NPORT-EX 2 QTLY_1619_20200331.htm

Quarterly Holdings Report
for

Fidelity® VIP Investment Grade Central Fund

March 31, 2020







VIGC-QTLY-0520
1.847666.113





Schedule of Investments March 31, 2020 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 41.3%   
 Principal Amount Value 
COMMUNICATION SERVICES - 3.8%   
Diversified Telecommunication Services - 1.5%   
AT&T, Inc.:   
2.45% 6/30/20 $3,187,000 $3,185,106 
2.95% 7/15/26 12,000,000 11,804,527 
3.6% 2/17/23 6,270,000 6,454,649 
4.1% 2/15/28 1,423,000 1,494,458 
4.3% 2/15/30 2,799,000 3,012,623 
4.45% 4/1/24 480,000 508,442 
4.5% 3/9/48 13,000,000 14,108,374 
4.75% 5/15/46 15,700,000 17,435,875 
Verizon Communications, Inc.:   
3% 3/22/27 1,295,000 1,362,770 
3.15% 3/22/30 6,416,000 6,899,612 
4% 3/22/50 2,150,000 2,551,634 
4.862% 8/21/46 7,441,000 9,702,378 
5.012% 4/15/49 2,962,000 3,996,069 
5.5% 3/16/47 7,027,000 9,633,179 
  92,149,696 
Entertainment - 0.7%   
NBCUniversal, Inc.:   
4.45% 1/15/43 2,012,000 2,552,637 
5.95% 4/1/41 1,407,000 1,944,148 
The Walt Disney Co.:   
3.8% 3/22/30 23,020,000 25,883,251 
4.7% 3/23/50 7,268,000 9,413,121 
  39,793,157 
Media - 1.6%   
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 5,742,000 5,930,934 
4.908% 7/23/25 3,860,000 4,158,302 
5.375% 5/1/47 18,172,000 19,636,440 
6.484% 10/23/45 2,744,000 3,354,831 
Comcast Corp.:   
3.1% 4/1/25 593,000 627,001 
3.3% 4/1/27 1,600,000 1,703,501 
3.4% 4/1/30 1,642,000 1,778,902 
3.75% 4/1/40 576,000 636,591 
3.9% 3/1/38 1,072,000 1,205,078 
4.6% 8/15/45 2,841,000 3,624,803 
4.65% 7/15/42 2,539,000 3,228,034 
Fox Corp.:   
3.666% 1/25/22 721,000 736,365 
4.03% 1/25/24 1,268,000 1,317,392 
4.709% 1/25/29 1,835,000 2,012,980 
5.476% 1/25/39 1,809,000 2,098,389 
5.576% 1/25/49 1,201,000 1,438,175 
Time Warner Cable, Inc.:   
4% 9/1/21 7,363,000 7,376,590 
4.5% 9/15/42 924,000 868,577 
5.5% 9/1/41 1,700,000 1,777,602 
5.875% 11/15/40 1,500,000 1,580,626 
6.55% 5/1/37 20,209,000 22,691,176 
7.3% 7/1/38 3,781,000 4,644,448 
  92,426,737 
TOTAL COMMUNICATION SERVICES  224,369,590 
CONSUMER DISCRETIONARY - 1.8%   
Automobiles - 0.5%   
General Motors Financial Co., Inc.:   
3.2% 7/13/20 10,000,000 9,970,831 
4.2% 3/1/21 5,411,000 5,207,546 
4.25% 5/15/23 2,080,000 1,880,797 
4.375% 9/25/21 15,702,000 14,455,283 
  31,514,457 
Diversified Consumer Services - 0.1%   
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 2,932,000 3,187,500 
Hotels, Restaurants & Leisure - 0.1%   
McDonald's Corp.:   
3.3% 7/1/25 592,000 612,808 
3.5% 7/1/27 1,685,000 1,777,121 
3.6% 7/1/30 2,005,000 2,099,838 
4.2% 4/1/50 1,015,000 1,124,548 
  5,614,315 
Leisure Products - 0.1%   
Hasbro, Inc.:   
2.6% 11/19/22 1,931,000 1,904,934 
3% 11/19/24 4,395,000 4,104,051 
  6,008,985 
Multiline Retail - 0.0%   
Target Corp.:   
2.25% 4/15/25 1,645,000 1,670,064 
2.65% 9/15/30 1,425,000 1,459,065 
  3,129,129 
Specialty Retail - 0.8%   
AutoZone, Inc.:   
3.625% 4/15/25 1,142,000 1,157,848 
4% 4/15/30 5,311,000 5,420,178 
Lowe's Companies, Inc.:   
4% 4/15/25 1,571,000 1,679,390 
4.5% 4/15/30 3,815,000 4,209,282 
5% 4/15/40 2,443,000 2,764,594 
5.125% 4/15/50 2,866,000 3,452,202 
O'Reilly Automotive, Inc. 4.2% 4/1/30 1,177,000 1,218,910 
The Home Depot, Inc.:   
2.5% 4/15/27 754,000 761,522 
2.7% 4/15/30 2,690,000 2,741,476 
3.3% 4/15/40 3,351,000 3,436,678 
3.35% 4/15/50 2,514,000 2,733,618 
TJX Companies, Inc.:   
3.5% 4/15/25 1,862,000 1,904,476 
3.75% 4/15/27 4,337,000 4,453,492 
3.875% 4/15/30 8,057,000 8,336,965 
4.5% 4/15/50 3,258,000 3,491,853 
  47,762,484 
Textiles, Apparel & Luxury Goods - 0.2%   
NIKE, Inc.:   
2.4% 3/27/25 698,000 723,560 
2.75% 3/27/27 1,571,000 1,641,640 
2.85% 3/27/30 4,661,000 4,926,766 
3.25% 3/27/40 2,409,000 2,515,340 
3.375% 3/27/50 1,891,000 2,072,371 
  11,879,677 
TOTAL CONSUMER DISCRETIONARY  109,096,547 
CONSUMER STAPLES - 3.5%   
Beverages - 1.9%   
Anheuser-Busch InBev Finance, Inc.:   
4.7% 2/1/36 9,265,000 9,539,369 
4.9% 2/1/46 11,511,000 11,931,998 
Anheuser-Busch InBev Worldwide, Inc.:   
4.75% 4/15/58 5,750,000 5,905,912 
5.45% 1/23/39 4,690,000 5,459,958 
5.55% 1/23/49 10,715,000 12,610,087 
5.8% 1/23/59 (Reg. S) 11,321,000 13,866,970 
Molson Coors Beverage Co.:   
3% 7/15/26 7,500,000 7,044,912 
5% 5/1/42 13,093,000 12,706,932 
PepsiCo, Inc.:   
2.625% 3/19/27 659,000 688,452 
2.75% 3/19/30 4,300,000 4,594,926 
3.5% 3/19/40 2,216,000 2,491,362 
3.625% 3/19/50 4,300,000 5,102,821 
3.875% 3/19/60 1,757,000 2,208,033 
The Coca-Cola Co.:   
3.375% 3/25/27 5,679,000 6,269,894 
3.45% 3/25/30 3,470,000 3,924,518 
4.125% 3/25/40 1,967,000 2,423,362 
4.2% 3/25/50 3,643,000 4,773,051 
  111,542,557 
Food & Staples Retailing - 0.1%   
Walgreens Boots Alliance, Inc. 3.3% 11/18/21 2,918,000 2,960,178 
Food Products - 0.1%   
Archer Daniels Midland Co.:   
2.75% 3/27/25 987,000 1,007,497 
3.25% 3/27/30 1,642,000 1,739,468 
Conagra Brands, Inc. 3.8% 10/22/21 1,121,000 1,129,735 
General Mills, Inc. 2.875% 4/15/30 718,000 716,564 
  4,593,264 
Household Products - 0.1%   
Kimberly-Clark Corp. 3.1% 3/26/30 415,000 445,639 
Procter & Gamble Co.:   
2.8% 3/25/27 831,000 906,167 
3% 3/25/30 1,992,000 2,211,200 
3.55% 3/25/40 1,436,000 1,674,759 
3.6% 3/25/50 1,393,000 1,718,269 
  6,956,034 
Tobacco - 1.3%   
Altria Group, Inc.:   
3.875% 9/16/46 4,590,000 4,148,774 
4% 1/31/24 2,227,000 2,278,879 
4.25% 8/9/42 5,531,000 5,501,465 
4.5% 5/2/43 3,707,000 3,512,985 
4.8% 2/14/29 5,504,000 5,758,984 
5.375% 1/31/44 6,678,000 7,407,385 
5.95% 2/14/49 3,700,000 4,304,854 
Imperial Tobacco Finance PLC:   
3.75% 7/21/22 (a) 4,804,000 4,801,959 
4.25% 7/21/25 (a) 15,488,000 15,069,590 
Reynolds American, Inc.:   
3.25% 6/12/20 939,000 936,183 
4% 6/12/22 3,228,000 3,269,074 
4.45% 6/12/25 2,341,000 2,383,956 
5.7% 8/15/35 1,215,000 1,337,774 
5.85% 8/15/45 9,320,000 10,022,069 
6.15% 9/15/43 4,000,000 4,342,967 
7.25% 6/15/37 2,962,000 3,516,768 
  78,593,666 
TOTAL CONSUMER STAPLES  204,645,699 
ENERGY - 4.4%   
Energy Equipment & Services - 0.1%   
El Paso Pipeline Partners Operating Co. LLC 5% 10/1/21 1,517,000 1,484,687 
Halliburton Co.:   
3.8% 11/15/25 151,000 134,018 
4.85% 11/15/35 2,154,000 1,671,951 
Noble Holding International Ltd.:   
7.95% 4/1/25 (b) 2,180,000 239,800 
8.95% 4/1/45 (b) 2,104,000 105,200 
  3,635,656 
Oil, Gas & Consumable Fuels - 4.3%   
Amerada Hess Corp.:   
7.125% 3/15/33 1,003,000 806,878 
7.3% 8/15/31 1,341,000 1,148,742 
7.875% 10/1/29 4,387,000 3,536,206 
Canadian Natural Resources Ltd.:   
3.8% 4/15/24 6,783,000 5,801,324 
5.85% 2/1/35 2,497,000 1,925,763 
Cenovus Energy, Inc. 4.25% 4/15/27 6,400,000 3,137,226 
Columbia Pipeline Group, Inc.:   
3.3% 6/1/20 4,379,000 4,361,214 
4.5% 6/1/25 1,336,000 1,316,458 
DCP Midstream LLC 4.75% 9/30/21 (a) 3,739,000 3,271,999 
DCP Midstream Operating LP:   
3.875% 3/15/23 1,771,000 1,416,269 
5.6% 4/1/44 1,227,000 543,168 
Duke Energy Field Services 6.45% 11/3/36 (a) 2,477,000 1,188,217 
Empresa Nacional de Petroleo 4.375% 10/30/24 (a) 3,540,000 3,433,800 
Enable Midstream Partners LP 3.9% 5/15/24 (b) 1,322,000 733,624 
Enbridge Energy Partners LP 4.2% 9/15/21 4,399,000 4,336,144 
Enbridge, Inc.:   
4% 10/1/23 2,813,000 2,677,054 
4.25% 12/1/26 1,773,000 1,805,756 
Energy Transfer Partners LP:   
3.75% 5/15/30 2,315,000 1,813,213 
4.2% 9/15/23 1,186,000 1,035,915 
4.25% 3/15/23 1,017,000 910,845 
4.5% 4/15/24 1,262,000 1,125,743 
4.95% 6/15/28 4,048,000 3,351,306 
5% 5/15/50 5,176,000 3,995,471 
5.25% 4/15/29 2,052,000 1,737,605 
5.8% 6/15/38 2,257,000 1,958,081 
6% 6/15/48 1,470,000 1,234,284 
6.25% 4/15/49 1,409,000 1,192,451 
Enterprise Products Operating LP:   
3.7% 2/15/26 4,800,000 4,790,810 
3.75% 2/15/25 2,900,000 2,884,326 
Exxon Mobil Corp. 3.482% 3/19/30 13,440,000 14,893,098 
Hess Corp. 4.3% 4/1/27 870,000 643,512 
Kinder Morgan Energy Partners LP:   
3.45% 2/15/23 1,700,000 1,661,436 
6.55% 9/15/40 460,000 495,071 
Kinder Morgan, Inc. 5.55% 6/1/45 2,436,000 2,500,901 
Marathon Petroleum Corp. 5.125% 3/1/21 2,187,000 2,120,428 
MPLX LP:   
3 month U.S. LIBOR + 0.900% 1.8989% 9/9/21 (b)(c) 1,583,000 1,495,832 
3 month U.S. LIBOR + 1.100% 2.0989% 9/9/22 (b)(c) 2,383,000 2,217,091 
4.5% 7/15/23 1,975,000 1,699,635 
4.8% 2/15/29 1,126,000 992,526 
4.875% 12/1/24 2,736,000 2,395,250 
5.5% 2/15/49 3,377,000 2,851,025 
Occidental Petroleum Corp.:   
2.6% 8/13/21 1,544,000 1,235,529 
2.7% 8/15/22 1,364,000 971,890 
2.9% 8/15/24 4,509,000 2,457,405 
3.2% 8/15/26 607,000 296,223 
3.5% 8/15/29 1,909,000 897,326 
4.3% 8/15/39 278,000 118,205 
4.4% 8/15/49 279,000 120,638 
4.85% 3/15/21 1,620,000 1,357,077 
5.55% 3/15/26 5,174,000 2,759,359 
6.2% 3/15/40 1,700,000 774,831 
6.45% 9/15/36 4,602,000 2,200,965 
6.6% 3/15/46 5,708,000 2,690,167 
7.5% 5/1/31 7,680,000 3,975,671 
Petrobras Global Finance BV:   
5.093% 1/15/30 (a) 3,804,000 3,442,620 
7.25% 3/17/44 24,245,000 24,321,221 
Petroleos Mexicanos:   
4.5% 1/23/26 5,320,000 3,862,054 
5.95% 1/28/31 (a) 1,521,000 1,045,840 
6.35% 2/12/48 13,200,000 8,250,000 
6.49% 1/23/27 (a) 3,830,000 2,824,625 
6.5% 3/13/27 4,830,000 3,550,805 
6.5% 1/23/29 5,560,000 4,000,281 
6.75% 9/21/47 12,105,000 7,928,775 
6.84% 1/23/30 (a) 20,585,000 14,893,659 
6.95% 1/28/60 (a) 7,879,000 5,219,838 
7.69% 1/23/50 (a) 16,210,000 11,103,850 
Plains All American Pipeline LP/PAA Finance Corp.:   
3.55% 12/15/29 1,322,000 903,206 
3.6% 11/1/24 1,389,000 1,142,296 
3.65% 6/1/22 2,155,000 1,969,157 
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 2,030,000 1,906,836 
Southwestern Energy Co. 6.2% 1/23/25 (b) 2,509,000 1,708,504 
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 1,349,000 1,071,081 
The Williams Companies, Inc.:   
3.7% 1/15/23 1,208,000 1,116,792 
4.55% 6/24/24 13,337,000 12,153,276 
Western Gas Partners LP:   
3.95% 6/1/25 868,000 445,752 
4.5% 3/1/28 2,000,000 970,403 
4.65% 7/1/26 9,056,000 4,613,290 
4.75% 8/15/28 1,155,000 549,859 
Williams Partners LP:   
3.6% 3/15/22 3,522,000 3,413,697 
3.9% 1/15/25 1,216,000 1,090,343 
4% 11/15/21 2,221,000 2,106,949 
4.3% 3/4/24 5,449,000 4,951,184 
4.5% 11/15/23 1,751,000 1,641,807 
  253,488,983 
TOTAL ENERGY  257,124,639 
FINANCIALS - 18.2%   
Banks - 7.9%   
Bank of America Corp.:   
3.004% 12/20/23 (b) 30,548,000 31,118,900 
3.3% 1/11/23 4,342,000 4,497,230 
3.419% 12/20/28 (b) 18,965,000 19,581,790 
3.5% 4/19/26 5,024,000 5,349,118 
3.864% 7/23/24 (b) 4,370,000 4,584,760 
3.95% 4/21/25 4,125,000 4,337,878 
4.2% 8/26/24 19,977,000 21,233,879 
4.25% 10/22/26 4,261,000 4,546,726 
4.45% 3/3/26 1,517,000 1,640,586 
Barclays PLC:   
3.25% 1/12/21 4,610,000 4,579,067 
4.375% 1/12/26 6,221,000 6,252,105 
5.088% 6/20/30 (b) 7,347,000 7,611,910 
5.2% 5/12/26 6,222,000 6,392,483 
Capital One NA 2.15% 9/6/22 3,839,000 3,742,743 
Citigroup, Inc.:   
2.7% 10/27/22 9,998,000 10,063,052 
3.352% 4/24/25 (b) 4,959,000 5,106,246 
3.875% 3/26/25 9,500,000 9,956,635 
4.05% 7/30/22 1,800,000 1,832,356 
4.3% 11/20/26 1,733,000 1,832,456 
4.412% 3/31/31 (b) 10,622,000 11,687,137 
4.45% 9/29/27 17,100,000 17,930,325 
5.5% 9/13/25 5,524,000 6,137,872 
Citizens Financial Group, Inc. 4.15% 9/28/22 (a) 4,857,000 4,972,458 
Commonwealth Bank of Australia 3.61% 9/12/34 (a)(b) 2,615,000 2,368,941 
Credit Suisse Group Funding Guernsey Ltd.:   
3.75% 3/26/25 4,660,000 4,708,642 
3.8% 9/15/22 7,240,000 7,360,821 
3.8% 6/9/23 8,582,000 8,777,224 
4.55% 4/17/26 2,575,000 2,719,224 
Discover Bank:   
4.2% 8/8/23 2,849,000 3,024,985 
7% 4/15/20 2,309,000 2,310,916 
Fifth Third Bancorp:   
2.875% 7/27/20 3,000,000 2,984,678 
8.25% 3/1/38 4,319,000 5,702,227 
HSBC Holdings PLC:   
4.25% 3/14/24 2,200,000 2,263,041 
4.95% 3/31/30 1,425,000 1,571,547 
Huntington Bancshares, Inc. 7% 12/15/20 1,004,000 1,028,487 
Intesa Sanpaolo SpA:   
5.017% 6/26/24 (a) 4,337,000 4,426,051 
5.71% 1/15/26 (a) 9,864,000 9,612,111 
JPMorgan Chase & Co.:   
2.95% 10/1/26 8,028,000 8,296,177 
3.797% 7/23/24 (b) 5,719,000 5,985,529 
3.875% 9/10/24 43,751,000 46,198,474 
4.125% 12/15/26 14,080,000 15,392,073 
4.493% 3/24/31 (b) 12,800,000 14,849,608 
Rabobank Nederland 4.375% 8/4/25 7,451,000 7,632,781 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 20,522,000 21,016,768 
6% 12/19/23 10,433,000 10,838,042 
6.1% 6/10/23 13,369,000 13,745,895 
6.125% 12/15/22 8,239,000 8,498,475 
Synchrony Bank 3% 6/15/22 4,542,000 4,507,015 
UniCredit SpA 6.572% 1/14/22 (a) 5,565,000 5,668,325 
Wells Fargo & Co.:   
2.406% 10/30/25 (b) 4,563,000 4,496,272 
4.478% 4/4/31 (b) 14,300,000 16,169,110 
5.013% 4/4/51 (b) 21,093,000 26,743,414 
Westpac Banking Corp. 4.11% 7/24/34 (b) 3,712,000 3,602,237 
  467,486,802 
Capital Markets - 5.2%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 5,541,000 5,823,697 
4.25% 2/15/24 4,287,000 4,582,872 
Ares Capital Corp. 4.2% 6/10/24 8,906,000 7,895,902 
Credit Suisse Group AG:   
2.593% 9/11/25 (a)(b) 10,580,000 10,053,071 
3.869% 1/12/29 (a)(b) 4,020,000 4,069,228 
4.194% 4/1/31 (a)(b) 9,619,000 9,853,559 
Deutsche Bank AG 4.5% 4/1/25 10,381,000 8,944,910 
Deutsche Bank AG New York Branch:   
3.15% 1/22/21 6,514,000 6,363,862 
3.3% 11/16/22 9,310,000 8,720,467 
5% 2/14/22 9,082,000 8,956,310 
Goldman Sachs Group, Inc.:   
2.876% 10/31/22 (b) 22,903,000 23,019,800 
3.2% 2/23/23 7,150,000 7,296,014 
3.691% 6/5/28 (b) 41,645,000 42,796,473 
3.8% 3/15/30 15,490,000 16,141,065 
4.25% 10/21/25 2,269,000 2,385,444 
6.75% 10/1/37 2,246,000 2,961,886 
Intercontinental Exchange, Inc. 2.75% 12/1/20 1,628,000 1,631,332 
Moody's Corp.:   
3.25% 1/15/28 2,386,000 2,418,144 
3.75% 3/24/25 5,075,000 5,325,700 
4.875% 2/15/24 2,240,000 2,423,084 
Morgan Stanley:   
3.125% 1/23/23 26,000,000 26,591,787 
3.125% 7/27/26 21,964,000 22,704,027 
3.622% 4/1/31 (b) 10,036,000 10,444,855 
3.625% 1/20/27 11,000,000 11,627,561 
3.7% 10/23/24 3,281,000 3,466,424 
3.737% 4/24/24 (b) 5,000,000 5,148,090 
4.431% 1/23/30 (b) 4,395,000 4,884,691 
4.875% 11/1/22 7,751,000 8,137,771 
5% 11/24/25 14,636,000 16,178,525 
5.75% 1/25/21 3,512,000 3,604,800 
Peachtree Corners Funding Trust 3.976% 2/15/25 (a) 5,000,000 5,019,151 
State Street Corp.:   
2.825% 3/30/23 (a)(b) 681,000 687,216 
2.901% 3/30/26 (a)(b) 639,000 654,214 
3.152% 3/30/31 (a)(b) 435,000 445,720 
UBS Group Funding Ltd. 4.125% 9/24/25 (a) 5,261,000 5,465,789 
  306,723,441 
Consumer Finance - 2.0%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
2.875% 8/14/24 5,996,000 4,834,214 
3.5% 5/26/22 1,724,000 1,437,505 
3.5% 1/15/25 8,300,000 7,051,534 
4.125% 7/3/23 4,192,000 3,560,801 
4.45% 12/16/21 2,938,000 2,618,819 
4.45% 4/3/26 3,126,000 2,680,455 
4.875% 1/16/24 5,015,000 4,297,431 
Ally Financial, Inc. 5.125% 9/30/24 2,138,000 2,083,460 
Capital One Financial Corp. 3.8% 1/31/28 6,237,000 6,164,226 
Discover Financial Services:   
3.85% 11/21/22 5,040,000 5,143,367 
3.95% 11/6/24 2,847,000 2,897,311 
4.1% 2/9/27 3,673,000 3,533,211 
4.5% 1/30/26 4,686,000 4,780,556 
Ford Motor Credit Co. LLC:   
4.063% 11/1/24 17,607,000 15,978,353 
5.085% 1/7/21 2,973,000 2,855,923 
5.584% 3/18/24 6,246,000 5,793,165 
5.596% 1/7/22 6,152,000 5,952,060 
Synchrony Financial:   
2.85% 7/25/22 1,524,000 1,451,803 
3.75% 8/15/21 2,203,000 2,212,663 
3.95% 12/1/27 7,681,000 6,831,259 
4.25% 8/15/24 2,218,000 2,135,538 
4.375% 3/19/24 2,280,000 2,245,137 
5.15% 3/19/29 6,556,000 6,319,984 
Toyota Motor Credit Corp.:   
2.9% 3/30/23 7,749,000 7,797,631 
3% 4/1/25 7,088,000 7,121,305 
3.375% 4/1/30 2,300,000 2,326,938 
  120,104,649 
Diversified Financial Services - 0.8%   
AXA Equitable Holdings, Inc.:   
3.9% 4/20/23 1,041,000 1,037,275 
4.35% 4/20/28 4,250,000 4,135,705 
Brixmor Operating Partnership LP:   
3.25% 9/15/23 5,952,000 5,663,411 
3.875% 8/15/22 5,542,000 5,322,487 
4.125% 6/15/26 4,647,000 4,849,497 
4.125% 5/15/29 5,051,000 5,178,385 
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (a) 6,100,000 5,249,049 
Pine Street Trust I:   
4.572% 2/15/29 (a) 5,707,000 5,420,716 
5.568% 2/15/49 (a) 5,700,000 5,120,310 
Voya Financial, Inc. 3.125% 7/15/24 2,851,000 2,876,126 
  44,852,961 
Insurance - 2.3%   
AFLAC, Inc. 3.6% 4/1/30 2,371,000 2,400,182 
AIA Group Ltd. 3.375% 4/7/30 (a) 7,358,000 7,336,367 
American International Group, Inc.:   
3.3% 3/1/21 2,355,000 2,356,746 
3.75% 7/10/25 8,311,000 8,320,241 
4.875% 6/1/22 3,597,000 3,718,732 
Aon Corp. 5% 9/30/20 1,402,000 1,416,115 
Liberty Mutual Group, Inc. 4.569% 2/1/29 (a) 4,093,000 4,527,126 
Marsh & McLennan Companies, Inc.:   
4.375% 3/15/29 3,978,000 4,418,889 
4.75% 3/15/39 1,825,000 2,150,028 
4.8% 7/15/21 2,278,000 2,352,276 
4.9% 3/15/49 3,633,000 4,645,738 
Massachusetts Mutual Life Insurance Co. 3.729% 10/15/70 (a) 6,306,000 5,846,045 
MetLife, Inc. 4.55% 3/23/30 11,500,000 12,909,732 
Metropolitan Life Global Funding I:   
U.S. SOFR SEC OVRN FIN RATE INDX + 0.500% 0.51% 5/28/21 (a)(b)(c) 27,560,000 26,493,551 
3% 1/10/23 (a) 2,636,000 2,671,940 
Pacific LifeCorp 5.125% 1/30/43 (a) 5,252,000 5,434,211 
Progressive Corp. 3.2% 3/26/30 878,000 953,841 
Swiss Re Finance Luxembourg SA 5% 4/2/49 (a)(b) 2,200,000 2,241,800 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (a) 5,347,000 6,084,179 
TIAA Asset Management Finance LLC 4.125% 11/1/24 (a) 1,771,000 1,691,430 
Unum Group:   
3.875% 11/5/25 4,860,000 4,401,313 
4% 3/15/24 5,930,000 5,859,007 
4% 6/15/29 4,410,000 4,234,939 
5.625% 9/15/20 2,889,000 2,895,465 
5.75% 8/15/42 7,278,000 7,085,382 
  132,445,275 
TOTAL FINANCIALS  1,071,613,128 
HEALTH CARE - 2.8%   
Health Care Equipment & Supplies - 0.1%   
Becton, Dickinson & Co. 2.404% 6/5/20 3,144,000 3,134,214 
Health Care Providers & Services - 1.9%   
Centene Corp.:   
3.375% 2/15/30 (a) 5,100,000 4,743,000 
4.25% 12/15/27 (a) 5,745,000 5,755,916 
4.625% 12/15/29 (a) 8,925,000 8,969,625 
4.75% 1/15/25 (a) 4,565,000 4,622,063 
Cigna Corp.:   
3.75% 7/15/23 3,230,000 3,324,592 
4.125% 9/15/20 (a) 2,723,000 2,738,095 
4.125% 11/15/25 3,582,000 3,835,480 
4.375% 10/15/28 6,064,000 6,522,679 
4.8% 8/15/38 3,776,000 4,243,723 
4.9% 12/15/48 3,772,000 4,559,200 
CVS Health Corp.:   
3% 8/15/26 625,000 622,571 
3.25% 8/15/29 1,435,000 1,397,646 
3.625% 4/1/27 1,795,000 1,839,466 
3.7% 3/9/23 2,500,000 2,602,470 
3.75% 4/1/30 3,421,000 3,539,671 
4.1% 3/25/25 12,312,000 12,957,357 
4.125% 4/1/40 2,381,000 2,393,536 
4.25% 4/1/50 676,000 702,790 
4.3% 3/25/28 13,403,000 14,234,036 
4.78% 3/25/38 5,967,000 6,553,323 
5.05% 3/25/48 8,772,000 9,961,535 
HCA Holdings, Inc. 4.75% 5/1/23 215,000 220,250 
Toledo Hospital:   
5.325% 11/15/28 2,109,000 2,217,926 
6.015% 11/15/48 4,201,000 4,593,309 
  113,150,259 
Life Sciences Tools & Services - 0.1%   
Thermo Fisher Scientific, Inc.:   
4.133% 3/25/25 3,051,000 3,269,168 
4.497% 3/25/30 1,590,000 1,792,264 
  5,061,432 
Pharmaceuticals - 0.7%   
Actavis Funding SCS 3.45% 3/15/22 6,868,000 6,892,038 
Bayer U.S. Finance II LLC 4.25% 12/15/25 (a) 4,363,000 4,532,569 
Elanco Animal Health, Inc.:   
4.662% 8/27/21 (b) 1,003,000 997,729 
5.022% 8/28/23 (b) 3,166,000 3,202,411 
5.65% 8/28/28 (b) 1,334,000 1,407,772 
Mylan NV:   
3.15% 6/15/21 5,002,000 4,955,915 
3.95% 6/15/26 2,549,000 2,545,748 
4.55% 4/15/28 4,000,000 3,916,020 
Perrigo Finance PLC 3.5% 12/15/21 449,000 463,589 
Shire Acquisitions Investments Ireland DAC 2.4% 9/23/21 9,847,000 9,810,150 
Teva Pharmaceutical Finance Netherlands III BV:   
2.2% 7/21/21 939,000 896,914 
2.8% 7/21/23 1,463,000 1,334,973 
Zoetis, Inc. 3.25% 2/1/23 1,649,000 1,685,657 
  42,641,485 
TOTAL HEALTH CARE  163,987,390 
INDUSTRIALS - 0.7%   
Industrial Conglomerates - 0.0%   
3M Co.:   
2.65% 4/15/25 446,000 465,499 
3.05% 4/15/30 360,000 377,020 
3.7% 4/15/50 444,000 496,833 
  1,339,352 
Machinery - 0.1%   
Deere & Co.:   
2.75% 4/15/25 887,000 918,389 
3.1% 4/15/30 2,365,000 2,507,607 
3.75% 4/15/50 721,000 840,345 
  4,266,341 
Professional Services - 0.0%   
Thomson Reuters Corp. 3.85% 9/29/24 1,034,000 1,013,072 
Road & Rail - 0.2%   
Avolon Holdings Funding Ltd.:   
3.625% 5/1/22 (a) 1,572,000 1,393,203 
3.95% 7/1/24 (a) 2,088,000 1,745,866 
4.375% 5/1/26 (a) 2,546,000 2,037,884 
5.25% 5/15/24 (a) 3,813,000 3,247,348 
CSX Corp. 3.8% 4/15/50 1,409,000 1,480,015 
  9,904,316 
Trading Companies & Distributors - 0.4%   
Air Lease Corp.:   
2.25% 1/15/23 1,326,000 1,107,713 
3% 9/15/23 877,000 727,910 
3.375% 6/1/21 2,523,000 2,269,791 
3.75% 2/1/22 4,522,000 4,183,902 
3.875% 4/1/21 3,180,000 2,909,434 
3.875% 7/3/23 5,581,000 5,047,013 
4.25% 2/1/24 5,740,000 4,993,800 
4.25% 9/15/24 3,565,000 3,171,879 
  24,411,442 
TOTAL INDUSTRIALS  40,934,523 
INFORMATION TECHNOLOGY - 0.9%   
Electronic Equipment & Components - 0.1%   
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:   
5.45% 6/15/23 (a) 4,500,000 4,617,725 
6.02% 6/15/26 (a) 1,564,000 1,664,161 
  6,281,886 
IT Services - 0.0%   
MasterCard, Inc.:   
3.3% 3/26/27 713,000 774,785 
3.35% 3/26/30 992,000 1,102,324 
3.85% 3/26/50 851,000 1,038,717 
  2,915,826 
Semiconductors & Semiconductor Equipment - 0.2%   
NVIDIA Corp.:   
2.85% 4/1/30 1,993,000 2,071,405 
3.5% 4/1/40 2,154,000 2,291,505 
3.5% 4/1/50 4,315,000 4,710,789 
3.7% 4/1/60 849,000 919,656 
  9,993,355 
Software - 0.6%   
Oracle Corp.:   
2.5% 4/1/25 5,858,000 5,980,262 
2.8% 4/1/27 5,858,000 5,971,194 
2.95% 4/1/30 5,900,000 5,935,412 
3.6% 4/1/40 5,860,000 5,833,372 
3.6% 4/1/50 5,860,000 5,836,372 
3.85% 4/1/60 5,900,000 5,935,789 
  35,492,401 
TOTAL INFORMATION TECHNOLOGY  54,683,468 
MATERIALS - 0.2%   
Metals & Mining - 0.2%   
BHP Billiton Financial (U.S.A.) Ltd.:   
6.25% 10/19/75 (a)(b) 1,921,000 1,885,173 
6.75% 10/19/75 (a)(b) 4,773,000 5,060,621 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.625% 8/1/27 (a) 1,696,000 1,680,316 
4.5% 8/1/47 (a) 1,720,000 1,681,838 
  10,307,948 
REAL ESTATE - 3.2%   
Equity Real Estate Investment Trusts (REITs) - 2.5%   
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 4,167,000 4,526,931 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 1,184,000 1,193,868 
American Tower Corp. 2.8% 6/1/20 9,000,000 8,929,287 
Boston Properties, Inc.:   
3.85% 2/1/23 4,708,000 4,757,255 
4.5% 12/1/28 3,891,000 4,279,109 
Camden Property Trust:   
2.95% 12/15/22 1,607,000 1,611,673 
4.25% 1/15/24 3,408,000 3,482,484 
Corporate Office Properties LP 5% 7/1/25 3,156,000 3,322,128 
Duke Realty LP:   
3.625% 4/15/23 2,123,000 2,143,159 
3.75% 12/1/24 1,576,000 1,625,393 
3.875% 10/15/22 3,512,000 3,639,131 
Equity One, Inc. 3.75% 11/15/22 5,500,000 5,389,992 
HCP, Inc.:   
3.25% 7/15/26 573,000 572,709 
3.5% 7/15/29 656,000 641,693 
Healthcare Trust of America Holdings LP:   
3.1% 2/15/30 1,312,000 1,173,335 
3.5% 8/1/26 1,366,000 1,350,913 
Hudson Pacific Properties LP 4.65% 4/1/29 7,741,000 7,944,073 
Lexington Corporate Properties Trust 4.4% 6/15/24 1,441,000 1,415,088 
Omega Healthcare Investors, Inc.:   
3.625% 10/1/29 5,913,000 5,178,153 
4.375% 8/1/23 6,023,000 5,986,982 
4.5% 1/15/25 2,677,000 2,593,952 
4.5% 4/1/27 16,195,000 16,010,725 
4.75% 1/15/28 6,382,000 6,211,601 
4.95% 4/1/24 1,354,000 1,338,302 
5.25% 1/15/26 5,686,000 5,662,253 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 978,000 998,327 
5% 12/15/23 737,000 778,069 
SITE Centers Corp.:   
3.625% 2/1/25 2,262,000 2,290,869 
4.25% 2/1/26 2,954,000 3,009,338 
Store Capital Corp. 4.625% 3/15/29 1,793,000 1,810,714 
Ventas Realty LP:   
3% 1/15/30 7,629,000 6,816,987 
3.125% 6/15/23 1,289,000 1,346,753 
3.5% 2/1/25 6,443,000 6,328,846 
4% 3/1/28 2,243,000 2,110,458 
4.125% 1/15/26 1,557,000 1,554,436 
4.375% 2/1/45 763,000 694,787 
4.75% 11/15/30 10,016,000 9,837,755 
Weingarten Realty Investors 3.375% 10/15/22 812,000 832,532 
WP Carey, Inc.:   
3.85% 7/15/29 1,275,000 1,243,928 
4% 2/1/25 5,360,000 5,516,849 
  146,150,837 
Real Estate Management & Development - 0.7%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 5,510,000 5,692,032 
3.95% 11/15/27 4,613,000 4,327,949 
4.1% 10/1/24 5,070,000 5,044,825 
4.55% 10/1/29 5,842,000 6,050,400 
Digital Realty Trust LP:   
3.95% 7/1/22 3,320,000 3,397,269 
4.75% 10/1/25 3,533,000 3,685,802 
Mack-Cali Realty LP:   
3.15% 5/15/23 4,988,000 4,339,395 
4.5% 4/18/22 1,218,000 1,131,497 
Post Apartment Homes LP 3.375% 12/1/22 790,000 768,018 
Tanger Properties LP:   
3.125% 9/1/26 6,109,000 5,932,976 
3.75% 12/1/24 3,470,000 3,597,965 
3.875% 12/1/23 1,792,000 1,866,935 
  45,835,063 
TOTAL REAL ESTATE  191,985,900 
UTILITIES - 1.8%   
Electric Utilities - 1.1%   
Cleco Corporate Holdings LLC:   
3.375% 9/15/29 (a) 3,447,000 3,424,070 
3.743% 5/1/26 13,180,000 12,915,558 
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (a) 2,664,000 2,836,836 
6.4% 9/15/20 (a) 7,513,000 7,674,026 
Eversource Energy 2.8% 5/1/23 5,110,000 5,137,369 
Exelon Corp.:   
4.05% 4/15/30 1,740,000 1,723,261 
4.7% 4/15/50 775,000 809,524 
FirstEnergy Corp.:   
4.25% 3/15/23 11,729,000 11,979,473 
7.375% 11/15/31 5,363,000 7,208,482 
IPALCO Enterprises, Inc.:   
3.45% 7/15/20 7,767,000 7,765,852 
3.7% 9/1/24 2,157,000 2,235,816 
LG&E and KU Energy LLC 3.75% 11/15/20 525,000 521,389 
NV Energy, Inc. 6.25% 11/15/20 1,238,000 1,273,698 
  65,505,354 
Gas Utilities - 0.1%   
Nakilat, Inc. 6.067% 12/31/33 (a) 1,808,000 2,031,740 
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 1,182,000 1,183,719 
  3,215,459 
Independent Power and Renewable Electricity Producers - 0.0%   
Emera U.S. Finance LP:   
2.7% 6/15/21 1,182,000 1,195,511 
3.55% 6/15/26 1,891,000 1,803,564 
  2,999,075 
Multi-Utilities - 0.6%   
Berkshire Hathaway Energy Co.:   
3.7% 7/15/30 (a) 983,000 1,044,661 
4.05% 4/15/25 (a) 12,432,000 13,408,547 
4.25% 10/15/50 (a) 560,000 639,944 
Consolidated Edison Co. of New York, Inc.:   
3.35% 4/1/30 790,000 814,842 
3.95% 4/1/50 1,387,000 1,444,349 
NiSource, Inc. 2.95% 9/1/29 8,554,000 8,125,337 
Puget Energy, Inc.:   
6% 9/1/21 4,807,000 4,895,440 
6.5% 12/15/20 1,534,000 1,566,317 
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 3.8043% 5/15/67 (b)(c) 1,426,000 1,146,184 
  33,085,621 
TOTAL UTILITIES  104,805,509 
TOTAL NONCONVERTIBLE BONDS   
(Cost $2,450,049,100)  2,433,554,341 
U.S. Government and Government Agency Obligations - 27.8%   
U.S. Treasury Inflation-Protected Obligations - 6.0%   
U.S. Treasury Inflation-Indexed Bonds:   
0.75% 2/15/45 $33,835,000 $42,404,669 
1% 2/15/49 17,310,000 22,090,867 
U.S. Treasury Inflation-Indexed Notes:   
0.125% 7/15/24 16,814,000 18,308,587 
0.125% 10/15/24 61,964,600 63,067,410 
0.25% 1/15/25 6,800,000 7,473,477 
0.25% 7/15/29 30,000,000 31,619,151 
0.375% 1/15/27 16,460,000 18,005,291 
0.375% 7/15/27 16,152,500 17,536,794 
0.625% 1/15/26 65,147,500 73,086,302 
0.75% 7/15/28 26,500,000 29,161,220 
0.875% 1/15/29 27,018,100 30,021,520 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  352,775,288 
U.S. Treasury Obligations - 21.8%   
U.S. Treasury Bonds:   
2% 2/15/50 32,500,000 37,746,973 
3% 5/15/45 34,384,000 46,770,299 
3% 2/15/49 155,837,800 217,314,594 
U.S. Treasury Notes:   
1.5% 9/30/24 41,299,000 43,399,442 
1.625% 9/30/26 187,060,000 200,227,269 
1.625% 8/15/29 45,257,100 49,141,078 
1.875% 3/31/22 14,649,000 15,129,670 
2% 12/31/21 199,319,000 205,469,861 
2.125% 3/31/24 197,361,000 211,376,714 
2.125% 11/30/24 11,586,000 12,526,005 
2.5% 1/31/24 77,300,000 83,698,387 
2.5% 2/28/26 103,467,000 115,587,998 
3.125% 11/15/28 34,964,300 42,224,855 
TOTAL U.S. TREASURY OBLIGATIONS  1,280,613,145 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $1,483,722,840)  1,633,388,433 
U.S. Government Agency - Mortgage Securities - 34.1%   
Fannie Mae - 10.1%   
12 month U.S. LIBOR + 1.480% 4.221% 7/1/34 (b)(c) 17,058 17,462 
12 month U.S. LIBOR + 1.550% 4.345% 6/1/36 (b)(c) 18,104 18,586 
12 month U.S. LIBOR + 1.660% 4.136% 11/1/36 (b)(c) 187,091 193,062 
12 month U.S. LIBOR + 1.710% 4.588% 6/1/42 (b)(c) 87,732 89,371 
12 month U.S. LIBOR + 1.750% 3.958% 7/1/35 (b)(c) 13,527 13,993 
12 month U.S. LIBOR + 1.780% 3.788% 2/1/36 (b)(c) 128,410 133,242 
12 month U.S. LIBOR + 1.800% 4.498% 7/1/41 (b)(c) 135,133 137,622 
12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (b)(c) 48,904 49,902 
12 month U.S. LIBOR + 1.810% 4.537% 7/1/41 (b)(c) 74,085 76,084 
12 month U.S. LIBOR + 1.820% 3.82% 12/1/35 (b)(c) 85,934 89,490 
12 month U.S. LIBOR + 1.830% 3.907% 10/1/41 (b)(c) 38,942 39,729 
12 month U.S. LIBOR + 1.900% 4.45% 5/1/36 (b)(c) 87,267 90,271 
12 month U.S. LIBOR + 1.900% 4.783% 7/1/37 (b)(c) 19,037 19,671 
12 month U.S. LIBOR + 1.930% 4.467% 9/1/36 (b)(c) 74,201 76,393 
6 month U.S. LIBOR + 1.310% 3.313% 5/1/34 (b)(c) 109,602 111,103 
6 month U.S. LIBOR + 1.420% 3.314% 9/1/33 (b)(c) 132,676 135,110 
6 month U.S. LIBOR + 1.550% 3.643% 10/1/33 (b)(c) 6,144 6,275 
6 month U.S. LIBOR + 1.560% 3.44% 7/1/35 (b)(c) 9,644 9,868 
U.S. TREASURY 1 YEAR INDEX + 1.940% 4.189% 10/1/33 (b)(c) 133,900 138,711 
U.S. TREASURY 1 YEAR INDEX + 2.200% 4.833% 3/1/35 (b)(c) 6,648 6,910 
U.S. TREASURY 1 YEAR INDEX + 2.230% 4.007% 8/1/36 (b)(c) 269,517 280,935 
U.S. TREASURY 1 YEAR INDEX + 2.290% 4.263% 10/1/33 (b)(c) 20,216 20,935 
U.S. TREASURY 1 YEAR INDEX + 2.420% 4.399% 5/1/35 (b)(c) 22,365 23,219 
2.5% 11/1/27 to 12/1/49 44,865,511 46,687,879 
3% 8/1/27 to 2/1/50 168,710,339 177,755,312 
3.5% 1/1/34 to 11/1/49 159,402,288 169,730,359 
4% 11/1/31 to 11/1/49 109,211,779 117,860,230 
4.5% to 4.5% 5/1/25 to 9/1/49 51,812,736 56,300,543 
5% 9/1/20 to 11/1/44 12,952,063 14,326,174 
6% 10/1/34 to 1/1/42 6,034,012 7,014,161 
6.5% 12/1/23 to 8/1/36 1,102,045 1,266,398 
7% to 7% 11/1/23 to 8/1/32 254,653 282,065 
7.5% to 7.5% 9/1/22 to 11/1/31 212,617 242,305 
8% 1/1/30 to 3/1/30 1,249 1,371 
8.5% 3/1/25 to 6/1/25 303 336 
TOTAL FANNIE MAE  593,245,077 
Freddie Mac - 5.4%   
12 month U.S. LIBOR + 1.370% 3.523% 3/1/36 (b)(c) 60,933 62,658 
12 month U.S. LIBOR + 1.870% 4.817% 4/1/41 (b)(c) 34,579 35,421 
12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (b)(c) 54,773 55,276 
12 month U.S. LIBOR + 1.910% 4.66% 6/1/41 (b)(c) 60,830 62,543 
12 month U.S. LIBOR + 1.910% 4.734% 6/1/41 (b)(c) 118,354 121,602 
12 month U.S. LIBOR + 1.910% 4.785% 5/1/41 (b)(c) 81,467 83,133 
12 month U.S. LIBOR + 1.910% 4.813% 5/1/41 (b)(c) 106,141 108,951 
12 month U.S. LIBOR + 2.060% 4.2% 3/1/33 (b)(c) 1,540 1,596 
12 month U.S. LIBOR + 2.160% 4.285% 11/1/35 (b)(c) 44,915 46,755 
6 month U.S. LIBOR + 1.650% 3.818% 4/1/35 (b)(c) 91,165 93,164 
6 month U.S. LIBOR + 2.680% 4.742% 10/1/35 (b)(c) 12,528 12,944 
U.S. TREASURY 1 YEAR INDEX + 2.240% 3.869% 1/1/35 (b)(c) 8,520 8,890 
2.5% 5/1/28 to 2/1/35 26,757,193 27,809,804 
3% 6/1/31 to 12/1/46 37,198,942 39,253,229 
3.5% 3/1/32 to 10/1/49 123,022,682 131,554,023 
4% 5/1/37 to 10/1/48 71,925,656 77,818,737 
4.5% 7/1/25 to 10/1/48 36,729,242 39,977,761 
5% 1/1/35 to 6/1/41 2,470,403 2,733,713 
6% 4/1/32 to 8/1/37 583,612 669,696 
7.5% 5/1/26 to 11/1/31 28,131 32,324 
8% 4/1/27 to 5/1/27 1,867 2,104 
8.5% 5/1/27 to 1/1/28 3,923 4,409 
TOTAL FREDDIE MAC  320,548,733 
Ginnie Mae - 12.2%   
3% 12/20/42 to 4/20/50 68,868,405 73,034,081 
3.5% 12/20/40 to 1/20/50 137,664,872 146,310,132 
4% 2/15/40 to 9/20/48 149,284,895 160,356,035 
4.5% 5/15/39 to 6/20/47 30,677,389 33,304,896 
5% 3/15/39 to 4/20/48 6,670,969 7,262,492 
6.5% 4/15/35 to 11/15/35 63,970 74,182 
7% 1/15/28 to 7/15/32 674,775 767,487 
7.5% to 7.5% 4/15/22 to 10/15/28 156,929 174,859 
8% 3/15/30 to 9/15/30 8,875 10,317 
2.5% 4/1/50 (d) 9,500,000 9,931,855 
2.5% 4/1/50 (d) 4,850,000 5,070,473 
2.5% 4/1/50 (d) 4,650,000 4,861,382 
2.5% 4/1/50 (d) 200,000 209,092 
2.5% 4/1/50 (d) 9,700,000 10,140,946 
2.5% 4/1/50 (d) 19,800,000 20,700,076 
2.5% 4/1/50 (d) 55,000,000 57,500,212 
2.5% 4/1/50 (d) 20,000,000 20,909,168 
2.5% 4/1/50 (d) 10,000,000 10,454,584 
2.5% 5/1/50 (d) 9,700,000 10,123,517 
2.5% 5/1/50 (d) 23,300,000 24,317,313 
2.5% 5/1/50 (d) 10,000,000 10,436,615 
2.5% 5/1/50 (d) 4,850,000 5,061,758 
2.5% 5/1/50 (d) 4,850,000 5,061,758 
3% 4/1/50 (d) 2,800,000 2,961,467 
3.5% 4/1/50 (d) 11,400,000 12,025,908 
3.5% 4/1/50 (d) 900,000 949,414 
3.5% 4/1/50 (d) 10,600,000 11,181,985 
3.5% 4/1/50 (d) 10,600,000 11,181,985 
3.5% 4/1/50 (d) 35,000,000 36,921,647 
3.5% 5/1/50 (d) 1,150,000 1,212,556 
3.5% 5/1/50 (d) 11,400,000 12,020,119 
3.5% 5/1/50 (d) 11,500,000 12,125,559 
TOTAL GINNIE MAE  716,653,870 
Uniform Mortgage Backed Securities - 6.4%   
2.5% 4/1/35 (d) 1,300,000 1,349,499 
2.5% 4/1/50 (d) 35,000,000 36,280,738 
2.5% 5/1/50 (d) 21,900,000 22,660,313 
3% 4/1/35 (d) 40,000,000 41,883,748 
3% 4/1/35 (d) 30,000,000 31,412,811 
3% 4/1/50 (d) 13,950,000 14,628,754 
3% 4/1/50 (d) 9,250,000 9,700,070 
3% 4/1/50 (d) 8,350,000 8,756,279 
3% 4/1/50 (d) 3,250,000 3,408,133 
3% 4/1/50 (d) 4,050,000 4,247,058 
3% 4/1/50 (d) 35,000,000 36,702,967 
3% 4/1/50 (d) 60,000,000 62,919,372 
3% 5/1/50 (d) 22,300,000 23,361,513 
3% 5/1/50 (d) 6,750,000 7,071,310 
3% 5/1/50 (d) 9,500,000 9,952,214 
3% 5/1/50 (d) 30,000,000 31,428,045 
3.5% 4/1/50 (d) 15,700,000 16,605,650 
3.5% 5/1/50 (d) 2,900,000 3,064,680 
3.5% 5/1/50 (d) 10,000,000 10,567,863 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  376,001,017 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $1,954,580,447)  2,006,448,697 
Asset-Backed Securities - 3.2%   
AASET Trust:   
Series 2018-1A Class A, 3.844% 1/16/38 (a) $2,828,276 $2,347,319 
Series 2019-1 Class A, 3.844% 5/15/39 (a) 3,839,779 2,892,909 
Series 2019-2:   
Class A, 3.376% 10/16/39 (a) 6,402,324 4,839,036 
Class B, 4.458% 10/16/39 (a) 1,126,362 758,312 
Aimco Series 2019-10A Class A, 3 month U.S. LIBOR + 1.320% 3.1221% 7/22/32 (a)(b)(c) 6,268,000 5,705,923 
Allegany Park CLO, Ltd. / Allegany Series 2020-1A Class A, 3 month U.S. LIBOR + 1.330% 3.1635% 1/20/33 (a)(b)(c) 3,021,000 2,874,472 
Apollo Aviation Securitization Equity Trust Series 2020-1A:   
Class A, 3.351% 1/16/40 (a) 2,972,801 2,130,773 
Class B, 4.335% 1/16/40 (a) 473,101 313,069 
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 3.1658% 10/15/32 (a)(b)(c) 5,467,000 5,229,667 
Ares Xli Clo Ltd. / Ares Xli Cl Series 2016-41A Class AR, 3 month U.S. LIBOR + 1.200% 3.0313% 1/15/29 (a)(b)(c) 6,857,000 6,612,562 
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.25% 4/17/33 (a)(b)(c) 2,171,000 2,019,562 
Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 3.2332% 1/17/33 (a)(b)(c) 2,600,000 2,483,668 
Blackbird Capital Aircraft Series 2016-1A:   
Class A, 4.213% 12/16/41 (a) 7,902,927 5,782,640 
Class AA, 2.487% 12/16/41 (a) 1,530,958 1,247,854 
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 2.6167% 4/15/29 (a)(b)(c) 6,492,000 6,309,594 
Castlelake Aircraft Securitization Trust Series 2019-1A:   
Class A, 3.967% 4/15/39 (a) 5,640,002 3,945,920 
Class B, 5.095% 4/15/39 (a) 2,379,337 1,557,316 
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (a) 6,124,036 4,450,451 
Cedar Funding Ltd.:   
Series 2019-10A Class A, 3 month U.S. LIBOR + 1.340% 3.4705% 10/20/32 (a)(b)(c) 4,495,000 4,189,983 
Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 2.9304% 5/29/32 (a)(b)(c) 3,185,000 2,986,138 
DB Master Finance LLC Series 2017-1A:   
Class A2I, 3.629% 11/20/47 (a) 3,480,878 3,348,813 
Class A2II, 4.03% 11/20/47 (a) 5,892,370 5,530,520 
Dryden CLO, Ltd. Series 2019-76A Class A1, 3 month U.S. LIBOR + 1.330% 3.264% 10/20/32 (a)(b)(c) 2,036,000 1,949,238 
Dryden Senior Loan Fund:   
Series 2014-36A Class AR2, 3 month U.S. LIBOR + 1.280% 3.1113% 4/15/29 (a)(b)(c) 7,519,000 7,332,085 
Series 2019-72A Class A, 3 month U.S. LIBOR + 1.330% 3.0218% 5/15/32 (a)(b)(c) 5,210,000 4,987,476 
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 0% 4/17/33 (a)(b)(c) 4,300,000 4,104,470 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.820% 1.7716% 3/25/34 (b)(c) 115 114 
Flatiron CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.320% 3.2149% 11/16/32 (a)(b)(c) 6,083,000 5,816,303 
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (a) 2,712,456 1,985,794 
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (a) 2,762,667 1,932,577 
Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 1.7868% 1/22/28 (a)(b)(c) 4,688,000 4,553,337 
Madison Park Funding Ltd.:   
Series 2012-10A Class AR2, 3 month U.S. LIBOR + 1.220% 3.0391% 1/20/29 (a)(b)(c) 2,547,000 2,466,112 
Series 2019-37A Class A1, 3 month U.S. LIBOR + 1.300% 3.1313% 7/15/32 (a)(b)(c) 6,260,000 5,999,540 
Madison Park Funding XXXIII Ltd. Series 2019-33A Class A, 3 month U.S. LIBOR + 1.330% 3.1741% 10/15/32 (a)(b)(c) 2,954,000 2,825,985 
Magnetite CLO Ltd.:   
Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 3.0991% 4/20/30 (a)(b)(c) 5,650,000 5,450,504 
Series 2019-24A Class A, 3 month U.S. LIBOR + 1.330% 3.2371% 1/15/33 (a)(b)(c) 4,021,000 3,836,006 
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 2.7571% 10/20/30 (a)(b)(c) 6,381,000 6,014,686 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 1.4566% 9/25/35 (b)(c) 159,761 157,568 
Niagara Park CLO, Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.300% 3.1361% 7/17/32 (a)(b)(c) 6,261,000 6,000,799 
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 2.1916% 1/25/36 (b)(c) 520,000 494,319 
Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/49 (a) 4,770,045 3,739,620 
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (a) 4,998,795 3,497,421 
Sapphire Aviation Finance Series 2020-1A:   
Class A, 3.228% 3/15/40 (a) 6,120,000 3,958,418 
Class B, 4.335% 3/15/40 (a) 558,000 325,840 
SBA Tower Trust Series 2019, 2.836% 1/15/50 (a) 6,201,000 5,987,525 
Taconic Park CLO, Ltd. Series 2020-1A Class A1R, 3 month U.S. LIBOR + 1.000% 1% 1/20/29 (a)(b)(c) 4,342,000 4,190,152 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.8066% 9/25/34 (b)(c) 8,753 7,659 
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (a)(b) 6,309,821 4,487,370 
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (a) 8,768,143 6,130,487 
Verde CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.350% 3.1813% 4/15/32 (a)(b)(c) 6,307,000 6,024,446 
Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 3.0891% 7/20/32 (a)(b)(c) 6,552,000 6,270,959 
TOTAL ASSET-BACKED SECURITIES   
(Cost $215,836,387)  188,083,311 
Collateralized Mortgage Obligations - 0.0%   
Private Sponsor - 0.0%   
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 1.7968% 2/25/37 (b)(c) 4,886 4,861 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 2.7849% 7/20/34 (b)(c) 3,183 2,900 
TOTAL PRIVATE SPONSOR  7,761 
U.S. Government Agency - 0.0%   
Fannie Mae planned amortization class:   
Series 1999-54 Class PH, 6.5% 11/18/29 139,087 149,704 
Series 1999-57 Class PH, 6.5% 12/25/29 171,663 198,476 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
sequential payer Series 2013-H06 Class HA, 1.65% 1/20/63 (e) 578,480 577,502 
Series 2007-35 Class SC, 40.200% - 1 month U.S. LIBOR 35.9722% 6/16/37 (b)(f) 19,449 37,492 
Series 2015-H21 Class JA, 2.5% 6/20/65 (e) 563,431 563,381 
TOTAL U.S. GOVERNMENT AGENCY  1,526,555 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $1,460,574)  1,534,316 
Commercial Mortgage Securities - 2.1%   
BAMLL Commercial Mortgage Securities Trust:   
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (a) 3,856,000 3,760,337 
Series 2019-BPR:   
Class BNM, 3.465% 11/5/32 (a) 865,000 799,985 
Class CNM, 3.8425% 11/5/32 (a)(b) 358,000 325,443 
BANK sequential payer Series 2019-BN21 Class A5, 2.851% 10/17/52 658,000 676,884 
Benchmark Mortgage Trust sequential payer:   
Series 2018-B4 Class A5, 4.121% 7/15/51 746,000 830,751 
Series 2019-B14 Class A5, 3.0486% 12/15/62 1,025,000 1,071,542 
BX Commercial Mortgage Trust:   
floater Series 2020-BXLP:   
Class B, 1 month U.S. LIBOR + 1.000% 1.7046% 12/15/36 (a)(b)(c) 3,529,000 3,210,988 
Class C, 1 month U.S. LIBOR + 1.120% 1.8246% 12/15/36 (a)(b)(c) 2,815,000 2,533,142 
Class D, 1 month U.S. LIBOR + 1.250% 1.9546% 12/15/36 (a)(b)(c) 4,367,000 3,886,037 
floater sequential payer Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 1.5046% 12/15/36 (a)(b)(c) 6,724,000 6,235,873 
BX Trust:   
floater:   
Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.620% 3.3296% 9/15/37 (a)(b)(c) 1,924,568 1,323,046 
Series 2018-IND Class F, 1 month U.S. LIBOR + 1.800% 2.5046% 11/15/35 (a)(b)(c) 2,048,200 1,807,096 
Series 2019-IMC:   
Class B, 1 month U.S. LIBOR + 1.300% 2.0046% 4/15/34 (a)(b)(c) 3,284,000 2,942,076 
Class C, 1 month U.S. LIBOR + 1.600% 2.3046% 4/15/34 (a)(b)(c) 2,171,000 1,912,563 
Class D, 1 month U.S. LIBOR + 1.900% 2.6046% 4/15/34 (a)(b)(c) 2,279,000 1,986,203 
Series 2019-XL:   
Class B, 1 month U.S. LIBOR + 1.080% 1.7846% 10/15/36 (a)(b)(c) 2,956,009 2,771,004 
Class C, 1 month U.S. LIBOR + 1.250% 1.9546% 10/15/36 (a)(b)(c) 3,716,508 3,372,270 
Class D, 1 month U.S. LIBOR + 1.450% 2.1546% 10/15/36 (a)(b)(c) 5,263,302 4,709,937 
Class E, 1 month U.S. LIBOR + 1.800% 2.5046% 10/15/36 (a)(b)(c) 7,395,756 6,470,111 
Series 2020-BXLP Class E, 1 month U.S. LIBOR + 1.600% 2.3046% 12/15/36 (a)(b)(c) 3,572,000 3,142,833 
floater, sequential payer Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.7046% 4/15/34 (a)(b)(c) 5,400,000 4,908,242 
CHC Commercial Mortgage Trust floater Series 2019-CHC:   
Class A, 1 month U.S. LIBOR + 1.120% 1.8246% 6/15/34 (a)(b)(c) 7,948,000 7,403,421 
Class B, 1 month U.S. LIBOR + 1.500% 2.2046% 6/15/34 (a)(b)(c) 1,565,000 1,475,314 
Class C, 1 month U.S. LIBOR + 1.750% 2.4546% 6/15/34 (a)(b)(c) 1,768,000 1,677,354 
COMM Mortgage Trust sequential payer Series 2014-CR18 Class A5, 3.828% 7/15/47 1,264,000 1,337,146 
Credit Suisse Mortgage Trust Series 2018-SITE:   
Class A, 4.284% 4/15/36 (a) 3,682,000 3,669,508 
Class B, 4.5349% 4/15/36 (a) 1,132,000 1,099,294 
Class C, 4.782% 4/15/36 (a)(b) 760,000 713,583 
Class D, 4.782% 4/15/36 (a)(b) 1,519,000 1,381,466 
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT:   
Class CFX, 4.9498% 7/5/33 (a) 729,000 709,286 
Class DFX, 5.3503% 7/5/33 (a) 1,121,000 997,697 
Class EFX, 5.5422% 7/5/33 (a) 1,533,000 1,270,236 
Morgan Stanley Capital I Trust:   
floater Series 2018-BOP:   
Class B, 1 month U.S. LIBOR + 1.250% 1.9546% 8/15/33 (a)(b)(c) 4,318,000 4,048,547 
Class C, 1 month U.S. LIBOR + 1.500% 2.2046% 8/15/33 (a)(b)(c) 10,400,000 9,801,959 
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (a) 8,381,000 8,137,541 
Series 2018-H4 Class A4, 4.31% 12/15/51 2,379,000 2,706,759 
Series 2019-MEAD:   
Class B, 3.1771% 11/10/36 (a) 1,211,000 1,118,941 
Class C, 3.1771% 11/10/36 (a) 1,162,000 1,023,565 
MSCG Trust Series 2016-SNR:   
Class A, 3.348% 11/15/34 (a)(b) 462,965 454,712 
Class B, 4.181% 11/15/34 (a) 1,632,000 1,563,423 
Class C, 5.205% 11/15/34 (a) 1,144,100 1,104,573 
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (a) 3,645,460 4,201,065 
RETL floater Series 2019-RVP Class C, 1 month U.S. LIBOR + 2.100% 2.8046% 3/15/36 (a)(b)(c) 4,971,000 4,279,345 
Wells Fargo Commercial Mortgage Trust Series 2018-C48 Class A5, 4.302% 1/15/52 2,773,000 3,017,807 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $131,720,699)  121,868,905 
Municipal Securities - 1.3%   
California Gen. Oblig.:   
Series 2009: $ $ 
7.35% 11/1/39 805,000 1,244,280 
7.5% 4/1/34 5,055,000 7,972,089 
7.55% 4/1/39 3,585,000 5,817,380 
6.65% 3/1/22 4,360,000 4,677,582 
Chicago Gen. Oblig. (Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 405,000 415,396 
Series 2010 C1, 7.781% 1/1/35 2,940,000 3,735,623 
Series 2012 B, 5.432% 1/1/42 1,205,000 1,070,498 
Illinois Gen. Oblig.:   
Series 2003:   
4.95% 6/1/23 4,320,000 4,357,843 
5.1% 6/1/33 4,805,000 4,769,587 
Series 2010-1, 6.63% 2/1/35 12,290,000 13,228,710 
Series 2010-3:   
6.725% 4/1/35 9,480,000 10,247,311 
7.35% 7/1/35 5,540,000 6,215,991 
Series 2010-5, 6.2% 7/1/21 904,000 915,517 
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 7,240,000 8,637,248 
TOTAL MUNICIPAL SECURITIES   
(Cost $70,143,589)  73,305,055 
Bank Notes - 0.7%   
Capital One NA 2.95% 7/23/21 5,645,000 5,660,776 
Discover Bank:   
3.1% 6/4/20 6,380,000 6,370,430 
3.2% 8/9/21 6,841,000 6,808,657 
3.35% 2/6/23 3,206,000 3,219,307 
4.682% 8/9/28 (b) 2,761,000 2,811,278 
KeyBank NA 6.95% 2/1/28 800,000 967,452 
PNC Bank NA 2.3% 6/1/20 1,450,000 1,450,073 
RBS Citizens NA 2.55% 5/13/21 1,560,000 1,558,256 
Regions Bank 6.45% 6/26/37 7,720,000 9,824,031 
Synchrony Bank 3.65% 5/24/21 4,766,000 4,706,773 
TOTAL BANK NOTES   
(Cost $40,525,119)  43,377,033 
 Shares Value 
Money Market Funds - 0.8%   
Fidelity Cash Central Fund 0.29% (g)   
(Cost $49,124,500) 49,110,827 49,125,560 
TOTAL INVESTMENT IN SECURITIES - 111.3%   
(Cost $6,397,163,255)  6,550,685,651 
NET OTHER ASSETS (LIABILITIES) - (11.3)%  (663,150,525) 
NET ASSETS - 100%  $5,887,535,126 

TBA Sale Commitments   
 Principal Amount Value 
Ginnie Mae   
2.5% 4/1/50 $(4,850,000) $(5,070,473) 
2.5% 4/1/50 (9,700,000) (10,140,946) 
2.5% 4/1/50 (4,850,000) (5,070,473) 
2.5% 4/1/50 (4,650,000) (4,861,382) 
2.5% 4/1/50 (200,000) (209,092) 
2.5% 4/1/50 (9,700,000) (10,140,946) 
2.5% 4/1/50 (31,800,000) (33,245,577) 
2.5% 4/1/50 (19,800,000) (20,700,076) 
2.5% 4/1/50 (23,300,000) (24,359,181) 
2.5% 4/1/50 (10,000,000) (10,454,584) 
2.5% 4/1/50 (10,000,000) (10,454,584) 
2.5% 4/1/50 (4,850,000) (5,070,473) 
3% 4/1/50 (2,800,000) (2,961,467) 
3.5% 4/1/50 (1,150,000) (1,213,140) 
3.5% 4/1/50 (11,400,000) (12,025,908) 
3.5% 4/1/50 (11,500,000) (12,131,398) 
3.5% 4/1/50 (21,550,000) (22,733,186) 
3.5% 4/1/50 (11,400,000) (12,025,908) 
3.5% 4/1/50 (900,000) (949,414) 
3.5% 4/1/50 (10,600,000) (11,181,985) 
TOTAL GINNIE MAE  (215,000,193) 
Uniform Mortgage Backed Securities   
2.5% 4/1/35 (1,300,000) (1,349,499) 
2.5% 4/1/50 (21,900,000) (22,701,376) 
3% 4/1/35 (70,000,000) (73,296,559) 
3% 4/1/50 (22,300,000) (23,385,033) 
3% 4/1/50 (6,750,000) (7,078,429) 
3% 4/1/50 (9,500,000) (9,962,234) 
3% 4/1/50 (13,950,000) (14,628,754) 
3% 4/1/50 (26,650,000) (27,946,688) 
3% 4/1/50 (30,000,000) (31,459,686) 
3.5% 4/1/50 (2,900,000) (3,067,286) 
3.5% 4/1/50 (10,000,000) (10,576,847) 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  (225,452,391) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $437,021,576)  $(440,452,584) 

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 $594,795,449 or 10.1% 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) 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.

 (f) 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.

 (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 $188,085 
Total $188,085 

Amounts in the income column in the above table include any capital gain distributions from underlying funds.

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 Fund’s valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: 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, municipal securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Brokers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees.

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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