Quarterly Holdings Report
for
Fidelity Advisor® Limited Term Bond Fund
May 31, 2021
Schedule of Investments May 31, 2021 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 61.3% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 2.8% | |||
Diversified Telecommunication Services - 1.4% | |||
AT&T, Inc.: | |||
0.9% 3/25/24 | $5,000,000 | $5,013,640 | |
1.65% 2/1/28 | 12,588,000 | 12,417,315 | |
NTT Finance Corp.: | |||
0.583% 3/1/24 (a) | 4,260,000 | 4,266,199 | |
1.162% 4/3/26 (a) | 8,933,000 | 8,904,928 | |
1.591% 4/3/28 (a) | 10,000,000 | 9,874,777 | |
Verizon Communications, Inc.: | |||
0.75% 3/22/24 | 9,717,000 | 9,797,521 | |
1.45% 3/20/26 | 2,947,000 | 2,975,719 | |
3% 3/22/27 | 626,000 | 674,340 | |
53,924,439 | |||
Media - 0.8% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 4.464% 7/23/22 | 16,000,000 | 16,627,644 | |
Comcast Corp.: | |||
3.7% 4/15/24 | 4,500,000 | 4,898,881 | |
3.95% 10/15/25 | 2,610,000 | 2,930,039 | |
Discovery Communications LLC: | |||
2.95% 3/20/23 | 7,000,000 | 7,288,775 | |
3.625% 5/15/30 | 1,664,000 | 1,778,305 | |
33,523,644 | |||
Wireless Telecommunication Services - 0.6% | |||
Rogers Communications, Inc. 3 month U.S. LIBOR + 0.600% 0.7866% 3/22/22 (b)(c) | 7,115,000 | 7,138,145 | |
T-Mobile U.S.A., Inc.: | |||
2.625% 4/15/26 | 10,100,000 | 10,279,679 | |
3.5% 4/15/25 | 6,000,000 | 6,511,530 | |
23,929,354 | |||
TOTAL COMMUNICATION SERVICES | 111,377,437 | ||
CONSUMER DISCRETIONARY - 3.2% | |||
Automobiles - 2.5% | |||
BMW U.S. Capital LLC 3.45% 4/12/23 (a) | 7,000,000 | 7,382,418 | |
Daimler Finance North America LLC: | |||
0.75% 3/1/24 (a) | 17,889,000 | 17,929,290 | |
1.45% 3/2/26 (a) | 6,948,000 | 7,016,925 | |
2.85% 1/6/22 (a) | 3,175,000 | 3,223,384 | |
General Motors Financial Co., Inc.: | |||
U.S. Secured Overnight Finl Rate (SOFR) Indx + 1.200% 1.21% 11/17/23 (b)(c) | 15,000,000 | 15,280,350 | |
1.05% 3/8/24 | 2,306,000 | 2,321,181 | |
1.25% 1/8/26 | 8,359,000 | 8,296,143 | |
1.7% 8/18/23 | 10,000,000 | 10,227,751 | |
3.25% 1/5/23 | 5,000,000 | 5,201,514 | |
4.15% 6/19/23 | 5,231,000 | 5,586,445 | |
5.2% 3/20/23 | 2,909,000 | 3,145,061 | |
Volkswagen Group of America Finance LLC 1.25% 11/24/25 (a) | 15,040,000 | 15,032,154 | |
100,642,616 | |||
Hotels, Restaurants & Leisure - 0.1% | |||
McDonald's Corp. 3.3% 7/1/25 | 1,040,000 | 1,132,504 | |
Starbucks Corp. 3.8% 8/15/25 | 2,340,000 | 2,601,572 | |
3,734,076 | |||
Leisure Products - 0.1% | |||
Hasbro, Inc. 2.6% 11/19/22 | 2,334,000 | 2,404,310 | |
Multiline Retail - 0.2% | |||
Dollar Tree, Inc. 4% 5/15/25 | 6,000,000 | 6,648,004 | |
Specialty Retail - 0.3% | |||
AutoZone, Inc.: | |||
3.125% 7/15/23 | 3,247,000 | 3,408,993 | |
3.625% 4/15/25 | 545,000 | 596,770 | |
Ross Stores, Inc. 0.875% 4/15/26 | 7,357,000 | 7,213,653 | |
TJX Companies, Inc. 3.5% 4/15/25 | 1,742,000 | 1,907,178 | |
13,126,594 | |||
TOTAL CONSUMER DISCRETIONARY | 126,555,600 | ||
CONSUMER STAPLES - 4.3% | |||
Beverages - 0.9% | |||
Anheuser-Busch InBev Worldwide, Inc. 4.15% 1/23/25 | 4,276,000 | 4,776,026 | |
Dr. Pepper Snapple Group, Inc. 0.75% 3/15/24 | 15,000,000 | 15,027,587 | |
Molson Coors Beverage Co.: | |||
3% 7/15/26 | 10,575,000 | 11,332,612 | |
3.5% 5/1/22 | 4,098,000 | 4,217,460 | |
35,353,685 | |||
Food & Staples Retailing - 0.5% | |||
7-Eleven, Inc.: | |||
0.8% 2/10/24 (a) | 7,321,000 | 7,314,218 | |
0.95% 2/10/26 (a) | 7,891,000 | 7,744,560 | |
1.3% 2/10/28 (a) | 3,614,000 | 3,487,163 | |
18,545,941 | |||
Food Products - 0.9% | |||
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (a) | 10,730,000 | 11,735,938 | |
McCormick & Co., Inc. 0.9% 2/15/26 | 15,000,000 | 14,774,778 | |
Mondelez International, Inc. 0.625% 7/1/22 | 10,000,000 | 10,038,811 | |
36,549,527 | |||
Tobacco - 2.0% | |||
Altria Group, Inc. 2.35% 5/6/25 | 1,003,000 | 1,050,394 | |
BAT Capital Corp.: | |||
2.764% 8/15/22 | 10,000,000 | 10,230,282 | |
3.222% 8/15/24 | 7,000,000 | 7,453,780 | |
BAT International Finance PLC: | |||
1.668% 3/25/26 | 15,000,000 | 14,968,772 | |
3.95% 6/15/25 (a) | 5,000,000 | 5,512,794 | |
Imperial Tobacco Finance PLC: | |||
3.125% 7/26/24 (a) | 8,250,000 | 8,702,962 | |
4.25% 7/21/25 (a) | 13,000,000 | 14,335,407 | |
Philip Morris International, Inc.: | |||
0.875% 5/1/26 | 4,502,000 | 4,453,206 | |
1.125% 5/1/23 | 4,000,000 | 4,066,813 | |
1.5% 5/1/25 | 3,501,000 | 3,579,916 | |
2.875% 5/1/24 | 4,910,000 | 5,233,971 | |
79,588,297 | |||
TOTAL CONSUMER STAPLES | 170,037,450 | ||
ENERGY - 5.3% | |||
Oil, Gas & Consumable Fuels - 5.3% | |||
Canadian Natural Resources Ltd.: | |||
2.05% 7/15/25 | 3,668,000 | 3,762,964 | |
3.45% 11/15/21 | 7,927,000 | 7,978,272 | |
Cenovus Energy, Inc.: | |||
3% 8/15/22 | 9,205,000 | 9,408,625 | |
3.8% 9/15/23 | 4,723,000 | 4,988,577 | |
Enbridge, Inc. U.S. Secured Overnight Finl Rate (SOFR) Indx + 0.400% 0.41% 2/17/23 (b)(c) | 4,012,000 | 4,016,930 | |
Energy Transfer LP: | |||
2.9% 5/15/25 | 7,150,000 | 7,530,524 | |
3.6% 2/1/23 | 2,824,000 | 2,937,257 | |
4.2% 9/15/23 | 1,441,000 | 1,544,221 | |
4.25% 3/15/23 | 6,314,000 | 6,647,694 | |
4.5% 4/15/24 | 570,000 | 624,589 | |
Equinor ASA: | |||
1.75% 1/22/26 | 1,120,000 | 1,156,753 | |
2.875% 4/6/25 | 7,000,000 | 7,510,121 | |
Kinder Morgan Energy Partners LP 3.5% 9/1/23 | 5,738,000 | 6,077,544 | |
Marathon Petroleum Corp. 4.5% 5/1/23 | 5,640,000 | 6,038,396 | |
MPLX LP: | |||
3 month U.S. LIBOR + 1.100% 1.2854% 9/9/22 (b)(c) | 1,082,000 | 1,082,660 | |
1.75% 3/1/26 | 15,044,000 | 15,243,416 | |
3.375% 3/15/23 | 6,618,000 | 6,939,150 | |
4.5% 7/15/23 | 856,000 | 917,367 | |
Occidental Petroleum Corp.: | |||
2.9% 8/15/24 | 6,061,000 | 6,045,848 | |
3.2% 8/15/26 | 277,000 | 266,959 | |
Ovintiv Exploration, Inc. 5.625% 7/1/24 | 1,967,000 | 2,188,182 | |
Ovintiv, Inc. 3.9% 11/15/21 | 4,500,000 | 4,521,085 | |
Petroleos Mexicanos: | |||
6.49% 1/23/27 | 6,035,000 | 6,443,268 | |
6.5% 3/13/27 | 12,000,000 | 12,812,520 | |
Phillips 66 Co.: | |||
1.3% 2/15/26 | 6,892,000 | 6,907,412 | |
3.7% 4/6/23 | 4,430,000 | 4,686,237 | |
3.85% 4/9/25 | 7,000,000 | 7,721,641 | |
Pioneer Natural Resources Co. 0.55% 5/15/23 | 7,781,000 | 7,806,522 | |
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22 | 4,768,000 | 4,874,105 | |
Shell International Finance BV 3.5% 11/13/23 | 1,470,000 | 1,576,799 | |
Suncor Energy, Inc. 3.6% 12/1/24 | 7,800,000 | 8,479,301 | |
The Williams Companies, Inc. 3.6% 3/15/22 | 12,000,000 | 12,243,004 | |
TransCanada PipeLines Ltd. 2.5% 8/1/22 | 5,142,000 | 5,273,262 | |
Valero Energy Corp.: | |||
1.2% 3/15/24 | 10,000,000 | 10,113,691 | |
2.7% 4/15/23 | 805,000 | 837,270 | |
2.85% 4/15/25 | 9,963,000 | 10,571,955 | |
Western Gas Partners LP: | |||
3 month U.S. LIBOR + 2.100% 2.2875% 1/13/23 (b)(c) | 2,040,000 | 2,034,943 | |
4.35% 2/1/25 | 3,287,000 | 3,426,698 | |
213,235,762 | |||
FINANCIALS - 30.2% | |||
Banks - 16.3% | |||
Bank of America Corp.: | |||
3 month U.S. LIBOR + 0.640% 2.015% 2/13/26 (b)(c) | 11,000,000 | 11,416,346 | |
1.197% 10/24/26 (b) | 13,673,000 | 13,632,001 | |
1.319% 6/19/26 (b) | 16,000,000 | 16,116,525 | |
3.004% 12/20/23 (b) | 6,462,000 | 6,723,760 | |
3.124% 1/20/23 (b) | 10,000,000 | 10,180,307 | |
4.2% 8/26/24 | 15,750,000 | 17,413,061 | |
Bank of Nova Scotia 0.55% 9/15/23 | 10,000,000 | 10,031,463 | |
Barclays PLC: | |||
1.007% 12/10/24 (b) | 5,000,000 | 5,027,380 | |
2.852% 5/7/26 (b) | 18,848,000 | 19,973,094 | |
3.932% 5/7/25 (b) | 4,000,000 | 4,338,832 | |
4.338% 5/16/24 (b) | 5,045,000 | 5,399,109 | |
BNP Paribas SA: | |||
U.S. Secured Overnight Finl Rate (SOFR) Indx + 1.000% 1.323% 1/13/27 (a)(b)(c) | 7,417,000 | 7,340,699 | |
2.219% 6/9/26 (a)(b) | 8,627,000 | 8,923,639 | |
3.5% 3/1/23 (a) | 17,000,000 | 17,901,936 | |
BPCE SA: | |||
1.652% 10/6/26 (a)(b) | 20,000,000 | 20,144,263 | |
4% 9/12/23 (a) | 5,000,000 | 5,383,320 | |
Canadian Imperial Bank of Commerce 0.95% 6/23/23 | 10,000,000 | 10,110,952 | |
Capital One Bank NA: | |||
2.014% 1/27/23 (b) | 4,662,000 | 4,711,187 | |
2.28% 1/28/26 (b) | 7,000,000 | 7,271,260 | |
CIT Group, Inc.: | |||
3.929% 6/19/24 (b) | 815,000 | 863,289 | |
4.75% 2/16/24 | 5,000,000 | 5,440,625 | |
5% 8/1/23 | 5,000,000 | 5,431,250 | |
Citigroup, Inc.: | |||
0.981% 5/1/25 (b) | 5,320,000 | 5,352,626 | |
2.312% 11/4/22 (b) | 5,000,000 | 5,043,535 | |
2.7% 10/27/22 | 5,000,000 | 5,159,276 | |
3.106% 4/8/26 (b) | 10,000,000 | 10,731,741 | |
4.4% 6/10/25 | 3,018,000 | 3,384,855 | |
Danske Bank A/S 3.875% 9/12/23 (a) | 6,000,000 | 6,406,348 | |
DNB Bank ASA 1.535% 5/25/27 (a)(b) | 4,643,000 | 4,660,962 | |
HSBC Holdings PLC: | |||
1.589% 5/24/27 (b) | 10,000,000 | 10,036,887 | |
1.645% 4/18/26 (b) | 6,567,000 | 6,674,241 | |
3.262% 3/13/23 (b) | 3,374,000 | 3,451,648 | |
3.803% 3/11/25 (b) | 5,000,000 | 5,408,225 | |
3.95% 5/18/24 (b) | 3,000,000 | 3,202,530 | |
Huntington Bancshares, Inc. 2.625% 8/6/24 | 4,610,000 | 4,878,430 | |
ING Groep NV 1.726% 4/1/27 (b) | 4,192,000 | 4,244,778 | |
Intesa Sanpaolo SpA: | |||
3.375% 1/12/23 (a) | 5,775,000 | 6,023,553 | |
5.71% 1/15/26 (a) | 2,298,000 | 2,600,182 | |
JPMorgan Chase & Co.: | |||
0.824% 6/1/25 (b) | 7,855,000 | 7,865,498 | |
1.045% 11/19/26 (b) | 15,000,000 | 14,866,711 | |
1.514% 6/1/24 (b) | 5,770,000 | 5,891,350 | |
2.083% 4/22/26 (b) | 25,219,000 | 26,199,103 | |
2.956% 5/13/31 (b) | 12,053,000 | 12,507,017 | |
3.207% 4/1/23 (b) | 8,000,000 | 8,194,065 | |
3.514% 6/18/22 (b) | 8,000,000 | 8,012,015 | |
3.559% 4/23/24 (b) | 10,000,000 | 10,581,391 | |
Lloyds Banking Group PLC: | |||
0.695% 5/11/24 (b) | 5,000,000 | 5,016,102 | |
1.326% 6/15/23 (b) | 1,698,000 | 1,713,919 | |
2.438% 2/5/26 (b) | 2,636,000 | 2,762,188 | |
2.907% 11/7/23 (b) | 10,197,000 | 10,551,656 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
0.848% 9/15/24 (b) | 7,000,000 | 7,041,083 | |
1.412% 7/17/25 | 8,000,000 | 8,110,414 | |
2.193% 2/25/25 | 7,200,000 | 7,519,841 | |
2.623% 7/18/22 | 5,000,000 | 5,132,248 | |
Mizuho Financial Group, Inc.: | |||
0.849% 9/8/24 (b) | 17,495,000 | 17,593,653 | |
1.234% 5/22/27 (b) | 10,000,000 | 9,868,359 | |
National Bank of Canada 0.9% 8/15/23 (b) | 10,100,000 | 10,167,110 | |
NatWest Markets PLC 0.8% 8/12/24 (a) | 5,141,000 | 5,147,670 | |
Regions Financial Corp.: | |||
2.25% 5/18/25 | 3,135,000 | 3,276,940 | |
3.8% 8/14/23 | 1,805,000 | 1,930,935 | |
Royal Bank of Canada 1.15% 6/10/25 | 15,000,000 | 15,095,353 | |
Royal Bank of Scotland Group PLC: | |||
2.359% 5/22/24 (b) | 4,223,000 | 4,361,507 | |
3.875% 9/12/23 | 12,600,000 | 13,527,612 | |
4.519% 6/25/24 (b) | 10,962,000 | 11,816,355 | |
Santander Holdings U.S.A., Inc.: | |||
3.4% 1/18/23 | 5,500,000 | 5,732,382 | |
3.45% 6/2/25 | 5,700,000 | 6,146,607 | |
4.45% 12/3/21 | 4,500,000 | 4,578,022 | |
Societe Generale: | |||
1.488% 12/14/26 (a)(b) | 7,870,000 | 7,827,549 | |
2.625% 10/16/24 (a) | 1,530,000 | 1,608,336 | |
3.875% 3/28/24 (a) | 6,015,000 | 6,510,619 | |
Sumitomo Mitsui Financial Group, Inc.: | |||
0.508% 1/12/24 | 989,000 | 988,953 | |
1.474% 7/8/25 | 10,000,000 | 10,148,269 | |
SVB Financial Group 3.125% 6/5/30 | 3,077,000 | 3,221,815 | |
Svenska Handelsbanken AB 0.625% 6/30/23 (a) | 7,000,000 | 7,042,263 | |
Synchrony Bank 3% 6/15/22 | 2,328,000 | 2,386,682 | |
Synovus Bank 2.289% 2/10/23 (b) | 1,640,000 | 1,654,206 | |
Synovus Financial Corp. 3.125% 11/1/22 | 7,118,000 | 7,338,807 | |
Wells Fargo & Co.: | |||
1.654% 6/2/24 (b) | 5,500,000 | 5,637,493 | |
2.164% 2/11/26 (b) | 10,000,000 | 10,426,118 | |
2.188% 4/30/26 (b) | 5,000,000 | 5,213,465 | |
2.406% 10/30/25 (b) | 14,000,000 | 14,723,767 | |
3.75% 1/24/24 | 5,000,000 | 5,405,656 | |
4.3% 7/22/27 | 7,000,000 | 8,002,891 | |
Westpac Banking Corp. 4.11% 7/24/34 (b) | 1,710,000 | 1,857,847 | |
Zions Bancorp NA 3.35% 3/4/22 | 1,971,000 | 2,009,411 | |
654,245,368 | |||
Capital Markets - 6.8% | |||
Ares Capital Corp. 3.25% 7/15/25 | 10,000,000 | 10,546,234 | |
Credit Suisse AG 1% 5/5/23 | 5,000,000 | 5,056,888 | |
Credit Suisse Group AG: | |||
1.305% 2/2/27 (a)(b) | 10,000,000 | 9,791,466 | |
2.593% 9/11/25 (a)(b) | 4,805,000 | 5,022,690 | |
3.574% 1/9/23 (a) | 15,000,000 | 15,269,017 | |
Deutsche Bank AG New York Branch: | |||
0.898% 5/28/24 | 2,899,000 | 2,901,184 | |
1.447% 4/1/25 (b) | 6,811,000 | 6,875,043 | |
2.129% 11/24/26 (b) | 6,479,000 | 6,588,973 | |
2.222% 9/18/24 (b) | 15,621,000 | 16,066,721 | |
3.3% 11/16/22 | 7,000,000 | 7,269,904 | |
4.25% 10/14/21 | 4,000,000 | 4,056,371 | |
E*TRADE Financial Corp. 2.95% 8/24/22 | 14,405,000 | 14,836,346 | |
Goldman Sachs Group, Inc.: | |||
0.523% 3/8/23 | 8,160,000 | 8,172,950 | |
0.627% 11/17/23 (b) | 8,000,000 | 8,016,197 | |
2.876% 10/31/22 (b) | 12,097,000 | 12,223,190 | |
2.905% 7/24/23 (b) | 22,500,000 | 23,135,213 | |
3.2% 2/23/23 | 12,500,000 | 13,085,749 | |
3.272% 9/29/25 (b) | 5,000,000 | 5,392,352 | |
Intercontinental Exchange, Inc. 0.7% 6/15/23 | 6,859,000 | 6,903,086 | |
Moody's Corp.: | |||
2.625% 1/15/23 | 5,950,000 | 6,156,547 | |
4.875% 2/15/24 | 4,000,000 | 4,416,182 | |
Morgan Stanley: | |||
0.529% 1/25/24 (b) | 9,045,000 | 9,064,414 | |
0.56% 11/10/23 (b) | 10,000,000 | 10,021,806 | |
0.79% 5/30/25 (b) | 10,000,000 | 9,992,373 | |
2.188% 4/28/26 (b) | 5,000,000 | 5,228,862 | |
2.72% 7/22/25 (b) | 3,953,000 | 4,193,108 | |
3.737% 4/24/24 (b) | 12,000,000 | 12,742,791 | |
4.875% 11/1/22 | 7,000,000 | 7,433,378 | |
NASDAQ, Inc. 0.445% 12/21/22 | 4,284,000 | 4,285,596 | |
State Street Corp. 2.901% 3/30/26 (b) | 305,000 | 327,125 | |
UBS AG London Branch 1.25% 6/1/26 (a) | 8,000,000 | 7,992,622 | |
UBS Group AG 1.008% 7/30/24 (a)(b) | 7,594,000 | 7,661,404 | |
270,725,782 | |||
Consumer Finance - 2.2% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.75% 1/30/26 | 7,095,000 | 6,986,642 | |
3.3% 1/23/23 | 7,000,000 | 7,268,461 | |
3.5% 5/26/22 | 915,000 | 938,764 | |
4.125% 7/3/23 | 1,826,000 | 1,935,948 | |
4.875% 1/16/24 | 1,481,000 | 1,615,880 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 1,220,000 | 1,239,310 | |
3.05% 6/5/23 | 8,326,000 | 8,705,915 | |
5.125% 9/30/24 | 9,760,000 | 11,045,531 | |
Capital One Financial Corp.: | |||
3.2% 1/30/23 | 10,000,000 | 10,450,042 | |
3.9% 1/29/24 | 3,000,000 | 3,251,032 | |
Discover Financial Services 5.2% 4/27/22 | 3,239,000 | 3,376,540 | |
Ford Motor Credit Co. LLC: | |||
3.087% 1/9/23 | 12,000,000 | 12,225,000 | |
3.339% 3/28/22 | 2,246,000 | 2,276,883 | |
4.14% 2/15/23 | 5,000,000 | 5,194,500 | |
Synchrony Financial: | |||
2.85% 7/25/22 | 703,000 | 719,925 | |
4.25% 8/15/24 | 2,551,000 | 2,795,281 | |
4.375% 3/19/24 | 4,922,000 | 5,394,617 | |
Toyota Motor Credit Corp. 0.5% 8/14/23 | 4,167,000 | 4,183,897 | |
89,604,168 | |||
Diversified Financial Services - 0.9% | |||
AIG Global Funding: | |||
0.8% 7/7/23 (a) | 2,197,000 | 2,220,029 | |
0.9% 9/22/25 (a) | 7,000,000 | 6,931,390 | |
2.3% 7/1/22 (a) | 1,900,000 | 1,940,881 | |
Athene Global Funding: | |||
0.95% 1/8/24 (a) | 8,877,000 | 8,919,003 | |
1% 4/16/24 (a) | 8,000,000 | 8,042,912 | |
BP Capital Markets America, Inc. 2.937% 4/6/23 | 1,665,000 | 1,743,899 | |
Brixmor Operating Partnership LP 2.25% 4/1/28 | 4,348,000 | 4,318,077 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 303,000 | 321,279 | |
34,437,470 | |||
Insurance - 4.0% | |||
American International Group, Inc.: | |||
2.5% 6/30/25 | 5,000,000 | 5,286,613 | |
4.2% 4/1/28 | 4,000,000 | 4,554,503 | |
4.875% 6/1/22 | 5,484,000 | 5,734,391 | |
Aon Corp. 2.2% 11/15/22 | 1,504,000 | 1,544,463 | |
Empower Finance 2020 LP 1.357% 9/17/27 (a) | 5,321,000 | 5,262,388 | |
Equitable Financial Life Global Funding: | |||
0.5% 11/17/23 (a) | 10,075,000 | 10,081,589 | |
1.4% 8/27/27 (a) | 15,000,000 | 14,744,430 | |
Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 (a) | 3,381,000 | 3,348,963 | |
Guardian Life Global Funding: | |||
1.1% 6/23/25 (a) | 7,850,000 | 7,886,718 | |
1.4% 7/6/27 (a) | 8,010,000 | 7,917,880 | |
Liberty Mutual Group, Inc. 5% 6/1/21 (a) | 16,714,000 | 16,714,000 | |
Marsh & McLennan Companies, Inc.: | |||
3.3% 3/14/23 | 1,731,000 | 1,816,161 | |
3.875% 3/15/24 | 6,123,000 | 6,681,263 | |
MassMutual Global Funding II 0.85% 6/9/23 (a) | 10,000,000 | 10,107,790 | |
Metropolitan Life Global Funding I: | |||
0.9% 6/8/23 (a) | 4,581,000 | 4,630,377 | |
1.95% 1/13/23 (a) | 5,000,000 | 5,134,779 | |
Metropolitan Tower Global Funding 0.55% 7/13/22 (a) | 10,000,000 | 10,031,830 | |
New York Life Global Funding 1.1% 5/5/23 (a) | 2,841,000 | 2,884,698 | |
Pacific Life Global Funding II 1.2% 6/24/25 (a) | 4,494,000 | 4,514,547 | |
Pricoa Global Funding I: | |||
2.4% 9/23/24 (a) | 6,476,000 | 6,860,141 | |
2.45% 9/21/22 (a) | 4,109,000 | 4,230,436 | |
Protective Life Global Funding 2.615% 8/22/22 (a) | 10,240,000 | 10,526,243 | |
Prudential Financial, Inc. 3.5% 5/15/24 | 2,550,000 | 2,779,385 | |
Willis Group North America, Inc. 4.5% 9/15/28 | 5,000,000 | 5,756,288 | |
159,029,876 | |||
TOTAL FINANCIALS | 1,208,042,664 | ||
HEALTH CARE - 2.9% | |||
Biotechnology - 0.3% | |||
AbbVie, Inc.: | |||
2.3% 11/21/22 | 6,780,000 | 6,976,147 | |
3.45% 3/15/22 | 5,000,000 | 5,099,131 | |
Amgen, Inc. 2.65% 5/11/22 | 1,600,000 | 1,629,927 | |
13,705,205 | |||
Health Care Equipment & Supplies - 0.3% | |||
Alcon Finance Corp. 2.75% 9/23/26 (a) | 4,038,000 | 4,282,159 | |
Becton, Dickinson & Co. 2.894% 6/6/22 | 3,022,000 | 3,095,513 | |
Boston Scientific Corp. 1.9% 6/1/25 | 5,000,000 | 5,169,636 | |
12,547,308 | |||
Health Care Providers & Services - 0.5% | |||
Anthem, Inc.: | |||
0.45% 3/15/23 | 10,171,000 | 10,200,837 | |
2.95% 12/1/22 | 3,723,000 | 3,861,488 | |
Cigna Corp.: | |||
0.613% 3/15/24 | 2,410,000 | 2,412,868 | |
3.75% 7/15/23 | 2,547,000 | 2,720,443 | |
CVS Health Corp. 3.7% 3/9/23 | 2,249,000 | 2,377,585 | |
21,573,221 | |||
Life Sciences Tools & Services - 0.2% | |||
Thermo Fisher Scientific, Inc. 2.95% 9/19/26 | 6,566,000 | 7,099,950 | |
Pharmaceuticals - 1.6% | |||
AstraZeneca Finance LLC 0.7% 5/28/24 | 7,493,000 | 7,496,532 | |
Bayer U.S. Finance II LLC: | |||
3.375% 7/15/24 (a) | 5,000,000 | 5,342,330 | |
4.25% 12/15/25 (a) | 10,500,000 | 11,765,373 | |
Bayer U.S. Finance LLC 3.375% 10/8/24 (a) | 7,000,000 | 7,573,115 | |
Bristol-Myers Squibb Co.: | |||
2.9% 7/26/24 | 6,000,000 | 6,432,701 | |
3.2% 6/15/26 | 5,000,000 | 5,499,807 | |
Elanco Animal Health, Inc.: | |||
4.912% 8/27/21 (b) | 3,082,000 | 3,103,327 | |
5.272% 8/28/23 (b) | 552,000 | 596,359 | |
Mylan NV 3.125% 1/15/23 (a) | 5,791,000 | 6,015,631 | |
Utah Acquisition Sub, Inc. 3.15% 6/15/21 | 2,306,000 | 2,308,338 | |
Viatris, Inc.: | |||
1.125% 6/22/22 (a) | 6,288,000 | 6,330,389 | |
1.65% 6/22/25 (a) | 480,000 | 487,368 | |
62,951,270 | |||
TOTAL HEALTH CARE | 117,876,954 | ||
INDUSTRIALS - 3.5% | |||
Aerospace & Defense - 0.5% | |||
The Boeing Co.: | |||
1.167% 2/4/23 | 7,169,000 | 7,202,529 | |
1.95% 2/1/24 | 10,390,000 | 10,676,735 | |
4.875% 5/1/25 | 3,000,000 | 3,370,329 | |
21,249,593 | |||
Airlines - 0.4% | |||
American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29 | 5,063,971 | 4,824,820 | |
Delta Air Lines, Inc. 2.9% 10/28/24 | 5,500,000 | 5,576,406 | |
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | 3,676,307 | 3,612,499 | |
14,013,725 | |||
Building Products - 0.1% | |||
Carrier Global Corp. 2.242% 2/15/25 | 3,940,000 | 4,119,322 | |
Commercial Services & Supplies - 0.4% | |||
Republic Services, Inc. 0.875% 11/15/25 | 15,000,000 | 14,876,343 | |
Industrial Conglomerates - 0.5% | |||
General Electric Co. 3.45% 5/1/27 | 679,000 | 747,757 | |
Roper Technologies, Inc.: | |||
2.8% 12/15/21 | 3,883,000 | 3,927,521 | |
3.65% 9/15/23 | 3,078,000 | 3,292,436 | |
Siemens Financieringsmaatschappij NV: | |||
0.65% 3/11/24 (a) | 6,309,000 | 6,331,426 | |
1.2% 3/11/26 (a) | 6,674,000 | 6,679,582 | |
20,978,722 | |||
Machinery - 0.5% | |||
Otis Worldwide Corp.: | |||
3 month U.S. LIBOR + 0.450% 0.6443% 4/5/23 (b)(c) | 4,000,000 | 4,000,210 | |
2.056% 4/5/25 | 7,000,000 | 7,265,139 | |
Westinghouse Air Brake Co. 4.4% 3/15/24 | 5,900,000 | 6,433,182 | |
17,698,531 | |||
Road & Rail - 0.2% | |||
Aviation Capital Group LLC: | |||
3 month U.S. LIBOR + 0.670% 0.8555% 7/30/21 (a)(b)(c) | 4,379,000 | 4,377,856 | |
3 month U.S. LIBOR + 0.950% 1.1405% 6/1/21 (a)(b)(c) | 4,740,000 | 4,740,000 | |
9,117,856 | |||
Trading Companies & Distributors - 0.6% | |||
Air Lease Corp.: | |||
0.7% 2/15/24 | 3,555,000 | 3,540,502 | |
2.625% 7/1/22 | 5,000,000 | 5,104,740 | |
3.375% 6/1/21 | 8,097,000 | 8,097,000 | |
3.75% 2/1/22 | 1,228,000 | 1,248,085 | |
4.25% 2/1/24 | 2,597,000 | 2,821,352 | |
International Lease Finance Corp. 5.875% 8/15/22 | 4,375,000 | 4,644,893 | |
25,456,572 | |||
Transportation Infrastructure - 0.3% | |||
Avolon Holdings Funding Ltd.: | |||
2.875% 2/15/25 (a) | 7,180,000 | 7,392,484 | |
3.625% 5/1/22 (a) | 719,000 | 736,627 | |
3.95% 7/1/24 (a) | 955,000 | 1,016,887 | |
5.5% 1/15/26 (a) | 2,089,000 | 2,347,284 | |
11,493,282 | |||
TOTAL INDUSTRIALS | 139,003,946 | ||
INFORMATION TECHNOLOGY - 2.3% | |||
Electronic Equipment & Components - 0.5% | |||
Amphenol Corp. 3.2% 4/1/24 | 896,000 | 954,693 | |
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 5.45% 6/15/23 (a) | 17,591,000 | 19,144,300 | |
20,098,993 | |||
IT Services - 0.3% | |||
PayPal Holdings, Inc.: | |||
1.35% 6/1/23 | 2,668,000 | 2,721,920 | |
1.65% 6/1/25 | 2,097,000 | 2,167,504 | |
The Western Union Co.: | |||
2.85% 1/10/25 | 1,242,000 | 1,316,049 | |
4.25% 6/9/23 | 5,000,000 | 5,343,635 | |
11,549,108 | |||
Semiconductors & Semiconductor Equipment - 0.7% | |||
Broadcom, Inc. 1.95% 2/15/28 (a) | 15,000,000 | 14,863,559 | |
Microchip Technology, Inc. 0.983% 9/1/24 (a) | 5,060,000 | 5,064,302 | |
Micron Technology, Inc.: | |||
2.497% 4/24/23 | 3,383,000 | 3,506,601 | |
4.185% 2/15/27 | 6,000,000 | 6,774,450 | |
30,208,912 | |||
Software - 0.4% | |||
Microsoft Corp. 2.4% 8/8/26 | 10,000,000 | 10,673,787 | |
Oracle Corp. 1.65% 3/25/26 | 3,618,000 | 3,665,559 | |
14,339,346 | |||
Technology Hardware, Storage & Peripherals - 0.4% | |||
Apple, Inc. 2.45% 8/4/26 | 15,000,000 | 15,983,310 | |
TOTAL INFORMATION TECHNOLOGY | 92,179,669 | ||
MATERIALS - 0.6% | |||
Chemicals - 0.6% | |||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 3.3% 5/1/23 (a) | 3,089,000 | 3,249,072 | |
International Flavors & Fragrances, Inc.: | |||
0.697% 9/15/22 (a) | 1,352,000 | 1,354,894 | |
1.23% 10/1/25 (a) | 7,000,000 | 6,979,367 | |
LYB International Finance III LLC 1.25% 10/1/25 | 6,305,000 | 6,325,943 | |
The Mosaic Co. 3.25% 11/15/22 | 7,000,000 | 7,264,219 | |
25,173,495 | |||
REAL ESTATE - 1.3% | |||
Equity Real Estate Investment Trusts (REITs) - 1.2% | |||
American Tower Corp. 1.3% 9/15/25 | 2,406,000 | 2,420,157 | |
Boston Properties, Inc. 3.2% 1/15/25 | 3,000,000 | 3,219,072 | |
Crown Castle International Corp. 1.35% 7/15/25 | 566,000 | 571,611 | |
ERP Operating LP 3.375% 6/1/25 | 3,000,000 | 3,253,482 | |
Healthcare Trust of America Holdings LP 3.5% 8/1/26 | 621,000 | 684,696 | |
Kimco Realty Corp. 3.3% 2/1/25 | 5,500,000 | 5,955,227 | |
Omega Healthcare Investors, Inc. 4.375% 8/1/23 | 1,211,000 | 1,295,452 | |
Retail Properties America, Inc. 4% 3/15/25 | 2,778,000 | 2,963,342 | |
Simon Property Group LP 2.75% 6/1/23 | 3,463,000 | 3,604,776 | |
SITE Centers Corp. 4.25% 2/1/26 | 1,865,000 | 2,019,256 | |
Spirit Realty LP 2.1% 3/15/28 | 5,695,000 | 5,623,330 | |
Ventas Realty LP: | |||
2.65% 1/15/25 | 3,710,000 | 3,906,390 | |
3% 1/15/30 | 4,013,000 | 4,152,459 | |
3.125% 6/15/23 | 591,000 | 617,207 | |
3.5% 4/15/24 | 2,140,000 | 2,297,651 | |
VEREIT Operating Partnership LP 2.2% 6/15/28 | 456,000 | 458,107 | |
Vornado Realty LP 2.15% 6/1/26 | 1,017,000 | 1,025,784 | |
Welltower, Inc. 3.625% 3/15/24 | 4,035,000 | 4,349,635 | |
48,417,634 | |||
Real Estate Management & Development - 0.1% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 3,334,000 | 3,489,740 | |
4.1% 10/1/24 | 372,000 | 404,433 | |
Mack-Cali Realty LP 4.5% 4/18/22 | 185,000 | 189,577 | |
4,083,750 | |||
TOTAL REAL ESTATE | 52,501,384 | ||
UTILITIES - 4.9% | |||
Electric Utilities - 2.5% | |||
Cleco Corporate Holdings LLC 3.743% 5/1/26 | 2,893,000 | 3,176,177 | |
Edison International 2.95% 3/15/23 | 730,000 | 755,343 | |
Eversource Energy 2.75% 3/15/22 | 3,489,000 | 3,548,043 | |
Exelon Corp. 3.497% 6/1/22 (b) | 10,287,000 | 10,582,819 | |
FirstEnergy Corp.: | |||
1.6% 1/15/26 | 606,000 | 587,820 | |
2.05% 3/1/25 | 3,271,000 | 3,295,533 | |
4.75% 3/15/23 | 600,000 | 633,420 | |
Florida Power & Light Co.: | |||
3 month U.S. LIBOR + 0.380% 0.564% 7/28/23 (b)(c) | 7,557,000 | 7,557,378 | |
2.85% 4/1/25 | 1,508,000 | 1,620,921 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 1,115,000 | 1,204,164 | |
ITC Holdings Corp. 2.7% 11/15/22 | 3,503,000 | 3,608,348 | |
NextEra Energy Capital Holdings, Inc.: | |||
3 month U.S. LIBOR + 0.270% 0.4201% 2/22/23 (b)(c) | 10,250,000 | 10,252,738 | |
0.65% 3/1/23 | 8,000,000 | 8,047,311 | |
2.75% 5/1/25 | 12,257,000 | 13,047,516 | |
Southern California Edison Co. 3 month U.S. LIBOR + 0.270% 0.4543% 12/3/21 (b)(c) | 6,706,000 | 6,708,265 | |
Southern Co. 0.6% 2/26/24 | 3,789,000 | 3,798,290 | |
Virginia Electric & Power Co. 2.75% 3/15/23 | 10,000,000 | 10,384,085 | |
Vistra Operations Co. LLC 5% 7/31/27 (a) | 10,000,000 | 10,212,500 | |
99,020,671 | |||
Gas Utilities - 0.7% | |||
Atmos Energy Corp. 3 month U.S. LIBOR + 0.380% 0.5654% 3/9/23 (b)(c) | 6,511,000 | 6,512,723 | |
CenterPoint Energy Resources Corp. 3 month U.S. LIBOR + 0.500% 0.6843% 3/2/23 (b)(c) | 8,693,000 | 8,695,892 | |
Dominion Gas Holdings LLC 2.5% 11/15/24 | 1,156,000 | 1,220,208 | |
ONE Gas, Inc. 0.85% 3/11/23 | 10,000,000 | 10,011,468 | |
Southern California Gas Co. 3 month U.S. LIBOR + 0.350% 0.5339% 9/14/23 (b)(c) | 2,106,000 | 2,106,349 | |
28,546,640 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
Emera U.S. Finance LP: | |||
0.833% 6/15/24 (a) | 4,654,000 | 4,658,658 | |
2.7% 6/15/21 | 548,000 | 548,421 | |
The AES Corp. 3.3% 7/15/25 (a) | 4,133,000 | 4,408,960 | |
9,616,039 | |||
Multi-Utilities - 1.5% | |||
Berkshire Hathaway Energy Co. 2.8% 1/15/23 | 5,944,000 | 6,180,320 | |
CenterPoint Energy, Inc. 2.5% 9/1/22 | 1,229,000 | 1,258,083 | |
Dominion Energy, Inc.: | |||
3 month U.S. LIBOR + 0.530% 0.7139% 9/15/23 (b)(c) | 5,410,000 | 5,412,377 | |
1.45% 4/15/26 | 8,000,000 | 8,048,735 | |
2% 8/15/21 | 1,458,000 | 1,460,987 | |
2.715% 8/15/21 | 3,913,000 | 3,932,248 | |
3.071% 8/15/24 (b) | 5,000,000 | 5,328,488 | |
DTE Energy Co.: | |||
0.55% 11/1/22 | 10,000,000 | 10,027,162 | |
2.25% 11/1/22 | 5,500,000 | 5,659,565 | |
NiSource, Inc.: | |||
0.95% 8/15/25 | 2,873,000 | 2,857,889 | |
2.95% 9/1/29 | 3,000,000 | 3,140,986 | |
Public Service Enterprise Group, Inc.: | |||
2% 11/15/21 | 1,782,000 | 1,793,402 | |
2.65% 11/15/22 | 3,830,000 | 3,957,282 | |
Sempra Energy 2.9% 2/1/23 | 1,017,000 | 1,056,953 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 2.2684% 5/15/67 (b)(c) | 454,000 | 421,068 | |
60,535,545 | |||
TOTAL UTILITIES | 197,718,895 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $2,400,778,470) | 2,453,703,256 | ||
U.S. Treasury Obligations - 14.7% | |||
U.S. Treasury Notes: | |||
0.25% 5/15/24 | $125,765,000 | $125,568,492 | |
0.25% 7/31/25 | 125,000,000 | 123,164,063 | |
0.375% 4/30/25 | 151,355,000 | 150,349,895 | |
0.75% 3/31/26 | 85,000,000 | 84,907,031 | |
1.625% 9/30/26 | 47,581,000 | 49,395,026 | |
2.75% 6/30/25 | 24,406,000 | 26,547,245 | |
2.875% 11/30/25 | 28,171,000 | 30,895,664 | |
TOTAL U.S. TREASURY OBLIGATIONS | |||
(Cost $587,886,788) | 590,827,416 | ||
U.S. Government Agency - Mortgage Securities - 1.7% | |||
Fannie Mae - 1.1% | |||
3% 12/1/31 to 3/1/50 | 32,925,263 | 34,780,574 | |
3.5% 9/1/29 to 10/1/29 | 889,357 | 953,129 | |
4.5% to 4.5% 3/1/35 to 9/1/49 | 8,343,355 | 9,107,844 | |
6.5% 7/1/32 to 8/1/36 | 160,962 | 187,718 | |
7% 8/1/28 to 6/1/33 | 134,726 | 158,166 | |
7.5% to 7.5% 11/1/26 to 2/1/28 | 26,151 | 29,543 | |
8.5% 9/1/25 | 859 | 946 | |
TOTAL FANNIE MAE | 45,217,920 | ||
Freddie Mac - 0.6% | |||
2% 1/1/32 | 14,061,681 | 14,577,855 | |
3% 2/1/34 | 8,213,439 | 8,659,359 | |
8.5% 12/1/26 to 8/1/27 | 12,683 | 14,293 | |
TOTAL FREDDIE MAC | 23,251,507 | ||
Ginnie Mae - 0.0% | |||
7% to 7% 7/15/28 to 11/15/28 | 22,934 | 25,992 | |
7.5% 2/15/28 to 10/15/28 | 2,331 | 2,677 | |
8% 6/15/24 | 17 | 18 | |
TOTAL GINNIE MAE | 28,687 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $68,202,642) | 68,498,114 | ||
Asset-Backed Securities - 10.7% | |||
AASET Trust Series 2019-2 Class A, 3.376% 10/16/39 (a) | $2,641,040 | $2,645,503 | |
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (a) | 1,293,000 | 1,295,386 | |
Aimco Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 1.2659% 1/15/32 (a)(b)(c) | 10,545,000 | 10,545,664 | |
Ajax Mortgage Loan Trust Series 2021-B Class A, 2.239% 6/25/66 (a)(b) | 4,537,986 | 4,535,155 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/40 (a) | 1,279,265 | 1,281,025 | |
Bank of America Credit Card Master Trust: | |||
Series 2020-A1 Class A1, 0.34% 5/15/26 | 11,987,000 | 11,973,072 | |
Series 2021-A1 Class A1, 0.44% 9/15/26 | 10,797,000 | 10,799,564 | |
Bank of The West Auto Trust Series 2018-1 Class A3, 3.43% 12/15/22 (a) | 301,832 | 302,923 | |
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1 month U.S. LIBOR + 1.120% 1.2166% 2/25/35 (b)(c) | 152,348 | 150,415 | |
CarMax Auto Owner Trust: | |||
Series 2019-1 Class A3, 3.05% 3/15/24 | 2,567,890 | 2,611,967 | |
Series 2020-4 Class A3, 0.5% 8/15/25 | 5,979,000 | 6,000,890 | |
Series 2021-1 Class A3, 0.34% 12/15/25 | 6,074,000 | 6,075,111 | |
Castlelake Aircraft Structured Trust Series 2021-1A Class A, 3.474% 1/15/46 (a) | 5,095,567 | 5,204,351 | |
Cedar Funding Ltd. Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 1.1% 7/15/33 (a)(b)(c)(d) | 11,007,000 | 11,008,101 | |
Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 1.1514% 7/27/30 (a)(b)(c) | 10,010,000 | 10,007,477 | |
Chesapeake Funding II LLC: | |||
Series 2018-1A Class A1, 3.04% 4/15/30 (a) | 1,102,512 | 1,105,698 | |
Series 2018-3A Class A1, 3.39% 1/15/31 (a) | 2,292,913 | 2,349,464 | |
Series 2019-1A Class A1, 2.94% 4/15/31 (a) | 2,334,181 | 2,370,583 | |
Series 2020-1A Class A1, 0.87% 8/16/32 (a) | 4,226,476 | 4,253,330 | |
Consumer Loan Underlying Bond Credit Trust: | |||
Series 2019-HP1 Class A, 2.59% 12/15/26 (a) | 3,999,901 | 4,039,482 | |
Series 2019-P1 Class A, 2.94% 7/15/26 (a) | 104,962 | 105,146 | |
Series 2019-P2 Class A, 2.47% 10/15/26 (a) | 659,027 | 660,800 | |
Series 2020-P1 Class A, 2.26% 3/15/28 (a) | 1,732,635 | 1,741,479 | |
Dell Equipment Finance Trust: | |||
Series 2019-2: | |||
Class A2, 1.95% 12/22/21 (a) | 1,032,025 | 1,034,757 | |
Class A3, 1.91% 10/22/24 (a) | 2,190,000 | 2,212,652 | |
Series 2020-2: | |||
Class A2, 0.47% 10/24/22 (a) | 3,665,000 | 3,670,165 | |
Class A3, 0.57% 10/23/23 (a) | 4,476,000 | 4,497,753 | |
Series 2021-1 Class A3, 0.43% 5/22/26 (a) | 3,966,000 | 3,973,802 | |
DLL Securitization Trust Series 2019-MT3 Class A3, 2.08% 2/21/23 (a) | 1,961,505 | 1,977,155 | |
Donlen Fleet Lease Funding Series 2021-2 Class A2, 0.56% 12/11/34 (a) | 6,077,000 | 6,086,125 | |
DT Auto Owner Trust Series 2019-4A Class A, 2.17% 5/15/23 (a) | 288,110 | 288,385 | |
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 1.2226% 4/15/31 (a)(b)(c) | 9,586,000 | 9,586,844 | |
Enterprise Fleet Financing LLC: | |||
Series 2019-1 Class A2, 2.98% 10/20/24 (a) | 1,213,709 | 1,225,906 | |
Series 2020-1 Class A2, 1.78% 12/22/25 (a) | 5,327,798 | 5,402,293 | |
Series 2020-2 Class A2, 0.61% 7/20/26 (a) | 9,300,000 | 9,336,055 | |
Series 2021-1 Class A2, 0.44% 12/21/26 (a) | 3,639,000 | 3,641,664 | |
Exeter Automobile Receivables Trust Series 2021-2A Class A3, 0.3% 10/15/24 | 3,534,000 | 3,533,607 | |
Finance of America HECM Buyout Series 2021-HB1 Class A, 0.8754% 2/25/31 (a)(b) | 2,415,663 | 2,417,166 | |
Ford Credit Auto Owner Trust: | |||
Series 2019-1 Class A, 3.52% 7/15/30 (a) | 4,783,000 | 5,165,270 | |
Series 2020-2 Class A, 1.06% 4/15/33 (a) | 14,774,000 | 14,823,935 | |
Ford Credit Floorplan Master Owner Trust Series 2020-1 Class A1, 0.7% 9/15/25 | 12,656,000 | 12,749,354 | |
GM Financial Automobile Leasing Trust Series 2020-3 Class A3, 0.45% 8/21/23 | 4,764,000 | 4,778,002 | |
GM Financial Consumer Automobile Receivables Trust Series 2020-4 Class A3, 0.38% 8/18/25 | 6,963,000 | 6,975,210 | |
GMF Floorplan Owner Revolving Trust: | |||
Series 2020-1 Class A, 0.68% 8/15/25 (a) | 3,438,000 | 3,458,373 | |
Series 2020-2 Class A, 0.69% 10/15/25 (a) | 7,860,000 | 7,909,715 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (a) | 1,214,423 | 1,218,831 | |
HPEFS Equipment Trust: | |||
Series 2020-1A Class A2, 1.73% 2/20/30 (a) | 2,457,915 | 2,468,461 | |
Series 2020-2A Class A2, 0.65% 7/22/30 (a) | 5,238,568 | 5,246,398 | |
Hyundai Auto Lease Securitization Trust Series 2021-A Class A3, 0.33% 1/16/24 (a) | 6,776,000 | 6,786,533 | |
Hyundai Auto Receivables Trust Series 2019-B Class A3, 1.94% 2/15/24 | 3,964,000 | 4,010,466 | |
Kubota Credit Owner Trust Series 2018-1A Class A3, 3.1% 8/15/22(a) | 1,062,469 | 1,068,200 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(b) | 2,311,000 | 2,369,288 | |
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, 3 month U.S. LIBOR + 1.000% 1.1879% 1/22/31 (a)(b)(c) | 8,045,000 | 8,038,725 | |
Marlette Funding Trust: | |||
Series 2019-4A Class A, 2.39% 12/17/29 (a) | 429,043 | 431,428 | |
Series 2020-1A Class A, 2.24% 3/15/30 (a) | 172,798 | 173,214 | |
Mercedes-Benz Auto Lease Trust Series 2020-B Class A3, 0.4% 11/15/23 | 3,679,000 | 3,687,442 | |
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (a) | 796,345 | 820,599 | |
MMAF Equipment Finance LLC Series 2019-B Class A3, 2.01% 12/12/24 (a) | 4,116,000 | 4,229,504 | |
Mortgage Repurchase Agreement Financing Trust: | |||
Series 2020-5 Class A1, 1 month U.S. LIBOR + 1.000% 1.0951% 8/10/23 (a)(b)(c) | 7,218,000 | 7,287,235 | |
Series 2021-1 Class A1, 1 month U.S. LIBOR + 0.500% 0.5951% 3/10/22 (a)(b)(c) | 8,684,000 | 8,685,745 | |
Nationstar HECM Loan Trust Series 2020-1A Class A1, 1.2686% 9/25/30 (a) | 4,066,713 | 4,062,020 | |
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, 3 month U.S. LIBOR + 0.800% 0% 5/20/29 (a)(b)(c) | 10,688,000 | 10,689,796 | |
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 1.3366% 1/25/36 (b)(c) | 95,094 | 95,442 | |
Prosper Marketplace Issuance Trust Series 2019-4A Class A, 2.48% 2/17/26 (a) | 67,283 | 67,421 | |
Provident Funding Mortgage Trust Series 2020-1 Class A3, 3% 2/25/50 (a) | 520,341 | 522,428 | |
Santander Drive Auto Receivables Trust Series 2021-2 Class A3, 0.34% 2/18/25 | 7,459,000 | 7,461,850 | |
Santander Retail Auto Lease Trust: | |||
Series 2020-B Class A3, 0.57% 4/22/24 (a) | 8,691,000 | 8,730,813 | |
Series 2021-A Class A3, 0.51% 7/22/24 (a) | 5,349,000 | 5,367,045 | |
Sapphire Aviation Finance Series 2020-1A Class A, 3.228% 3/15/40 (a) | 6,482,007 | 6,472,634 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (a) | 2,797,000 | 2,952,311 | |
1.884% 7/15/50 (a) | 1,204,000 | 1,226,949 | |
SLAM Ltd. / SLAM LLC Series 2021-1A Class A, 2.434% 6/15/46 (a) | 10,000,000 | 9,999,674 | |
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (a) | 1,097,518 | 1,105,241 | |
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 1.1159% 11/18/30 (a)(b)(c) | 10,490,000 | 10,487,367 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 0.9516% 9/25/34 (b)(c) | 2,132 | 1,990 | |
Tesla Series 2020-A: | |||
Class A2, 0.55% 5/22/23 (a) | 2,250,154 | 2,254,040 | |
Class A3, 0.68% 12/20/23 (a) | 3,588,000 | 3,607,086 | |
Tesla Auto Lease Trust Series 2019-A Class A2, 2.13% 4/20/22 (a) | 2,918,977 | 2,933,958 | |
Toyota Auto Loan Extended Note Trust Series 2020-1A Class A, 1.35% 5/25/33 (a) | 3,961,000 | 4,045,460 | |
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 0.7543% 4/6/42 (a)(b)(c) | 304,000 | 205,116 | |
Upstart Securitization Trust: | |||
Series 2021-1 Class A, 0.87% 3/20/31 (a) | 459,428 | 460,150 | |
Series 2021-2 Class A, 0.91% 6/20/31 (a) | 5,828,000 | 5,835,531 | |
VCAT Asset Securitization, LLC: | |||
Series 2021-NPL1 Class A1, 2.2891% 12/26/50 (a) | 3,011,666 | 3,018,880 | |
Series 2021-NPL2 Class A1, 2.115% 3/27/51 (a) | 9,374,908 | 9,380,269 | |
Series 2021-NPL3 Class A1, 1.991% 5/25/51 (a)(b) | 11,199,000 | 11,198,879 | |
Verizon Master Trust Series 2021-1: | |||
Class A, 0.5% 5/20/27 | 7,466,000 | 7,474,867 | |
Class B, 0.69% 5/20/27 | 8,000,000 | 8,009,566 | |
Verizon Owner Trust Series 2020-A Class A1A, 1.85% 7/22/24 | 6,472,000 | 6,594,829 | |
Volvo Financial Equipment LLC: | |||
Series 2019-1A Class A3, 3% 3/15/23 (a) | 1,461,224 | 1,475,917 | |
Series 2019-2A Class A3, 2.04% 11/15/23 (a) | 3,127,000 | 3,170,413 | |
Voya CLO Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 0.950% 0.95% 4/17/30 (a)(b)(c) | 10,000,000 | 10,001,020 | |
World Omni Auto Receivables Trust Series 2020-A Class A2A, 1.02% 6/15/23 | 1,844,922 | 1,848,787 | |
World Omni Automobile Lease Securitization Trust: | |||
Series 2019-A Class A3, 2.94% 5/16/22 | 834,141 | 837,096 | |
Series 2020-B Class A3, 0.45% 2/15/24 | 4,956,000 | 4,975,026 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $426,569,610) | 428,898,714 | ||
Collateralized Mortgage Obligations - 2.4% | |||
Private Sponsor - 1.5% | |||
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (a)(b) | 2,457,429 | 2,460,597 | |
BRAVO Residential Funding Trust sequential payer Series 2020-RPL2 Class A1, 2% 5/25/59 (a) | 5,401,844 | 5,511,464 | |
Cascade Funding Mortgage Trust Series 2021-HB5 Class A, 0.8006% 2/25/31 (a) | 3,019,948 | 3,018,542 | |
CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (a) | 2,225,943 | 2,228,342 | |
CSAIL Commercial Mortgage Trust Series 2015-C2 Class ASB, 3.2241% 6/15/57 | 1,817,412 | 1,901,245 | |
CSMC Trust sequential payer Series 2020-RPL4 Class A1, 2% 1/25/60 (a) | 1,562,942 | 1,586,642 | |
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.597% 8/25/60 (a)(b)(c) | 762,844 | 763,537 | |
Lanark Master Issuer PLC: | |||
floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 0.9201% 12/22/69 (a)(b)(c) | 846,500 | 847,592 | |
Series 2019-2A Class 1A, 2.71% 12/22/69 (a)(b) | 5,532,000 | 5,648,565 | |
Mortgage Repurchase Agreement Financing Trust: | |||
floater Series 2020-3 Class A1, 1 month U.S. LIBOR + 1.250% 1.3451% 1/23/23 (a)(b)(c) | 1,563,000 | 1,570,591 | |
Series 2020-4 Class A1, 1 month U.S. LIBOR + 1.350% 1.4451% 4/23/23 (a)(b)(c) | 7,422,000 | 7,443,078 | |
Nationstar HECM Loan Trust sequential payer Series 2019-2A Class A, 2.2722% 11/25/29 (a) | 716,798 | 718,119 | |
New Residential Mortgage Loan Trust Series 2019-5A Class A1B, 3.5% 8/25/59 (a) | 2,198,343 | 2,302,649 | |
Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (a) | 5,463,461 | 5,551,267 | |
Permanent Master Issuer PLC floater Series-1A Class 1A1, 3 month U.S. LIBOR + 0.550% 0.7338% 7/15/58 (a)(b)(c) | 1,138,000 | 1,138,830 | |
Preston Ridge Partners Mortgage Trust Series 2021-2 Class A1, 2.115% 3/25/26 (a) | 4,527,006 | 4,522,896 | |
Provident Funding Mortgage Trust sequential payer Series 2019-1 Class A3, 3% 12/25/49 (a) | 62,924 | 62,876 | |
RMF Buyout Issuance Trust sequential payer Series 2020-2 Class A, 1.7063% 6/25/30 (a) | 6,896,861 | 6,915,638 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.14% 7/20/34 (b)(c) | 721 | 706 | |
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 0.756% 1/21/70 (a)(b)(c) | 3,908,425 | 3,913,346 | |
TOTAL PRIVATE SPONSOR | 58,106,522 | ||
U.S. Government Agency - 0.9% | |||
Fannie Mae: | |||
planned amortization class: | |||
Series 2015-28 Class P, 2.5% 5/25/45 | 2,542,968 | 2,661,959 | |
Series 2019-33 Class N, 3% 3/25/48 | 10,782,897 | 11,304,286 | |
Series 2015-28 Class JE, 3% 5/25/45 | 1,850,458 | 1,961,965 | |
Series 2018-3 Class LP, 3% 2/25/47 | 7,920,534 | 8,271,484 | |
Series 2019-59 Class AB, 2.5% 10/25/39 | 3,267,327 | 3,412,937 | |
Freddie Mac: | |||
planned amortization class Series 2019-4903 Class DA, 3% 10/25/48 | 4,757,558 | 5,008,075 | |
sequential payer Series 4873 Class CA, 4% 7/15/47 | 3,929,708 | 4,146,798 | |
Series 3949 Class MK, 4.5% 10/15/34 | 73,768 | 81,197 | |
Series 4472 Class WL, 3% 5/15/45 | 840,243 | 892,312 | |
TOTAL U.S. GOVERNMENT AGENCY | 37,741,013 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $94,437,862) | 95,847,535 | ||
Commercial Mortgage Securities - 7.9% | |||
BAMLL Commercial Mortgage Securities Trust sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (a) | 1,767,000 | 1,836,360 | |
BANK Series 2021-BN33 Class XA, 1.1766% 5/15/64 (b)(e) | 20,657,000 | 1,704,331 | |
Bank of America Commercial Mortgage Trust sequential payer Series 2015-UBS7 Class ASB, 3.429% 9/15/48 | 9,478,351 | 10,082,019 | |
Benchmark Mortgage Trust: | |||
sequential payer Series 2018-B2 Class A2, 3.6623% 2/15/51 | 5,621,000 | 5,855,043 | |
Series 2019-B14 Class XA, 0.7858% 12/15/62 (b)(e) | 24,794,514 | 1,174,635 | |
Series 2020-B17 Class XA, 1.4192% 3/15/53 (b)(e) | 49,490,281 | 4,336,512 | |
BX Commercial Mortgage Trust: | |||
floater Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 0.7623% 5/15/38 (a)(b)(c) | 4,000,000 | 3,996,396 | |
floater sequential payer Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.901% 12/15/36 (a)(b)(c) | 2,995,769 | 2,999,519 | |
BX Trust: | |||
floater sequential payer Series 2021-MFM1 Class A, 1 month U.S. LIBOR + 0.700% 0.8009% 1/15/34 (a)(b)(c) | 2,100,000 | 2,100,000 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.101% 4/15/34 (a)(b)(c) | 614,000 | 612,829 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.021% 10/15/36 (a)(b)(c) | 6,227,897 | 6,234,776 | |
CF Hippolyta Issuer LLC sequential payer: | |||
Series 2020-1 Class A1, 1.69% 7/15/60 (a) | 7,029,000 | 7,166,900 | |
Series 2021-1A Class A1, 1.53% 3/15/61 (a) | 5,655,000 | 5,709,273 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB Class A, 1 month U.S. LIBOR + 0.950% 1.0509% 11/15/36 (a)(b)(c) | 1,313,000 | 1,313,397 | |
CGMS Commercial Mortgage Trust Series 2017-MDRA Class A, 3.656% 7/10/30 (a) | 10,000,000 | 10,102,131 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.221% 6/15/34 (a)(b)(c) | 4,634,503 | 4,635,903 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2012-GC8: | |||
Class A/S, 3.683% 9/10/45 (a) | 6,670,000 | 6,859,044 | |
Class A4, 3.024% 9/10/45 | 2,179,345 | 2,214,265 | |
Series 2014-GC21 Class AAB, 3.477% 5/10/47 | 998,943 | 1,043,441 | |
Series 2016-GC36 Class AAB, 3.368% 2/10/49 | 2,360,629 | 2,496,128 | |
Series 2017-P7 Class A2, 3.212% 4/14/50 | 2,399,000 | 2,422,976 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2012-CR3 Class A3, 2.822% 10/15/45 | 1,281,023 | 1,304,649 | |
Series 2012-LC4 Class A4, 3.288% 12/10/44 | 5,380,469 | 5,420,887 | |
Series 2013-CR7: | |||
Class A4, 3.213% 3/10/46 | 2,666,224 | 2,774,830 | |
Class AM, 3.314% 3/10/46 (a) | 1,343,000 | 1,398,685 | |
Series 2015-CR22 Class ASB, 3.144% 3/10/48 | 1,531,317 | 1,601,516 | |
Series 2015-CR23 Class ASB, 3.257% 5/10/48 | 1,245,634 | 1,306,562 | |
Series 2013-CR13 Class AM, 4.449% 11/10/46 | 2,731,000 | 2,950,934 | |
Series 2013-LC6 Class ASB, 2.478% 1/10/46 | 1,903,539 | 1,929,733 | |
Series 2015-CR22 Class A2, 2.856% 3/10/48 | 225,243 | 225,234 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 1.081% 5/15/36 (a)(b)(c) | 5,000,000 | 5,010,618 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (a) | 2,198,000 | 2,271,027 | |
Series 2018-SITE Class A, 4.284% 4/15/36 (a) | 1,635,000 | 1,702,285 | |
CSAIL Commercial Mortgage Trust sequential payer: | |||
Series 19-C15 Class A2, 3.4505% 3/15/52 | 3,304,000 | 3,501,241 | |
Series 2015-C3 Class A4, 3.7182% 8/15/48 | 3,143,000 | 3,452,132 | |
GS Mortgage Securities Trust: | |||
sequential payer: | |||
Series 2012-GC6: | |||
Class A/S, 4.948% 1/10/45 (a) | 8,649,312 | 8,777,458 | |
Class A3, 3.482% 1/10/45 | 2,283,758 | 2,297,401 | |
Series 2012-GCJ7: | |||
Class A/S, 4.085% 5/10/45 | 4,762,000 | 4,866,002 | |
Class A4, 3.377% 5/10/45 | 1,224,225 | 1,229,802 | |
Series 2012-GCJ9 Class A3, 2.773% 11/10/45 | 4,628,218 | 4,736,577 | |
Series 2013-GC10 Class A5, 2.943% 2/10/46 | 5,531,000 | 5,716,447 | |
Series 2014-GC18 Class AAB, 3.648% 1/10/47 | 375,742 | 389,319 | |
Series 2014-GC20 Class AAB, 3.655% 4/10/47 | 440,523 | 460,242 | |
Series 2014-GC26 Class AAB, 3.365% 11/10/47 | 2,352,034 | 2,462,041 | |
Series 2015-GC28 Class AAB, 3.206% 2/10/48 | 1,633,911 | 1,704,916 | |
Series 2015-GC30 Class A4, 3.382% 5/10/50 | 3,541,000 | 3,840,912 | |
Series 2011-GC5 Class A/S, 5.209% 8/10/44 (a) | 6,799,000 | 6,797,693 | |
Series 2012-GCJ9 Class A/S, 3.124% 11/10/45 | 4,022,000 | 4,136,945 | |
Series 2013-GC13 Class A/S, 4.084% 7/10/46 (a)(b) | 9,739,000 | 10,349,133 | |
Series 2013-GC16 Class A/S, 4.649% 11/10/46 | 1,900,000 | 2,053,104 | |
Series 2015-GC32 Class A2, 3.062% 7/10/48 | 248,337 | 248,349 | |
JP Morgan Chase Commercial Mortgage Securities Trust Series 2015-JP1 Class A2, 3.1438% 1/15/49 | 68,706 | 68,701 | |
JPMBB Commercial Mortgage Securities Trust: | |||
sequential payer: | |||
Series 2013-C17 Class ASB, 3.705% 1/15/47 | 461,339 | 481,675 | |
Series 2014-C22 Class A4, 3.8012% 9/15/47 | 4,450,000 | 4,832,611 | |
Series 2014-C25 Class ASB, 3.4074% 11/15/47 | 1,277,505 | 1,340,480 | |
Series 2013-C17 Class A/S, 4.4584% 1/15/47 | 6,642,000 | 7,165,597 | |
JPMCC Commercial Mortgage Securities Trust sequential payer Series 2016-JP4 Class A2, 2.9838% 12/15/49 | 1,870,568 | 1,887,639 | |
JPMorgan Chase Commercial Mortgage Securities Corp.: | |||
Series 2012-C6 Class A/S, 4.1166% 5/15/45 | 2,097,000 | 2,149,849 | |
Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (a) | 5,520,000 | 5,668,834 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.101% 9/15/29 (a)(b)(c) | 2,478,000 | 2,481,565 | |
sequential payer: | |||
Series 2012-C8 Class A3, 2.8291% 10/15/45 | 2,440,750 | 2,496,743 | |
Series 2014-C20 Class A3A1, 3.4718% 7/15/47 | 2,981 | 2,980 | |
Series 2012-C8 Class A/S, 3.4239% 10/15/45 (a) | 2,044,000 | 2,099,854 | |
Series 2013-C10 Class A5, 3.1425% 12/15/47 | 4,747,844 | 4,920,844 | |
Series 2013-C13 Class A4, 3.9936% 1/15/46 (b) | 1,421,304 | 1,511,947 | |
Series 2013-C16 Class A/S, 4.5169% 12/15/46 | 8,570,171 | 9,229,807 | |
Series 2018-WPT Class AFX, 4.2475% 7/5/33 (a) | 2,708,000 | 2,860,926 | |
LIFE Mortgage Trust floater Series 2021-BMR Class A, 1 month U.S. LIBOR + 0.700% 0.801% 3/15/38 (a)(b)(c) | 4,067,000 | 4,069,552 | |
Merit floater Series 2020-HILL Class A, 1 month U.S. LIBOR + 1.150% 1.251% 8/15/37 (a)(b)(c) | 911,000 | 914,935 | |
Morgan Stanley BAML Trust: | |||
sequential payer: | |||
Series 2012-C6 Class A4, 2.858% 11/15/45 | 3,928,179 | 4,011,962 | |
Series 2013-C11 Class A4, 4.1515% 8/15/46 (b) | 1,443,000 | 1,516,625 | |
Series 2014-C15 Class ASB, 3.654% 4/15/47 | 1,022,860 | 1,064,635 | |
Series 2014-C19 Class ASB, 3.326% 12/15/47 | 8,015,431 | 8,379,671 | |
Series 2016-C28 Class A3, 3.272% 1/15/49 | 1,826,497 | 1,944,441 | |
Series 2014-C17 Class ASB, 3.477% 8/15/47 | 2,440,844 | 2,549,103 | |
Series 2015-C22 Class ASB, 3.04% 4/15/48 | 936,980 | 977,353 | |
Morgan Stanley Capital I Trust: | |||
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (a) | 3,837,000 | 4,039,204 | |
Series 2011-C3 Class AJ, 5.2155% 7/15/49 (a)(b) | 1,669,678 | 1,674,626 | |
UBS-Barclays Commercial Mortgage Trust: | |||
floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.8881% 4/10/46 (a)(b)(c) | 3,491,858 | 3,482,056 | |
sequential payer Series 2012-C2 Class A4, 3.525% 5/10/63 | 2,703,000 | 2,762,351 | |
Series 2012-C2 Class ASEC, 4.179% 5/10/63 (a) | 2,974,216 | 3,063,873 | |
Series 2012-C3 Class A/S, 3.814% 8/10/49 (a) | 3,319,000 | 3,428,258 | |
Wells Fargo Commercial Mortgag Trust sequential payer Series 2015-NXS3 Class ASB, 3.371% 9/15/57 | 884,401 | 940,835 | |
Wells Fargo Commercial Mortgage Trust sequential payer: | |||
Series 2012-LC5 Class A3, 2.918% 10/15/45 | 4,105,866 | 4,199,453 | |
Series 2015-C27 Class ASB, 3.278% 2/15/48 | 2,343,495 | 2,459,151 | |
Series 2015-LC22 Class ASB, 3.571% 9/15/58 | 5,440,905 | 5,788,015 | |
Series 2017-RC1 Class ASB, 3.453% 1/15/60 | 3,858,000 | 4,129,191 | |
Wells Fargo Commercial Mtg Trust 2016-C sequential payer Series 2016-C37 Class A1, 3.103% 12/15/49 | 2,007,333 | 2,018,831 | |
WF-RBS Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2012-C9 Class A3, 2.87% 11/15/45 | 3,875,867 | 3,970,760 | |
Series 2013-C11 Class A5, 3.071% 3/15/45 | 5,892,947 | 6,079,718 | |
Series 2013-C12 Class ASB, 2.838% 3/15/48 | 1,179,587 | 1,202,782 | |
Series 2013-C14 Class A5, 3.337% 6/15/46 | 7,196,000 | 7,557,730 | |
Series 2013-C16 Class ASB, 3.963% 9/15/46 | 539,757 | 560,570 | |
Series 2014-C22 Class ASB, 3.464% 9/15/57 | 3,637,665 | 3,799,551 | |
Series 2013-C11 Class ASB, 2.63% 3/15/45 | 445,134 | 452,630 | |
Series 2013-C12 Class A4, 3.198% 3/15/48 | 1,500,378 | 1,548,072 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $316,401,441) | 317,598,538 | ||
Municipal Securities - 0.4% | |||
California Gen. Oblig. Series 2019, 2.4% 10/1/25 | 4,420,000 | 4,735,059 | |
Illinois Gen. Oblig. Series 2003, 4.95% 6/1/23 | 1,875,545 | 1,940,548 | |
New York City Transitional Fin. Auth. Rev. Series 2017 E, 2.85% 2/1/24 | 1,320,000 | 1,401,936 | |
New York Urban Dev. Corp. Rev. Series 2017 D, 2.7% 3/15/23 | 6,100,000 | 6,346,705 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $13,768,967) | 14,424,248 | ||
Foreign Government and Government Agency Obligations - 0.1% | |||
United Mexican States 3.25% 4/16/30 (Cost $3,508,411) | $3,525,000 | $3,639,122 | |
Bank Notes - 1.2% | |||
BBVA U.S.A. 2.875% 6/29/22 | 8,287,000 | 8,500,788 | |
Capital One NA 2.15% 9/6/22 | 1,762,000 | 1,800,642 | |
CIT Bank NA 2.969% 9/27/25 (b) | 6,655,000 | 6,971,113 | |
Citibank NA 3.65% 1/23/24 | 5,000,000 | 5,417,884 | |
Discover Bank 3.35% 2/6/23 | 7,557,000 | 7,909,314 | |
First Republic Bank 1.912% 2/12/24 (b) | 2,692,000 | 2,753,056 | |
RBS Citizens NA: | |||
2.25% 4/28/25 | $4,046,000 | $4,231,734 | |
2.65% 5/26/22 | 3,000,000 | 3,065,150 | |
Truist Bank 1.5% 3/10/25 | 7,000,000 | 7,175,057 | |
TOTAL BANK NOTES | |||
(Cost $46,187,470) | 47,824,738 | ||
Commercial Paper - 0.2% | |||
HSBC U.S.A., Inc. yankee: | |||
0.4% 10/5/21 | 5,000,000 | 4,995,360 | |
0.4% 2/9/22 | 4,000,000 | 3,990,177 | |
TOTAL COMMERCIAL PAPER | |||
(Cost $8,981,756) | 8,985,537 | ||
Shares | Value | ||
Fixed-Income Funds - 0.0% | |||
Fidelity Specialized High Income Central Fund (f) | |||
(Cost $40,781) | 410 | 40,688 | |
Money Market Funds - 0.6% | |||
Fidelity Cash Central Fund 0.03% (g) | |||
(Cost $23,630,311) | 23,625,586 | 23,630,311 | |
TOTAL INVESTMENT IN SECURITIES - 101.2% | |||
(Cost $3,990,394,509) | 4,053,918,217 | ||
NET OTHER ASSETS (LIABILITIES) - (1.2)% | (48,993,720) | ||
NET ASSETS - 100% | $4,004,924,497 |
Legend
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,082,122,644 or 27.0% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(e) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(f) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-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.
(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $110,127 |
Fidelity Securities Lending Cash Central Fund | 18,581 |
Fidelity Specialized High Income Central Fund | 644,590 |
Total | $773,298 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds. Amount 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.
Fiscal year to date information regarding the Funds investments in non-Money Market Central Funds, including the ownership percentage, is presented below.
Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Specialized High Income Central Fund | $16,901,423 | $644,581 | $17,414,333 | $1,405,007 | $(1,495,990) | $40,688 | 0.0% |
Total | $16,901,423 | $644,581 | $17,414,333 | $1,405,007 | $(1,495,990) | $40,688 |
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Funds valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - 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). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities, U.S. government and government agency obligations and commercial paper are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.
When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
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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