 Class B, 4% 12/20/40
 
  
26,627
25,316
Series 2011-69 Class GX, 4.5% 5/16/40
 
  
200,710
198,489
Series 2014-H04 Class HA, 2.75% 2/20/64 (h)
 
  
112,775
110,594
Series 2017-139 Class BA, 3% 9/20/47
 
  
222,497
195,935
Series 2018-H12 Class HA, 3.25% 8/20/68 (h)
 
  
449,231
429,376
 Series 2004-22 Class M1, 5.5% 4/20/34
 
85,275
86,183
 Series 2004-32 Class GS, 6.380% - CME Term SOFR 1 Month Index 1.056% 5/16/34 (c)(i)(j)
  
3,257
205
 Series 2010-116 Class QB, 4% 9/16/40
 
8,999
8,626
 Series 2010-169 Class Z, 4.5% 12/20/40
 
382,818
344,739
 Series 2010-H10 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.7705% 5/20/60 (c)(f)(h)
  
27,665
27,494
 Series 2010-H16 Class BA, 3.55% 7/20/60 (h)
  
64,072
62,334
 Series 2010-H18 Class PL, 5.01% 9/20/60 (c)(h)
  
4,515
4,456
 Series 2011-94 Class SA, 5.980% - CME Term SOFR 1 Month Index 0.6545% 7/20/41 (c)(i)(j)
  
11,122
925
 Series 2013-149 Class MA, 2.5% 5/20/40
 
80,174
76,659
 Series 2013-H01 Class FA, 1.65% 1/20/63 (h)
  
22
20
 Series 2013-H04 Class BA, 1.65% 2/20/63 (h)
  
175
158
 Series 2014-2 Class BA, 3% 1/20/44
 
240,354
214,691
 Series 2014-21 Class HA, 3% 2/20/44
 
88,979
79,641
 Series 2014-25 Class HC, 3% 2/20/44
 
151,210
134,484
 Series 2014-5 Class A, 3% 1/20/44
 
126,968
113,452
 Series 2015-H13 Class HA, 2.5% 8/20/64 (h)
  
1,293
1,208
 Series 2015-H30 Class HA, 1.75% 9/20/62 (c)(h)
  
14,269
13,676
 Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 5.96% 5/20/66 (c)(f)(h)
  
320,611
319,629
 Series 2017-186 Class HK, 3% 11/16/45
 
130,238
116,265
 Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 5.81% 8/20/66 (c)(f)(h)
  
556,334
554,142
 Series 2090-118 Class XZ, 5% 12/20/39
 
907,718
896,825
TOTAL U.S. GOVERNMENT AGENCY
  
  
51,839,321
 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
 (Cost $57,412,135)
  
  
  
56,569,072
 
  
  
  
Commercial Mortgage Securities - 5.4%
 
  
Principal
Amount (a)
 
Value ($)
 
BAMLL Commercial Mortgage Securities Trust:
  
  
  
 floater Series 2022-DKLX:
 
  
  
Class A, CME Term SOFR 1 Month Index + 1.150% 6.473% 1/15/39 (b)(c)(f)
 
  
1,005,000
979,647
Class B, CME Term SOFR 1 Month Index + 1.550% 6.873% 1/15/39 (b)(c)(f)
 
  
190,000
184,313
Class C, CME Term SOFR 1 Month Index + 2.150% 7.473% 1/15/39 (b)(c)(f)
 
  
136,000
131,212
 sequential payer Series 2019-BPR:
 
  
  
Class AMP, 3.287% 11/5/32 (b)
 
  
1,500,000
1,373,751
Class ANM, 3.112% 11/5/32 (b)
 
  
778,000
699,167
 Series 2019-BPR:
 
  
  
Class BNM, 3.465% 11/5/32 (b)
 
  
132,000
107,933
Class CNM, 3.8425% 11/5/32 (b)(c)
 
  
100,000
73,705
BANK sequential payer:
  
  
  
 Series 2017-BNK9 Class A4, 3.538% 11/15/54
 
800,000
736,617
 Series 2018-BN10 Class A5, 3.688% 2/15/61
 
500,000
462,540
 Series 2018-BN14 Class A4, 4.231% 9/15/60
 
1,600,000
1,504,430
 Series 2019-BN20 Class ASB, 2.933% 9/15/62
 
100,000
92,312
 Series 2019-BN21 Class A5, 2.851% 10/17/52
 
962,049
820,584
 Series 2019-BN23 Class ASB, 2.846% 12/15/52
 
100,000
91,918
 Series 2023-5YR1:
 
  
  
Class A2, 5.779% 4/15/56
 
  
300,000
298,744
Class A3, 6.26% 4/15/56
 
  
800,000
811,873
Bank 2018-Bnk13 sequential payer Series 2018-BN13 Class A4, 3.953% 8/15/61
 
300,000
278,708
BANK Trust sequential payer Series 2017-BNK5 Class A5, 3.39% 6/15/60
 
1,000,000
923,647
BBCMS Mortgage Trust sequential payer Series 2021-C10 Class ASB, 2.268% 7/15/54
 
200,000
173,703
Bbcms Mortgage Trust 2023-C21 sequential payer Series 2023-C21 Class A3, 6.5061% 9/15/56 (c)
  
400,000
406,591
Benchmark 2023-V3 Mtg Trust sequential payer Series 2023-V3 Class A3, 6.3629% 7/15/56
 
300,000
306,914
Benchmark 2023-V4 Mtg Trust sequential payer Series 2023-V4 Class A3, 6.8409% 11/15/56
 
800,000
835,195
Benchmark Mortgage Trust:
  
  
  
 sequential payer:
 
  
  
Series 2018-B4 Class A5, 4.121% 7/15/51
 
  
4,151,000
3,869,225
Series 2019-B15 Class AAB, 2.859% 12/15/72
 
  
200,000
183,024
 Series 2019-B12 Class XA, 1.1612% 8/15/52 (c)(i)
  
7,730,004
270,283
 Series 2019-B14 Class XA, 0.8975% 12/15/62 (c)(i)
  
4,518,167
121,436
Bmo 2023-5C1 Mtg Trust sequential payer Series 2023-5C1 Class A3, 6.534% 8/15/56
 
400,000
410,582
BPR Trust floater Series 2022-OANA:
  
  
  
 Class A, CME Term SOFR 1 Month Index + 1.890% 7.2209% 4/15/37 (b)(c)(f)
  
3,387,000
3,327,660
 Class B, CME Term SOFR 1 Month Index + 2.440% 7.7699% 4/15/37 (b)(c)(f)
  
900,000
871,603
BX Commercial Mortgage Trust floater:
  
  
  
 Series 2021-PAC:
 
  
  
Class A, CME Term SOFR 1 Month Index + 0.800% 6.1266% 10/15/36 (b)(c)(f)
 
  
1,912,000
1,866,996
Class B, CME Term SOFR 1 Month Index + 1.010% 6.3363% 10/15/36 (b)(c)(f)
 
  
268,000
259,337
Class C, CME Term SOFR 1 Month Index + 1.210% 6.5361% 10/15/36 (b)(c)(f)
 
  
2,044,000
1,965,103
Class D, CME Term SOFR 1 Month Index + 1.410% 6.7358% 10/15/36 (b)(c)(f)
 
  
349,000
333,339
Class E, CME Term SOFR 1 Month Index + 2.060% 7.385% 10/15/36 (b)(c)(f)
 
  
1,213,000
1,158,570
 Series 2022-LP2:
 
  
  
Class A, CME Term SOFR 1 Month Index + 1.010% 6.3358% 2/15/39 (b)(c)(f)
 
  
2,068,107
2,018,156
Class B, CME Term SOFR 1 Month Index + 1.310% 6.6352% 2/15/39 (b)(c)(f)
 
  
622,943
604,185
Class C, CME Term SOFR 1 Month Index + 1.560% 6.8846% 2/15/39 (b)(c)(f)
 
  
622,943
598,715
Class D, CME Term SOFR 1 Month Index + 1.960% 7.2837% 2/15/39 (b)(c)(f)
 
  
622,943
592,465
Bx Commercial Mortgage Trust 2:
  
  
  
 floater Series 2019-IMC:
 
  
  
Class B, CME Term SOFR 1 Month Index + 1.340% 6.6693% 4/15/34 (b)(c)(f)
 
  
614,000
607,631
Class C, CME Term SOFR 1 Month Index + 1.640% 6.9693% 4/15/34 (b)(c)(f)
 
  
406,000
399,684
Class D, CME Term SOFR 1 Month Index + 1.940% 7.2693% 4/15/34 (b)(c)(f)
 
  
426,000
417,716
 floater sequential payer Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.040% 6.3693% 4/15/34 (b)(c)(f)
  
814,000
807,667
BX Trust:
  
  
  
 floater:
 
  
  
Series 2019-XL:
 
  
  
  
 Class B, CME Term SOFR 1 Month Index + 1.190% 6.5174% 10/15/36 (b)(c)(f)
  
1,758,650
1,745,256
 Class C, CME Term SOFR 1 Month Index + 1.360% 6.6874% 10/15/36 (b)(c)(f)
  
1,352,350
1,340,334
 Class D, CME Term SOFR 1 Month Index + 1.560% 6.8874% 10/15/36 (b)(c)(f)
  
1,375,300
1,361,335
 Class E, CME Term SOFR 1 Month Index + 1.910% 7.2374% 10/15/36 (b)(c)(f)
  
4,313,750
4,266,047
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4879% 8/15/39 (b)(c)(f)
 
  
2,353,000
2,355,210
Series 2022-IND:
 
  
  
  
 Class A, CME Term SOFR 1 Month Index + 1.490% 6.8139% 4/15/37 (b)(c)(f)
  
1,409,257
1,388,043
 Class B, CME Term SOFR 1 Month Index + 1.940% 7.2629% 4/15/37 (b)(c)(f)
  
718,157
706,445
 Class C, CME Term SOFR 1 Month Index + 2.290% 7.6129% 4/15/37 (b)(c)(f)
  
162,339
159,284
 Class D, CME Term SOFR 1 Month Index + 2.830% 8.1619% 4/15/37 (b)(c)(f)
  
136,056
132,813
 floater sequential payer:
 
  
  
Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 6.3574% 10/15/36 (b)(c)(f)
 
  
1,731,044
1,726,649
Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.1075% 6/15/38 (b)(c)(f)
 
  
4,736,722
4,645,983
CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class A, CME Term SOFR 1 Month Index + 1.110% 6.44% 12/15/37 (b)(c)(f)
  
100,000
99,435
CF Hippolyta Issuer LLC sequential payer Series 2021-1A Class A1, 1.53% 3/15/61 (b)
  
1,833,060
1,615,734
CFCRE Commercial Mortgage Trust sequential payer:
  
  
  
 Series 2016-C7 Class A2, 3.5853% 12/10/54
 
228,740
212,822
 Series 2017-C8 Class A3, 3.3048% 6/15/50
 
245,012
225,332
CGDB Commercial Mortgage Trust floater Series 2019-MOB:
  
  
  
 Class A, CME Term SOFR 1 Month Index + 1.060% 6.3874% 11/15/36 (b)(c)(f)
  
580,000
570,040
 Class B, CME Term SOFR 1 Month Index + 1.360% 6.6874% 11/15/36 (b)(c)(f)
  
200,000
195,210
Cgms Commercial Mortgage Trust sequential payer Series 2017-B1 Class A3, 3.197% 8/15/50
 
290,294
265,825
Citigroup Commercial Mortgage Trust:
  
  
  
 sequential payer Series 2018-B2 Class A4, 4.009% 3/10/51
 
1,200,000
1,117,699
 Series 2015-GC29 Class XA, 1.1505% 4/10/48 (c)(i)
  
2,674,204
26,975
COMM Mortgage Trust:
  
  
  
 sequential payer:
 
  
  
Series 2014-CR18 Class A5, 3.828% 7/15/47
 
  
257,000
253,449
Series 2015-DC1 Class A4, 3.078% 2/10/48
 
  
1,276,354
1,251,128
 Series 2014-CR17 Class XA, 1.0583% 5/10/47 (c)(i)
  
1,248,040
906
 Series 2014-LC17 Class XA, 0.798% 10/10/47 (c)(i)
  
2,155,801
6,227
Credit Suisse Mortgage Trust:
  
  
  
 floater Series 2019-ICE4:
 
  
  
Class A, CME Term SOFR 1 Month Index + 1.020% 6.35% 5/15/36 (b)(c)(f)
 
  
5,921,269
5,907,919
Class B, CME Term SOFR 1 Month Index + 1.270% 6.6% 5/15/36 (b)(c)(f)
 
  
860,858
857,809
Class C, CME Term SOFR 1 Month Index + 1.470% 6.8% 5/15/36 (b)(c)(f)
 
  
836,918
832,067
 sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b)
  
398,576
364,135
 Series 2018-SITE:
 
  
  
Class A, 4.284% 4/15/36 (b)
 
  
594,000
591,643
Class B, 4.5349% 4/15/36 (b)
 
  
107,000
106,192
Class C, 4.9414% 4/15/36 (b)(c)
 
  
123,000
121,832
Class D, 4.9414% 4/15/36 (b)(c)
 
  
245,000
242,181
CSAIL 2018-CX12 Commercial Mortgage Trust sequential payer Series 2018-CX12 Class A3, 3.9585% 8/15/51
 
280,000
258,937
CSMC Trust Series 2017-PFHP Class D, CME Term SOFR 1 Month Index + 2.290% 7.62% 12/15/30 (b)(c)(f)
  
1,296,000
1,190,894
ELP Commercial Mortgage Trust floater Series 2021-ELP:
  
  
  
 Class A, CME Term SOFR 1 Month Index + 0.810% 6.1385% 11/15/38 (b)(c)(f)
  
8,091,582
7,918,922
 Class B, CME Term SOFR 1 Month Index + 1.230% 6.5577% 11/15/38 (b)(c)(f)
  
1,134,679
1,106,196
Extended Stay America Trust floater Series 2021-ESH:
  
  
  
 Class A, CME Term SOFR 1 Month Index + 1.190% 6.5175% 7/15/38 (b)(c)(f)
  
4,511,519
4,459,105
 Class B, CME Term SOFR 1 Month Index + 1.490% 6.8175% 7/15/38 (b)(c)(f)
  
431,635
422,977
 Class C, CME Term SOFR 1 Month Index + 1.810% 7.1375% 7/15/38 (b)(c)(f)
  
318,096
311,105
 Class D, CME Term SOFR 1 Month Index + 2.360% 7.6875% 7/15/38 (b)(c)(f)
  
639,945
628,006
Freddie Mac:
  
  
  
 sequential payer:
 
  
  
Series 2015-K043 Class A2, 3.062% 12/25/24
 
  
1,082,114
1,055,666
Series 2015-K049 Class A2, 3.01% 7/25/25
 
  
157,000
151,559
Series 2020-K117 Class A2, 1.406% 8/25/30
 
  
700,000
560,318
Series 2021-K126 Class A2, 2.074% 1/25/31
 
  
1,600,000
1,325,419
Series 2021-K136 Class A2, 2.127% 11/25/31
 
  
700,000
570,251
Series 2022-K143 Class A2, 2.35% 3/25/32
 
  
700,000
575,928
Series 2022-K149 Class A2, 3.53% 8/25/32
 
  
1,700,000
1,526,680
Series 2022-K750 Class A2, 3% 9/25/29
 
  
700,000
635,991
Series 2023-157 Class A2, 4.2% 5/25/33
 
  
440,000
413,994
Series 2023-160 Class A1, 4.68% 10/25/32
 
  
599,700
585,693
Series 2023-K-153 Class A2, 3.82% 12/25/32
 
  
790,000
723,125
Series 2023-K751 Class A2, 4.412% 3/25/30
 
  
300,000
291,424
Series K058 Class A2, 2.653% 8/25/26
 
  
1,126,000
1,060,040
 Series 2017-K068 Class A2, 3.244% 8/25/27
 
1,353,000
1,278,679
 Series 2022 K748 Class A2, 2.26% 1/25/29
 
2,729,000
2,408,289
 Series K086 Class A2, 3.859% 11/25/28
 
1,611,000
1,539,443
GS Mortgage Securities Trust:
  
  
  
 floater:
 
  
  
Series 2018-3PCK Class A, CME Term SOFR 1 Month Index + 2.060% 7.3875% 9/15/31 (b)(c)(f)
 
  
718,233
710,775
Series 2018-HART Class A, CME Term SOFR 1 Month Index + 1.140% 6.473% 10/15/31 (b)(c)(f)
 
  
316,543
288,164
Series 2021-IP:
 
  
  
  
 Class A, CME Term SOFR 1 Month Index + 1.060% 6.3875% 10/15/36 (b)(c)(f)
  
1,036,000
994,129
 Class B, CME Term SOFR 1 Month Index + 1.260% 6.5875% 10/15/36 (b)(c)(f)
  
160,000
149,513
 Class C, CME Term SOFR 1 Month Index + 1.660% 6.9875% 10/15/36 (b)(c)(f)
  
132,000
121,651
 sequential payer:
 
  
  
Series 2017-GS6 Class A2, 3.164% 5/10/50
 
  
95,259
87,782
Series 2018-GS9 Class A4, 3.992% 3/10/51
 
  
200,000
182,520
Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 7.8116% 8/15/39 (b)(c)(f)
  
2,256,000
2,260,241
JPMDB Commercial Mortgage Securities Trust sequential payer Series 2016-C4 Class A2, 2.8822% 12/15/49
 
212,105
195,058
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT:
  
  
  
 Class AFX, 4.2475% 7/5/33 (b)
  
476,000
414,216
 Class CFX, 4.9498% 7/5/33 (b)
  
103,000
78,301
 Class DFX, 5.3503% 7/5/33 (b)
  
159,000
112,922
 Class EFX, 5.3635% 7/5/33 (b)(c)
  
218,000
143,924
 Class XAFX, 1.2948% 7/5/33 (b)(c)(i)
  
2,000,000
54,011
LCCM Mortgage Loan Trust sequential payer Series 2017-LC26 Class A3, 3.289% 7/12/50 (b)
  
1,261,810
1,175,569
Life Financial Services Trust floater Series 2022-BMR2:
  
  
  
 Class A1, CME Term SOFR 1 Month Index + 1.290% 6.6182% 5/15/39 (b)(c)(f)
  
2,726,000
2,669,550
 Class B, CME Term SOFR 1 Month Index + 1.790% 7.1168% 5/15/39 (b)(c)(f)
  
1,630,000
1,578,890
 Class C, CME Term SOFR 1 Month Index + 2.090% 7.416% 5/15/39 (b)(c)(f)
  
913,000
883,227
 Class D, CME Term SOFR 1 Month Index + 2.540% 7.8648% 5/15/39 (b)(c)(f)
  
812,000
764,193
LIFE Mortgage Trust floater Series 2021-BMR:
  
  
  
 Class A, CME Term SOFR 1 Month Index + 0.810% 6.1375% 3/15/38 (b)(c)(f)
  
1,199,224
1,169,078
 Class B, CME Term SOFR 1 Month Index + 0.990% 6.3175% 3/15/38 (b)(c)(f)
  
331,261
321,685
 Class C, CME Term SOFR 1 Month Index + 1.210% 6.5375% 3/15/38 (b)(c)(f)
  
208,390
200,795
 Class D, CME Term SOFR 1 Month Index + 1.510% 6.8375% 3/15/38 (b)(c)(f)
  
289,976
277,586
 Class E, CME Term SOFR 1 Month Index + 1.860% 7.1875% 3/15/38 (b)(c)(f)
  
253,606
240,858
Merit floater Series 2021-STOR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1375% 7/15/38 (b)(c)(f)
  
200,000
196,107
Morgan Stanley Capital sequential payer Series 2016-UB11 Class A4, 2.782% 8/15/49
 
1,000,000
915,416
Morgan Stanley Capital I Trust:
  
  
  
 floater Series 2018-BOP:
 
  
  
Class B, CME Term SOFR 1 Month Index + 1.290% 6.62% 8/15/33 (b)(c)(f)
 
  
501,600
341,080
Class C, CME Term SOFR 1 Month Index + 1.540% 6.87% 8/15/33 (b)(c)(f)(l)
 
  
1,208,000
676,460
 sequential payer:
 
  
  
Series 2017-H1 Class A4, 3.259% 6/15/50
 
  
500,000
460,050
Series 2017-HR2 Class A4, 3.587% 12/15/50
 
  
270,000
247,402
Series 2018-L1 Class A3, 4.139% 10/15/51
 
  
1,070,000
997,807
Series 2019-L2 Class A3, 3.806% 3/15/52
 
  
400,000
365,542
Series 2019-MEAD Class A, 3.17% 11/10/36 (b)
 
  
1,798,000
1,643,363
 Series 2018-H4 Class A4, 4.31% 12/15/51
 
5,485,000
5,130,388
 Series 2019-MEAD:
 
  
  
Class B, 3.283% 11/10/36 (b)(c)
 
  
246,000
216,371
Class C, 3.283% 11/10/36 (b)(c)
 
  
235,000
200,056
Open Trust 2023-Air sequential payer Series 2023-AIR:
  
  
  
 Class A, CME Term SOFR 1 Month Index + 3.080% 8.4131% 10/15/28 (b)(c)(f)
  
1,428,000
1,427,999
 Class B, CME Term SOFR 1 Month Index + 3.830% 9.162% 10/15/28 (b)(c)(f)
  
3,360,000
3,352,557
OPG Trust floater Series 2021-PORT:
  
  
  
 Class A, CME Term SOFR 1 Month Index + 0.590% 5.9215% 10/15/36 (b)(c)(f)
  
192,239
187,171
 Class B, CME Term SOFR 1 Month Index + 0.820% 6.1505% 10/15/36 (b)(c)(f)
  
917,086
888,305
Prima Capital Ltd.:
  
  
  
 floater Series 2021-9A Class B, CME Term SOFR 1 Month Index + 1.910% 7.2456% 12/15/37 (b)(c)(f)
  
444,000
432,731
 floater sequential payer Series 2021-9A Class A, CME Term SOFR 1 Month Index + 1.560% 6.898% 12/15/37 (b)(c)(f)
  
88,682
88,419
SPGN Mortgage Trust floater Series 2022-TFLM:
  
  
  
 Class B, CME Term SOFR 1 Month Index + 2.000% 7.3229% 2/15/39 (b)(c)(f)
  
457,000
429,481
 Class C, CME Term SOFR 1 Month Index + 2.650% 7.9729% 2/15/39 (b)(c)(f)
  
237,000
220,351
SREIT Trust floater Series 2021-MFP:
  
  
  
 Class A, CME Term SOFR 1 Month Index + 0.840% 6.1682% 11/15/38 (b)(c)(f)
  
6,451,000
6,331,426
 Class B, CME Term SOFR 1 Month Index + 1.190% 6.5172% 11/15/38 (b)(c)(f)
  
4,130,000
4,042,578
 Class C, CME Term SOFR 1 Month Index + 1.440% 6.7664% 11/15/38 (b)(c)(f)
  
605,000
586,843
 Class D, CME Term SOFR 1 Month Index + 1.690% 7.0156% 11/15/38 (b)(c)(f)
  
398,000
385,762
UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 1.1539% 12/15/50 (c)(i)
  
1,243,209
37,636
VLS Commercial Mortgage Trust:
  
  
  
 sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b)
  
1,382,000
1,072,055
 Series 2020-LAB Class B, 2.453% 10/10/42 (b)
  
1,276,000
991,566
Wells Fargo Commercial Mortgage Trust:
  
  
  
 floater Series 2021-FCMT Class A, CME Term SOFR 1 Month Index + 1.310% 6.6375% 5/15/31 (b)(c)(f)
  
953,000
924,266
 sequential payer Series 2021-C61 Class ASB, 2.525% 11/15/54
 
100,000
86,642
 Series 2017-C42 Class XA, 1.0052% 12/15/50 (c)(i)
  
3,520,516
98,704
 Series 2018-C46 Class XA, 1.0822% 8/15/51 (c)(i)
  
2,332,617
53,971
 Series 2018-C48 Class A5, 4.302% 1/15/52
 
824,434
772,435
Wells Fargo Commercial Mtg Trust sequential payer Series 2016-C37, Class A4, 3.525% 12/15/49
 
917,635
868,101
WF-RBS Commercial Mortgage Trust:
  
  
  
 Series 2014-C21 Class XA, 1.1387% 8/15/47 (c)(i)
  
789,122
4,177
 Series 2014-LC14 Class XA, 1.3053% 3/15/47 (c)(i)
  
568,459
16
 
TOTAL COMMERCIAL MORTGAGE SECURITIES
 (Cost $151,314,106)
  
  
147,415,353
 
  
  
  
Foreign Government and Government Agency Obligations - 0.3%
 
  
Principal
Amount (a)
 
Value ($)
 
Argentine Republic:
  
  
  
 0.75% 7/9/30 (m)
  
685,010
253,454
 1% 7/9/29
 
75,245
27,201
 3.625% 7/9/35 (m)
  
1,254,989
404,734
Dominican Republic:
  
  
  
 4.5% 1/30/30 (b)
  
1,200,000
1,055,400
 5.95% 1/25/27 (b)
  
2,850,000
2,797,275
 6% 7/19/28 (b)
  
550,000
535,255
Emirate of Abu Dhabi 3.875% 4/16/50 (b)
  
915,000
704,550
Indonesian Republic 4.2% 10/15/50
 
2,100,000
1,714,356
Kingdom of Saudi Arabia:
  
  
  
 3.25% 10/22/30 (b)
  
595,000
531,038
 4.5% 4/22/60 (b)
  
390,000
305,663
State of Qatar 4.4% 4/16/50 (b)
  
1,390,000
1,164,612
 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $11,230,085)
  
  
9,493,538
 
  
  
  
Bank Notes - 0.0%
 
  
Principal
Amount (a)
 
Value ($)
 
Discover Bank 5.974% 8/9/28 (c)
  
401,000
372,356
Regions Bank 6.45% 6/26/37
 
250,000
241,286
 
TOTAL BANK NOTES
 (Cost $694,652)
  
  
613,642
 
  
  
  
Fixed-Income Funds - 17.6%
 
  
Shares
Value ($)
 
Fidelity Emerging Markets Debt Central Fund (n)
  
8,354,945
63,330,483
Fidelity Floating Rate Central Fund (n)
  
1,640,470
160,421,555
Fidelity International Credit Central Fund (n)
  
1,058,496
81,726,459
Fidelity Specialized High Income Central Fund (n)
  
2,114,580
178,407,137
 
TOTAL FIXED-INCOME FUNDS
 (Cost $524,073,764)
  
  
483,885,634
 
  
  
  
Money Market Funds - 5.5%
 
  
Shares
Value ($)
 
Fidelity Cash Central Fund 5.40% (o)
  
150,527,176
150,557,281
Fidelity Securities Lending Cash Central Fund 5.39% (o)(p)
  
579,611
579,669
 
TOTAL MONEY MARKET FUNDS
 (Cost $151,136,205)
  
  
151,136,950
 
  
  
  
Purchased Swaptions - 0.0%
 
Expiration
Date
Notional
Amount (a)
Value ($)
Put Options - 0.0%
  
  
  
  
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.305% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2033
5/22/28
  
2,900,000
148,096
 
  
  
  
  
Call Options - 0.0%
  
  
  
  
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.305% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2033
5/22/28
  
2,900,000
82,393
 
  
  
  
  
TOTAL PURCHASED SWAPTIONS
 (Cost $236,002)
  
  
  
  
230,489
 
 
TOTAL INVESTMENT IN SECURITIES - 119.0%
 (Cost $3,442,459,786)
 
  
 
3,270,727,520
NET OTHER ASSETS (LIABILITIES) - (19.0)% (q)
(522,767,405)
NET ASSETS - 100.0%
2,747,960,115
 
  
 TBA Sale Commitments
 
Principal
Amount (a)
Value ($)
Ginnie Mae
  
  
2% 12/1/53
(8,600,000)
(6,945,009)
2% 12/1/53
(5,300,000)
(4,280,064)
2% 12/1/53
(10,450,000)
(8,438,994)
2% 12/1/53
(7,850,000)
(6,339,340)
2% 12/1/53
(2,875,000)
(2,321,733)
2.5% 12/1/53
(8,800,000)
(7,353,297)
2.5% 12/1/53
(11,550,000)
(9,651,202)
3% 12/1/53
(9,550,000)
(8,271,011)
3% 12/1/53
(6,100,000)
(5,283,054)
3.5% 12/1/53
(3,950,000)
(3,532,912)
3.5% 12/1/53
(3,925,000)
(3,510,551)
5.5% 12/1/53
(1,500,000)
(1,490,216)
5.5% 12/1/53
(3,975,000)
(3,949,072)
6.5% 12/1/53
(2,450,000)
(2,491,381)
6.5% 12/1/53
(1,250,000)
(1,271,113)
 
  
  
TOTAL GINNIE MAE
 
(75,128,949)
 
  
  
Uniform Mortgage Backed Securities
  
  
2% 12/1/53
(2,500,000)
(1,944,936)
2% 12/1/53
(29,200,000)
(22,716,855)
2% 12/1/53
(2,800,000)
(2,178,329)
2% 12/1/53
(9,650,000)
(7,507,454)
2% 12/1/53
(2,500,000)
(1,944,936)
2% 12/1/53
(1,800,000)
(1,400,354)
2% 12/1/53
(15,050,000)
(11,708,516)
2% 12/1/53
(2,900,000)
(2,256,126)
2% 12/1/53
(22,575,000)
(17,562,774)
2% 12/1/53
(1,000,000)
(777,975)
2.5% 12/1/53
(15,050,000)
(12,205,789)
2.5% 12/1/53
(1,000,000)
(811,016)
3% 12/1/53
(22,650,000)
(19,121,563)
3% 12/1/53
(9,000,000)
(7,597,972)
3% 12/1/53
(3,350,000)
(2,828,134)
3% 12/1/53
(14,100,000)
(11,903,489)
3% 12/1/53
(1,875,000)
(1,582,911)
3% 12/1/53
(6,675,000)
(5,635,163)
3% 12/1/53
(200,000)
(168,844)
3.5% 12/1/53
(700,000)
(614,332)
3.5% 12/1/53
(7,825,000)
(6,867,353)
3.5% 12/1/53
(11,950,000)
(10,487,523)
3.5% 12/1/53
(3,700,000)
(3,247,183)
4% 12/1/53
(2,075,000)
(1,885,171)
4% 12/1/53
(400,000)
(363,406)
4.5% 12/1/53
(1,000,000)
(937,109)
4.5% 12/1/53
(800,000)
(749,687)
4.5% 12/1/53
(1,100,000)
(1,030,820)
4.5% 12/1/53
(3,800,000)
(3,561,014)
5% 12/1/38
(1,100,000)
(1,072,070)
5% 12/1/38
(1,950,000)
(1,900,488)
5% 12/1/53
(1,000,000)
(963,320)
5% 12/1/53
(700,000)
(674,324)
5.5% 12/1/53
(700,000)
(690,211)
5.5% 12/1/53
(2,000,000)
(1,972,032)
5.5% 12/1/53
(700,000)
(690,211)
5.5% 12/1/53
(1,800,000)
(1,774,829)
5.5% 12/1/53
(2,700,000)
(2,662,243)
5.5% 12/1/53
(700,000)
(690,211)
5.5% 12/1/53
(575,000)
(566,959)
6.5% 12/1/53
(1,800,000)
(1,829,249)
 
  
  
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
 
(177,082,881)
 
  
  
TOTAL TBA SALE COMMITMENTS
 (Proceeds $248,267,251)
  
  
(252,211,830)
 
 
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Purchased
  
  
  
  
  
 
  
  
  
  
  
Treasury Contracts
  
  
  
  
  
CBOT 2-Year U.S. Treasury Note Contracts (United States)
226
Mar 2024
46,208,172
135,872
135,872
CBOT 5-Year U.S. Treasury Note Contracts (United States)
2,389
Mar 2024
255,268,383
1,183,397
1,183,397
 
  
  
  
  
  
TOTAL PURCHASED
  
  
  
  
1,319,269
 
  
  
  
  
  
Sold
  
  
  
  
  
 
  
  
  
  
  
Treasury Contracts
  
  
  
  
  
CBOT 10-Year U.S. Treasury Note Contracts (United States)
319
Mar 2024
35,025,203
(183,573)
(183,573)
CBOT 5-Year U.S. Treasury Note Contracts (United States)
130
Mar 2024
13,890,703
(65,262)
(65,262)
CBOT Long Term U.S. Treasury Bond Contracts (United States)
83
Mar 2024
9,664,313
(47,521)
(47,521)
 
  
  
  
  
  
TOTAL SOLD
  
  
  
  
(296,356)
 
  
  
  
  
  
TOTAL FUTURES CONTRACTS
  
  
  
  
1,022,913
The notional amount of futures purchased as a percentage of Net Assets is 11.0%
The notional amount of futures sold as a percentage of Net Assets is 2.2%
 
 Credit Default Swaps
Underlying Reference
Rating(1)
Maturity
Date
Clearinghouse /
Counterparty
Fixed
Payment
Received/
(Paid)
Payment
Frequency
Notional
Amount(2)(3)
Value ($)(1)
Upfront
Premium
Received/
(Paid) ($)
Unrealized
Appreciation/
(Depreciation) ($)
Buy Protection
  
  
  
  
  
  
  
  
  
  
CMBX N.A. AAA Index Series 13
  
Dec 2072
Citigroup Global Markets Ltd.
(0.5%)
Monthly
  
40,000
521
(434)
87
CMBX N.A. AAA Index Series 16
  
Apr 2065
Morgan Stanley Capital Services LLC
(0.5%)
Monthly
  
70,000
2,103
(3,140)
(1,037)
CMBX N.A. BBB Index Series 16
  
Apr 2065
JPMorgan Securities LLC
(3%)
Monthly
  
70,000
15,493
(20,023)
(4,530)
CMBX N.A. BBB- Index Series 13
  
Dec 2072
Goldman Sachs & Co. LLC
(3%)
Monthly
  
190,000
53,920
(50,881)
3,039
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Citigroup Global Markets Ltd.
(3%)
Monthly
  
140,000
30,985
(40,512)
(9,527)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Citigroup Global Markets Ltd.
(3%)
Monthly
  
280,000
61,971
(63,751)
(1,780)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Citigroup Global Markets Ltd.
(3%)
Monthly
  
80,000
17,706
(22,271)
(4,565)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Citigroup Global Markets Ltd.
(3%)
Monthly
  
100,000
22,132
(24,755)
(2,623)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Citigroup Global Markets Ltd.
(3%)
Monthly
  
190,000
42,052
(46,859)
(4,807)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Citigroup Global Markets Ltd.
(3%)
Monthly
  
160,000
35,412
(42,625)
(7,213)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Goldman Sachs & Co. LLC
(3%)
Monthly
  
460,000
101,809
(136,519)
(34,710)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Goldman Sachs & Co. LLC
(3%)
Monthly
  
130,000
28,772
(32,216)
(3,444)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Goldman Sachs & Co. LLC
(3%)
Monthly
  
60,000
13,279
(14,583)
(1,304)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Goldman Sachs & Co. LLC
(3%)
Monthly
  
150,000
33,199
(38,892)
(5,693)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Goldman Sachs & Co. LLC
(3%)
Monthly
  
40,000
8,853
(10,651)
(1,798)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Goldman Sachs & Co. LLC
(3%)
Monthly
  
160,000
35,412
(46,793)
(11,381)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Goldman Sachs & Co. LLC
(3%)
Monthly
  
200,000
44,265
(60,247)
(15,982)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
JPMorgan Securities LLC
(3%)
Monthly
  
90,000
19,919
(27,588)
(7,669)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
JPMorgan Securities LLC
(3%)
Monthly
  
140,000
30,985
(39,705)
(8,720)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Morgan Stanley Capital Services LLC
(3%)
Monthly
  
190,000
42,052
(46,113)
(4,061)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Morgan Stanley Capital Services LLC
(3%)
Monthly
  
130,000
28,772
(32,547)
(3,775)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Morgan Stanley Capital Services LLC
(3%)
Monthly
  
190,000
42,052
(47,803)
(5,751)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Morgan Stanley Capital Services LLC
(3%)
Monthly
  
150,000
33,199
(35,924)
(2,725)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Morgan Stanley Capital Services LLC
(3%)
Monthly
  
140,000
30,985
(32,629)
(1,644)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Morgan Stanley Capital Services LLC
(3%)
Monthly
  
170,000
37,625
(43,542)
(5,917)
 
  
  
  
  
  
  
  
  
  
  
TOTAL BUY PROTECTION
  
  
  
  
  
  
  
813,473
(961,003)
(147,530)
Sell Protection
  
  
  
  
  
  
  
  
  
  
CMBX N.A. AAA Index Series 13
NR
Dec 2072
Morgan Stanley Capital Services LLC
0.5%
Monthly
  
40,000
(521)
942
421
CMBX N.A. AAA Index Series 15
NR
Nov 2064
Citigroup Global Markets Ltd.
0.5%
Monthly
  
930,000
(21,856)
25,662
3,806
CMBX N.A. AAA Index Series 15
NR
Nov 2064
Goldman Sachs & Co. LLC
0.5%
Monthly
  
1,230,000
(28,907)
33,257
4,350
CMBX N.A. AAA Index Series 15
NR
Nov 2064
Goldman Sachs & Co. LLC
0.5%
Monthly
  
690,000
(16,216)
18,656
2,440
 
  
  
  
  
  
  
  
  
  
  
TOTAL SELL PROTECTION
  
  
  
  
  
  
  
(67,500)
78,517
11,017
TOTAL CREDIT DEFAULT SWAPS
  
  
  
  
  
  
  
745,973
(882,486)
(136,513)
 
(1)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.
 
 
(2)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.
 
 
(3)Notional amount is stated in U.S. Dollars unless otherwise noted.
 
 
 
 
 Interest Rate Swaps
Payment Received
Payment
Frequency
Payment Paid
Payment
Frequency
Clearinghouse /
Counterparty(1)
Maturity
Date
Notional
Amount(2)
Value ($)
 
Upfront
Premium
Received/
(Paid) ($)(3)
Unrealized
Appreciation/
(Depreciation) ($)
 
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
Annual
4.25%
Annual
LCH
Dec 2025
  
33,310,000
(228,642)
0
(228,642)
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
Annual
4%
Annual
LCH
Dec 2026
  
8,920,000
(87,928)
0
(87,928)
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
Annual
3.75%
Annual
LCH
Dec 2028
  
720,000
(9,975)
0
(9,975)
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
Annual
3.5%
Annual
LCH
Dec 2030
  
11,960,000
(285,139)
0
(285,139)
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
Annual
3.5%
Annual
LCH
Dec 2043
  
2,610,000
(69,792)
0
(69,792)
TOTAL INTEREST RATE SWAPS
  
  
  
  
  
  
  
(681,476)
0
(681,476)
 
(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.
 
 
(2)Notional amount is stated in U.S. Dollars unless otherwise noted.
 
 
(3)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
 
 
(4)Represents floating rate.
 
 
 
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 $350,930,433 or 12.8% of net assets.
 
(c)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(d)
Security or a portion of the security is on loan at period end.
 
(e)
Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $4,780,191.
 
(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 or a portion of the security purchased on a delayed delivery or when-issued basis.
 
(h)
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.
 
(i)
Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
 
(j)
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.
 
(k)
Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.
 
(l)
Level 3 security
 
(m)
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.
 
(n)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
 
(o)
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.
 
(p)
Investment made with cash collateral received from securities on loan.
 
(q)
Includes $1,455,126 of cash collateral segregated to cover margin requirements for centrally cleared OTC swaps.
 
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund 5.40%
84,973,598
530,760,281
465,176,598
1,647,800
-
-
150,557,281
0.3%
Fidelity Emerging Markets Debt Central Fund
42,002,712
20,684,352
-
684,352
-
643,419
63,330,483
3.1%
Fidelity Floating Rate Central Fund
157,041,077
3,837,655
-
3,837,656
-
(457,177)
160,421,555
11.1%
Fidelity International Credit Central Fund
50,413,382
30,519,155
-
519,155
-
793,922
81,726,459
35.3%
Fidelity Securities Lending Cash Central Fund 5.39%
50,201,734
666,317,701
715,939,766
28,073
-
-
579,669
0.0%
Fidelity Specialized High Income Central Fund
144,791,683
32,207,718
-
2,207,717
-
1,407,736
178,407,137
44.6%
Total
529,424,186
1,284,326,862
1,181,116,364
8,924,753
-
2,387,900
635,022,584
  
 
  
  
  
  
  
  
  
  
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
 
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
 
 
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.   
 
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
 
Level 1 - Unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
 
Valuation techniques used to value investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Nonconvertible Bonds, U.S. Treasury Obligations, Foreign Government and Government Agency Obligations and Bank Notes are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices.  U.S. Government Agency - Mortgage Securities, Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial Mortgage Securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
 
Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
 
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
 
Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 in the hierarchy.
 
Investments in any open-end mutual 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.
 
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
 
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or 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(s):
 
Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to 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, 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 the 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 contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.
 
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. 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.  
 
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
 
The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
 
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash 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 used 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/or potential credit events.
 
Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." 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 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.
 
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.
 
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. 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, FMR 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.
 
Open swaps at period end are included in the Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.
 
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
 
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
 
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