UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22796
Fidelity Merrimack Street Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Nicole Macarchuk, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
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Date of fiscal year end: | August 31 |
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Date of reporting period: | August 31, 2024 |
Item 1.
Reports to Stockholders
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| | ANNUAL SHAREHOLDER REPORT | AS OF AUGUST 31, 2024 | This report describes changes to the Fund that occurred during the reporting period. |
| | Fidelity® Investment Grade Bond ETF Fidelity® Investment Grade Bond ETF : FIGB Principal U.S. Listing Exchange :NYSEArca NYSE Arca, Inc. |
| | | |
This annual shareholder report contains information about Fidelity® Investment Grade Bond ETF for the period September 1, 2023 to August 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last year?(based on hypothetical $10,000 investment)
FUND COST (PREVIOUS YEAR)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® Investment Grade Bond ETF | $ 37 | 0.36% | |
What affected the Fund's performance this period?
•U.S. taxable investment-grade bonds posted a strong advance for the 12 months ending August 31, 2024, helped by a late-period gain, as the bond market reflected anticipated interest-rate reductions by the U.S. Federal Reserve, which are expected to start in September. The full 12-month period was marked by high volatility.
•Against this backdrop, relative to the benchmark Bloomberg U.S. Aggregate Bond Index, the fund benefited from favorable duration positioning, as the fund was more interest-rate sensitive than the index in a period of often-falling rates.
•The fund also benefited from being overweight credit risk, which added value as credit spreads approached historically tight levels.
•Other notable contributors included the fund's allocations to securitized products, including outperforming stakes in commercial mortgage-backed securities, asset-backed securities and collateralized loan obligations.
•An overweight in investment-grade corporate bonds, especially those of bank issuers, also added value, although our positioning among industrial and utility bonds were modestly offsetting detractors.
•Notable changes in positioning include reduced exposure to investment-grade corporate bonds, increased exposure to U.S. Treasury debt, and purchases of mortgage bonds during periods of wider credit spreads.
How did the Fund perform over the life of Fund?
CUMULATIVE PERFORMANCE
March 2, 2021 through August 31, 2024.
Initial investment of $10,000.
Fidelity® Investment Grade Bond ETF | $10,000 | $10,216 | $9,026 | $8,951 |
Bloomberg U.S. Aggregate Bond Index | $10,000 | $10,156 | $8,986 | $8,879 |
| | 2021 | 2022 | 2023 | 2024 |
AVERAGE ANNUAL TOTAL RETURNS: | | 1 Year | Life of Fund |
Fidelity® Investment Grade Bond ETF - NAV A | 7.77% | -1.02% |
Fidelity® Investment Grade Bond ETF - Market Price B | 7.60% | -0.88% |
Bloomberg U.S. Aggregate Bond Index A | 7.30% | -1.37% |
A From March 2, 2021
B From March 4, 2021, date initially listed on the NYSE Arca, Inc. exchange
Visit www.fidelity.com for more recent performance information. |
The Fund's past performance is not a good predictor of the Fund's future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. |
Key Fund Statistics (as of August 31, 2024)
KEY FACTS | | |
| Fund Size | $122,028,691 | |
| Number of Holdings | 384 | |
| Total Advisory Fee | $207,138 | |
| Portfolio Turnover | 277% | |
What did the Fund invest in?
(as of August 31, 2024)
| U.S. Government and U.S. Government Agency Obligations | 66.4 |
| AAA | 5.2 |
| AA | 0.3 |
| A | 7.4 |
| BBB | 15.0 |
| BB | 1.8 |
| B | 0.7 |
| Not Rated | 2.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.0 |
QUALITY DIVERSIFICATION (% of Fund's net assets) |
|
| |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
| U.S. Treasury Obligations | 52.9 |
| Corporate Bonds | 23.1 |
| U.S. Government Agency - Mortgage Securities | 13.5 |
| Asset-Backed Securities | 6.5 |
| CMOs and Other Mortgage Related Securities | 3.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.0 |
ASSET ALLOCATION (% of Fund's net assets) |
|
|
| United States | 92.5 |
| Grand Cayman (Uk Overseas Ter) | 3.9 |
| United Kingdom | 0.9 |
| Bailiwick Of Jersey | 0.8 |
| Mexico | 0.7 |
| Ireland | 0.6 |
| Switzerland | 0.4 |
| Multi-national | 0.2 |
| Germany | 0.0 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
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| |
|
TOP HOLDINGS (% of Fund's net assets) | | |
| US Treasury Notes | 42.3 | |
| US Treasury Bonds | 10.6 | |
| Uniform Mortgage Backed Securities | 7.2 | |
| Ginnie Mae II Pool | 3.7 | |
| Fannie Mae Mortgage pass-thru certificates | 1.8 | |
| Bank of America Corp | 1.3 | |
| JPMorgan Chase & Co | 1.1 | |
| Wells Fargo & Co | 1.0 | |
| Charter Communications Operating LLC / Charter Communications Operating Capital | 0.9 | |
| Morgan Stanley | 0.8 | |
| | 70.7 | |
How has the Fund changed?
This is a summary of certain changes to the Fund since September 1, 2023. For more complete information, you may review the Fund's next prospectus, which we expect to be available by November 29, 2024 at fundresearch.fidelity.com/prospectus/sec or upon request at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.
The fund added a contractual proxy and shareholder meeting expense cap during the reporting period. | |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9913667.100 6353-TSRA-1024 |
| |
| | ANNUAL SHAREHOLDER REPORT | AS OF AUGUST 31, 2024 | |
| | Fidelity® Low Duration Bond ETF Fidelity® Low Duration Bond ETF : FLDB Principal U.S. Listing Exchange :NASDAQ NASDAQ/NMS Global Market |
| | | |
This annual shareholder report contains information about Fidelity® Low Duration Bond ETF for the period February 22, 2024 to August 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last year?(based on hypothetical $10,000 investment)
FUND COST (PREVIOUS YEAR)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
Fidelity® Low Duration Bond ETF A | $ 11 | 0.20% | |
A Expenses for the full reporting period would be higher.
What affected the Fund's performance this period?
•U.S. taxable investment-grade bonds posted a strong advance for the 12 months ending August 31, 2024, helped by a late-period gain, as the bond market reflected anticipated interest-rate reductions by the U.S. Federal Reserve, which are expected to start in September. The full 12-month period was marked by high volatility.
•Against this backdrop, the ETF's strategy of holding short-term debt in high-quality corporations contributed to performance versus the all-U.S.-Treasury benchmark. Within corporates, debt holdings among financial institutions - especially banks - and industrial firms, particularly in the consumer cyclical and consumer non-cyclical segments, added notable value.
•Non-benchmark exposure to asset-backed securities, primarily car loan debt, also meaningfully contributed.
•In contrast, an allocation to interest-earning cash was a modest drag on relative performance.
•At period end, corporates made up about 55% of fund assets, down from roughly 65% on March 1, 2024 (the fund's inception date is February 22, 2024). At the same time, we increased exposure to U.S. Treasurys from about 23% to roughly 26% of assets, while increasing out-of-benchmark exposure to asset-backed securities from about 8% to approximately 16% of assets as of August 31.
How did the Fund perform over the life of Fund?
CUMULATIVE PERFORMANCE
February 22, 2024 through August 31, 2024.
Initial investment of $10,000.
Fidelity® Low Duration Bond ETF | $10,000 |
Bloomberg US Treasury Bill: 6-9 Months Index | $10,000 |
Bloomberg U.S. Aggregate Bond Index | $10,000 |
| | 2024 |
Visit www.fidelity.com for more recent performance information. |
The Fund's past performance is not a good predictor of the Fund's future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. |
Key Fund Statistics (as of August 31, 2024)
KEY FACTS | | |
| Fund Size | $373,830,821 | |
| Number of Holdings | 406 | |
| Total Advisory Fee | $289,923 | |
| Portfolio Turnover | 15% | |
What did the Fund invest in?
(as of August 31, 2024)
| U.S. Government and U.S. Government Agency Obligations | 25.5 |
| AAA | 17.0 |
| AA | 1.2 |
| A | 27.4 |
| BBB | 26.2 |
| BB | 0.6 |
| Not Rated | 1.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.9 |
QUALITY DIVERSIFICATION (% of Fund's net assets) |
|
| |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
| Corporate Bonds | 55.0 |
| U.S. Treasury Obligations | 25.5 |
| Asset-Backed Securities | 15.6 |
| CMOs and Other Mortgage Related Securities | 2.8 |
| Other Investments | 0.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.9 |
ASSET ALLOCATION (% of Fund's net assets) |
|
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| United States | 78.2 |
| Canada | 4.4 |
| United Kingdom | 4.3 |
| Germany | 3.1 |
| Netherlands | 1.8 |
| Japan | 1.6 |
| France | 1.6 |
| Switzerland | 1.4 |
| Ireland | 1.0 |
| Others | 2.6 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
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| |
|
TOP HOLDINGS (% of Fund's net assets) | | |
| US Treasury Notes | 13.8 | |
| US Treasury Bill | 11.7 | |
| Bank of America Corp | 1.8 | |
| JPMorgan Chase & Co | 1.7 | |
| Lloyds Banking Group PLC | 1.5 | |
| UBS Group AG | 1.4 | |
| Citigroup Inc | 1.4 | |
| Wells Fargo & Co | 1.3 | |
| Volkswagen Group of America Finance LLC | 1.2 | |
| HSBC Holdings PLC | 1.2 | |
| | 37.0 | |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9917137.100 7578-TSRA-1024 |
| |
| | ANNUAL SHAREHOLDER REPORT | AS OF AUGUST 31, 2024 | This report describes changes to the Fund that occurred during the reporting period. |
| | Fidelity® Low Duration Bond Factor ETF Fidelity® Low Duration Bond Factor ETF : FLDR Principal U.S. Listing Exchange :CboeBZX Cboe BZX Exchange, Inc. |
| | | |
This annual shareholder report contains information about Fidelity® Low Duration Bond Factor ETF for the period September 1, 2023 to August 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last year?(based on hypothetical $10,000 investment)
FUND COST (PREVIOUS YEAR)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® Low Duration Bond Factor ETF | $ 16 | 0.15% | |
What affected the Fund's performance this period?
•U.S. taxable investment-grade bonds posted a strong advance for the 12 months ending August 31, 2024, helped by late-period gains as the bond market priced in anticipated interest-rate reductions by the U.S. Federal Reserve, which are expected to start in September. The full 12-month period was marked by high levels of volatility.
•Given the large number of securities in the index (roughly 330) and the significant costs associated with full replication of the index, we construct the portfolio using optimization. This approach minimizes the differences between risk exposures of the fund relative to the index.
•Exposures include duration, key rate durations, credit quality, sector and issuer allocation, and other factors.
How did the Fund perform over the life of Fund?
CUMULATIVE PERFORMANCE
June 12, 2018 through August 31, 2024.
Initial investment of $10,000.
Fidelity® Low Duration Bond Factor ETF | $10,000 | $10,075 | $10,473 | $10,733 | $10,772 | $10,607 | $11,123 |
Fidelity Low Duration Investment Grade Factor Index℠ | $10,000 | $10,076 | $10,497 | $10,795 | $10,854 | $10,713 | $11,252 |
Bloomberg US Treasury Bill: 6-9 Months Index | $10,000 | $10,045 | $10,314 | $10,503 | $10,514 | $10,474 | $10,800 |
Bloomberg U.S. Aggregate Bond Index | $10,000 | $10,120 | $11,150 | $11,871 | $11,861 | $10,496 | $10,370 |
| | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 |
AVERAGE ANNUAL TOTAL RETURNS: | | 1 Year | 5 Year | Life of Fund |
Fidelity® Low Duration Bond Factor ETF - NAV A | 6.63% | 2.52% | 2.78% |
Fidelity® Low Duration Bond Factor ETF - Market Price B | 6.70% | 2.54% | 2.80% |
Fidelity Low Duration Investment Grade Factor Index℠ A | 6.80% | 2.74% | 3.00% |
Bloomberg US Treasury Bill: 6-9 Months Index A | 5.37% | 1.99% | 2.10% |
Bloomberg U.S. Aggregate Bond Index A | 7.30% | -0.04% | 1.73% |
A From June 12, 2018
B From June 14, 2018, date initially listed on the Cboe BZX Exchange, Inc. exchange
Visit www.fidelity.com for more recent performance information. |
The Fund's past performance is not a good predictor of the Fund's future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. |
Key Fund Statistics (as of August 31, 2024)
KEY FACTS | | |
| Fund Size | $539,541,864 | |
| Number of Holdings | 274 | |
| Total Advisory Fee | $571,779 | |
| Portfolio Turnover | 38% | |
What did the Fund invest in?
(as of August 31, 2024)
| U.S. Government and U.S. Government Agency Obligations | 12.1 |
| AAA | 1.7 |
| AA | 24.8 |
| A | 53.5 |
| BBB | 6.5 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.4 |
QUALITY DIVERSIFICATION (% of Fund's net assets) |
|
| |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
| Corporate Bonds | 86.5 |
| U.S. Treasury Obligations | 12.1 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.4 |
ASSET ALLOCATION (% of Fund's net assets) |
|
|
| United States | 58.7 |
| Australia | 11.0 |
| Canada | 8.4 |
| United Kingdom | 4.4 |
| Germany | 4.4 |
| Japan | 3.6 |
| Netherlands | 3.0 |
| France | 2.5 |
| Switzerland | 1.9 |
| Others | 2.1 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
|
| |
|
TOP HOLDINGS (% of Fund's net assets) | | |
| US Treasury Notes | 12.1 | |
| JPMorgan Chase & Co | 3.6 | |
| Goldman Sachs Group Inc/The | 3.3 | |
| National Australia Bank Ltd | 2.9 | |
| Royal Bank of Canada | 2.7 | |
| Caterpillar Financial Services Corp | 2.3 | |
| John Deere Capital Corp | 2.3 | |
| Bank of America Corp | 2.3 | |
| Morgan Stanley | 2.2 | |
| Westpac Banking Corp | 2.1 | |
| | 35.8 | |
How has the Fund changed?
This is a summary of certain changes to the Fund since September 1, 2023. For more complete information, you may review the Fund's next prospectus, which we expect to be available by November 29, 2024 at fundresearch.fidelity.com/prospectus/sec or upon request at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.
The fund added a contractual proxy and shareholder meeting expense cap during the reporting period. | |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9913657.100 3089-TSRA-1024 |
| |
| | ANNUAL SHAREHOLDER REPORT | AS OF AUGUST 31, 2024 | |
| | Fidelity® Tactical Bond ETF Fidelity® Tactical Bond ETF : FTBD Principal U.S. Listing Exchange :NYSEArca NYSE Arca, Inc. |
| | | |
This annual shareholder report contains information about Fidelity® Tactical Bond ETF for the period September 1, 2023 to August 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last year?(based on hypothetical $10,000 investment)
FUND COST (PREVIOUS YEAR)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® Tactical Bond ETF | $ 58 | 0.55% | |
What affected the Fund's performance this period?
•U.S. taxable investment-grade bonds posted a strong advance for the 12 months ending August 31, 2024, helped by a late-period gain, as the bond market reflected anticipated interest-rate reductions by the U.S. Federal Reserve, which are expected to start in September. The full 12-month period was marked by high volatility.
•Against this backdrop, relative to the benchmark Bloomberg U.S. Aggregate Bond Index, the fund benefited from favorable duration positioning, as the fund was more interest-rate sensitive than the index in a period of often-falling rates.
•Yield curve positioning, however, detracted a bit as the curve steepened.
•The fund also benefited from being overweight credit risk via high-yield corporate debt and leveraged loans, which added value as credit spreads approached all-time tight levels.
•Other notable contributors included the fund's allocation to securitized products, including outperforming stakes in commercial mortgage-backed securities and asset-backed securities
•Notable changes in positioning include reduced exposure to corporate bonds and increased exposure to U.S. Treasury debt.
How did the Fund perform over the life of Fund?
CUMULATIVE PERFORMANCE
January 24, 2023 through August 31, 2024.
Initial investment of $10,000.
Fidelity® Tactical Bond ETF | $10,000 | $9,918 |
Bloomberg U.S. Aggregate Bond Index | $10,000 | $9,831 |
| | 2023 | 2024 |
AVERAGE ANNUAL TOTAL RETURNS: | | 1 Year | Life of Fund |
Fidelity® Tactical Bond ETF - NAV A | 8.46% | 4.66% |
Fidelity® Tactical Bond ETF - Market Price B | 8.49% | 4.73% |
Bloomberg U.S. Aggregate Bond Index A | 7.30% | 3.39% |
A From January 24, 2023
B From January 26, 2023, date initially listed on the NYSE Arca, Inc. exchange
Visit www.fidelity.com for more recent performance information. |
The Fund's past performance is not a good predictor of the Fund's future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. |
Key Fund Statistics (as of August 31, 2024)
KEY FACTS | | |
| Fund Size | $24,854,986 | |
| Number of Holdings | 665 | |
| Total Advisory Fee | $82,617 | |
| Portfolio Turnover | 37% | |
What did the Fund invest in?
(as of August 31, 2024)
| U.S. Government and U.S. Government Agency Obligations | 55.3 |
| AAA | 0.7 |
| AA | 0.6 |
| A | 2.9 |
| BBB | 11.2 |
| BB | 13.1 |
| B | 6.2 |
| CCC,CC,C | 2.7 |
| Not Rated | 1.7 |
| Equities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 5.6 |
QUALITY DIVERSIFICATION (% of Fund's net assets) |
|
| |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
| U.S. Treasury Obligations | 55.3 |
| Corporate Bonds | 27.3 |
| Foreign Government and Government Agency Obligations | 4.2 |
| Preferred Securities | 2.8 |
| Asset-Backed Securities | 1.9 |
| CMOs and Other Mortgage Related Securities | 1.7 |
| Municipal Securities | 0.6 |
| Bank Loan Obligations | 0.6 |
| Common Stocks | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 5.6 |
ASSET ALLOCATION (% of Fund's net assets) |
|
|
| United States | 82.0 |
| Canada | 3.1 |
| United Kingdom | 2.0 |
| Mexico | 1.9 |
| Brazil | 1.3 |
| Grand Cayman (UK Overseas Ter) | 1.1 |
| Dominican Republic | 1.0 |
| Switzerland | 1.0 |
| Luxembourg | 1.0 |
| Others | 5.6 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
|
| |
|
TOP HOLDINGS (% of Fund's net assets) | | |
| US Treasury Notes | 47.9 | |
| US Treasury Bonds | 7.4 | |
| Bank of Nova Scotia/The | 1.6 | |
| Petroleos Mexicanos | 1.4 | |
| DPL Inc | 1.2 | |
| Charter Communications Operating LLC / Charter Communications Operating Capital | 1.1 | |
| Dominican Republic | 1.0 | |
| Millicom International Cellular SA | 0.9 | |
| Ford Motor Credit Co LLC | 0.9 | |
| Colombian Republic | 0.9 | |
| | 64.3 | |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9913701.100 7324-TSRA-1024 |
| |
| | ANNUAL SHAREHOLDER REPORT | AS OF AUGUST 31, 2024 | This report describes changes to the Fund that occurred during the reporting period. |
| | Fidelity® Limited Term Bond ETF Fidelity® Limited Term Bond ETF : FLTB Principal U.S. Listing Exchange :NYSEArca NYSE Arca, Inc. |
| | | |
This annual shareholder report contains information about Fidelity® Limited Term Bond ETF for the period September 1, 2023 to August 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last year?(based on hypothetical $10,000 investment)
FUND COST (PREVIOUS YEAR)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® Limited Term Bond ETF | $ 26 | 0.25% | |
What affected the Fund's performance this period?
•U.S. taxable investment-grade bonds posted a strong advance for the 12 months ending August 31, 2024, helped by a late-period gain, as the bond market reflected anticipated interest-rate reductions by the U.S. Federal Reserve, which are expected to start in September. The full 12-month period was marked by high volatility.
•Against this backdrop, the ETF's strategy of favoring limited-term corporate bonds, while underweighting similar-duration U.S. Treasurys, contributed to its performance versus the composite index. Within corporates, debt holdings among financial institutions - especially banks - and industrial firms, particularly in the consumer cyclical and consumer non-cyclical segments, added value.
•Non-composite exposure to asset-backed securities, including collateralized loan obligations and car loan debt, also meaningfully contributed. An out-of-index allocation to commercial mortgage-backed securities helped as well.
•In contrast, the fund's yield-curve positioning detracted. Specifically, the fund was positioned further out on the yield curve than the composite index, which hurt relative performance.
•At period end, corporates made up about 72% of fund assets, up from roughly 66% a year ago and overweight versus the composite index average of about 68%. Exposure to U.S. Treasurys stood at 7% as of August 31, compared with an average of roughly 19% for the composite index and about 66% for the fund's Bloomberg 1-5 year benchmark.
How did the Fund perform over the life of Fund?
CUMULATIVE PERFORMANCE
October 6, 2014 through August 31, 2024.
Initial investment of $10,000.
Fidelity® Limited Term Bond ETF | $10,000 | $10,122 | $10,464 | $10,596 | $10,571 | $11,229 | $11,795 | $11,892 | $11,134 | $11,358 | $12,253 |
Bloomberg U.S. 1-5 Year Government/Credit Bond Index | $10,000 | $10,129 | $10,370 | $10,467 | $10,422 | $11,043 | $11,564 | $11,602 | $10,924 | $11,054 | $11,791 |
Fidelity Limited Term Composite Index℠ | $10,000 | $10,120 | $10,431 | $10,591 | $10,576 | $11,254 | $11,819 | $11,930 | $11,211 | $11,415 | $12,273 |
Bloomberg U.S. Aggregate Bond Index | $10,000 | $10,172 | $10,778 | $10,831 | $10,718 | $11,808 | $12,572 | $12,562 | $11,115 | $10,983 | $11,784 |
| | 2014 | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 |
AVERAGE ANNUAL TOTAL RETURNS: | | 1 Year | 5 Year | Life of Fund |
Fidelity® Limited Term Bond ETF - NAV A | 7.88% | 1.76% | 2.07% |
Fidelity® Limited Term Bond ETF - Market Price B | 7.96% | 1.75% | 2.03% |
Bloomberg U.S. 1-5 Year Government/Credit Bond Index A | 6.67% | 1.32% | 1.68% |
Fidelity Limited Term Composite Index℠ A | 7.52% | 1.75% | 2.09% |
Bloomberg U.S. Aggregate Bond Index A | 7.30% | -0.04% | 1.67% |
A From October 6, 2014
B From October 9, 2014, date initially listed on the NYSE Arca, Inc. exchange
Visit www.fidelity.com for more recent performance information. |
The Fund's past performance is not a good predictor of the Fund's future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. |
Key Fund Statistics (as of August 31, 2024)
KEY FACTS | | |
| Fund Size | $149,845,314 | |
| Number of Holdings | 729 | |
| Total Advisory Fee | $383,186 | |
| Portfolio Turnover | 60% | |
What did the Fund invest in?
(as of August 31, 2024)
| U.S. Government and U.S. Government Agency Obligations | 6.5 |
| AAA | 11.1 |
| AA | 1.5 |
| A | 26.9 |
| BBB | 38.4 |
| BB | 5.1 |
| B | 4.3 |
| CCC,CC,C | 0.5 |
| Not Rated | 4.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.7 |
QUALITY DIVERSIFICATION (% of Fund's net assets) |
|
| |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
| Corporate Bonds | 72.2 |
| Asset-Backed Securities | 10.7 |
| CMOs and Other Mortgage Related Securities | 7.0 |
| U.S. Treasury Obligations | 6.4 |
| Bank Loan Obligations | 1.6 |
| U.S. Government Agency - Mortgage Securities | 0.1 |
| Other Investments | 0.1 |
| Foreign Government and Government Agency Obligations | 0.1 |
| Preferred Securities | 0.1 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.7 |
ASSET ALLOCATION (% of Fund's net assets) |
|
|
| United States | 75.3 |
| United Kingdom | 5.1 |
| Grand Cayman (Uk Overseas Ter) | 4.4 |
| Canada | 3.5 |
| Germany | 2.8 |
| Japan | 1.4 |
| France | 1.3 |
| Ireland | 1.0 |
| Netherlands | 1.0 |
| Others | 4.2 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
|
| |
|
TOP HOLDINGS (% of Fund's net assets) | | |
| US Treasury Notes | 6.4 | |
| JPMorgan Chase & Co | 2.2 | |
| Bank of America Corp | 2.0 | |
| Morgan Stanley | 1.6 | |
| Wells Fargo & Co | 1.4 | |
| Goldman Sachs Group Inc/The | 1.4 | |
| Citigroup Inc | 1.2 | |
| Ford Motor Credit Co LLC | 1.1 | |
| HSBC Holdings PLC | 1.0 | |
| Hyundai Capital America | 0.9 | |
| | 19.2 | |
How has the Fund changed?
This is a summary of certain changes to the Fund since September 1, 2023. For more complete information, you may review the Fund's next prospectus, which we expect to be available by November 29, 2024 at fundresearch.fidelity.com/prospectus/sec or upon request at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.
The fees associated with this class changed during the reporting year. The variations in class fees are primarily the result of the following changes: | The fund's principal investment strategies were modified during the reporting period, as described in the prospectus. |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9913647.100 2721-TSRA-1024 |
| |
| | ANNUAL SHAREHOLDER REPORT | AS OF AUGUST 31, 2024 | |
| | Fidelity® Total Bond ETF Fidelity® Total Bond ETF : FBND Principal U.S. Listing Exchange :NYSEArca NYSE Arca, Inc. |
| | | |
This annual shareholder report contains information about Fidelity® Total Bond ETF for the period September 1, 2023 to August 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last year?(based on hypothetical $10,000 investment)
FUND COST (PREVIOUS YEAR)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® Total Bond ETF | $ 37 | 0.36% | |
What affected the Fund's performance this period?
•U.S. taxable investment-grade bonds posted a strong advance for the 12 months ending August 31, 2024, helped by a late-period gain, as the bond market reflected anticipated interest-rate reductions by the U.S. Federal Reserve, which are expected to start in September. The full 12-month period was marked by high volatility.
•Against this backdrop, allocations to "plus sectors" - including high-yield bonds, leveraged loans and emerging markets debt - notably contributed to the fund's outperformance of the Bloomberg U.S. Aggregate Index for the fiscal year.
•Among investment-grade securities, security selection and sector allocation also meaningfully contributed.
•In terms of sector allocation, investment choices and overweight positions in the asset-backed securities, mortgage-backed securities and commercial mortgage-backed securities segments each helped relative performance the past 12 months.
•As for security selection, fund holdings in the corporate segment made a notable contribution, led by picks among financials, particularly REITs and banks.
•In contrast, the fund's underweight in industrial bonds within the corporate sector detracted versus the Aggregate index the past 12 months.
How did the Fund perform over the life of Fund?
CUMULATIVE PERFORMANCE
October 6, 2014 through August 31, 2024.
Initial investment of $10,000.
Fidelity® Total Bond ETF | $10,000 | $10,083 | $10,773 | $10,987 | $10,911 | $11,972 | $12,942 | $13,188 | $11,695 | $11,719 | $12,684 |
Bloomberg U.S. Universal Bond Index | $10,000 | $10,142 | $10,801 | $10,946 | $10,845 | $11,937 | $12,703 | $12,815 | $11,296 | $11,252 | $12,143 |
Bloomberg U.S. Aggregate Bond Index | $10,000 | $10,172 | $10,778 | $10,831 | $10,718 | $11,808 | $12,572 | $12,562 | $11,115 | $10,983 | $11,784 |
| | 2014 | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 |
AVERAGE ANNUAL TOTAL RETURNS: | | 1 Year | 5 Year | Life of Fund |
Fidelity® Total Bond ETF - NAV A | 8.24% | 1.16% | 2.43% |
Fidelity® Total Bond ETF - Market Price B | 8.17% | 1.16% | 2.38% |
Bloomberg U.S. Universal Bond Index A | 7.92% | 0.34% | 1.98% |
Bloomberg U.S. Aggregate Bond Index A | 7.30% | -0.04% | 1.67% |
A From October 6, 2014
B From October 9, 2014, date initially listed on the NYSE Arca, Inc. exchange
Visit www.fidelity.com for more recent performance information. |
The Fund's past performance is not a good predictor of the Fund's future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. |
Key Fund Statistics (as of August 31, 2024)
KEY FACTS | | |
| Fund Size | $11,596,359,627 | |
| Number of Holdings | 3,949 | |
| Total Advisory Fee | $28,022,712 | |
| Portfolio Turnover | 313% | |
What did the Fund invest in?
(as of August 31, 2024)
| U.S. Government and U.S. Government Agency Obligations | 54.0 |
| AAA | 7.8 |
| AA | 0.4 |
| A | 9.3 |
| BBB | 17.8 |
| BB | 3.8 |
| B | 6.2 |
| CCC,CC,C | 0.9 |
| D | 0.0 |
| Not Rated | 3.5 |
| Equities | 0.0 |
QUALITY DIVERSIFICATION (% of Fund's net assets) |
|
| Short-Term Investments and Net Other Assets (Liabilities) - (3.7)% |
| |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
| U.S. Treasury Obligations | 33.3 |
| Corporate Bonds | 30.7 |
| U.S. Government Agency - Mortgage Securities | 20.7 |
| Asset-Backed Securities | 6.6 |
| CMOs and Other Mortgage Related Securities | 6.3 |
| Bank Loan Obligations | 4.5 |
| Foreign Government and Government Agency Obligations | 1.2 |
| Preferred Securities | 0.3 |
| Purchased Swaptions | 0.1 |
| Other Investments | 0.0 |
| Common Stocks | 0.0 |
ASSET ALLOCATION (% of Fund's net assets) |
|
| Short-Term Investments and Net Other Assets (Liabilities) - (3.7)% |
|
| United States | 88.1 |
| Grand Cayman (UK Overseas Ter) | 3.2 |
| United Kingdom | 1.4 |
| Mexico | 1.2 |
| Ireland | 0.9 |
| Bailiwick Of Jersey | 0.7 |
| Switzerland | 0.6 |
| Germany | 0.6 |
| Canada | 0.6 |
| Others | 2.7 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
|
| |
|
TOP HOLDINGS (% of Fund's net assets) | | |
| US Treasury Notes | 22.6 | |
| US Treasury Bonds | 10.7 | |
| Uniform Mortgage Backed Securities | 6.9 | |
| Ginnie Mae II Pool | 5.6 | |
| Fannie Mae Mortgage pass-thru certificates | 5.1 | |
| Freddie Mac Gold Pool | 2.8 | |
| JPMorgan Chase & Co | 1.6 | |
| Bank of America Corp | 1.5 | |
| Wells Fargo & Co | 1.2 | |
| Morgan Stanley | 1.2 | |
| | 59.2 | |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9913648.100 2722-TSRA-1024 |
| |
| | ANNUAL SHAREHOLDER REPORT | AS OF AUGUST 31, 2024 | This report describes changes to the Fund that occurred during the reporting period. |
| | Fidelity® Sustainable Low Duration Bond ETF Fidelity® Sustainable Low Duration Bond ETF : FSLD Principal U.S. Listing Exchange :NYSEArca NYSE Arca, Inc. |
| | | |
This annual shareholder report contains information about Fidelity® Sustainable Low Duration Bond ETF for the period September 1, 2023 to August 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last year?(based on hypothetical $10,000 investment)
FUND COST (PREVIOUS YEAR)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® Sustainable Low Duration Bond ETF | $ 21 | 0.20% | |
What affected the Fund's performance this period?
•U.S. taxable investment-grade bonds posted a strong advance for the 12 months ending August 31, 2024, helped by a late-period gain, as the bond market reflected anticipated interest-rate reductions by the U.S. Federal Reserve, which are expected to start in September. The full 12-month period was marked by high volatility.
•Against this backdrop, the ETF's strategy of holding short-term debt in high-quality corporations contributed to performance versus the all-U.S.-Treasury benchmark. Within corporates, debt holdings among financial institutions - especially banks - and industrial firms, particularly in the consumer cyclical and consumer non-cyclical segments, added notable value.
•Non-benchmark exposure to asset-backed securities, primarily car loan debt, also meaningfully contributed.
•There were no notable relative detractors among the fund's principal investment strategies.
•At period end, corporates made up about 62% of fund assets, down from roughly 64% a year ago. At the same time, we decreased exposure to U.S. Treasurys from about 32% to roughly 26% of assets, while increasing out-of-benchmark exposure to asset-backed securities from about 5% to approximately 9% of assets as of August 31.
Application of FMR's environmental, social, and governance (ESG) ratings process and/or its sustainable investing exclusion criteria may affect the fund's exposure to certain issuers, sectors, regions, and countries and may affect the fund's performance.
How did the Fund perform over the life of Fund?
CUMULATIVE PERFORMANCE
April 19, 2022 through August 31, 2024.
Initial investment of $10,000.
Fidelity® Sustainable Low Duration Bond ETF | $10,000 | $10,016 | $10,444 |
Bloomberg US Treasury Bill: 6-9 Months Index | $10,000 | $9,991 | $10,302 |
Bloomberg U.S. Aggregate Bond Index | $10,000 | $9,847 | $9,730 |
| | 2022 | 2023 | 2024 |
AVERAGE ANNUAL TOTAL RETURNS: | | 1 Year | Life of Fund |
Fidelity® Sustainable Low Duration Bond ETF - NAV A | 5.83% | 4.32% |
Fidelity® Sustainable Low Duration Bond ETF - Market Price B | 5.86% | 4.37% |
Bloomberg US Treasury Bill: 6-9 Months Index A | 5.37% | 3.53% |
Bloomberg U.S. Aggregate Bond Index A | 7.30% | 1.83% |
A From April 19, 2022
B From April 21, 2022, date initially listed on the NYSE Arca, Inc. exchange
Visit www.fidelity.com for more recent performance information. |
The Fund's past performance is not a good predictor of the Fund's future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. |
Key Fund Statistics (as of August 31, 2024)
KEY FACTS | | |
| Fund Size | $3,758,355 | |
| Number of Holdings | 195 | |
| Total Advisory Fee | $8,909 | |
| Portfolio Turnover | 50% | |
What did the Fund invest in?
(as of August 31, 2024)
| U.S. Government and U.S. Government Agency Obligations | 25.9 |
| AAA | 9.5 |
| A | 29.5 |
| BBB | 31.9 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.2 |
QUALITY DIVERSIFICATION (% of Fund's net assets) |
|
| |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
| Corporate Bonds | 61.4 |
| U.S. Treasury Obligations | 25.9 |
| Asset-Backed Securities | 8.6 |
| CMOs and Other Mortgage Related Securities | 0.9 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.2 |
ASSET ALLOCATION (% of Fund's net assets) |
|
|
| United States | 91.0 |
| Canada | 7.5 |
| China | 1.5 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
|
| |
|
TOP HOLDINGS (% of Fund's net assets) | | |
| US Treasury Bill | 25.9 | |
| Bank of America Corp | 2.2 | |
| Wells Fargo & Co | 2.2 | |
| Goldman Sachs Group Inc/The | 2.2 | |
| JPMorgan Chase & Co | 2.1 | |
| Morgan Stanley | 2.1 | |
| Equitable Financial Life Global Funding | 2.0 | |
| Hyundai Capital America | 1.9 | |
| Citigroup Inc | 1.7 | |
| Truist Financial Corp | 1.7 | |
| | 44.0 | |
How has the Fund changed?
This is a summary of certain changes to the Fund since September 1, 2023. For more complete information, you may review the Fund's next prospectus, which we expect to be available by November 29, 2024 at fundresearch.fidelity.com/prospectus/sec or upon request at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.
The fees associated with this class changed during the reporting year. The variations in class fees are primarily the result of the following changes: - •Management fee
- •Operating expenses
- •Expense reductions
The fund added a contractual proxy and shareholder meeting expense cap during the reporting period. | The fund modified its principal investment risks during the reporting period. |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9913699.100 6564-TSRA-1024 |
| |
| | ANNUAL SHAREHOLDER REPORT | AS OF AUGUST 31, 2024 | This report describes changes to the Fund that occurred during the reporting period. |
| | Fidelity® Sustainable Core Plus Bond ETF Fidelity® Sustainable Core Plus Bond ETF : FSBD Principal U.S. Listing Exchange :NYSEArca NYSE Arca, Inc. |
| | | |
This annual shareholder report contains information about Fidelity® Sustainable Core Plus Bond ETF for the period September 1, 2023 to August 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last year?(based on hypothetical $10,000 investment)
FUND COST (PREVIOUS YEAR)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® Sustainable Core Plus Bond ETF | $ 38 | 0.36% | |
What affected the Fund's performance this period?
•U.S. taxable investment-grade bonds posted a strong advance for the 12 months ending August 31, 2024, helped by a late-period gain, as the bond market reflected anticipated interest-rate reductions by the U.S. Federal Reserve, which are expected to start in September. The full 12-month period was marked by high volatility.
•Against this backdrop, an out-of-benchmark allocation to high-yield bonds notably contributed to the fund's outperformance of the Bloomberg U.S. Aggregate Bond Index for the fiscal year.
•Choices among investment-grade asset-backed securities also made a meaningful contribution to the relative result, led by fund holdings in collateralized loan obligations. Non-benchmark picks among global bonds were beneficial, too.
•Holdings in the corporate sector added value as well, particularly picks among financials and utilities, as well as overweights within those segments.
•In contrast, the fund's underweight in industrial bonds within the corporate sector detracted versus the Aggregate index the past 12 months.
Application of FMR's environmental, social, and governance (ESG) ratings process and/or its sustainable investing exclusion criteria may affect the fund's exposure to certain issuers, sectors, regions, and countries and may affect the fund's performance.
How did the Fund perform over the life of Fund?
CUMULATIVE PERFORMANCE
April 19, 2022 through August 31, 2024.
Initial investment of $10,000.
Fidelity® Sustainable Core Plus Bond ETF | $10,000 | $9,728 | $9,719 |
Bloomberg MSCI U.S. Aggregate ESG Choice Bond Index | $10,000 | $9,851 | $9,737 |
Bloomberg U.S. Aggregate Bond Index | $10,000 | $9,847 | $9,730 |
| | 2022 | 2023 | 2024 |
AVERAGE ANNUAL TOTAL RETURNS: | | 1 Year | Life of Fund |
Fidelity® Sustainable Core Plus Bond ETF - NAV A | 8.31% | 2.19% |
Fidelity® Sustainable Core Plus Bond ETF - Market Price B | 8.61% | 2.33% |
Bloomberg MSCI U.S. Aggregate ESG Choice Bond Index A | 7.26% | 1.85% |
Bloomberg U.S. Aggregate Bond Index A | 7.30% | 1.83% |
A From April 19, 2022
B From April 21, 2022, date initially listed on the NYSE Arca, Inc. exchange
Visit www.fidelity.com for more recent performance information. |
The Fund's past performance is not a good predictor of the Fund's future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. |
Key Fund Statistics (as of August 31, 2024)
KEY FACTS | | |
| Fund Size | $11,895,859 | |
| Number of Holdings | 481 | |
| Total Advisory Fee | $41,505 | |
| Portfolio Turnover | 327% | |
What did the Fund invest in?
(as of August 31, 2024)
| U.S. Government and U.S. Government Agency Obligations | 48.5 |
| AAA | 8.2 |
| AA | 1.1 |
| A | 13.4 |
| BBB | 19.7 |
| BB | 4.4 |
| B | 4.6 |
| CCC,CC,C | 1.9 |
| Not Rated | 1.3 |
| Equities | 0.0 |
QUALITY DIVERSIFICATION (% of Fund's net assets) |
|
| Short-Term Investments and Net Other Assets (Liabilities) - (3.1)% |
| |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
| Corporate Bonds | 43.5 |
| U.S. Treasury Obligations | 25.8 |
| U.S. Government Agency - Mortgage Securities | 22.7 |
| Asset-Backed Securities | 8.4 |
| Preferred Securities | 1.1 |
| CMOs and Other Mortgage Related Securities | 1.0 |
| Bank Loan Obligations | 0.5 |
| Foreign Government and Government Agency Obligations | 0.1 |
| Common Stocks | 0.0 |
ASSET ALLOCATION (% of Fund's net assets) |
|
| Short-Term Investments and Net Other Assets (Liabilities) - (3.1)% |
|
| United States | 83.7 |
| Grand Cayman (Uk Overseas Ter) | 5.5 |
| Multi-national | 2.1 |
| United Kingdom | 1.8 |
| Canada | 1.4 |
| Ireland | 1.1 |
| France | 1.1 |
| Germany | 1.0 |
| Spain | 0.9 |
| Others | 1.4 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
|
| |
|
TOP HOLDINGS (% of Fund's net assets) | | |
| US Treasury Notes | 16.0 | |
| Uniform Mortgage Backed Securities | 11.8 | |
| US Treasury Bonds | 9.8 | |
| Ginnie Mae II Pool | 5.5 | |
| Fannie Mae Mortgage pass-thru certificates | 3.4 | |
| Symphony Clo Xxvi Ltd / Symphony Clo Xxvi LLC | 2.6 | |
| Cedar Funding Lt | 2.1 | |
| Allegro Clo Xv Ltd / Allegro Clo Vx LLC | 2.1 | |
| Freddie Mac Gold Pool | 1.7 | |
| Bank of America Corp | 1.6 | |
| | 56.6 | |
How has the Fund changed?
This is a summary of certain changes to the Fund since September 1, 2023. For more complete information, you may review the Fund's next prospectus, which we expect to be available by November 29, 2024 at fundresearch.fidelity.com/prospectus/sec or upon request at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.
The fund modified its principal investment risks during the reporting period. | |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9913698.100 6563-TSRA-1024 |
| |
| | ANNUAL SHAREHOLDER REPORT | AS OF AUGUST 31, 2024 | |
| | Fidelity® Corporate Bond ETF Fidelity® Corporate Bond ETF : FCOR Principal U.S. Listing Exchange :NYSEArca NYSE Arca, Inc. |
| | | |
This annual shareholder report contains information about Fidelity® Corporate Bond ETF for the period September 1, 2023 to August 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last year?(based on hypothetical $10,000 investment)
FUND COST (PREVIOUS YEAR)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® Corporate Bond ETF | $ 38 | 0.36% | |
What affected the Fund's performance this period?
•U.S. taxable investment-grade bonds posted a strong advance for the 12 months ending August 31, 2024, helped by a late-period gain, as the bond market reflected anticipated interest-rate reductions by the U.S. Federal Reserve, which are expected to start in September. The full 12-month period was marked by high volatility.
•Security selection drove the fund's favorable performance versus the benchmark, while sector positioning slightly detracted overall.
•Bond picks among issuers in the financials sector added the most value. Having greater-than-benchmark exposure to financials also helped.
•Within financials, selection among banks contributed the most, followed by investment choices among insurance companies and overall positioning in real estate investment trusts (REITs).
•Picks among industrial issuers also notably aided relative performance, as did a sizable underweight in the sector.
•Within industrials, selection among consumer-focused companies led the way. Positioning among information technology issuers in the benchmark provided a further boost, along with picks in the energy category.
•Holding of bonds issued by electric utility companies modestly contributed.
•In terms of yield-curve positioning, the fund benefited from overweight exposure to the intermediate-maturity 5-10 year portion of the curve.
•Outside of corporate credit, an allocation to U.S. Treasuries and cash - held for liquidity and risk-management purposes - meaningfully detracted. This negative was somewhat offset by underweighting other government-related categories, as these bonds lagged credit in an improving market environment.
How did the Fund perform over the life of Fund?
CUMULATIVE PERFORMANCE
October 6, 2014 through August 31, 2024.
Initial investment of $10,000.
Fidelity® Corporate Bond ETF | $10,000 | $9,974 | $10,902 | $11,167 | $11,010 | $12,483 | $13,489 | $13,909 | $11,781 | $11,921 | $13,114 |
Bloomberg U.S. Credit Bond Index | $10,000 | $10,022 | $10,938 | $11,146 | $11,036 | $12,470 | $13,354 | $13,657 | $11,686 | $11,785 | $12,843 |
Bloomberg U.S. Aggregate Bond Index | $10,000 | $10,172 | $10,778 | $10,831 | $10,718 | $11,808 | $12,572 | $12,562 | $11,115 | $10,983 | $11,784 |
| | 2014 | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 |
AVERAGE ANNUAL TOTAL RETURNS: | | 1 Year | 5 Year | Life of Fund |
Fidelity® Corporate Bond ETF - NAV A | 10.00% | 0.99% | 2.77% |
Fidelity® Corporate Bond ETF - Market Price B | 10.03% | 1.01% | 2.72% |
Bloomberg U.S. Credit Bond Index A | 8.98% | 0.59% | 2.56% |
Bloomberg U.S. Aggregate Bond Index A | 7.30% | -0.04% | 1.67% |
A From October 6, 2014
B From October 9, 2014, date initially listed on the NYSE Arca, Inc. exchange
Visit www.fidelity.com for more recent performance information. |
The Fund's past performance is not a good predictor of the Fund's future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. |
Key Fund Statistics (as of August 31, 2024)
KEY FACTS | | |
| Fund Size | $225,927,691 | |
| Number of Holdings | 455 | |
| Total Advisory Fee | $731,560 | |
| Portfolio Turnover | 29% | |
What did the Fund invest in?
(as of August 31, 2024)
| U.S. Government and U.S. Government Agency Obligations | 8.7 |
| AA | 0.1 |
| A | 15.4 |
| BBB | 65.5 |
| BB | 7.1 |
| B | 0.7 |
| Not Rated | 0.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 2.3 |
QUALITY DIVERSIFICATION (% of Fund's net assets) |
|
| |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
| Corporate Bonds | 88.0 |
| U.S. Treasury Obligations | 8.7 |
| Preferred Securities | 0.5 |
| Asset-Backed Securities | 0.3 |
| Other Investments | 0.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 2.3 |
ASSET ALLOCATION (% of Fund's net assets) |
|
|
| United States | 80.8 |
| United Kingdom | 4.0 |
| Canada | 3.4 |
| France | 2.6 |
| Ireland | 2.6 |
| Germany | 1.7 |
| Switzerland | 1.4 |
| Spain | 1.0 |
| Italy | 0.7 |
| Others | 1.8 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
|
| |
|
TOP HOLDINGS (% of Fund's net assets) | | |
| US Treasury Bonds | 8.7 | |
| Bank of America Corp | 2.3 | |
| JPMorgan Chase & Co | 2.1 | |
| Boeing Co | 1.5 | |
| UBS Group AG | 1.4 | |
| Centene Corp | 1.4 | |
| Energy Transfer LP | 1.3 | |
| Avolon Holdings Funding Ltd | 1.2 | |
| Broadcom Inc | 1.2 | |
| Societe Generale SA | 1.2 | |
| | 22.3 | |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9913646.100 2720-TSRA-1024 |
| |
| | ANNUAL SHAREHOLDER REPORT | AS OF AUGUST 31, 2024 | This report describes changes to the Fund that occurred during the reporting period. |
| | Fidelity® Investment Grade Securitized ETF Fidelity® Investment Grade Securitized ETF : FSEC Principal U.S. Listing Exchange :NYSEArca NYSE Arca, Inc. |
| | | |
This annual shareholder report contains information about Fidelity® Investment Grade Securitized ETF for the period September 1, 2023 to August 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last year?(based on hypothetical $10,000 investment)
FUND COST (PREVIOUS YEAR)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® Investment Grade Securitized ETF | $ 37 | 0.36% | |
What affected the Fund's performance this period?
•U.S. taxable investment-grade bonds posted a strong advance for the 12 months ending August 31, 2024, helped by a late-period gain, as the bond market reflected anticipated interest-rate reductions by the U.S. Federal Reserve, which are expected to start in September. The full 12-month period was marked by high volatility.
•Against this backdrop, a timely overweight during spring 2024 in 30-year Fannie Mae/Freddie Mac MBS with 3% coupons contributed to the fund's performance versus the benchmark, the Bloomberg U.S. Securitized Index, for the fiscal year.
•An overweight in higher-coupon (5.5% and greater) Fannie Mae/Freddie Mac MBS also lifted relative performance the past 12 months, as did an overweight in GNMA securities with similar coupons.
•Larger-than-benchmark exposure to lower-coupon 15- and 20-year Fannie Mae/Freddie Mac mortgage securities also contributed.
•An overweight in non-agency commercial mortgage-backed securities was helpful, as was an overweight in non-agency residential MBS.
•In contrast, an overweight in lower-coupon (2% and lower) Fannie Mae/Freddie Mac securities detracted versus the benchmark this period.
•An overweight in agency CMBS also hurt the fund's relative result.
•Lastly, exposure to cash flows based on the Secured Overnight Financing Rate detracted versus the benchmark.
How did the Fund perform over the life of Fund?
CUMULATIVE PERFORMANCE
March 2, 2021 through August 31, 2024.
Initial investment of $10,000.
Fidelity® Investment Grade Securitized ETF | $10,000 | $10,036 | $8,983 | $8,795 |
Bloomberg U.S. Securitized Index | $10,000 | $10,018 | $9,044 | $8,867 |
Bloomberg U.S. Aggregate Bond Index | $10,000 | $10,156 | $8,986 | $8,879 |
| | 2021 | 2022 | 2023 | 2024 |
AVERAGE ANNUAL TOTAL RETURNS: | | 1 Year | Life of Fund |
Fidelity® Investment Grade Securitized ETF - NAV A | 8.30% | -1.38% |
Fidelity® Investment Grade Securitized ETF - Market Price B | 8.39% | -1.35% |
Bloomberg U.S. Securitized Index A | 7.55% | -1.34% |
Bloomberg U.S. Aggregate Bond Index A | 7.30% | -1.37% |
A From March 2, 2021
B From March 4, 2021, date initially listed on the NYSE Arca, Inc. exchange
Visit www.fidelity.com for more recent performance information. |
The Fund's past performance is not a good predictor of the Fund's future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. |
Key Fund Statistics (as of August 31, 2024)
KEY FACTS | | |
| Fund Size | $90,597,168 | |
| Number of Holdings | 194 | |
| Total Advisory Fee | $15,584 | |
| Portfolio Turnover | 358% | |
What did the Fund invest in?
(as of August 31, 2024)
| U.S. Government and U.S. Government Agency Obligations | 98.7 |
| AAA | 16.0 |
| Not Rated | 3.9 |
QUALITY DIVERSIFICATION (% of Fund's net assets) |
|
| Short-Term Investments and Net Other Assets (Liabilities) - (18.6)% |
| |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
| U.S. Government Agency - Mortgage Securities | 96.0 |
| CMOs and Other Mortgage Related Securities | 15.1 |
| Asset-Backed Securities | 4.3 |
| U.S. Treasury Obligations | 2.7 |
| Purchased Swaptions | 0.5 |
ASSET ALLOCATION (% of Fund's net assets) |
|
| Short-Term Investments and Net Other Assets (Liabilities) - (18.6)% |
|
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
|
| |
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Uniform Mortgage Backed Securities | 53.5 | |
| Ginnie Mae II Pool | 25.3 | |
| Fannie Mae Mortgage pass-thru certificates | 14.1 | |
| Freddie Mac Multiclass Mortgage participation certificates | 5.4 | |
| Freddie Mac Gold Pool | 3.1 | |
| US Treasury Notes | 1.8 | |
| Ford Credit Floorplan Master Owner Trust A | 1.5 | |
| BMO Mortgage Trust | 1.2 | |
| Benchmark Mortgage Trust | 1.1 | |
| US Treasury Bonds | 0.9 | |
| | 107.9 | |
How has the Fund changed?
This is a summary of certain changes to the Fund since September 1, 2023. For more complete information, you may review the Fund's next prospectus, which we expect to be available by November 29, 2024 at fundresearch.fidelity.com/prospectus/sec or upon request at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.
The fees associated with this class changed during the reporting year. The variations in class fees are primarily the result of the following changes: The fund added a contractual proxy and shareholder meeting expense cap during the reporting period. | |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9913668.100 6354-TSRA-1024 |
Item 2.
Code of Ethics
As of the end of the period, August 31, 2024, Fidelity Merrimack Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Elizabeth S. Acton is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Acton is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity Sustainable Core Plus Bond ETF, Fidelity Sustainable Low Duration Bond ETF, and Fidelity Tactical Bond ETF (the “Funds”):
Services Billed by Deloitte Entities
August 31, 2024 FeesA
|
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Sustainable Core Plus Bond ETF | $39,900 | $- | $4,700 | $900 |
Fidelity Sustainable Low Duration Bond ETF | $37,500 | $- | $4,700 | $800 |
Fidelity Tactical Bond ETF | $56,100 | $- | $8,900 | $1,300 |
|
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Sustainable Core Plus Bond ETF | $38,800 | $- | $4,700 | $900 |
Fidelity Sustainable Low Duration Bond ETF | $36,300 | $- | $4,700 | $800 |
Fidelity Tactical Bond ETF | $49,100 | $- | $8,400 | $700 |
A Amounts may reflect rounding.
B Fidelity Tactical Bond ETF commenced operations on January 24, 2023.
The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Fidelity Corporate Bond ETF, Fidelity Investment Grade Bond ETF, Fidelity Investment Grade Securitized ETF, Fidelity Limited Term Bond ETF, Fidelity Low Duration Bond ETF, Fidelity Low Duration Bond Factor ETF, and Fidelity Total Bond ETF (the “Funds”):
Services Billed by PwC
August 31, 2024 FeesA,B
|
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Corporate Bond ETF | $35,600 | $- | $7,100 | $1,300 |
Fidelity Investment Grade Bond ETF | $37,700 | $- | $7,500 | $1,400 |
Fidelity Investment Grade Securitized ETF | $38,600 | $- | $7,800 | $1,400 |
Fidelity Limited Term Bond ETF | $37,500 | $- | $7,500 | $1,400 |
Fidelity Low Duration Bond ETF | $33,200 | $- | $7,900 | $600 |
Fidelity Low Duration Bond Factor ETF | $37,700 | $- | $7,600 | $1,400 |
Fidelity Total Bond ETF | $40,600 | $- | $8,000 | $1,500 |
|
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Corporate Bond ETF | $35,700 | $- | $7,100 | $1,300 |
Fidelity Investment Grade Bond ETF | $37,900 | $- | $7,500 | $1,400 |
Fidelity Investment Grade Securitized ETF | $38,800 | $- | $7,800 | $1,400 |
Fidelity Limited Term Bond ETF | $37,600 | $- | $7,500 | $1,400 |
Fidelity Low Duration Bond ETF | $- | $- | $- | $- |
Fidelity Low Duration Bond Factor ETF | $37,900 | $- | $7,600 | $1,400 |
Fidelity Total Bond ETF | $40,600 | $- | $8,000 | $1,500 |
A Amounts may reflect rounding.
B Fidelity Low Duration Bond ETF commenced operations on February 22, 2024.
The following table(s) present(s) fees billed by Deloitte Entities and PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Fidelity Management & Research Company LLC ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) (“Fund Service Providers”):
Services Billed by Deloitte Entities
|
| August 31, 2024A | August 31, 2023A,B |
Audit-Related Fees | $200,000 | $- |
Tax Fees | $- | $- |
All Other Fees | $1,929,500 | $- |
A Amounts may reflect rounding.
B May contain amounts billed prior to Fidelity Tactical Bond ETF’s commencement of operations
Services Billed by PwC
|
| August 31, 2024A,B | August 31, 2023A,B |
|
Audit-Related Fees | $9,437,800 | $8,379,200 |
|
Tax Fees | $61,000 | $1,000 |
|
All Other Fees | $35,000 | $- |
|
A Amounts may reflect rounding.
B May contain amounts billed prior to Fidelity Low Duration Bond ETF’s commencement of operations.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities and PwC for services rendered to the Fund(s), FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:
|
Billed By | August 31, 2024A,C | August 31, 2023A,B,C |
|
Deloitte Entities | $ 4,969,800 | $3,238,200 |
|
PwC | $15,070,800 | $13,886,900 |
|
A Amounts may reflect rounding.
B May contain amounts billed prior to Fidelity Tactical Bond ETF’s commencement of operations.
C May contain amounts billed prior to Fidelity Low Duration Bond ETF’s commencement of operations.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities and PwC to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities and PwC in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities and PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s(s’) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).
The Registrant has not retained, for the preparation of the audit report on the financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board (the “PCAOB”) has determined that the PCAOB is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction.
The Registrant is not a “foreign issuer,” as defined in 17 CFR 240.3b-4.
Item 5.
Audit Committee of Listed Registrants
The Audit Committee is a separately-designated standing audit committee in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. As of August 31, 2024, the members of the Audit Committee were Elizabeth S. Acton, Laura M. Bishop, Ann E. Dunwoody, Robert F. Gartland, Robert W. Helm, Michael E. Kenneally, Mark A. Murray, Lester Owen, and Carol J. Zierhoffer.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable.
Item 7.
Financial Statements and Financial Highlights for Open-End Management Investment Companies
Fidelity® Corporate Bond ETF
Fidelity® Investment Grade Bond ETF
Fidelity® Investment Grade Securitized ETF
Fidelity® Limited Term Bond ETF
Fidelity® Low Duration Bond ETF
Fidelity® Low Duration Bond Factor ETF
Fidelity® Tactical Bond ETF
Fidelity® Total Bond ETF
Annual Report
August 31, 2024
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-FIDELITY to request a free copy of the proxy voting guidelines.
BLOOMBERG ® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively "Bloomberg"). Bloomberg or Bloomberg's licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg's licensors approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2024 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Funds. This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Funds nor Fidelity Distributors Corporation is a bank.
Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)
Fidelity® Corporate Bond ETF
Schedule of Investments August 31, 2024
Showing Percentage of Net Assets
| Nonconvertible Bonds - 88.0% |
| | | Principal Amount (a) | Value ($) |
| COMMUNICATION SERVICES - 5.9% | | | |
| Diversified Telecommunication Services - 1.4% | | | |
| AT&T, Inc.: | | | |
| 3.55% 9/15/55 | | 762,000 | 538,741 |
| 3.65% 9/15/59 | | 775,000 | 546,639 |
| 4.3% 2/15/30 | | 412,000 | 407,823 |
| 4.5% 5/15/35 | | 293,000 | 279,702 |
| Verizon Communications, Inc.: | | | |
| 2.55% 3/21/31 | | 312,000 | 274,445 |
| 3.7% 3/22/61 | | 945,000 | 695,891 |
| 4.4% 11/1/34 | | 412,000 | 395,467 |
| | | | 3,138,708 |
| Entertainment - 0.1% | | | |
| The Walt Disney Co. 4.75% 11/15/46 | | 204,000 | 190,388 |
| Media - 3.0% | | | |
| CCO Holdings LLC/CCO Holdings Capital Corp. 4.5% 8/15/30 (b) | | 443,000 | 395,070 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | | | |
| 3.7% 4/1/51 | | 228,000 | 144,664 |
| 3.85% 4/1/61 | | 980,000 | 594,866 |
| 4.2% 3/15/28 | | 1,498,000 | 1,449,720 |
| 5.375% 5/1/47 | | 338,000 | 281,872 |
| Comcast Corp. 2.937% 11/1/56 | | 295,000 | 187,645 |
| Discovery Communications LLC 4.125% 5/15/29 | | 295,000 | 275,379 |
| Fox Corp.: | | | |
| 3.5% 4/8/30 | | 178,000 | 167,902 |
| 5.476% 1/25/39 | | 78,000 | 77,706 |
| Time Warner Cable LLC: | | | |
| 4.5% 9/15/42 | | 273,000 | 206,902 |
| 5.875% 11/15/40 | | 354,000 | 319,552 |
| 7.3% 7/1/38 | | 498,000 | 520,821 |
| Warnermedia Holdings, Inc.: | | | |
| 3.755% 3/15/27 | | 252,000 | 241,427 |
| 4.054% 3/15/29 | | 129,000 | 120,521 |
| 4.279% 3/15/32 | | 1,347,000 | 1,177,481 |
| 5.05% 3/15/42 | | 171,000 | 137,028 |
| 5.141% 3/15/52 | | 426,000 | 324,015 |
| 5.391% 3/15/62 | | 385,000 | 289,120 |
| | | | 6,911,691 |
| Wireless Telecommunication Services - 1.4% | | | |
| Rogers Communications, Inc.: | | | |
| 3.8% 3/15/32 | | 629,000 | 579,624 |
| 4.3% 2/15/48 | | 100,000 | 82,218 |
| 4.55% 3/15/52 | | 314,000 | 266,048 |
| T-Mobile U.S.A., Inc.: | | | |
| 2.4% 3/15/29 | | 242,000 | 220,957 |
| 2.7% 3/15/32 | | 2,030,000 | 1,761,201 |
| Vodafone Group PLC 3.25% 6/4/81 (c) | | 210,000 | 200,817 |
| | | | 3,110,865 |
TOTAL COMMUNICATION SERVICES | | | 13,351,652 |
| CONSUMER DISCRETIONARY - 4.0% | | | |
| Automobiles - 1.5% | | | |
| Ford Motor Co. 3.25% 2/12/32 | | 810,000 | 689,898 |
| General Motors Co.: | | | |
| 5.4% 4/1/48 | | 500,000 | 467,397 |
| 5.95% 4/1/49 | | 416,000 | 419,001 |
| General Motors Financial Co., Inc.: | | | |
| 3.1% 1/12/32 | | 400,000 | 348,615 |
| 3.6% 6/21/30 | | 440,000 | 408,572 |
| Volkswagen Group of America Finance LLC 4.75% 11/13/28 (b) | | 930,000 | 929,522 |
| | | | 3,263,005 |
| Distributors - 0.2% | | | |
| Genuine Parts Co. 2.75% 2/1/32 | | 450,000 | 386,425 |
| Leisure Products - 0.2% | | | |
| Brunswick Corp. 5.85% 3/18/29 | | 510,000 | 521,766 |
| Specialty Retail - 1.5% | | | |
| Advance Auto Parts, Inc. 1.75% 10/1/27 | | 338,000 | 302,411 |
| AutoNation, Inc.: | | | |
| 3.85% 3/1/32 | | 1,580,000 | 1,444,816 |
| 4.75% 6/1/30 | | 19,000 | 18,772 |
| Lowe's Companies, Inc.: | | | |
| 4.25% 4/1/52 | | 180,000 | 147,642 |
| 5.15% 7/1/33 | | 1,200,000 | 1,235,146 |
| 5.625% 4/15/53 | | 250,000 | 252,815 |
| | | | 3,401,602 |
| Textiles, Apparel & Luxury Goods - 0.6% | | | |
| Tapestry, Inc.: | | | |
| 3.05% 3/15/32 | | 434,000 | 363,329 |
| 7% 11/27/26 | | 70,000 | 72,204 |
| 7.35% 11/27/28 | | 113,000 | 118,529 |
| 7.7% 11/27/30 | | 400,000 | 425,922 |
| 7.85% 11/27/33 | | 400,000 | 428,011 |
| | | | 1,407,995 |
TOTAL CONSUMER DISCRETIONARY | | | 8,980,793 |
| CONSUMER STAPLES - 2.8% | | | |
| Beverages - 0.1% | | | |
| Constellation Brands, Inc. 2.875% 5/1/30 | | 363,000 | 331,484 |
| Consumer Staples Distribution & Retail - 0.2% | | | |
| Alimentation Couche-Tard, Inc. 2.95% 1/25/30 (b) | | 229,000 | 210,075 |
| Dollar Tree, Inc. 4.2% 5/15/28 | | 220,000 | 215,920 |
| | | | 425,995 |
| Food Products - 0.4% | | | |
| McCormick & Co., Inc. 1.85% 2/15/31 | | 261,000 | 220,337 |
| Smithfield Foods, Inc. 3% 10/15/30 (b) | | 135,000 | 118,779 |
| Viterra Finance BV 4.9% 4/21/27 (b) | | 660,000 | 660,869 |
| | | | 999,985 |
| Tobacco - 2.1% | | | |
| BAT Capital Corp.: | | | |
| 2.726% 3/25/31 | | 1,430,000 | 1,257,650 |
| 3.557% 8/15/27 | | 192,000 | 187,293 |
| 5.834% 2/20/31 | | 184,000 | 193,131 |
| Imperial Brands Finance PLC: | | | |
| 3.5% 7/26/26 (b) | | 670,000 | 653,033 |
| 6.125% 7/27/27 (b) | | 210,000 | 217,320 |
| Philip Morris International, Inc. 5.75% 11/17/32 | | 2,001,000 | 2,117,357 |
| | | | 4,625,784 |
TOTAL CONSUMER STAPLES | | | 6,383,248 |
| ENERGY - 8.0% | | | |
| Oil, Gas & Consumable Fuels - 8.0% | | | |
| Canadian Natural Resources Ltd.: | | | |
| 4.95% 6/1/47 | | 134,000 | 119,584 |
| 6.25% 3/15/38 | | 450,000 | 479,487 |
| Cenovus Energy, Inc.: | | | |
| 2.65% 1/15/32 | | 539,000 | 459,874 |
| 3.75% 2/15/52 | | 350,000 | 254,612 |
| 5.4% 6/15/47 | | 172,000 | 165,016 |
| 6.75% 11/15/39 | | 33,000 | 36,899 |
| Columbia Pipelines Operating Co. LLC: | | | |
| 5.927% 8/15/30 (b) | | 354,000 | 371,859 |
| 6.036% 11/15/33 (b) | | 64,000 | 67,573 |
| 6.497% 8/15/43 (b) | | 19,000 | 20,653 |
| 6.544% 11/15/53 (b) | | 34,000 | 37,707 |
| DCP Midstream Operating LP 5.125% 5/15/29 | | 715,000 | 726,722 |
| Eastern Gas Transmission & Storage, Inc. 3.9% 11/15/49 | | 296,000 | 220,906 |
| Enbridge, Inc. 7.2% 6/27/54 (c) | | 350,000 | 360,787 |
| Energy Transfer LP: | | | |
| 4% 10/1/27 | | 1,112,000 | 1,091,875 |
| 5% 5/15/50 | | 450,000 | 399,108 |
| 5.4% 10/1/47 | | 316,000 | 295,458 |
| 5.8% 6/15/38 | | 123,000 | 126,038 |
| 6% 6/15/48 | | 257,000 | 259,518 |
| 6.55% 12/1/33 | | 510,000 | 557,757 |
| EnLink Midstream LLC 5.65% 9/1/34 | | 716,000 | 728,488 |
| Enterprise Products Operating LP 4.9% 5/15/46 | | 183,000 | 171,277 |
| EQT Corp. 5.75% 2/1/34 | | 1,025,000 | 1,046,808 |
| Hess Corp.: | | | |
| 4.3% 4/1/27 | | 354,000 | 351,578 |
| 5.6% 2/15/41 | | 410,000 | 419,256 |
| 5.8% 4/1/47 | | 240,000 | 248,954 |
| 6% 1/15/40 | | 405,000 | 430,005 |
| MPLX LP: | | | |
| 2.65% 8/15/30 | | 722,000 | 645,296 |
| 5% 3/1/33 | | 440,000 | 435,413 |
| 5.65% 3/1/53 | | 240,000 | 234,398 |
| Occidental Petroleum Corp.: | | | |
| 5.2% 8/1/29 | | 161,000 | 163,259 |
| 5.375% 1/1/32 | | 204,000 | 207,012 |
| 5.55% 10/1/34 | | 149,000 | 151,403 |
| Ovintiv, Inc. 7.2% 11/1/31 | | 270,000 | 299,810 |
| Petroleos Mexicanos: | | | |
| 5.35% 2/12/28 | | 394,000 | 359,206 |
| 6.49% 1/23/27 | | 85,000 | 82,461 |
| 6.5% 3/13/27 | | 280,000 | 269,290 |
| Plains All American Pipeline LP/PAA Finance Corp.: | | | |
| 3.8% 9/15/30 | | 280,000 | 263,691 |
| 5.7% 9/15/34 | | 1,100,000 | 1,125,042 |
| Suncor Energy, Inc.: | | | |
| 6.5% 6/15/38 | | 255,000 | 280,866 |
| 6.85% 6/1/39 | | 166,000 | 185,500 |
| Targa Resources Corp. 5.5% 2/15/35 | | 686,000 | 696,497 |
| The Williams Companies, Inc.: | | | |
| 4.65% 8/15/32 | | 1,463,000 | 1,439,174 |
| 5.3% 8/15/52 | | 57,000 | 54,576 |
| 5.75% 6/24/44 | | 360,000 | 363,052 |
| Western Midstream Operating LP 4.05% 2/1/30 | | 1,554,000 | 1,487,490 |
| | | | 18,191,235 |
| FINANCIALS - 33.3% | | | |
| Banks - 17.5% | | | |
| AIB Group PLC 5.871% 3/28/35 (b)(c) | | 500,000 | 517,212 |
| Banco Santander SA 2.749% 12/3/30 | | 600,000 | 522,238 |
| Bank of America Corp.: | | | |
| 2.676% 6/19/41 (c) | | 619,000 | 452,397 |
| 2.884% 10/22/30 (c) | | 407,000 | 373,875 |
| 3.194% 7/23/30 (c) | | 495,000 | 463,442 |
| 3.705% 4/24/28 (c) | | 362,000 | 353,847 |
| 4.571% 4/27/33 (c) | | 2,500,000 | 2,445,783 |
| 5.015% 7/22/33 (c) | | 640,000 | 647,456 |
| 5.872% 9/15/34 (c) | | 210,000 | 223,192 |
| Bank of Ireland Group PLC 5.601% 3/20/30 (b)(c) | | 402,000 | 411,461 |
| Barclays PLC: | | | |
| 2.645% 6/24/31 (c) | | 550,000 | 486,602 |
| 2.894% 11/24/32 (c) | | 920,000 | 793,147 |
| 4.836% 5/9/28 | | 415,000 | 411,605 |
| 5.088% 6/20/30 (c) | | 200,000 | 199,250 |
| 6.224% 5/9/34 (c) | | 550,000 | 584,308 |
| BNP Paribas SA: | | | |
| 1.904% 9/30/28 (b)(c) | | 870,000 | 801,802 |
| 2.591% 1/20/28 (b)(c) | | 510,000 | 485,203 |
| 2.824% 1/26/41 (b) | | 560,000 | 396,794 |
| BPCE SA: | | | |
| 2.277% 1/20/32 (b)(c) | | 690,000 | 575,878 |
| 4.875% 4/1/26 (b) | | 350,000 | 347,815 |
| 6.508% 1/18/35 (b)(c) | | 500,000 | 519,418 |
| CaixaBank SA: | | | |
| 5.673% 3/15/30 (b)(c) | | 550,000 | 566,208 |
| 6.037% 6/15/35 (b)(c) | | 550,000 | 572,954 |
| Citigroup, Inc.: | | | |
| 2.572% 6/3/31 (c) | | 256,000 | 227,716 |
| 2.666% 1/29/31 (c) | | 307,000 | 276,537 |
| 4.3% 11/20/26 | | 371,000 | 368,673 |
| 4.91% 5/24/33 (c) | | 295,000 | 293,424 |
| 6.174% 5/25/34 (c) | | 631,000 | 666,081 |
| 6.27% 11/17/33 (c) | | 550,000 | 595,848 |
| Citizens Financial Group, Inc.: | | | |
| 2.638% 9/30/32 | | 427,000 | 346,879 |
| 5.718% 7/23/32 (c) | | 304,000 | 310,297 |
| 6.645% 4/25/35 (c) | | 587,000 | 634,370 |
| Commonwealth Bank of Australia 3.784% 3/14/32 (b) | | 490,000 | 448,702 |
| Cooperatieve Rabobank UA 3.75% 7/21/26 | | 700,000 | 685,071 |
| Credit Agricole SA 2.811% 1/11/41 (b) | | 408,000 | 290,082 |
| Fifth Third Bancorp 8.25% 3/1/38 | | 335,000 | 415,390 |
| HSBC Holdings PLC: | | | |
| 2.357% 8/18/31 (c) | | 570,000 | 495,412 |
| 2.848% 6/4/31 (c) | | 1,000,000 | 897,638 |
| 4.041% 3/13/28 (c) | | 300,000 | 294,735 |
| 7.39% 11/3/28 (c) | | 300,000 | 322,908 |
| Huntington Bancshares, Inc.: | | | |
| 2.487% 8/15/36 (c) | | 1,548,000 | 1,235,820 |
| 6.208% 8/21/29 (c) | | 620,000 | 651,411 |
| Intesa Sanpaolo SpA: | | | |
| 5.71% 1/15/26 (b) | | 200,000 | 200,670 |
| 7.2% 11/28/33 (b) | | 400,000 | 447,271 |
| JPMorgan Chase & Co.: | | | |
| 2.522% 4/22/31 (c) | | 456,000 | 409,199 |
| 2.956% 5/13/31 (c) | | 467,000 | 424,767 |
| 4.912% 7/25/33 (c) | | 890,000 | 894,900 |
| 4.95% 6/1/45 | | 204,000 | 199,483 |
| 5.717% 9/14/33 (c) | | 2,240,000 | 2,343,078 |
| 6.254% 10/23/34 (c) | | 440,000 | 482,279 |
| KBC Group NV 6.324% 9/21/34 (b)(c) | | 550,000 | 590,227 |
| Lloyds Banking Group PLC: | | | |
| 1.627% 5/11/27 (c) | | 480,000 | 455,082 |
| 7.953% 11/15/33 (c) | | 350,000 | 404,968 |
| PNC Financial Services Group, Inc.: | | | |
| 5.582% 6/12/29 (c) | | 400,000 | 413,140 |
| 6.875% 10/20/34 (c) | | 890,000 | 1,002,048 |
| Santander Holdings U.S.A., Inc.: | | | |
| 2.49% 1/6/28 (c) | | 1,735,000 | 1,628,290 |
| 6.565% 6/12/29 (c) | | 60,000 | 62,799 |
| Societe Generale: | | | |
| 1.488% 12/14/26 (b)(c) | | 325,000 | 309,603 |
| 3% 1/22/30 (b) | | 555,000 | 500,158 |
| 3.625% 3/1/41 (b) | | 750,000 | 534,323 |
| 6.221% 6/15/33 (b)(c) | | 1,055,000 | 1,083,594 |
| Sumitomo Mitsui Financial Group, Inc. 3.544% 1/17/28 | | 330,000 | 319,638 |
| U.S. Bancorp 5.775% 6/12/29 (c) | | 600,000 | 623,003 |
| UniCredit SpA 1.982% 6/3/27 (b)(c) | | 505,000 | 479,734 |
| Wells Fargo & Co.: | | | |
| 4.478% 4/4/31 (c) | | 432,000 | 427,568 |
| 4.65% 11/4/44 | | 1,464,000 | 1,305,526 |
| 5.389% 4/24/34 (c) | | 550,000 | 563,655 |
| Westpac Banking Corp. 5.405% 8/10/33 (c) | | 400,000 | 405,625 |
| Zions Bancorp. NA 3.25% 10/29/29 | | 340,000 | 297,954 |
| | | | 39,417,463 |
| Capital Markets - 4.7% | | | |
| Ares Capital Corp.: | | | |
| 2.15% 7/15/26 | | 335,000 | 315,916 |
| 3.875% 1/15/26 | | 1,252,000 | 1,228,062 |
| Ares Strategic Income Fund 6.35% 8/15/29 (b) | | 560,000 | 566,205 |
| Athene Global Funding: | | | |
| 1.985% 8/19/28 (b) | | 380,000 | 341,136 |
| 2.5% 3/24/28 (b) | | 340,000 | 311,932 |
| Blackstone Holdings Finance Co. LLC 3.5% 9/10/49 (b) | | 348,000 | 258,401 |
| Deutsche Bank AG 4.5% 4/1/25 | | 320,000 | 317,977 |
| Deutsche Bank AG New York Branch: | | | |
| 3.035% 5/28/32 (c) | | 566,000 | 495,369 |
| 6.819% 11/20/29 (c) | | 560,000 | 595,885 |
| Goldman Sachs Group, Inc. 4.223% 5/1/29 (c) | | 276,000 | 272,190 |
| HPS Corporate Lending Fund 6.75% 1/30/29 (b) | | 761,000 | 787,919 |
| Morgan Stanley: | | | |
| 1.794% 2/13/32 (c) | | 434,000 | 361,191 |
| 2.239% 7/21/32 (c) | | 1,750,000 | 1,480,932 |
| 2.699% 1/22/31 (c) | | 286,000 | 258,931 |
| 4.431% 1/23/30 (c) | | 410,000 | 407,419 |
| Nuveen LLC 5.55% 1/15/30 (b) | | 110,000 | 114,043 |
| Sixth Street Specialty Lending, Inc. 6.125% 3/1/29 | | 128,000 | 131,207 |
| UBS Group AG: | | | |
| 3.091% 5/14/32 (b)(c) | | 725,000 | 641,826 |
| 3.126% 8/13/30 (b)(c) | | 500,000 | 463,065 |
| 3.869% 1/12/29 (b)(c) | | 230,000 | 222,888 |
| 4.194% 4/1/31 (b)(c) | | 580,000 | 560,455 |
| 9.016% 11/15/33 (b)(c) | | 300,000 | 373,147 |
| | | | 10,506,096 |
| Consumer Finance - 3.3% | | | |
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | | | |
| 2.45% 10/29/26 | | 150,000 | 142,963 |
| 3% 10/29/28 | | 151,000 | 141,223 |
| 3.3% 1/30/32 | | 161,000 | 143,109 |
| 3.4% 10/29/33 | | 773,000 | 673,894 |
| 3.85% 10/29/41 | | 470,000 | 385,800 |
| Ally Financial, Inc.: | | | |
| 2.2% 11/2/28 | | 254,000 | 227,797 |
| 5.75% 11/20/25 | | 141,000 | 141,375 |
| 7.1% 11/15/27 | | 1,810,000 | 1,922,176 |
| Capital One Financial Corp.: | | | |
| 5.247% 7/26/30 (c) | | 321,000 | 324,290 |
| 5.468% 2/1/29 (c) | | 554,000 | 563,557 |
| 5.817% 2/1/34 (c) | | 238,000 | 243,203 |
| 6.312% 6/8/29 (c) | | 390,000 | 407,949 |
| 7.624% 10/30/31 (c) | | 170,000 | 191,904 |
| Discover Financial Services: | | | |
| 4.5% 1/30/26 | | 488,000 | 485,039 |
| 6.7% 11/29/32 | | 35,000 | 38,145 |
| Ford Motor Credit Co. LLC: | | | |
| 3.375% 11/13/25 | | 615,000 | 600,792 |
| 4.95% 5/28/27 | | 400,000 | 397,847 |
| 6.798% 11/7/28 | | 440,000 | 463,732 |
| | | | 7,494,795 |
| Financial Services - 3.3% | | | |
| Aviation Capital Group LLC 6.75% 10/25/28 (b) | | 450,000 | 476,755 |
| Corebridge Financial, Inc.: | | | |
| 3.65% 4/5/27 | | 95,000 | 93,015 |
| 3.85% 4/5/29 | | 623,000 | 601,468 |
| 3.9% 4/5/32 | | 241,000 | 223,129 |
| 4.35% 4/5/42 | | 25,000 | 21,509 |
| 4.4% 4/5/52 | | 95,000 | 78,938 |
| Equitable Holdings, Inc.: | | | |
| 4.35% 4/20/28 | | 387,000 | 382,092 |
| 5% 4/20/48 | | 296,000 | 276,129 |
| Essent Group Ltd. 6.25% 7/1/29 | | 500,000 | 517,917 |
| Jackson Financial, Inc.: | | | |
| 3.125% 11/23/31 | | 420,000 | 363,457 |
| 4% 11/23/51 | | 485,000 | 353,917 |
| 5.17% 6/8/27 | | 84,000 | 85,142 |
| 5.67% 6/8/32 | | 90,000 | 92,907 |
| Jbs U.S.A. Holding Lux/ Jbs U.S.A. F: | | | |
| 2.5% 1/15/27 | | 1,000,000 | 949,448 |
| 3% 5/15/32 | | 435,000 | 371,766 |
| 4.375% 2/2/52 | | 405,000 | 318,105 |
| 5.5% 1/15/30 | | 530,000 | 533,842 |
| 5.75% 4/1/33 | | 340,000 | 348,044 |
| Rexford Industrial Realty LP 2.15% 9/1/31 | | 394,000 | 327,803 |
| Sixth Street Lending Partners 6.5% 3/11/29 (b) | | 688,000 | 702,705 |
| Voya Financial, Inc. 4.7% 1/23/48 (c) | | 423,000 | 373,749 |
| | | | 7,491,837 |
| Insurance - 4.5% | | | |
| Allianz SE 5.6% 9/3/54 (b)(c) | | 400,000 | 399,219 |
| American International Group, Inc. 5.75% 4/1/48 (c) | | 558,000 | 552,973 |
| AmFam Holdings, Inc. 2.805% 3/11/31 (b) | | 250,000 | 196,450 |
| Assurant, Inc. 2.65% 1/15/32 | | 420,000 | 357,172 |
| Athene Holding Ltd.: | | | |
| 3.45% 5/15/52 | | 430,000 | 286,844 |
| 6.65% 2/1/33 | | 1,300,000 | 1,415,897 |
| Empower Finance 2020 LP 1.776% 3/17/31 (b) | | 293,000 | 239,893 |
| Fairfax Financial Holdings Ltd.: | | | |
| 3.375% 3/3/31 | | 20,000 | 17,955 |
| 4.85% 4/17/28 | | 315,000 | 316,616 |
| 5.625% 8/16/32 | | 740,000 | 754,765 |
| 6% 12/7/33 (b) | | 120,000 | 125,221 |
| Five Corners Funding Trust II 2.85% 5/15/30 (b) | | 510,000 | 465,472 |
| Intact Financial Corp. 5.459% 9/22/32 (b) | | 567,000 | 575,817 |
| Liberty Mutual Group, Inc. 5.5% 6/15/52 (b) | | 829,000 | 800,498 |
| Marsh & McLennan Companies, Inc. 6.25% 11/1/52 | | 330,000 | 377,228 |
| Massachusetts Mutual Life Insurance Co. 3.729% 10/15/70 (b) | | 273,000 | 192,450 |
| Pacific LifeCorp 5.125% 1/30/43 (b) | | 309,000 | 296,455 |
| Pine Street Trust III 6.223% 5/15/54 (b) | | 800,000 | 846,740 |
| Reinsurance Group of America, Inc. 5.75% 9/15/34 | | 600,000 | 623,205 |
| Unum Group 4.125% 6/15/51 | | 1,340,000 | 1,025,241 |
| Willis Group North America, Inc. 5.35% 5/15/33 | | 385,000 | 392,045 |
| | | | 10,258,156 |
TOTAL FINANCIALS | | | 75,168,347 |
| HEALTH CARE - 6.8% | | | |
| Biotechnology - 0.9% | | | |
| AbbVie, Inc. 4.55% 3/15/35 | | 321,000 | 316,688 |
| Amgen, Inc.: | | | |
| 5.25% 3/2/30 | | 1,248,000 | 1,292,800 |
| 5.25% 3/2/33 | | 88,000 | 90,436 |
| 5.65% 3/2/53 | | 341,000 | 350,723 |
| 5.75% 3/2/63 | | 75,000 | 76,922 |
| | | | 2,127,569 |
| Health Care Providers & Services - 4.5% | | | |
| Centene Corp.: | | | |
| 2.625% 8/1/31 | | 1,200,000 | 1,017,908 |
| 3% 10/15/30 | | 294,000 | 261,201 |
| 4.25% 12/15/27 | | 160,000 | 156,432 |
| 4.625% 12/15/29 | | 1,590,000 | 1,546,899 |
| Cigna Group: | | | |
| 3.4% 3/15/50 | | 397,000 | 283,014 |
| 4.8% 8/15/38 | | 1,516,000 | 1,453,713 |
| 4.9% 12/15/48 | | 400,000 | 367,472 |
| CVS Health Corp.: | | | |
| 4.78% 3/25/38 | | 926,000 | 850,654 |
| 4.875% 7/20/35 | | 134,000 | 129,284 |
| 5% 1/30/29 | | 65,000 | 65,922 |
| 5.25% 1/30/31 | | 26,000 | 26,437 |
| 5.3% 6/1/33 | | 450,000 | 451,922 |
| 5.875% 6/1/53 | | 690,000 | 680,646 |
| HCA Holdings, Inc.: | | | |
| 3.375% 3/15/29 | | 330,000 | 311,927 |
| 3.625% 3/15/32 | | 200,000 | 181,830 |
| 4.625% 3/15/52 | | 370,000 | 313,071 |
| Humana, Inc. 5.375% 4/15/31 | | 135,000 | 138,251 |
| ICON Investments Six Designated Activity: | | | |
| 5.849% 5/8/29 | | 340,000 | 355,247 |
| 6% 5/8/34 | | 397,000 | 418,055 |
| Sabra Health Care LP 3.2% 12/1/31 | | 615,000 | 533,422 |
| UnitedHealth Group, Inc. 2% 5/15/30 | | 330,000 | 290,889 |
| Universal Health Services, Inc. 2.65% 1/15/32 | | 275,000 | 234,653 |
| | | | 10,068,849 |
| Pharmaceuticals - 1.4% | | | |
| AstraZeneca PLC 6.45% 9/15/37 | | 236,000 | 271,956 |
| Bayer U.S. Finance II LLC 4.375% 12/15/28 (b) | | 410,000 | 401,140 |
| Bayer U.S. Finance LLC 6.875% 11/21/53 (b) | | 600,000 | 653,136 |
| Bristol-Myers Squibb Co.: | | | |
| 5.1% 2/22/31 | | 213,000 | 220,212 |
| 5.2% 2/22/34 | | 400,000 | 414,902 |
| 5.5% 2/22/44 | | 81,000 | 83,586 |
| 5.55% 2/22/54 | | 275,000 | 283,899 |
| 5.65% 2/22/64 | | 400,000 | 412,299 |
| Elanco Animal Health, Inc. 6.65% 8/28/28 (c) | | 372,000 | 385,215 |
| | | | 3,126,345 |
TOTAL HEALTH CARE | | | 15,322,763 |
| INDUSTRIALS - 5.4% | | | |
| Aerospace & Defense - 2.1% | | | |
| BAE Systems PLC: | | | |
| 1.9% 2/15/31 (b) | | 425,000 | 357,880 |
| 5.3% 3/26/34 (b) | | 300,000 | 307,685 |
| RTX Corp.: | | | |
| 6.1% 3/15/34 | | 350,000 | 381,028 |
| 6.4% 3/15/54 | | 350,000 | 401,704 |
| The Boeing Co.: | | | |
| 3.625% 2/1/31 | | 1,535,000 | 1,388,625 |
| 5.04% 5/1/27 | | 558,000 | 558,739 |
| 5.15% 5/1/30 | | 1,008,000 | 1,005,411 |
| 6.298% 5/1/29 (b) | | 61,000 | 63,706 |
| 6.388% 5/1/31 (b) | | 46,000 | 48,455 |
| 6.528% 5/1/34 (b) | | 49,000 | 51,896 |
| 6.858% 5/1/54 (b) | | 74,000 | 79,679 |
| 7.008% 5/1/64 (b) | | 70,000 | 75,391 |
| | | | 4,720,199 |
| Air Freight & Logistics - 0.1% | | | |
| FedEx Corp. 4.05% 2/15/48 | | 348,000 | 281,267 |
| Building Products - 0.0% | | | |
| Carrier Global Corp.: | | | |
| 5.9% 3/15/34 | | 18,000 | 19,417 |
| 6.2% 3/15/54 | | 11,000 | 12,472 |
| | | | 31,889 |
| Ground Transportation - 0.2% | | | |
| CSX Corp. 4.75% 11/15/48 | | 402,000 | 374,314 |
| Machinery - 1.1% | | | |
| AGCO Corp. 5.8% 3/21/34 | | 469,000 | 482,364 |
| Ingersoll Rand, Inc.: | | | |
| 5.314% 6/15/31 | | 500,000 | 517,185 |
| 5.45% 6/15/34 | | 500,000 | 520,013 |
| 5.7% 8/14/33 | | 514,000 | 542,183 |
| Westinghouse Air Brake Tech Co. 3.45% 11/15/26 | | 366,000 | 357,011 |
| | | | 2,418,756 |
| Passenger Airlines - 0.4% | | | |
| American Airlines 2017-2 Class B Pass Through Trust equipment trust certificate 3.7% 4/15/27 | | 308,396 | 302,544 |
| American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29 | | 134,120 | 126,533 |
| American Airlines, Inc. 3.75% 4/15/27 | | 104,249 | 101,928 |
| British Airways 2021-1 Class A Pass Through Trust equipment trust certificate 2.9% 9/15/36 (b) | | 175,284 | 154,967 |
| United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | | 121,351 | 114,775 |
| United Airlines, Inc. equipment trust certificate 4.6% 9/1/27 | | 66,114 | 65,180 |
| | | | 865,927 |
| Professional Services - 0.1% | | | |
| Booz Allen Hamilton, Inc. 5.95% 8/4/33 | | 298,000 | 315,460 |
| Trading Companies & Distributors - 0.2% | | | |
| Air Lease Corp. 2.875% 1/15/32 | | 460,000 | 398,332 |
| Transportation Infrastructure - 1.2% | | | |
| Avolon Holdings Funding Ltd.: | | | |
| 2.528% 11/18/27 (b) | | 219,000 | 202,614 |
| 4.25% 4/15/26 (b) | | 1,445,000 | 1,422,590 |
| 5.5% 1/15/26 (b) | | 312,000 | 312,389 |
| 5.75% 3/1/29 (b) | | 600,000 | 614,454 |
| 6.375% 5/4/28 (b) | | 139,000 | 144,488 |
| | | | 2,696,535 |
TOTAL INDUSTRIALS | | | 12,102,679 |
| INFORMATION TECHNOLOGY - 4.7% | | | |
| Electronic Equipment, Instruments & Components - 1.3% | | | |
| Dell International LLC/EMC Corp.: | | | |
| 3.45% 12/15/51 | | 306,000 | 218,071 |
| 4.9% 10/1/26 | | 1,726,000 | 1,735,037 |
| Vontier Corp. 2.95% 4/1/31 | | 1,182,000 | 1,022,333 |
| | | | 2,975,441 |
| IT Services - 0.6% | | | |
| CDW LLC/CDW Finance Corp.: | | | |
| 2.67% 12/1/26 | | 544,000 | 518,993 |
| 5.1% 3/1/30 | | 217,000 | 218,003 |
| 5.55% 8/22/34 | | 700,000 | 705,880 |
| | | | 1,442,876 |
| Semiconductors & Semiconductor Equipment - 2.3% | | | |
| Broadcom, Inc.: | | | |
| 2.45% 2/15/31 (b) | | 175,000 | 152,694 |
| 2.6% 2/15/33 (b) | | 1,302,000 | 1,091,459 |
| 3.5% 2/15/41 (b) | | 363,000 | 290,034 |
| 5.05% 7/12/29 | | 408,000 | 415,959 |
| 5.15% 11/15/31 | | 650,000 | 664,016 |
| Marvell Technology, Inc.: | | | |
| 2.95% 4/15/31 | | 550,000 | 491,408 |
| 5.75% 2/15/29 | | 260,000 | 270,942 |
| 5.95% 9/15/33 | | 205,000 | 217,741 |
| Micron Technology, Inc.: | | | |
| 2.703% 4/15/32 | | 695,000 | 595,420 |
| 4.185% 2/15/27 | | 321,000 | 317,804 |
| 5.3% 1/15/31 | | 556,000 | 570,036 |
| | | | 5,077,513 |
| Software - 0.5% | | | |
| Oracle Corp.: | | | |
| 2.875% 3/25/31 | | 170,000 | 152,123 |
| 3.95% 3/25/51 | | 390,000 | 301,574 |
| 4.3% 7/8/34 | | 287,000 | 271,370 |
| Roper Technologies, Inc. 2.95% 9/15/29 | | 389,000 | 361,990 |
| | | | 1,087,057 |
TOTAL INFORMATION TECHNOLOGY | | | 10,582,887 |
| MATERIALS - 2.1% | | | |
| Chemicals - 1.5% | | | |
| Celanese U.S. Holdings LLC: | | | |
| 6.165% 7/15/27 | | 1,060,000 | 1,093,782 |
| 6.35% 11/15/28 | | 82,000 | 86,273 |
| 6.55% 11/15/30 | | 204,000 | 218,770 |
| 6.7% 11/15/33 | | 49,000 | 52,969 |
| International Flavors & Fragrances, Inc.: | | | |
| 1.832% 10/15/27 (b) | | 442,000 | 405,477 |
| 3.468% 12/1/50 (b) | | 832,000 | 576,494 |
| LYB International Finance III LLC 2.25% 10/1/30 | | 308,000 | 269,537 |
| The Dow Chemical Co. 5.15% 2/15/34 | | 750,000 | 758,058 |
| | | | 3,461,360 |
| Containers & Packaging - 0.5% | | | |
| Avery Dennison Corp. 4.875% 12/6/28 | | 325,000 | 328,930 |
| Smurfit Kappa Treasury ULC 5.438% 4/3/34 (b) | | 650,000 | 668,473 |
| | | | 997,403 |
| Metals & Mining - 0.1% | | | |
| Vale Overseas Ltd. 6.4% 6/28/54 | | 190,000 | 193,800 |
TOTAL MATERIALS | | | 4,652,563 |
| REAL ESTATE - 5.8% | | | |
| Equity Real Estate Investment Trusts (REITs) - 5.4% | | | |
| Agree LP: | | | |
| 4.8% 10/1/32 | | 441,000 | 432,989 |
| 5.625% 6/15/34 | | 500,000 | 515,716 |
| American Homes 4 Rent LP 5.5% 7/15/34 | | 217,000 | 221,360 |
| Brixmor Operating Partnership LP: | | | |
| 4.05% 7/1/30 | | 509,000 | 487,593 |
| 4.125% 5/15/29 | | 365,000 | 354,043 |
| Corporate Office Properties LP: | | | |
| 2% 1/15/29 | | 278,000 | 244,501 |
| 2.75% 4/15/31 | | 550,000 | 471,755 |
| Crown Castle, Inc. 2.25% 1/15/31 | | 323,000 | 275,764 |
| GLP Capital LP/GLP Financing II, Inc. 5.625% 9/15/34 | | 700,000 | 707,661 |
| Hudson Pacific Properties LP: | | | |
| 3.95% 11/1/27 | | 422,000 | 374,854 |
| 5.95% 2/15/28 | | 355,000 | 317,082 |
| Invitation Homes Operating Partnership LP: | | | |
| 2% 8/15/31 | | 395,000 | 326,140 |
| 4.15% 4/15/32 | | 133,000 | 125,316 |
| Kite Realty Group LP 5.5% 3/1/34 | | 33,000 | 33,453 |
| Kite Realty Group Trust 4.75% 9/15/30 | | 257,000 | 254,540 |
| Omega Healthcare Investors, Inc.: | | | |
| 3.25% 4/15/33 | | 394,000 | 333,375 |
| 3.625% 10/1/29 | | 1,437,000 | 1,337,260 |
| Phillips Edison Grocery Center Operating Partnership I LP 5.75% 7/15/34 | | 35,000 | 36,038 |
| Piedmont Operating Partnership LP: | | | |
| 2.75% 4/1/32 | | 53,000 | 41,645 |
| 6.875% 7/15/29 | | 100,000 | 103,892 |
| Realty Income Corp. 2.2% 6/15/28 | | 27,000 | 24,846 |
| Store Capital LLC: | | | |
| 2.7% 12/1/31 | | 450,000 | 377,623 |
| 2.75% 11/18/30 | | 67,000 | 57,934 |
| Sun Communities Operating LP: | | | |
| 2.3% 11/1/28 | | 1,120,000 | 1,012,971 |
| 2.7% 7/15/31 | | 445,000 | 381,082 |
| 4.2% 4/15/32 | | 280,000 | 259,683 |
| 5.7% 1/15/33 | | 450,000 | 458,081 |
| Ventas Realty LP 3% 1/15/30 | | 1,247,000 | 1,141,229 |
| VICI Properties LP: | | | |
| 4.75% 2/15/28 | | 348,000 | 346,631 |
| 4.95% 2/15/30 | | 540,000 | 538,062 |
| 5.125% 5/15/32 | | 251,000 | 248,114 |
| Vornado Realty LP: | | | |
| 2.15% 6/1/26 | | 73,000 | 69,060 |
| 3.4% 6/1/31 | | 225,000 | 191,055 |
| | | | 12,101,348 |
| Real Estate Management & Development - 0.4% | | | |
| Brandywine Operating Partnership LP: | | | |
| 8.05% 3/15/28 | | 133,000 | 141,522 |
| 8.875% 4/12/29 | | 141,000 | 153,231 |
| Tanger Properties LP: | | | |
| 2.75% 9/1/31 | | 373,000 | 317,838 |
| 3.125% 9/1/26 | | 410,000 | 394,326 |
| | | | 1,006,917 |
TOTAL REAL ESTATE | | | 13,108,265 |
| UTILITIES - 9.2% | | | |
| Electric Utilities - 6.0% | | | |
| Cleco Corporate Holdings LLC: | | | |
| 3.743% 5/1/26 | | 2,301,000 | 2,254,085 |
| 4.973% 5/1/46 | | 356,000 | 309,723 |
| Cleveland Electric Illuminating Co. 3.5% 4/1/28 (b) | | 224,000 | 215,227 |
| Duke Energy Corp.: | | | |
| 4.5% 8/15/32 | | 2,040,000 | 1,987,299 |
| 5% 8/15/52 | | 550,000 | 504,610 |
| Duke Energy Indiana LLC 4.9% 7/15/43 | | 88,000 | 83,300 |
| Duquesne Light Holdings, Inc.: | | | |
| 2.532% 10/1/30 (b) | | 86,000 | 74,400 |
| 2.775% 1/7/32 (b) | | 297,000 | 251,106 |
| 3.616% 8/1/27 (b) | | 250,000 | 242,164 |
| Edison International 5.45% 6/15/29 | | 501,000 | 515,147 |
| ENEL Finance International NV 5.5% 6/26/34 (b) | | 539,000 | 547,176 |
| Exelon Corp.: | | | |
| 3.35% 3/15/32 | | 1,888,000 | 1,720,041 |
| 4.05% 4/15/30 | | 240,000 | 233,950 |
| 4.1% 3/15/52 | | 213,000 | 172,275 |
| FirstEnergy Corp.: | | | |
| 2.25% 9/1/30 | | 639,000 | 555,956 |
| 2.65% 3/1/30 | | 500,000 | 451,504 |
| 4.15% 7/15/27 | | 416,000 | 408,079 |
| FirstEnergy Transmission LLC 2.866% 9/15/28 (b) | | 440,000 | 412,186 |
| Georgia Power Co. 5.25% 3/15/34 | | 550,000 | 567,203 |
| IPALCO Enterprises, Inc. 5.75% 4/1/34 | | 235,000 | 241,849 |
| ITC Holdings Corp. 5.65% 5/9/34 (b) | | 800,000 | 828,250 |
| PPL Capital Funding, Inc. 5.25% 9/1/34 | | 476,000 | 481,818 |
| Southern Co.: | | | |
| 4.85% 6/15/28 | | 100,000 | 101,472 |
| 5.7% 3/15/34 | | 126,000 | 132,938 |
| Virginia Electric & Power Co. 5.55% 8/15/54 | | 158,000 | 160,538 |
| | | | 13,452,296 |
| Gas Utilities - 0.5% | | | |
| Southern Co. Gas Capital Corp.: | | | |
| 3.15% 9/30/51 | | 416,000 | 275,501 |
| 4.4% 5/30/47 | | 204,000 | 172,671 |
| 5.75% 9/15/33 | | 700,000 | 739,909 |
| | | | 1,188,081 |
| Independent Power and Renewable Electricity Producers - 1.6% | | | |
| Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (b) | | 550,000 | 544,978 |
| Emera U.S. Finance LP: | | | |
| 2.639% 6/15/31 | | 330,000 | 283,553 |
| 3.55% 6/15/26 | | 1,271,000 | 1,237,649 |
| 4.75% 6/15/46 | | 426,000 | 367,279 |
| The AES Corp.: | | | |
| 1.375% 1/15/26 | | 392,000 | 373,381 |
| 2.45% 1/15/31 | | 710,000 | 605,476 |
| 3.95% 7/15/30 (b) | | 322,000 | 304,001 |
| | | | 3,716,317 |
| Multi-Utilities - 1.1% | | | |
| Dominion Energy, Inc. 4.25% 6/1/28 | | 523,000 | 516,995 |
| NiSource, Inc.: | | | |
| 3.6% 5/1/30 | | 430,000 | 407,755 |
| 3.95% 3/30/48 | | 426,000 | 337,633 |
| 4.8% 2/15/44 | | 268,000 | 244,705 |
| Puget Energy, Inc.: | | | |
| 4.1% 6/15/30 | | 624,000 | 594,652 |
| 4.224% 3/15/32 | | 210,000 | 193,647 |
| Sempra 3.8% 2/1/38 | | 282,000 | 240,185 |
| | | | 2,535,572 |
TOTAL UTILITIES | | | 20,892,266 |
| TOTAL NONCONVERTIBLE BONDS (Cost $205,845,405) | | | 198,736,698 |
| | | | |
| U.S. Treasury Obligations - 8.7% |
| | | Principal Amount (a) | Value ($) |
| U.S. Treasury Bonds: | | | |
| 3.625% 5/15/53 | | 2,100,000 | 1,884,996 |
| 4.125% 8/15/53 | | 3,700,000 | 3,633,371 |
| 4.25% 2/15/54 | | 8,544,000 | 8,577,364 |
| 4.25% 8/15/54 | | 2,200,000 | 2,213,750 |
| 4.625% 5/15/54 | | 3,080,000 | 3,291,750 |
| U.S. Treasury Notes 4.5% 11/15/33 | | 140,000 | 146,360 |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $19,099,205) | | | 19,747,591 |
| | | | |
| Asset-Backed Securities - 0.3% |
| | | Principal Amount (a) | Value ($) |
| Dominos Pizza Master Issuer LLC Series 2018-1A Class A2I, 4.116% 7/25/48 (b) | | 122,228 | 120,564 |
| Subway Funding LLC Issuer Series 2024-1A: | | | |
| Class A23, 6.505% 7/30/54 (b) | | 144,000 | 150,466 |
| Class A2I, 6.028% 7/30/54 (b) | | 276,000 | 283,177 |
| Class A2II, 6.268% 7/30/54 (b) | | 164,000 | 170,013 |
| TOTAL ASSET-BACKED SECURITIES (Cost $706,228) | | | 724,220 |
| | | | |
| Bank Notes - 0.2% |
| | | Principal Amount (a) | Value ($) |
Truist Bank 2.25% 3/11/30 (Cost $399,629) | | 400,000 | 347,872 |
| | | | |
| Preferred Securities - 0.5% |
| | | Principal Amount (a) | Value ($) |
| ENERGY - 0.1% | | | |
| Oil, Gas & Consumable Fuels - 0.1% | | | |
| Enbridge, Inc. 5.75% 7/15/80 (c) | | 315,000 | 303,520 |
| FINANCIALS - 0.4% | | | |
| Capital Markets - 0.4% | | | |
| UBS Group AG: | | | |
| 4.375% (b)(c)(d) | | 265,000 | 227,499 |
| 4.875% (b)(c)(d) | | 570,000 | 545,063 |
| | | | 772,562 |
| TOTAL PREFERRED SECURITIES (Cost $1,160,949) | | | 1,076,082 |
| | | | |
| Money Market Funds - 1.9% |
| | | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (e) (Cost $4,386,597) | | 4,385,780 | 4,386,657 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 99.6% (Cost $231,598,013) | 225,019,120 |
NET OTHER ASSETS (LIABILITIES) - 0.4% | 908,571 |
| NET ASSETS - 100.0% | 225,927,691 |
| | |
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $36,711,632 or 16.2% of net assets. |
| (c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (d) | Security is perpetual in nature with no stated maturity date. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 5,831,081 | 35,620,757 | 37,065,184 | 140,088 | 25 | (22) | 4,386,657 | 0.0% |
| Total | 5,831,081 | 35,620,757 | 37,065,184 | 140,088 | 25 | (22) | 4,386,657 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Corporate Bonds | 198,736,698 | - | 198,736,698 | - |
|
| U.S. Government and Government Agency Obligations | 19,747,591 | - | 19,747,591 | - |
|
| Asset-Backed Securities | 724,220 | - | 724,220 | - |
|
| Bank Notes | 347,872 | - | 347,872 | - |
|
| Preferred Securities | 1,076,082 | - | 1,076,082 | - |
|
| Money Market Funds | 4,386,657 | 4,386,657 | - | - |
| Total Investments in Securities: | 225,019,120 | 4,386,657 | 220,632,463 | - |
Fidelity® Corporate Bond ETF
Financial Statements
| Statement of Assets and Liabilities |
As of August 31, 2024 |
| Assets | | | | |
| Investment in securities, at value - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $227,211,416) | $ | 220,632,463 | | |
Fidelity Central Funds (cost $4,386,597) | | 4,386,657 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $231,598,013) | | | $ | 225,019,120 |
| Receivable for investments sold | | | | 397,347 |
| Dividends receivable | | | | 3,104 |
| Interest receivable | | | | 2,568,127 |
| Distributions receivable from Fidelity Central Funds | | | | 12,831 |
Total assets | | | | 228,000,529 |
| Liabilities | | | | |
| Payable for investments purchased | $ | 1,203,063 | | |
| Distributions payable | | 802,750 | | |
| Accrued management fee | | 67,025 | | |
| Total liabilities | | | | 2,072,838 |
| Net Assets | | | $ | 225,927,691 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 245,869,266 |
| Total accumulated earnings (loss) | | | | (19,941,575) |
| Net Assets | | | $ | 225,927,691 |
Net Asset Value, offering price and redemption price per share ($225,927,691 ÷ 4,750,000 shares) | | | $ | 47.56 |
| Statement of Operations |
| Year ended August 31, 2024 |
| Investment Income | | | | |
| Dividends | | | $ | 58,011 |
| Interest | | | | 9,208,872 |
| Income from Fidelity Central Funds | | | | 140,088 |
| Total income | | | | 9,406,971 |
| Expenses | | | | |
| Management fee | $ | 731,560 | | |
| Independent trustees' fees and expenses | | 591 | | |
| Total expenses before reductions | | 732,151 | | |
| Expense reductions | | (947) | | |
| Total expenses after reductions | | | | 731,204 |
| Net Investment income (loss) | | | | 8,675,767 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (3,958,359) | | |
| Redemptions in-kind | | (750,890) | | |
| Fidelity Central Funds | | 25 | | |
| Total net realized gain (loss) | | | | (4,709,224) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 16,071,927 | | |
| Fidelity Central Funds | | (22) | | |
| Total change in net unrealized appreciation (depreciation) | | | | 16,071,905 |
| Net gain (loss) | | | | 11,362,681 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 20,038,448 |
| Statement of Changes in Net Assets |
| |
| | Year ended August 31, 2024 | | Year ended August 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 8,675,767 | $ | 5,679,926 |
| Net realized gain (loss) | | (4,709,224) | | (7,263,643) |
| Change in net unrealized appreciation (depreciation) | | 16,071,905 | | 3,041,236 |
| Net increase (decrease) in net assets resulting from operations | | 20,038,448 | | 1,457,519 |
| Distributions to shareholders | | (8,633,650) | | (5,667,200) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 52,183,444 | | 43,194,326 |
| Cost of shares redeemed | | (9,007,516) | | (27,127,792) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | 43,175,928 | | 16,066,534 |
| Total increase (decrease) in net assets | | 54,580,726 | | 11,856,853 |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 171,346,965 | | 159,490,112 |
| End of period | $ | 225,927,691 | $ | 171,346,965 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 1,150,000 | | 950,000 |
| Redeemed | | (200,000) | | (600,000) |
| Net increase (decrease) | | 950,000 | | 350,000 |
| | | | | |
Financial Highlights
Fidelity® Corporate Bond ETF |
| |
| Years ended August 31, | | 2024 | | 2023 | | 2022 | | 2021 | | 2020 |
Selected Per-Share Data | | | | | | | | | | |
| Net asset value, beginning of period | $ | 45.09 | $ | 46.23 | $ | 56.09 | $ | 55.93 | $ | 53.26 |
| Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) A,B | | 1.952 | | 1.663 | | 1.339 | | 1.321 | | 1.546 |
| Net realized and unrealized gain (loss) | | 2.442 | | (1.142) | | (9.824) | | .387 | | 2.655 |
| Total from investment operations | | 4.394 | | .521 | | (8.485) | | 1.708 | | 4.201 |
| Distributions from net investment income | | (1.924) | | (1.661) | | (1.375) | | (1.308) | | (1.531) |
| Distributions from net realized gain | | - | | - | | - | | (.244) | | - |
| Total distributions | | (1.924) | | (1.661) | | (1.375) | | (1.552) | | (1.531) |
| Net asset value, end of period | $ | 47.56 | $ | 45.09 | $ | 46.23 | $ | 56.09 | $ | 55.93 |
Total Return C,D | | | | 1.19% | | (15.30)% | | 3.11% | | 8.06% |
Ratios to Average Net Assets B,E,F | | | | | | | | | | |
| Expenses before reductions | | .36% | | .36% | | .36% | | .36% | | .36% |
| Expenses net of fee waivers, if any | | | | .36% | | .36% | | .36% | | .36% |
| Expenses net of all reductions | | .36% | | .36% | | .36% | | .36% | | .36% |
| Net investment income (loss) | | 4.27% | | 3.68% | | 2.60% | | 2.38% | | 2.88% |
| Supplemental Data | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 225,928 | $ | 171,347 | $ | 159,490 | $ | 294,461 | $ | 206,932 |
Portfolio turnover rate G,H | | | | 28% | | 32% | | 26% | | 31% |
ACalculated based on average shares outstanding during the period.
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
DBased on net asset value.
EFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
FExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
GAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
HPortfolio turnover rate excludes securities received or delivered in-kind.
Fidelity® Investment Grade Bond ETF
Schedule of Investments August 31, 2024
Showing Percentage of Net Assets
| Nonconvertible Bonds - 23.1% |
| | | Principal Amount (a) | Value ($) |
| COMMUNICATION SERVICES - 2.5% | | | |
| Diversified Telecommunication Services - 0.9% | | | |
| AT&T, Inc.: | | | |
| 2.55% 12/1/33 | | 336,000 | 278,296 |
| 4.3% 2/15/30 | | 310,000 | 306,857 |
| Verizon Communications, Inc.: | | | |
| 2.355% 3/15/32 | | 312,000 | 265,078 |
| 3.15% 3/22/30 | | 228,000 | 212,722 |
| 4.78% 2/15/35 (b) | | 80,000 | 78,884 |
| | | | 1,141,837 |
| Entertainment - 0.1% | | | |
| The Walt Disney Co. 2.65% 1/13/31 | | 186,000 | 167,571 |
| Media - 1.4% | | | |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | | | |
| 2.3% 2/1/32 | | 672,000 | 536,799 |
| 2.8% 4/1/31 | | 465,000 | 394,412 |
| 5.05% 3/30/29 | | 20,000 | 19,797 |
| 6.1% 6/1/29 | | 45,000 | 46,493 |
| 6.55% 6/1/34 | | 24,000 | 24,861 |
| Time Warner Cable LLC 5.5% 9/1/41 | | 60,000 | 51,921 |
| Warnermedia Holdings, Inc.: | | | |
| 3.638% 3/15/25 | | 3,000 | 2,971 |
| 3.755% 3/15/27 | | 6,000 | 5,748 |
| 4.054% 3/15/29 | | 2,000 | 1,869 |
| 4.279% 3/15/32 | | 621,000 | 542,848 |
| 5.05% 3/15/42 | | 3,000 | 2,404 |
| 5.141% 3/15/52 | | 42,000 | 31,945 |
| | | | 1,662,068 |
| Wireless Telecommunication Services - 0.1% | | | |
| T-Mobile U.S.A., Inc. 4.5% 4/15/50 | | 126,000 | 109,326 |
TOTAL COMMUNICATION SERVICES | | | 3,080,802 |
| CONSUMER DISCRETIONARY - 1.1% | | | |
| Automobiles - 0.0% | | | |
| General Motors Financial Co., Inc.: | | | |
| 4% 1/15/25 | | 36,000 | 35,806 |
| 5.85% 4/6/30 | | 5,000 | 5,217 |
| | | | 41,023 |
| Distributors - 0.2% | | | |
| Genuine Parts Co. 4.95% 8/15/29 | | 300,000 | 301,849 |
| Leisure Products - 0.1% | | | |
| Brunswick Corp. 5.85% 3/18/29 | | 100,000 | 102,307 |
| Specialty Retail - 0.6% | | | |
| AutoZone, Inc. 6.25% 11/1/28 | | 240,000 | 255,233 |
| Lowe's Companies, Inc.: | | | |
| 3.35% 4/1/27 | | 2,000 | 1,951 |
| 3.75% 4/1/32 | | 434,000 | 407,804 |
| 4.25% 4/1/52 | | 10,000 | 8,202 |
| 4.45% 4/1/62 | | 10,000 | 8,163 |
| | | | 681,353 |
| Textiles, Apparel & Luxury Goods - 0.2% | | | |
| Tapestry, Inc.: | | | |
| 3.05% 3/15/32 | | 18,000 | 15,069 |
| 7% 11/27/26 | | 12,000 | 12,378 |
| 7.05% 11/27/25 | | 4,000 | 4,074 |
| 7.35% 11/27/28 | | 19,000 | 19,930 |
| 7.7% 11/27/30 | | 19,000 | 20,231 |
| 7.85% 11/27/33 | | 119,000 | 127,333 |
| | | | 199,015 |
TOTAL CONSUMER DISCRETIONARY | | | 1,325,547 |
| CONSUMER STAPLES - 0.2% | | | |
| Consumer Staples Distribution & Retail - 0.2% | | | |
| Kroger Co. 5.5% 9/15/54 | | 300,000 | 294,059 |
| ENERGY - 2.7% | | | |
| Oil, Gas & Consumable Fuels - 2.7% | | | |
| Columbia Pipelines Operating Co. LLC: | | | |
| 5.927% 8/15/30 (b) | | 3,000 | 3,151 |
| 6.036% 11/15/33 (b) | | 10,000 | 10,558 |
| 6.497% 8/15/43 (b) | | 3,000 | 3,261 |
| 6.544% 11/15/53 (b) | | 5,000 | 5,545 |
| 6.714% 8/15/63 (b) | | 3,000 | 3,335 |
| Energy Transfer LP: | | | |
| 4.95% 6/15/28 | | 148,000 | 149,534 |
| 5.25% 7/1/29 | | 23,000 | 23,541 |
| 5.6% 9/1/34 | | 80,000 | 82,346 |
| 5.75% 2/15/33 | | 364,000 | 378,527 |
| Hess Corp.: | | | |
| 4.3% 4/1/27 | | 155,000 | 153,939 |
| 5.6% 2/15/41 | | 2,000 | 2,045 |
| MPLX LP 4.8% 2/15/29 | | 148,000 | 149,399 |
| Occidental Petroleum Corp.: | | | |
| 5.2% 8/1/29 | | 73,000 | 74,024 |
| 5.375% 1/1/32 | | 93,000 | 94,373 |
| 7.5% 5/1/31 | | 316,000 | 358,481 |
| Petroleos Mexicanos: | | | |
| 5.95% 1/28/31 | | 528,000 | 436,756 |
| 7.69% 1/23/50 | | 559,000 | 414,890 |
| Plains All American Pipeline LP/PAA Finance Corp. 3.55% 12/15/29 | | 288,000 | 271,096 |
| The Williams Companies, Inc.: | | | |
| 4.65% 8/15/32 | | 94,000 | 92,469 |
| 4.8% 11/15/29 | | 148,000 | 149,091 |
| 5.3% 8/15/52 | | 2,000 | 1,915 |
| Western Midstream Operating LP 4.05% 2/1/30 | | 424,000 | 405,853 |
| | | | 3,264,129 |
| FINANCIALS - 10.1% | | | |
| Banks - 4.9% | | | |
| Bank of America Corp.: | | | |
| 2.299% 7/21/32 (c) | | 5,000 | 4,256 |
| 4.183% 11/25/27 | | 254,000 | 251,468 |
| 5.015% 7/22/33 (c) | | 372,000 | 376,334 |
| 5.819% 9/15/29 (c) | | 744,000 | 777,096 |
| Barclays PLC 6.49% 9/13/29 (c) | | 560,000 | 593,217 |
| Citigroup, Inc.: | | | |
| 4.45% 9/29/27 | | 236,000 | 234,888 |
| 6.27% 11/17/33 (c) | | 460,000 | 498,346 |
| Citizens Financial Group, Inc. 5.718% 7/23/32 (c) | | 135,000 | 137,796 |
| JPMorgan Chase & Co.: | | | |
| 4.493% 3/24/31 (c) | | 544,000 | 542,250 |
| 4.912% 7/25/33 (c) | | 40,000 | 40,220 |
| 5.35% 6/1/34 (c) | | 768,000 | 792,342 |
| NatWest Group PLC 3.073% 5/22/28 (c) | | 464,000 | 444,855 |
| Wells Fargo & Co.: | | | |
| 4.478% 4/4/31 (c) | | 432,000 | 427,568 |
| 4.897% 7/25/33 (c) | | 40,000 | 39,805 |
| 6.303% 10/23/29 (c) | | 720,000 | 763,745 |
| | | | 5,924,186 |
| Capital Markets - 2.3% | | | |
| Ares Capital Corp. 3.875% 1/15/26 | | 132,000 | 129,476 |
| Athene Global Funding: | | | |
| 5.339% 1/15/27 (b) | | 62,000 | 62,745 |
| 5.583% 1/9/29 (b) | | 28,000 | 28,753 |
| Blackstone Private Credit Fund 7.05% 9/29/25 | | 8,000 | 8,126 |
| Deutsche Bank AG New York Branch 4.1% 1/13/26 | | 100,000 | 98,695 |
| Goldman Sachs Group, Inc.: | | | |
| 2.383% 7/21/32 (c) | | 4,000 | 3,406 |
| 3.8% 3/15/30 | | 590,000 | 568,856 |
| Moody's Corp. 5% 8/5/34 | | 320,000 | 323,534 |
| Morgan Stanley: | | | |
| 4.431% 1/23/30 (c) | | 538,000 | 534,613 |
| 5.32% 7/19/35 (c) | | 400,000 | 408,599 |
| 6.342% 10/18/33 (c) | | 40,000 | 43,786 |
| Sixth Street Specialty Lending, Inc. 6.125% 3/1/29 | | 26,000 | 26,651 |
| UBS Group AG 6.246% 9/22/29 (b)(c) | | 560,000 | 590,658 |
| | | | 2,827,898 |
| Consumer Finance - 1.6% | | | |
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | | | |
| 3% 10/29/28 | | 432,000 | 404,027 |
| 6.1% 1/15/27 | | 150,000 | 154,420 |
| Ally Financial, Inc.: | | | |
| 2.2% 11/2/28 | | 11,000 | 9,865 |
| 6.992% 6/13/29 (c) | | 192,000 | 203,636 |
| 7.1% 11/15/27 | | 98,000 | 104,074 |
| 8% 11/1/31 | | 45,000 | 51,359 |
| Capital One Financial Corp.: | | | |
| 2.359% 7/29/32 (c) | | 16,000 | 12,839 |
| 3.8% 1/31/28 | | 164,000 | 159,117 |
| 4.985% 7/24/26 (c) | | 6,000 | 5,987 |
| 5.247% 7/26/30 (c) | | 9,000 | 9,092 |
| 6.312% 6/8/29 (c) | | 240,000 | 251,045 |
| 7.624% 10/30/31 (c) | | 30,000 | 33,865 |
| Discover Financial Services 6.7% 11/29/32 | | 2,000 | 2,180 |
| Ford Motor Credit Co. LLC 6.8% 5/12/28 | | 456,000 | 478,397 |
| | | | 1,879,903 |
| Financial Services - 1.1% | | | |
| Corebridge Financial, Inc.: | | | |
| 3.9% 4/5/32 | | 291,000 | 269,422 |
| 4.35% 4/5/42 | | 2,000 | 1,721 |
| 4.4% 4/5/52 | | 2,000 | 1,662 |
| Corebridge Global Funding: | | | |
| 4.65% 8/20/27 (b) | | 104,000 | 104,458 |
| 5.2% 1/12/29 (b) | | 100,000 | 102,139 |
| Equitable Holdings, Inc. 5% 4/20/48 | | 34,000 | 31,718 |
| Jackson Financial, Inc.: | | | |
| 3.125% 11/23/31 | | 2,000 | 1,731 |
| 5.17% 6/8/27 | | 4,000 | 4,054 |
| 5.67% 6/8/32 | | 4,000 | 4,129 |
| Jbs U.S.A. Holding Lux/ Jbs U.S.A. F: | | | |
| 5.125% 2/1/28 | | 5,000 | 5,025 |
| 5.5% 1/15/30 | | 366,000 | 368,653 |
| 5.75% 4/1/33 | | 478,000 | 489,309 |
| | | | 1,384,021 |
| Insurance - 0.2% | | | |
| Unum Group: | | | |
| 4% 6/15/29 | | 56,000 | 54,423 |
| 6% 6/15/54 | | 230,000 | 234,153 |
| | | | 288,576 |
TOTAL FINANCIALS | | | 12,304,584 |
| HEALTH CARE - 1.8% | | | |
| Biotechnology - 0.4% | | | |
| Amgen, Inc.: | | | |
| 5.15% 3/2/28 | | 7,000 | 7,150 |
| 5.25% 3/2/30 | | 135,000 | 139,846 |
| 5.25% 3/2/33 | | 271,000 | 278,501 |
| 5.6% 3/2/43 | | 7,000 | 7,154 |
| 5.65% 3/2/53 | | 3,000 | 3,086 |
| 5.75% 3/2/63 | | 6,000 | 6,154 |
| | | | 441,891 |
| Health Care Providers & Services - 1.3% | | | |
| Centene Corp.: | | | |
| 2.45% 7/15/28 | | 13,000 | 11,894 |
| 2.5% 3/1/31 | | 312,000 | 264,866 |
| 2.625% 8/1/31 | | 5,000 | 4,241 |
| 4.625% 12/15/29 | | 230,000 | 223,765 |
| Cigna Group 4.8% 8/15/38 | | 256,000 | 245,482 |
| CVS Health Corp. 5.3% 6/1/33 | | 504,000 | 506,153 |
| HCA Holdings, Inc. 5.45% 4/1/31 | | 300,000 | 307,795 |
| Humana, Inc. 5.375% 4/15/31 | | 31,000 | 31,747 |
| Sabra Health Care LP 3.2% 12/1/31 | | 12,000 | 10,408 |
| | | | 1,606,351 |
| Pharmaceuticals - 0.1% | | | |
| Viatris, Inc. 2.7% 6/22/30 | | 179,000 | 157,576 |
TOTAL HEALTH CARE | | | 2,205,818 |
| INDUSTRIALS - 0.4% | | | |
| Aerospace & Defense - 0.3% | | | |
| The Boeing Co. 5.15% 5/1/30 | | 348,000 | 347,106 |
| Building Products - 0.0% | | | |
| Carrier Global Corp.: | | | |
| 5.9% 3/15/34 | | 4,000 | 4,315 |
| 6.2% 3/15/54 | | 2,000 | 2,268 |
| | | | 6,583 |
| Transportation Infrastructure - 0.1% | | | |
| Avolon Holdings Funding Ltd. 6.375% 5/4/28 (b) | | 121,000 | 125,777 |
TOTAL INDUSTRIALS | | | 479,466 |
| INFORMATION TECHNOLOGY - 0.7% | | | |
| Electronic Equipment, Instruments & Components - 0.1% | | | |
| Dell International LLC/EMC Corp. 6.2% 7/15/30 | | 110,000 | 118,545 |
| Semiconductors & Semiconductor Equipment - 0.6% | | | |
| Broadcom, Inc.: | | | |
| 2.45% 2/15/31 (b) | | 488,000 | 425,797 |
| 5.15% 11/15/31 | | 225,000 | 229,852 |
| Marvell Technology, Inc. 2.95% 4/15/31 | | 38,000 | 33,952 |
| | | | 689,601 |
| Software - 0.0% | | | |
| Oracle Corp. 3.6% 4/1/40 | | 74,000 | 59,602 |
| VMware, Inc. 1.4% 8/15/26 | | 7,000 | 6,584 |
| | | | 66,186 |
TOTAL INFORMATION TECHNOLOGY | | | 874,332 |
| MATERIALS - 0.1% | | | |
| Chemicals - 0.1% | | | |
| Celanese U.S. Holdings LLC: | | | |
| 6.35% 11/15/28 | | 14,000 | 14,730 |
| 6.55% 11/15/30 | | 117,000 | 125,471 |
| 6.7% 11/15/33 | | 9,000 | 9,729 |
| | | | 149,930 |
| REAL ESTATE - 2.3% | | | |
| Equity Real Estate Investment Trusts (REITs) - 2.0% | | | |
| Agree LP 5.625% 6/15/34 | | 160,000 | 165,029 |
| American Homes 4 Rent LP: | | | |
| 2.375% 7/15/31 | | 1,000 | 844 |
| 3.375% 7/15/51 | | 2,000 | 1,374 |
| 3.625% 4/15/32 | | 3,000 | 2,728 |
| 4.3% 4/15/52 | | 2,000 | 1,612 |
| 5.5% 7/15/34 | | 81,000 | 82,627 |
| Brixmor Operating Partnership LP: | | | |
| 4.05% 7/1/30 | | 56,000 | 53,645 |
| 5.75% 2/15/35 | | 150,000 | 155,237 |
| Corporate Office Properties LP 2.75% 4/15/31 | | 506,000 | 434,015 |
| Invitation Homes Operating Partnership LP 2% 8/15/31 | | 518,000 | 427,697 |
| Kite Realty Group Trust 4.75% 9/15/30 | | 74,000 | 73,292 |
| LXP Industrial Trust (REIT) 2.7% 9/15/30 | | 66,000 | 57,869 |
| NNN (REIT), Inc. 5.5% 6/15/34 | | 121,000 | 123,751 |
| Omega Healthcare Investors, Inc.: | | | |
| 3.25% 4/15/33 | | 453,000 | 383,296 |
| 3.375% 2/1/31 | | 100,000 | 89,143 |
| 3.625% 10/1/29 | | 74,000 | 68,864 |
| Phillips Edison Grocery Center Operating Partnership I LP 5.75% 7/15/34 | | 11,000 | 11,326 |
| Piedmont Operating Partnership LP 2.75% 4/1/32 | | 2,000 | 1,572 |
| Regency Centers LP 5.1% 1/15/35 | | 52,000 | 52,164 |
| Sun Communities Operating LP: | | | |
| 2.3% 11/1/28 | | 2,000 | 1,809 |
| 2.7% 7/15/31 | | 8,000 | 6,851 |
| 5.5% 1/15/29 | | 80,000 | 81,767 |
| UDR, Inc. 5.125% 9/1/34 | | 45,000 | 44,828 |
| VICI Properties LP: | | | |
| 4.375% 5/15/25 | | 2,000 | 1,981 |
| 4.75% 2/15/28 | | 7,000 | 6,972 |
| 4.95% 2/15/30 | | 107,000 | 106,616 |
| 5.75% 4/1/34 | | 6,000 | 6,180 |
| Vornado Realty LP: | | | |
| 2.15% 6/1/26 | | 1,000 | 946 |
| 3.4% 6/1/31 | | 3,000 | 2,547 |
| | | | 2,446,582 |
| Real Estate Management & Development - 0.3% | | | |
| Brandywine Operating Partnership LP 8.05% 3/15/28 | | 9,000 | 9,577 |
| CBRE Group, Inc. 2.5% 4/1/31 | | 8,000 | 6,895 |
| Essex Portfolio LP 5.5% 4/1/34 | | 300,000 | 307,924 |
| Tanger Properties LP: | | | |
| 2.75% 9/1/31 | | 6,000 | 5,113 |
| 3.875% 7/15/27 | | 74,000 | 71,875 |
| | | | 401,384 |
TOTAL REAL ESTATE | | | 2,847,966 |
| UTILITIES - 1.2% | | | |
| Electric Utilities - 0.6% | | | |
| Cleco Corporate Holdings LLC 3.743% 5/1/26 | | 60,000 | 58,777 |
| Consolidated Edison Co. of New York, Inc. 5.375% 5/15/34 | | 160,000 | 166,878 |
| Duke Energy Corp. 5.45% 6/15/34 | | 230,000 | 236,971 |
| Duquesne Light Holdings, Inc.: | | | |
| 2.532% 10/1/30 (b) | | 74,000 | 64,019 |
| 2.775% 1/7/32 (b) | | 6,000 | 5,073 |
| Exelon Corp. 5.3% 3/15/33 | | 216,000 | 222,338 |
| | | | 754,056 |
| Independent Power and Renewable Electricity Producers - 0.4% | | | |
| The AES Corp.: | | | |
| 2.45% 1/15/31 | | 267,000 | 227,693 |
| 3.95% 7/15/30 (b) | | 170,000 | 160,497 |
| | | | 388,190 |
| Multi-Utilities - 0.2% | | | |
| NiSource, Inc. 3.6% 5/1/30 | | 270,000 | 256,032 |
TOTAL UTILITIES | | | 1,398,278 |
| TOTAL NONCONVERTIBLE BONDS (Cost $27,761,865) | | | 28,224,911 |
| | | | |
| U.S. Treasury Obligations - 52.8% |
| | | Principal Amount (a) | Value ($) |
| U.S. Treasury Bonds: | | | |
| 2.25% 5/15/41 | | 22,600 | 17,179 |
| 2.375% 5/15/51 | | 646,000 | 448,238 |
| 2.875% 5/15/52 | | 113,000 | 87,328 |
| 3.625% 2/15/53 | | 2,011,000 | 1,803,851 |
| 3.625% 5/15/53 | | 300,000 | 269,285 |
| 4.125% 8/15/53 | | 6,120,000 | 6,009,792 |
| 4.25% 2/15/54 | | 2,220,000 | 2,228,672 |
| 4.625% 5/15/54 | | 1,670,000 | 1,784,813 |
| 4.75% 11/15/53 | | 270,000 | 294,131 |
| U.S. Treasury Notes: | | | |
| 3.375% 5/15/33 | | 400,000 | 384,906 |
| 3.5% 1/31/30 | | 2,644,000 | 2,608,575 |
| 3.625% 3/31/30 | | 100,000 | 99,230 |
| 3.75% 12/31/28 | | 400,000 | 399,953 |
| 3.75% 6/30/30 | | 133,000 | 132,745 |
| 3.75% 12/31/30 | | 1,900,000 | 1,894,582 |
| 3.875% 11/30/29 | | 1,000,000 | 1,005,273 |
| 3.875% 8/15/33 | | 3,144,000 | 3,137,000 |
| 4% 2/28/30 | | 490,000 | 495,474 |
| 4% 2/15/34 | | 3,100,000 | 3,119,375 |
| 4.125% 7/31/28 | | 260,000 | 263,392 |
| 4.125% 3/31/31 | | 3,350,000 | 3,411,766 |
| 4.125% 7/31/31 | | 2,400,000 | 2,444,417 |
| 4.25% 2/28/31 | | 1,140,000 | 1,169,034 |
| 4.25% 6/30/31 | | 9,000,000 | 9,236,250 |
| 4.375% 5/15/34 | | 2,590,000 | 2,683,888 |
| 4.5% 11/15/33 | | 1,289,000 | 1,347,559 |
| 4.625% 9/30/28 | | 9,216,000 | 9,514,076 |
| 4.625% 9/30/30 | | 5,460,000 | 5,704,207 |
| 4.625% 4/30/31 | | 1,500,000 | 1,571,367 |
| 4.875% 10/31/30 | | 810,000 | 857,841 |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $63,227,355) | | | 64,424,199 |
| | | | |
| U.S. Government Agency - Mortgage Securities - 17.6% |
| | | Principal Amount (a) | Value ($) |
| Fannie Mae - 1.8% | | | |
| 2% 6/1/35 to 4/1/52 | | 711,174 | 604,539 |
| 2.5% 2/1/37 to 10/1/51 | | 220,990 | 203,566 |
| 3% 10/1/51 to 5/1/52 | | 452,169 | 402,686 |
| 3.5% 11/1/45 to 3/1/52 | | 370,626 | 350,400 |
| 4% 1/1/51 | | 23,030 | 22,085 |
| 5% 11/1/53 | | 270,390 | 268,417 |
| 5.5% 10/1/52 to 6/1/54 | | 116,637 | 117,718 |
| 6% 3/1/54 to 6/1/54 | | 168,309 | 171,638 |
| 6.5% 6/1/54 | | 17,351 | 17,877 |
TOTAL FANNIE MAE | | | 2,158,926 |
| Freddie Mac - 0.8% | | | |
| 1.5% 12/1/35 to 4/1/51 | | 93,704 | 75,886 |
| 2% 4/1/42 to 10/1/51 | | 180,430 | 154,109 |
| 2.5% 7/1/36 to 9/1/51 | | 369,801 | 328,721 |
| 3% 2/1/50 to 6/1/52 | | 139,626 | 125,135 |
| 3.5% 7/1/42 to 11/1/47 | | 140,597 | 133,269 |
| 4.5% 1/1/54 | | 120,941 | 117,731 |
| 5.5% 3/1/53 | | 44,086 | 45,177 |
TOTAL FREDDIE MAC | | | 980,028 |
| Ginnie Mae - 4.6% | | | |
| 2% 10/20/50 to 2/20/52 | | 813,754 | 684,880 |
| 2% 9/1/54 (d) | | 50,000 | 42,097 |
| 2% 9/1/54 (d) | | 100,000 | 84,195 |
| 2% 9/1/54 (d) | | 50,000 | 42,097 |
| 2% 9/1/54 (d) | | 100,000 | 84,195 |
| 2% 9/1/54 (d) | | 100,000 | 84,195 |
| 2% 9/1/54 (d) | | 50,000 | 42,097 |
| 2% 9/1/54 (d) | | 100,000 | 84,195 |
| 2% 10/1/54 (d) | | 100,000 | 84,288 |
| 2.5% 8/20/51 to 5/20/52 | | 570,617 | 498,492 |
| 3% 9/1/54 (d) | | 75,000 | 67,824 |
| 3% 9/1/54 (d) | | 250,000 | 226,079 |
| 3% 9/1/54 (d) | | 50,000 | 45,216 |
| 3% 9/1/54 (d) | | 50,000 | 45,216 |
| 3% 9/1/54 (d) | | 50,000 | 45,216 |
| 3% 9/1/54 (d) | | 150,000 | 135,647 |
| 3% 10/1/54 (d) | | 50,000 | 45,251 |
| 3% 10/1/54 (d) | | 150,000 | 135,753 |
| 3.5% 9/1/54 (d) | | 100,000 | 93,063 |
| 3.5% 9/1/54 (d) | | 75,000 | 69,797 |
| 3.5% 9/1/54 (d) | | 50,000 | 46,531 |
| 3.5% 9/1/54 (d) | | 75,000 | 69,797 |
| 4% 10/20/52 | | 47,793 | 45,643 |
| 4% 9/1/54 (d) | | 200,000 | 191,112 |
| 4.5% 4/20/53 | | 48,198 | 47,195 |
| 5% 9/1/54 (d) | | 50,000 | 49,947 |
| 5% 9/1/54 (d) | | 100,000 | 99,893 |
| 5% 9/1/54 (d) | | 50,000 | 49,947 |
| 5% 9/1/54 (d) | | 25,000 | 24,973 |
| 5% 10/1/54 (d) | | 100,000 | 99,648 |
| 5% 10/1/54 (d) | | 100,000 | 99,648 |
| 5% 10/1/54 (d) | | 25,000 | 24,912 |
| 5.5% 9/1/54 (d) | | 100,000 | 100,640 |
| 5.5% 9/1/54 (d) | | 50,000 | 50,320 |
| 5.5% 9/1/54 (d) | | 50,000 | 50,320 |
| 5.5% 9/1/54 (d) | | 225,000 | 226,439 |
| 5.5% 10/1/54 (d) | | 225,000 | 226,387 |
| 6% 9/1/54 (d) | | 650,000 | 659,426 |
| 6% 10/1/54 (d) | | 250,000 | 253,518 |
| 6.5% 9/1/54 (d) | | 325,000 | 331,821 |
| 6.5% 9/1/54 (d) | | 100,000 | 102,099 |
| 6.5% 9/1/54 (d) | | 100,000 | 102,099 |
TOTAL GINNIE MAE | | | 5,592,108 |
| Uniform Mortgage Backed Securities - 10.4% | | | |
| 2% 9/1/39 (d) | | 300,000 | 271,289 |
| 2% 9/1/39 (d) | | 475,000 | 429,541 |
| 2% 10/1/39 (d) | | 450,000 | 407,496 |
| 2% 9/1/54 (d) | | 1,700,000 | 1,390,414 |
| 2% 9/1/54 (d) | | 250,000 | 204,473 |
| 2% 9/1/54 (d) | | 200,000 | 163,578 |
| 2% 9/1/54 (d) | | 250,000 | 204,473 |
| 2% 9/1/54 (d) | | 150,000 | 122,684 |
| 2% 9/1/54 (d) | | 625,000 | 511,182 |
| 2% 10/1/54 (d) | | 875,000 | 716,611 |
| 2% 10/1/54 (d) | | 1,150,000 | 941,832 |
| 2.5% 9/1/54 (d) | | 850,000 | 724,592 |
| 2.5% 9/1/54 (d) | | 250,000 | 213,115 |
| 2.5% 9/1/54 (d) | | 250,000 | 213,115 |
| 2.5% 9/1/54 (d) | | 400,000 | 340,984 |
| 2.5% 9/1/54 (d) | | 325,000 | 277,050 |
| 2.5% 10/1/54 (d) | | 1,100,000 | 938,824 |
| 3% 9/1/54 (d) | | 450,000 | 398,971 |
| 3% 9/1/54 (d) | | 325,000 | 288,146 |
| 3% 10/1/54 (d) | | 350,000 | 310,611 |
| 3.5% 9/1/54 (d) | | 400,000 | 368,172 |
| 4% 9/1/54 (d) | | 400,000 | 379,328 |
| 4% 9/1/54 (d) | | 50,000 | 47,416 |
| 4.5% 9/1/54 (d) | | 150,000 | 145,975 |
| 5% 9/1/39 (d) | | 50,000 | 50,350 |
| 5% 9/1/39 (d) | | 75,000 | 75,524 |
| 5% 9/1/39 (d) | | 75,000 | 75,524 |
| 5% 9/1/54 (d) | | 200,000 | 198,539 |
| 5.5% 9/1/54 (d) | | 525,000 | 528,589 |
| 5.5% 9/1/54 (d) | | 300,000 | 302,051 |
| 6% 9/1/54 (d) | | 250,000 | 254,600 |
| 6% 9/1/54 (d) | | 250,000 | 254,600 |
| 6% 9/1/54 (d) | | 150,000 | 152,760 |
| 6% 9/1/54 (d) | | 150,000 | 152,760 |
| 6% 9/1/54 (d) | | 125,000 | 127,300 |
| 6.5% 9/1/54 (d) | | 125,000 | 128,706 |
| 6.5% 9/1/54 (d) | | 400,000 | 411,859 |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | | | 12,723,034 |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $21,122,363) | | | 21,454,096 |
| | | | |
| Asset-Backed Securities - 6.5% |
| | | Principal Amount (a) | Value ($) |
| Aaset 2024-1 U.S. Ltd. / Aaset 20 Series 2024-1A: | | | |
| Class A1, 6.261% 5/16/49 (b) | | 246,892 | 255,034 |
| Class A2, 6.261% 5/16/49 (b) | | 246,892 | 255,033 |
| AASET Trust Series 2021-1A Class A, 2.95% 11/16/41 (b) | | 160,679 | 149,391 |
| Aimco Series 2024-BA Class ARR, CME Term SOFR 3 Month Index + 1.500% 6.7861% 4/16/37 (b)(c)(e) | | 250,000 | 250,746 |
| Aimco Clo 17 Ltd. / Aimco Clo 1 Series 2024-17A Class A1R, CME Term SOFR 3 Month Index + 1.350% 6.632% 7/20/37 (b)(c)(e) | | 250,000 | 250,085 |
| Aimco Clo 21 Ltd. / Aimco Clo 2 Series 2024-21A Class A1, CME Term SOFR 3 Month Index + 1.500% 6.8251% 4/18/37 (b)(c)(e) | | 250,000 | 251,114 |
| Aimco Clo 22 Ltd. / Aimco Clo 2 Series 2024-22A Class A, CME Term SOFR 3 Month Index + 1.500% 6.8266% 4/19/37 (b)(c)(e) | | 250,000 | 250,964 |
| AIMCO CLO Ltd. Series 2024-11A Class A1R2, CME Term SOFR 3 Month Index + 1.340% 6.5839% 7/17/37 (b)(c)(e) | | 250,000 | 249,996 |
| Allegro Clo Xii Ltd. Series 2024-1A Class A1R, CME Term SOFR 3 Month Index + 1.440% 6.7236% 7/21/37 (b)(c)(e) | | 250,000 | 250,375 |
| Barings CLO Ltd. Series 2024-4A Class AR, 0% 10/20/37 (b)(c) | | 250,000 | 250,000 |
| Barings CLO Ltd. 2023-IV Series 2024-4A Class A, CME Term SOFR 3 Month Index + 1.750% 7.032% 1/20/37 (b)(c)(e) | | 250,000 | 252,911 |
| Blackbird Capital Aircraft Series 2021-1A Class A, 2.443% 7/15/46 (b) | | 359,677 | 327,511 |
| Blueberry Park Clo Ltd. Series 2024-1A Class A, CME Term SOFR 3 Month Index + 1.350% 1.35% 10/20/37 (b)(c)(d)(e) | | 250,000 | 250,085 |
| Carlyle U.S. CLO Ltd. Series 2024-11A Class A1R, CME Term SOFR 3 Month Index + 1.410% 6.7329% 7/25/37 (b)(c)(e) | | 250,000 | 250,012 |
| Cedar Funding Ltd. Series 2022-15A Class A, CME Term SOFR 3 Month Index + 1.320% 6.602% 4/20/35 (b)(c)(e) | | 100,000 | 99,993 |
| DB Master Finance LLC Series 2021-1A Class A23, 2.791% 11/20/51 (b) | | 48,625 | 41,793 |
| Dominos Pizza Master Issuer LLC: | | | |
| Series 2018-1A Class A2II, 4.328% 7/25/48 (b) | | 47,375 | 46,501 |
| Series 2019-1A Class A2, 3.668% 10/25/49 (b) | | 48,000 | 45,015 |
| Dryden 108 Clo Ltd. / Dryden 10 Series 2024-108A Class A1R, CME Term SOFR 3 Month Index + 1.360% 6.6386% 7/18/37 (b)(c)(e) | | 250,000 | 250,075 |
| Dryden Senior Loan Fund: | | | |
| Series 2024-78A Class A1R, CME Term SOFR 3 Month Index + 1.530% 6.8158% 4/17/37 (b)(c)(e) | | 250,000 | 250,837 |
| Series 2024-85A Class A1R2, CME Term SOFR 3 Month Index + 1.380% 6.6814% 7/15/37 (b)(c)(e) | | 250,000 | 250,387 |
| Eaton Vance CLO, Ltd.: | | | |
| Series 2021-2A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.713% 1/15/35 (b)(c)(e) | | 100,000 | 100,035 |
| Series 2024-1A: | | | |
Class AR2, CME Term SOFR 3 Month Index + 1.510% 6.8399% 7/15/37 (b)(c)(e) | | 250,000 | 251,232 |
Class ARR, CME Term SOFR 3 Month Index + 1.390% 6.6914% 10/15/37 (b)(c)(e) | | 250,000 | 250,951 |
| Flatiron CLO Ltd. Series 2024-1A Class A1R, 0% 10/19/37 (b)(c) | | 250,000 | 250,000 |
| Invesco U.S. CLO Ltd. Series 2024-3A Class A, CME Term SOFR 3 Month Index + 1.510% 6.8292% 7/20/37 (b)(c)(e) | | 250,000 | 251,999 |
| Madison Park Funding Series 2024-19A Class AR3, CME Term SOFR 3 Month Index + 1.600% 6.882% 1/22/37 (b)(c)(e) | | 250,000 | 251,433 |
| Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, CME Term SOFR 3 Month Index + 1.380% 6.683% 7/15/34 (b)(c)(e) | | 250,000 | 249,998 |
| Magnetite CLO LTD Series 2023-36A Class A, CME Term SOFR 3 Month Index + 1.800% 7.082% 4/22/36 (b)(c)(e) | | 250,000 | 251,284 |
| Neuberger Berman Loan Advisers Series 2024-25A Class AR2, CME Term SOFR 3 Month Index + 1.400% 6.723% 7/18/38 (b)(c)(e) | | 250,000 | 250,256 |
| Oak Hill Credit Partners: | | | |
| Series 2024-13A Class AR, CME Term SOFR 3 Month Index + 1.350% 6.632% 7/20/37 (b)(c)(e) | | 250,000 | 250,085 |
| Series 2024-18A Class A1, 6.7917% 4/20/37 (b)(c) | | 250,000 | 250,719 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2I, 3.251% 12/5/51 (b) | | 48,875 | 46,747 |
| Subway Funding LLC Issuer Series 2024-1A: | | | |
| Class A23, 6.505% 7/30/54 (b) | | 49,000 | 51,200 |
| Class A2I, 6.028% 7/30/54 (b) | | 94,000 | 96,444 |
| Class A2II, 6.268% 7/30/54 (b) | | 56,000 | 58,053 |
| SYMP Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.320% 6.603% 4/23/35 (b)(c)(e) | | 250,000 | 249,537 |
| Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(c) | | 142,569 | 131,168 |
| Voya CLO Ltd./Voya CLO LLC Series 2021-3A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.6936% 10/20/34 (b)(c)(e) | | 250,000 | 250,014 |
| TOTAL ASSET-BACKED SECURITIES (Cost $7,901,623) | | | 7,969,013 |
| | | | |
| Commercial Mortgage Securities - 3.0% |
| | | Principal Amount (a) | Value ($) |
| BBCMS Mortgage Trust sequential payer Series 2023-C21 Class A3, 6.5064% 9/15/56 (c) | | 14,000 | 15,090 |
| BLP Commercial Mortgage Trust sequential payer Series 2024-IND2 Class A, CME Term SOFR 1 Month Index + 1.340% 6.679% 3/15/41 (b)(c)(e) | | 100,000 | 99,500 |
| BMP floater Series 2024-MF23 Class B, CME Term SOFR 1 Month Index + 1.640% 6.9785% 6/15/41 (b)(c)(e) | | 100,000 | 99,251 |
| BPR Trust floater Series 2022-OANA Class A, CME Term SOFR 1 Month Index + 1.890% 7.2349% 4/15/37 (b)(c)(e) | | 15,000 | 15,019 |
| BX Commercial Mortgage Trust: | | | |
| floater: | | | |
Series 2021-PAC: | | | |
| Class A, CME Term SOFR 1 Month Index + 0.800% 6.1406% 10/15/36 (b)(c)(e) | | 100,000 | 99,031 |
| Class B, CME Term SOFR 1 Month Index + 1.010% 6.3503% 10/15/36 (b)(c)(e) | | 100,000 | 98,063 |
| Class C, CME Term SOFR 1 Month Index + 1.210% 6.5501% 10/15/36 (b)(c)(e) | | 100,000 | 97,750 |
Series 2022-IND Class A, CME Term SOFR 1 Month Index + 1.490% 6.8279% 4/15/37 (b)(c)(e) | | 14,818 | 14,763 |
Series 2022-LP2 Class B, CME Term SOFR 1 Month Index + 1.310% 6.6492% 2/15/39 (b)(c)(e) | | 104,015 | 102,390 |
Series 2023-XL3 Class A, CME Term SOFR 1 Month Index + 1.760% 7.0983% 12/9/40 (b)(c)(e) | | 82,555 | 82,762 |
| floater sequential payer: | | | |
Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.1215% 6/15/38 (b)(c)(e) | | 175,348 | 173,430 |
Series 2024-XL5 Class A, CME Term SOFR 1 Month Index + 1.390% 6.7285% 3/15/41 (b)(c)(e) | | 228,238 | 227,525 |
| BX Commercial Mortgage Trust 2024-Xl4: | | | |
| floater: | | | |
Series 2024-XL4 Class B, CME Term SOFR 1 Month Index + 1.790% 7.1284% 2/15/39 (b)(c)(e) | | 98,496 | 97,880 |
Series 2024-XL5: | | | |
| Class B, CME Term SOFR 1 Month Index + 1.690% 7.0281% 3/15/41 (b)(c)(e) | | 95,898 | 95,060 |
| Class C, CME Term SOFR 1 Month Index + 1.940% 7.2778% 3/15/41 (b)(c)(e) | | 95,898 | 94,820 |
| floater sequential payer Series 2024-XL4 Class A, CME Term SOFR 1 Month Index + 1.440% 6.7789% 2/15/39 (b)(c)(e) | | 98,496 | 98,373 |
| BX Commercial Mtg Trust floater Series 2024-MDHS Class A, 6.9782% 5/15/41 (b)(c) | | 104,055 | 103,860 |
| BX Trust floater: | | | |
| Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.5019% 8/15/39 (b)(c)(e) | | 98,147 | 98,269 |
| Series 2022-IND Class B, CME Term SOFR 1 Month Index + 1.940% 7.2769% 4/15/37 (b)(c)(e) | | 7,409 | 7,391 |
| Series 2024-CNYN: | | | |
Class A, CME Term SOFR 1 Month Index + 1.440% 6.7788% 4/15/41 (b)(c)(e) | | 98,907 | 98,474 |
Class B, CME Term SOFR 1 Month Index + 1.690% 7.0284% 4/15/41 (b)(c)(e) | | 98,907 | 97,702 |
| CF Hippolyta Issuer LLC sequential payer Series 2021-1A Class A1, 1.53% 3/15/61 (b) | | 94,245 | 87,763 |
| DTP Commercial Mortgage Trust 2023-Ste2 sequential payer Series 2023-STE2 Class A, 6.038% 1/15/41 (b)(c) | | 100,000 | 102,297 |
| Extended Stay America Trust floater Series 2021-ESH: | | | |
| Class B, CME Term SOFR 1 Month Index + 1.490% 6.8315% 7/15/38 (b)(c)(e) | | 89,961 | 89,175 |
| Class C, CME Term SOFR 1 Month Index + 1.810% 7.1515% 7/15/38 (b)(c)(e) | | 89,961 | 89,175 |
| Class D, CME Term SOFR 1 Month Index + 2.360% 7.7015% 7/15/38 (b)(c)(e) | | 89,961 | 89,512 |
| GS Mortgage Securities Trust floater Series 2021-IP: | | | |
| Class A, CME Term SOFR 1 Month Index + 1.060% 6.4015% 10/15/36 (b)(c)(e) | | 100,000 | 98,502 |
| Class C, CME Term SOFR 1 Month Index + 1.660% 7.0015% 10/15/36 (b)(c)(e) | | 100,000 | 97,503 |
| LIFE Mortgage Trust floater Series 2021-BMR Class E, CME Term SOFR 1 Month Index + 1.860% 7.2015% 3/15/38 (b)(c)(e) | | 79,313 | 76,151 |
| Open Trust 2023-Air sequential payer Series 2023-AIR: | | | |
| Class A, CME Term SOFR 1 Month Index + 3.080% 8.426% 10/15/28 (b)(c)(e) | | 89,859 | 90,645 |
| Class B, CME Term SOFR 1 Month Index + 3.830% 9.1749% 10/15/28 (b)(c)(e) | | 89,859 | 90,195 |
| OPG Trust floater Series 2021-PORT Class A, CME Term SOFR 1 Month Index + 0.590% 5.9355% 10/15/36 (b)(c)(e) | | 59,954 | 58,961 |
| SREIT Trust floater: | | | |
| Series 2021-FLWR Class A, CME Term SOFR 1 Month Index + 0.690% 6.028% 7/15/36 (b)(c)(e) | | 10,000 | 9,887 |
| Series 2021-MFP: | | | |
Class A, CME Term SOFR 1 Month Index + 0.840% 6.1822% 11/15/38 (b)(c)(e) | | 95,686 | 94,520 |
Class B, CME Term SOFR 1 Month Index + 1.190% 6.5312% 11/15/38 (b)(c)(e) | | 95,686 | 94,492 |
Class D, CME Term SOFR 1 Month Index + 1.690% 7.0296% 11/15/38 (b)(c)(e) | | 574,118 | 562,635 |
| TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $3,665,469) | | | 3,647,816 |
| | | | |
| Money Market Funds - 10.8% |
| | | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (f) (Cost $13,204,234) | | 13,201,594 | 13,204,234 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 113.8% (Cost $136,882,909) | 138,924,269 |
NET OTHER ASSETS (LIABILITIES) - (13.8)% | (16,895,578) |
| NET ASSETS - 100.0% | 122,028,691 |
| | |
| TBA Sale Commitments |
| | Principal Amount (a) | Value ($) |
| Ginnie Mae | | |
| 2% 9/1/54 | (100,000) | (84,196) |
| 3% 9/1/54 | (50,000) | (45,216) |
| 3% 9/1/54 | (150,000) | (135,647) |
| 5% 9/1/54 | (100,000) | (99,893) |
| 5% 9/1/54 | (100,000) | (99,893) |
| 5% 9/1/54 | (25,000) | (24,973) |
| 5.5% 9/1/54 | (225,000) | (226,439) |
| 6% 9/1/54 | (250,000) | (253,625) |
| | | |
| TOTAL GINNIE MAE | | (969,882) |
| | | |
| Uniform Mortgage Backed Securities | | |
| 2% 9/1/39 | (450,000) | (406,934) |
| 2% 9/1/54 | (875,000) | (715,654) |
| 2% 9/1/54 | (625,000) | (511,182) |
| 2% 9/1/54 | (1,150,000) | (940,574) |
| 2.5% 9/1/54 | (1,100,000) | (937,707) |
| 2.5% 9/1/54 | (200,000) | (170,492) |
| 3% 9/1/54 | (350,000) | (310,311) |
| | | |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES | | (3,992,854) |
| | | |
TOTAL TBA SALE COMMITMENTS (Proceeds $4,912,233) | | (4,962,736) |
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $13,376,389 or 11.0% of net assets. |
| (c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (d) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
| (e) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (f) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 3,456,667 | 38,237,335 | 28,489,754 | 396,573 | (14) | - | 13,204,234 | 0.0% |
| Total | 3,456,667 | 38,237,335 | 28,489,754 | 396,573 | (14) | - | 13,204,234 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Corporate Bonds | 28,224,911 | - | 28,224,911 | - |
|
| U.S. Government and Government Agency Obligations | 64,424,199 | - | 64,424,199 | - |
|
| U.S. Government Agency - Mortgage Securities | 21,454,096 | - | 21,454,096 | - |
|
| Asset-Backed Securities | 7,969,013 | - | 7,969,013 | - |
|
| Commercial Mortgage Securities | 3,647,816 | - | 3,647,816 | - |
|
| Money Market Funds | 13,204,234 | 13,204,234 | - | - |
| Total Investments in Securities: | 138,924,269 | 13,204,234 | 125,720,035 | - |
Other Financial Instruments: | | | | |
TBA Sale Commitments | (4,962,736) | - | (4,962,736) | - |
| Total Other Financial Instruments: | (4,962,736) | - | (4,962,736) | - |
Fidelity® Investment Grade Bond ETF
Financial Statements
| Statement of Assets and Liabilities |
As of August 31, 2024 |
| Assets | | | | |
| Investment in securities, at value - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $123,678,675) | $ | 125,720,035 | | |
Fidelity Central Funds (cost $13,204,234) | | 13,204,234 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $136,882,909) | | | $ | 138,924,269 |
| Cash | | | | 1,501 |
| Receivable for TBA sale commitments | | | | 4,912,233 |
| Interest receivable | | | | 1,110,214 |
| Distributions receivable from Fidelity Central Funds | | | | 55,816 |
| Other receivables | | | | 1 |
Total assets | | | | 145,004,034 |
| Liabilities | | | | |
| Payable for investments purchased | | | | |
Regular delivery | $ | 500,000 | | |
Delayed delivery | | 17,054,506 | | |
| TBA sale commitments, at value | | 4,962,736 | | |
| Distributions payable | | 422,800 | | |
| Accrued management fee | | 35,301 | | |
| Total liabilities | | | | 22,975,343 |
| Net Assets | | | $ | 122,028,691 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 120,698,459 |
| Total accumulated earnings (loss) | | | | 1,330,232 |
| Net Assets | | | $ | 122,028,691 |
Net Asset Value, offering price and redemption price per share ($122,028,691 ÷ 2,800,000 shares) | | | $ | 43.58 |
| Statement of Operations |
| Year ended August 31, 2024 |
| Investment Income | | | | |
| Interest | | | $ | 2,405,963 |
| Income from Fidelity Central Funds | | | | 396,573 |
| Total income | | | | 2,802,536 |
| Expenses | | | | |
| Management fee | $ | 207,138 | | |
| Independent trustees' fees and expenses | | 140 | | |
| Miscellaneous | | 2,314 | | |
| Total expenses before reductions | | 209,592 | | |
| Expense reductions | | (1,301) | | |
| Total expenses after reductions | | | | 208,291 |
| Net Investment income (loss) | | | | 2,594,245 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (317,395) | | |
| Fidelity Central Funds | | (14) | | |
| Total net realized gain (loss) | | | | (317,409) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 3,222,923 | | |
| TBA Sale commitments | | (46,612) | | |
| Total change in net unrealized appreciation (depreciation) | | | | 3,176,311 |
| Net gain (loss) | | | | 2,858,902 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 5,453,147 |
| Statement of Changes in Net Assets |
| |
| | Year ended August 31, 2024 | | Year ended August 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 2,594,245 | $ | 537,159 |
| Net realized gain (loss) | | (317,409) | | (230,687) |
| Change in net unrealized appreciation (depreciation) | | 3,176,311 | | (416,133) |
| Net increase (decrease) in net assets resulting from operations | | 5,453,147 | | (109,661) |
| Distributions to shareholders | | (2,541,750) | | (532,050) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 89,586,377 | | 23,565,192 |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | 89,586,377 | | 23,565,192 |
| Total increase (decrease) in net assets | | 92,497,774 | | 22,923,481 |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 29,530,917 | | 6,607,436 |
| End of period | $ | 122,028,691 | $ | 29,530,917 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 2,100,000 | | 550,000 |
| Net increase (decrease) | | 2,100,000 | | 550,000 |
| | | | | |
Financial Highlights
Fidelity® Investment Grade Bond ETF |
| |
| Years ended August 31, | | 2024 | | 2023 | | 2022 | | 2021 A |
Selected Per-Share Data | | | | | | | | |
| Net asset value, beginning of period | $ | 42.19 | $ | 44.05 | $ | 50.76 | $ | 50.00 |
| Income from Investment Operations | | | | | | | | |
Net investment income (loss) B,C | | 1.890 | | 1.615 | | .788 | | .287 |
| Net realized and unrealized gain (loss) | | 1.293 | | (1.987) | | (6.657) | | .790 |
| Total from investment operations | | 3.183 | | (.372) | | (5.869) | | 1.077 |
| Distributions from net investment income | | (1.793) | | (1.488) | | (.841) | | (.317) |
| Total distributions | | (1.793) | | (1.488) | | (.841) | | (.317) |
| Net asset value, end of period | $ | 43.58 | $ | 42.19 | $ | 44.05 | $ | 50.76 |
Total Return D,E,F | | | | (.83)% | | (11.65)% | | 2.16% |
Ratios to Average Net Assets C,G,H | | | | | | | | |
| Expenses before reductions | | .36% | | .36% | | .36% | | .36% I |
| Expenses net of fee waivers, if any | | | | .36% | | .36% | | .36% I |
| Expenses net of all reductions | | .36% | | .36% | | .36% | | .36% I |
| Net investment income (loss) | | 4.48% | | 3.80% | | 1.65% | | 1.14% I |
| Supplemental Data | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 122,029 | $ | 29,531 | $ | 6,607 | $ | 10,151 |
Portfolio turnover rate J | | | | 190% K | | 37% K | | 19% L |
AFor the period March 2, 2021 (commencement of operations) through August 31, 2021.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FBased on net asset value.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
KPortfolio turnover rate excludes securities received or delivered in-kind.
LAmount not annualized.
Fidelity® Investment Grade Securitized ETF
Schedule of Investments August 31, 2024
Showing Percentage of Net Assets
| U.S. Treasury Obligations - 2.7% |
| | | Principal Amount (a) | Value ($) |
| U.S. Treasury Bonds: | | | |
| 3.625% 2/15/53 | | 25,000 | 22,425 |
| 3.625% 5/15/53 | | 26,000 | 23,338 |
| 4.25% 8/15/44 | | 420,000 | 409,828 |
| 4.25% 2/15/54 | | 23,000 | 23,090 |
| 4.25% 8/15/54 | | 5,000 | 5,031 |
| 4.375% 8/15/43 | | 33,000 | 33,325 |
| 4.625% 5/15/44 | | 287,000 | 298,884 |
| 4.625% 5/15/54 | | 14,000 | 14,963 |
| U.S. Treasury Notes: | | | |
| 3.75% 8/15/27 | | 150,000 | 149,836 |
| 4% 2/15/34 | | 14,000 | 14,088 |
| 4.125% 7/31/31 | | 15,000 | 15,278 |
| 4.25% 6/30/29 | | 5,000 | 5,110 |
| 4.25% 2/28/31 | | 1,000 | 1,025 |
| 4.25% 6/30/31 | | 230,000 | 236,038 |
| 4.375% 5/15/34 | | 1,057,000 | 1,095,316 |
| 4.5% 4/15/27 | | 40,000 | 40,661 |
| 4.5% 5/15/27 | | 33,000 | 33,559 |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $2,433,625) | | | 2,421,795 |
| | | | |
| U.S. Government Agency - Mortgage Securities - 104.7% |
| | | Principal Amount (a) | Value ($) |
| Fannie Mae - 14.1% | | | |
| 1.5% 1/1/37 to 1/1/51 | | 113,181 | 94,980 |
| 2% 11/1/40 to 8/1/42 (b) | | 4,678,075 | 4,033,848 |
| 2.5% 12/1/32 to 1/1/52 | | 6,335,803 | 5,687,523 |
| 3% 11/1/34 to 3/1/52 | | 2,678,052 | 2,393,534 |
| 3.5% 3/1/45 to 7/1/51 (b) | | 142,274 | 133,016 |
| 4% 5/1/40 to 6/1/52 | | 60,338 | 58,227 |
| 4.5% 7/1/47 to 12/1/48 | | 80,018 | 79,855 |
| 5% 10/1/52 to 12/1/52 (b)(c) | | 88,811 | 88,739 |
| 5.5% 4/1/54 | | 47,898 | 48,275 |
| 6% 11/1/52 to 7/1/54 | | 96,578 | 98,706 |
| 6.5% 9/1/53 to 7/1/54 | | 48,444 | 50,685 |
TOTAL FANNIE MAE | | | 12,767,388 |
| Freddie Mac - 3.1% | | | |
| 1.5% 1/1/51 to 4/1/51 (b) | | 108,015 | 84,504 |
| 2% 6/1/35 to 11/1/51 | | 2,696,402 | 2,248,812 |
| 2.5% 7/1/36 to 2/1/51 (b) | | 302,055 | 267,154 |
| 3% 9/1/34 to 6/1/52 | | 40,088 | 37,022 |
| 3.5% 8/1/51 | | 39,143 | 36,374 |
| 4% 3/1/49 | | 48,564 | 46,617 |
| 4.5% 8/1/52 | | 24,598 | 24,022 |
| 5.5% 3/1/53 | | 44,086 | 45,177 |
TOTAL FREDDIE MAC | | | 2,789,682 |
| Ginnie Mae - 26.9% | | | |
| 2% 9/1/54 (d) | | 50,000 | 42,097 |
| 2% 9/1/54 (d) | | 100,000 | 84,195 |
| 2% 9/1/54 (d) | | 25,000 | 21,049 |
| 2% 9/1/54 (d) | | 100,000 | 84,195 |
| 2% 9/1/54 (d) | | 325,000 | 273,633 |
| 2% 9/1/54 (d) | | 900,000 | 757,753 |
| 2% 9/1/54 (d) | | 900,000 | 757,753 |
| 2% 9/1/54 (d) | | 1,900,000 | 1,599,700 |
| 2% 9/1/54 (d) | | 2,900,000 | 2,441,647 |
| 2% 10/1/54 (d) | | 1,050,000 | 885,029 |
| 2.5% 7/20/51 to 12/20/51 | | 97,747 | 85,175 |
| 2.5% 9/1/54 (d) | | 100,000 | 87,385 |
| 2.5% 9/1/54 (d) | | 1,400,000 | 1,223,386 |
| 2.5% 9/1/54 (d) | | 2,400,000 | 2,097,234 |
| 3% 9/1/54 (d) | | 25,000 | 22,608 |
| 3% 9/1/54 (d) | | 50,000 | 45,216 |
| 3% 9/1/54 (d) | | 50,000 | 45,216 |
| 3% 9/1/54 (d) | | 1,100,000 | 994,746 |
| 3% 10/1/54 (d) | | 150,000 | 135,753 |
| 3% 10/1/54 (d) | | 250,000 | 226,254 |
| 3.5% 9/1/54 (d) | | 50,000 | 46,531 |
| 3.5% 9/1/54 (d) | | 25,000 | 23,266 |
| 3.5% 9/1/54 (d) | | 3,900,000 | 3,629,446 |
| 4% 9/1/54 (d) | | 50,000 | 47,778 |
| 4.5% 4/20/53 | | 23,865 | 23,368 |
| 4.5% 9/1/54 (d) | | 1,200,000 | 1,174,595 |
| 5% 9/1/54 (d) | | 50,000 | 49,947 |
| 5% 10/1/54 (d) | | 50,000 | 49,824 |
| 5.5% 9/1/54 (d) | | 50,000 | 50,320 |
| 5.5% 9/1/54 (d) | | 25,000 | 25,160 |
| 5.5% 9/1/54 (d) | | 500,000 | 503,198 |
| 5.5% 9/1/54 (d) | | 3,500,000 | 3,522,388 |
| 5.5% 10/1/54 (d) | | 50,000 | 50,308 |
| 6% 9/1/54 (d) | | 25,000 | 25,363 |
| 6% 9/1/54 (d) | | 50,000 | 50,725 |
| 6% 9/1/54 (d) | | 25,000 | 25,363 |
| 6% 9/1/54 (d) | | 600,000 | 608,701 |
| 6% 10/1/54 (d) | | 50,000 | 50,704 |
| 6.5% 9/1/54 (d) | | 25,000 | 25,525 |
| 6.5% 9/1/54 (d) | | 25,000 | 25,525 |
| 6.5% 9/1/54 (d) | | 2,400,000 | 2,450,370 |
TOTAL GINNIE MAE | | | 24,368,429 |
| Uniform Mortgage Backed Securities - 60.6% | | | |
| 2% 9/1/54 (d) | | 250,000 | 204,473 |
| 2% 9/1/54 (d) | | 50,000 | 40,895 |
| 2% 9/1/54 (d) | | 50,000 | 40,895 |
| 2% 9/1/54 (d) | | 25,000 | 20,447 |
| 2% 9/1/54 (d) | | 75,000 | 61,342 |
| 2% 9/1/54 (d) | | 600,000 | 490,734 |
| 2% 9/1/54 (d) | | 1,800,000 | 1,472,203 |
| 2% 9/1/54 (d) | | 1,600,000 | 1,308,625 |
| 2% 9/1/54 (d) | | 4,300,000 | 3,516,930 |
| 2% 9/1/54 (d) | | 6,200,000 | 5,070,922 |
| 2% 10/1/54 (d) | | 125,000 | 102,373 |
| 2% 10/1/54 (d) | | 100,000 | 81,898 |
| 2.5% 9/1/39 (d) | | 900,000 | 834,504 |
| 2.5% 9/1/54 (d) | | 50,000 | 42,623 |
| 2.5% 9/1/54 (d) | | 1,200,000 | 1,022,953 |
| 2.5% 9/1/54 (d) | | 700,000 | 596,723 |
| 2.5% 9/1/54 (d) | | 3,100,000 | 2,642,629 |
| 2.5% 9/1/54 (d) | | 4,300,000 | 3,665,582 |
| 3% 9/1/54 (d) | | 100,000 | 88,660 |
| 3% 9/1/54 (d) | | 25,000 | 22,165 |
| 3% 9/1/54 (d) | | 300,000 | 265,980 |
| 3% 9/1/54 (d) | | 700,000 | 620,621 |
| 3% 9/1/54 (d) | | 1,900,000 | 1,684,543 |
| 3% 9/1/54 (d) | | 2,400,000 | 2,127,844 |
| 3% 10/1/54 (d) | | 75,000 | 66,560 |
| 3.5% 9/1/54 (d) | | 600,000 | 552,258 |
| 3.5% 9/1/54 (d) | | 700,000 | 644,301 |
| 3.5% 9/1/54 (d) | | 1,800,000 | 1,656,773 |
| 4% 9/1/54 (d) | | 1,700,000 | 1,612,145 |
| 4% 9/1/54 (d) | | 2,000,000 | 1,896,641 |
| 4.5% 9/1/54 (d) | | 800,000 | 778,531 |
| 5% 9/1/39 (d) | | 1,400,000 | 1,409,789 |
| 5% 9/1/54 (d) | | 2,200,000 | 2,183,930 |
| 5.5% 9/1/54 (d) | | 25,000 | 25,171 |
| 5.5% 9/1/54 (d) | | 100,000 | 100,684 |
| 5.5% 9/1/54 (d) | | 800,000 | 805,469 |
| 5.5% 9/1/54 (d) | | 1,600,000 | 1,610,937 |
| 5.5% 9/1/54 (d) | | 3,300,000 | 3,322,558 |
| 5.5% 9/1/54 (d) | | 2,200,000 | 2,215,039 |
| 6% 9/1/54 (d) | | 75,000 | 76,380 |
| 6% 9/1/54 (d) | | 25,000 | 25,460 |
| 6% 9/1/54 (d) | | 600,000 | 611,039 |
| 6% 9/1/54 (d) | | 1,900,000 | 1,934,957 |
| 6% 9/1/54 (d) | | 1,800,000 | 1,833,117 |
| 6% 9/1/54 (d) | | 4,000,000 | 4,073,594 |
| 6% 9/1/54 (d) | | 700,000 | 712,879 |
| 6.5% 9/1/54 (d) | | 700,000 | 720,754 |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | | | 54,895,530 |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $95,248,687) | | | 94,821,029 |
| | | | |
| Asset-Backed Securities - 4.3% |
| | | Principal Amount (a) | Value ($) |
| Bank of America Credit Card Master Trust Series 2024-A1 Class A, 4.93% 5/15/29 | | 243,000 | 247,408 |
| Capital One Multi-Asset Execution Trust Series 2023-A1 Class A, 4.42% 5/15/28 | | 10,000 | 9,996 |
| CarMax Auto Owner Trust Series 2023 2 Class A2A, 5.5% 6/15/26 | | 3,502 | 3,503 |
| Cascade Funding Mortgage Trust Series 2021-EBO1 Class A, 0.9849% 11/25/50 (e)(f) | | 3,804 | 3,749 |
| Citibank Credit Card Issuance Trust Series 2017-A6 Class A6, CME Term SOFR 1 Month Index + 0.880% 6.2223% 5/14/29 (f)(g) | | 670,000 | 677,388 |
| Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/28 (e) | | 2,000 | 2,024 |
| CNH Equipment Trust Series 2023 A Class A2, 5.34% 9/15/26 | | 2,184 | 2,184 |
| Discover Card Execution Note Trust Series 2023 A1 Class A, 4.31% 3/15/28 | | 10,000 | 9,966 |
| Enterprise Fleet Financing 202 Series 2024-3 Class A3, 4.98% 8/21/28 (e) | | 414,000 | 419,398 |
| Ford Credit Auto Owner Trust Series 2023-2 Class A, 5.28% 2/15/36 (e) | | 700,000 | 720,643 |
| Ford Credit Floorplan Master Owner Trust Series 2024-1 Class A1, 5.29% 4/15/29 (e) | | 1,300,000 | 1,325,136 |
| GM Financial Automobile Leasing Trust Series 2023-2 Class A2A, 5.44% 10/20/25 | | 240 | 240 |
| GM Financial Consumer Automobile Receivables Series 2023 2 Class A3, 4.47% 2/16/28 | | 2,000 | 1,994 |
| Marlette Funding Trust 2024-1 Series 2024-1A Class A, 5.95% 7/17/34 (e) | | 404,094 | 405,512 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/37 (e) | | 100,000 | 101,282 |
| Volkswagen Auto Lease Trust 2024- Series 2024-A Class A3, 5.21% 6/21/27 | | 1,000 | 1,013 |
| World Omni Auto Receivables Trust Series 2023 B: | | | |
| Class A2A, 5.25% 11/16/26 | | 331 | 331 |
| Class A3, 4.66% 5/15/28 | | 2,000 | 1,998 |
| TOTAL ASSET-BACKED SECURITIES (Cost $3,933,638) | | | 3,933,765 |
| | | | |
| Collateralized Mortgage Obligations - 0.3% |
| | | Principal Amount (a) | Value ($) |
| Private Sponsor - 0.2% | | | |
| Ajax Mortgage Loan Trust sequential payer Series 2021-E Class A1, 1.74% 12/25/60 (e) | | 67,299 | 58,770 |
| Cfmt 2024-Hb15 LLC sequential payer Series 2024-HB15 Class A, 4% 8/25/34 (e)(f) | | 100,000 | 98,090 |
TOTAL PRIVATE SPONSOR | | | 156,860 |
| U.S. Government Agency - 0.1% | | | |
| Fannie Mae sequential payer Series 2022-3 Class N, 2% 10/25/47 | | 21,565 | 19,309 |
| Freddie Mac sequential payer: | | | |
| Series 2020-5000 Class MA, 2% 6/25/44 | | 96,158 | 88,815 |
| Series 2022-5198 Class BA, 2.5% 11/25/47 | | 21,335 | 19,509 |
TOTAL U.S. GOVERNMENT AGENCY | | | 127,633 |
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $289,429) | | | 284,493 |
| | | | |
| Commercial Mortgage Securities - 14.8% |
| | | Principal Amount (a) | Value ($) |
| BANK sequential payer: | | | |
| Series 2018-BN14 Class A4, 4.231% 9/15/60 | | 20,000 | 19,618 |
| Series 2020-BN26 Class ASB, 2.313% 3/15/63 | | 620,000 | 580,291 |
| Series 2021-BN35 Class ASB, 2.067% 6/15/64 | | 400,000 | 360,121 |
| BBCMS Mortgage Trust sequential payer Series 2022-C14 Class ASB, 2.901% 2/15/55 | | 600,000 | 557,625 |
| Benchmark 2024-V9 Mortgage Tru sequential payer Series 2024-V9 Class A3, 5.6019% 8/15/57 | | 400,000 | 412,225 |
| Benchmark Mortgage Trust sequential payer: | | | |
| Series 2018-B7 Class A4, 4.51% 5/15/53 | | 1,000,000 | 983,770 |
| Series 2019-B10 Class A4, 3.717% 3/15/62 | | 750,000 | 718,597 |
| Series 2019-B15 Class AAB, 2.859% 12/15/72 | | 500,000 | 477,943 |
| Series 2023-V3 Class A3, 6.3629% 7/15/56 | | 250,000 | 262,611 |
| Bmo 2024-5C5 Mtg Trust sequential payer Series 2024-5C5 Class A3, 5.8574% 2/15/57 | | 1,000,000 | 1,041,406 |
| BX Commercial Mortgage Trust floater: | | | |
| Series 2021-BXMF Class A, CME Term SOFR 1 Month Index + 0.750% 6.0874% 10/15/26 (e)(f)(g) | | 841,226 | 829,922 |
| Series 2021-PAC Class A, CME Term SOFR 1 Month Index + 0.800% 6.1406% 10/15/36 (e)(f)(g) | | 100,000 | 99,031 |
| BX Commercial Mtg Trust floater Series 2024-MDHS Class A, 6.9782% 5/15/41 (e)(f) | | 650,818 | 649,598 |
| Citigroup Commercial Mortgage Trust sequential payer Series 2019-C7 Class A4, 3.102% 12/15/72 | | 15,626 | 14,448 |
| CSAIL Commercial Mortgage Trust sequential payer Series 2015-C4 Class A3, 3.5438% 11/15/48 | | 18,705 | 18,437 |
| Freddie Mac: | | | |
| sequential payer: | | | |
Series 2016-K054 Class A2, 2.745% 1/25/26 | | 7,562 | 7,385 |
Series 2017-K070 Class A2, 3.303% 11/25/27 | | 100,000 | 97,617 |
Series 2018-K074 Class A2, 3.6% 1/25/28 | | 100,000 | 98,287 |
Series 2020-K740 Class A2, 1.47% 9/25/27 | | 100,000 | 92,344 |
Series 2022-K750 Class A2, 3% 9/25/29 | | 25,000 | 23,770 |
Series K058 Class A2, 2.653% 8/25/26 | | 25,000 | 24,218 |
| Series 2017-K068 Class A2, 3.244% 8/25/27 | | 2,400,000 | 2,340,496 |
| Series 2018-K075 Class A2, 3.65% 2/25/28 | | 120,000 | 118,013 |
| Series 2022 K748 Class A2, 2.26% 1/25/29 | | 2,025,000 | 1,873,684 |
| Series K047 Class A2, 3.329% 5/25/25 | | 12,201 | 12,051 |
| Freddie Mac Multi-family Structured pass-thru certificates sequential payer Series 2015 K045 Class A2, 3.023% 1/25/25 | | 6,914 | 6,844 |
| GS Mortgage Securities Trust sequential payer: | | | |
| Series 2018-GS10 Class A5, 4.155% 7/10/51 | | 400,000 | 386,643 |
| Series 2019-GSA1 Class A4, 3.0479% 11/10/52 | | 100,000 | 92,657 |
| Morgan Stanley Capital sequential payer Series 2016-UB11 Class A4, 2.782% 8/15/49 | | 10,000 | 9,554 |
| Morgan Stanley Capital I Trust sequential payer: | | | |
| Series 2017-HR2 Class A4, 3.587% 12/15/50 | | 15,000 | 14,399 |
| Series 2018-L1 Class A3, 4.139% 10/15/51 | | 30,000 | 29,517 |
| Wells Fargo Commercial Mortgage sequential payer Series 2018-C45 Class ASB, 4.147% 6/15/51 | | 442,440 | 438,119 |
| Wells Fargo Commercial Mortgage Trust: | | | |
| floater Series 2021-FCMT Class A, CME Term SOFR 1 Month Index + 1.310% 6.6515% 5/15/31 (e)(f)(g) | | 100,000 | 97,452 |
| sequential payer Series 2019-C54 Class ASB, 3.063% 12/15/52 | | 500,000 | 480,859 |
| Wells Fargo Commercial Mtg Trust 2019-C sequential payer Series 2019-C51 Class ASB, 3.16% 6/15/52 | | 143,263 | 138,572 |
| TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $13,434,341) | | | 13,408,124 |
| | | | |
| Money Market Funds - 70.3% |
| | | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (h) (Cost $63,676,708) | | 63,663,975 | 63,676,708 |
| | | | |
| Purchased Swaptions - 0.5% |
| | Expiration Date | Notional Amount (a) | Value ($) |
| Put Options - 0.3% | | | | |
| Option on an interest rate swap with Citibank N.A. to pay annually a fixed rate of 3.755% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring March 2034. | 3/19/29 | | 100,000 | 3,383 |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.455% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring August 2034. | 8/29/29 | | 5,500,000 | 221,080 |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.865% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2035. | 5/15/25 | | 10,000 | 143 |
| | | | | |
| TOTAL PUT OPTIONS | | | | 224,606 |
| Call Options - 0.2% | | | | |
| Option on an interest rate swap with Citibank N.A. to receive annually a fixed rate of 3.755% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring March 2034. | 3/19/29 | | 100,000 | 4,503 |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive annually a fixed rate of 3.455% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring August 2034. | 8/29/29 | | 5,500,000 | 211,393 |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive annually a fixed rate of 3.865% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2035. | 5/15/25 | | 10,000 | 543 |
| | | | | |
| TOTAL CALL OPTIONS | | | | 216,439 |
TOTAL PURCHASED SWAPTIONS (Cost $442,826) | | | | 441,045 |
For the period, the average monthly notional amount at value for purchased swaptions in the aggregate was $1,056,667.
| TOTAL INVESTMENT IN SECURITIES - 197.6% (Cost $179,459,254) | 178,986,959 |
NET OTHER ASSETS (LIABILITIES) - (97.6)% | (88,389,791) |
| NET ASSETS - 100.0% | 90,597,168 |
| | |
| TBA Sale Commitments |
| | Principal Amount (a) | Value ($) |
| Ginnie Mae | | |
| 2% 9/1/54 | (1,050,000) | (884,046) |
| 3% 9/1/54 | (150,000) | (135,647) |
| 3% 9/1/54 | (250,000) | (226,079) |
| 5% 9/1/54 | (50,000) | (49,947) |
| 5.5% 9/1/54 | (50,000) | (50,320) |
| 6% 9/1/54 | (50,000) | (50,725) |
| | | |
| TOTAL GINNIE MAE | | (1,396,764) |
| | | |
| Uniform Mortgage Backed Securities | | |
| 2% 9/1/54 | (125,000) | (102,236) |
| 2% 9/1/54 | (25,000) | (20,447) |
| 2% 9/1/54 | (25,000) | (20,447) |
| 2% 9/1/54 | (75,000) | (61,342) |
| 2% 9/1/54 | (100,000) | (81,789) |
| 2% 9/1/54 | (2,300,000) | (1,881,148) |
| 2.5% 9/1/54 | (25,000) | (21,312) |
| 2.5% 9/1/54 | (25,000) | (21,312) |
| 2.5% 9/1/54 | (2,400,000) | (2,045,906) |
| 3% 9/1/54 | (75,000) | (66,495) |
| 3% 9/1/54 | (25,000) | (22,165) |
| 3% 9/1/54 | (100,000) | (88,660) |
| 3% 9/1/54 | (2,100,000) | (1,861,863) |
| 3.5% 9/1/54 | (50,000) | (46,021) |
| 5% 9/1/54 | (25,000) | (24,817) |
| 6% 9/1/54 | (50,000) | (50,920) |
| | | |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES | | (6,416,880) |
| | | |
TOTAL TBA SALE COMMITMENTS (Proceeds $7,842,904) | | (7,813,644) |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Treasury Contracts | | | | | |
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 19 | Dec 2024 | 2,157,688 | (9,528) | (9,528) |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 4 | Dec 2024 | 830,188 | (1,101) | (1,101) |
| | | | | | |
| TOTAL PURCHASED | | | | | (10,629) |
| | | | | | |
| Sold | | | | | |
| | | | | | |
| Treasury Contracts | | | | | |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 18 | Dec 2024 | 1,969,172 | 5,461 | 5,461 |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 2 | Dec 2024 | 246,250 | 4,871 | 4,871 |
| | | | | | |
| TOTAL SOLD | | | | | 10,332 |
| | | | | | |
| TOTAL FUTURES CONTRACTS | | | | | (297) |
| The notional amount of futures purchased as a percentage of Net Assets is 3.3% |
| The notional amount of futures sold as a percentage of Net Assets is 2.5% |
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $1,008,563.
| Credit Default Swaps |
| Underlying Reference | Rating(1) | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount(2)(3) | Value ($)(1) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Buy Protection | | | | | | | | | | |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 1,000 | 148 | (273) | (125) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 3,000 | 443 | (861) | (418) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 5,000 | 738 | (1,457) | (719) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 3,000 | 443 | (730) | (287) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 4,000 | 590 | (928) | (338) |
| CMBX N.A. BBB- Index Series 17 | | Dec 2056 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 5,000 | 550 | (809) | (259) |
| CMBX N.A. BBB- Index Series 17 | | Dec 2056 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 200,000 | 22,011 | (23,744) | (1,733) |
| | | | | | | | | | | |
| TOTAL BUY PROTECTION | | | | | | | | 24,923 | (28,802) | (3,879) |
| Sell Protection | | | | | | | | | | |
| CMBX N.A. AAA Index Series 15 | NR | Nov 2064 | Citigroup Global Markets Ltd. | 0.5% | Monthly | | 50,000 | (531) | 497 | (34) |
| CMBX N.A. AAA Index Series 15 | NR | Nov 2064 | Goldman Sachs & Co. LLC | 0.5% | Monthly | | 10,000 | (106) | 265 | 159 |
| CMBX N.A. AAA Index Series 16 | NR | Apr 2065 | Citigroup Global Markets Ltd. | 0.5% | Monthly | | 5,000 | (74) | 100 | 26 |
| CMBX N.A. AAA Index Series 16 | NR | Apr 2065 | Citigroup Global Markets Ltd. | 0.5% | Monthly | | 500,000 | (7,409) | 7,907 | 498 |
| CMBX N.A. AAA Index Series 16 | NR | Apr 2065 | Goldman Sachs & Co. LLC | 0.5% | Monthly | | 5,000 | (74) | 100 | 26 |
| CMBX N.A. AAA Index Series 17 | NR | Dec 2056 | Citigroup Global Markets Ltd. | 0.5% | Monthly | | 300,000 | (5,986) | 6,841 | 855 |
| CMBX N.A. AAA Index Series 17 | NR | Dec 2056 | Citigroup Global Markets Ltd. | 0.5% | Monthly | | 500,000 | (9,976) | 10,457 | 481 |
| CMBX N.A. AAA Index Series 17 | NR | Dec 2056 | Goldman Sachs & Co. LLC | 0.5% | Monthly | | 25,000 | (499) | 670 | 171 |
| | | | | | | | | | | |
| TOTAL SELL PROTECTION | | | | | | | | (24,655) | 26,837 | 2,182 |
| TOTAL CREDIT DEFAULT SWAPS | | | | | | | | 268 | (1,965) | (1,697) |
(1)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.
(2)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.
(3)Notional amount is stated in U.S. Dollars unless otherwise noted.
| Interest Rate Swaps |
| Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount(2) | Value ($) | Upfront Premium Received/ (Paid) ($)(3) | Unrealized Appreciation/ (Depreciation) ($) |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.75% | Annual | LCH | Sep 2026 | | 122,000 | (1,431) | 0 | (1,431) |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.5% | Annual | LCH | Sep 2027 | | 3,832,000 | 2,713 | 0 | 2,713 |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.5% | Annual | LCH | Sep 2029 | | 101,000 | (2,040) | 0 | (2,040) |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.5% | Annual | LCH | Sep 2031 | | 959,000 | 2,234 | 0 | 2,234 |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.75% | Annual | LCH | Sep 2044 | | 10,000 | (308) | 0 | (308) |
| TOTAL INTEREST RATE SWAPS | | | | | | | | 1,168 | 0 | 1,168 |
| | | | | | | | | | | |
(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.
(2)Notional amount is stated in U.S. Dollars unless otherwise noted.
(3)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(4)Represents floating rate.
For the period, the average monthly notional amount at value for swaps in the aggregate was $899,000.
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (b) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $298,643. |
| (c) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $43,024. |
| (d) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
| (e) | 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 $4,810,607 or 5.3% of net assets. |
| (f) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (g) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (h) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 115,924 | 65,394,068 | 1,833,291 | 58,214 | 7 | - | 63,676,708 | 0.1% |
| Total | 115,924 | 65,394,068 | 1,833,291 | 58,214 | 7 | - | 63,676,708 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| U.S. Government and Government Agency Obligations | 2,421,795 | - | 2,421,795 | - |
|
| U.S. Government Agency - Mortgage Securities | 94,821,029 | - | 94,821,029 | - |
|
| Asset-Backed Securities | 3,933,765 | - | 3,933,765 | - |
|
| Collateralized Mortgage Obligations | 284,493 | - | 284,493 | - |
|
| Commercial Mortgage Securities | 13,408,124 | - | 13,408,124 | - |
|
| Money Market Funds | 63,676,708 | 63,676,708 | - | - |
|
| Purchased Swaptions | 441,045 | - | 441,045 | - |
| Total Investments in Securities: | 178,986,959 | 63,676,708 | 115,310,251 | - |
Derivative Instruments: Assets | | | | |
Futures Contracts | 10,332 | 10,332 | - | - |
Swaps | 29,870 | - | 29,870 | - |
| Total Assets | 40,202 | 10,332 | 29,870 | - |
| Liabilities | | | | |
Futures Contracts | (10,629) | (10,629) | - | - |
Swaps | (28,434) | - | (28,434) | - |
| Total Liabilities | (39,063) | (10,629) | (28,434) | - |
| Total Derivative Instruments: | 1,139 | (297) | 1,436 | - |
Other Financial Instruments: | | | | |
TBA Sale Commitments | (7,813,644) | - | (7,813,644) | - |
| Total Other Financial Instruments: | (7,813,644) | - | (7,813,644) | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Credit Risk | | |
Swaps (a) | 24,923 | (24,655) |
| Total Credit Risk | 24,923 | (24,655) |
| Interest Rate Risk | | |
Futures Contracts (b) | 10,332 | (10,629) |
Purchased Swaptions (c) | 441,045 | 0 |
Swaps (d) | 4,947 | (3,779) |
| Total Interest Rate Risk | 456,324 | (14,408) |
| Total Value of Derivatives | 481,247 | (39,063) |
(a)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.
(b)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
(c)Gross value is presented in the Statement of Assets and Liabilities in the Investments in Securities at value line-item.
(d)For centrally cleared swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).
Fidelity® Investment Grade Securitized ETF
Financial Statements
| Statement of Assets and Liabilities |
As of August 31, 2024 |
| Assets | | | | |
| Investment in securities, at value - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $115,782,546) | $ | 115,310,251 | | |
Fidelity Central Funds (cost $63,676,708) | | 63,676,708 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $179,459,254) | | | $ | 178,986,959 |
| Cash | | | | 720,842 |
| Receivable for TBA sale commitments | | | | 7,842,904 |
| Receivable for fund shares sold | | | | 2,185,221 |
| Interest receivable | | | | 82,775 |
| Distributions receivable from Fidelity Central Funds | | | | 50,685 |
| Receivable for daily variation margin on centrally cleared swaps | | | | 6,567 |
| Bi-lateral OTC swaps, at value | | | | 24,923 |
| Other receivables | | | | 579 |
Total assets | | | | 189,901,455 |
| Liabilities | | | | |
| Payable for investments purchased | | | | |
Regular delivery | $ | 12,026,113 | | |
Delayed delivery | | 79,417,383 | | |
| TBA sale commitments, at value | | 7,813,644 | | |
| Distributions payable | | 15,525 | | |
| Bi-lateral OTC swaps, at value | | 24,655 | | |
| Accrued management fee | | 5,310 | | |
| Payable for daily variation margin on futures contracts | | 1,657 | | |
| Total liabilities | | | | 99,304,287 |
| Net Assets | | | $ | 90,597,168 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 91,643,939 |
| Total accumulated earnings (loss) | | | | (1,046,771) |
| Net Assets | | | $ | 90,597,168 |
Net Asset Value, offering price and redemption price per share ($90,597,168 ÷ 2,075,000 shares) | | | $ | 43.66 |
| Statement of Operations |
| Year ended August 31, 2024 |
| Investment Income | | | | |
| Interest | | | $ | 134,053 |
| Income from Fidelity Central Funds | | | | 58,214 |
| Total income | | | | 192,267 |
| Expenses | | | | |
| Management fee | $ | 15,584 | | |
| Independent trustees' fees and expenses | | 9 | | |
| Miscellaneous | | 130 | | |
| Total expenses before reductions | | 15,723 | | |
| Expense reductions | | (700) | | |
| Total expenses after reductions | | | | 15,023 |
| Net Investment income (loss) | | | | 177,244 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (29,311) | | |
| Fidelity Central Funds | | 7 | | |
| Futures contracts | | (6,469) | | |
| Swaps | | (10,212) | | |
| Written options | | 188 | | |
| Total net realized gain (loss) | | | | (45,797) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (251,379) | | |
| Futures contracts | | 7,650 | | |
| Swaps | | 3,681 | | |
| TBA Sale commitments | | 35,151 | | |
| Total change in net unrealized appreciation (depreciation) | | | | (204,897) |
| Net gain (loss) | | | | (250,694) |
| Net increase (decrease) in net assets resulting from operations | | | $ | (73,450) |
| Statement of Changes in Net Assets |
| |
| | Year ended August 31, 2024 | | Year ended August 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 177,244 | $ | 102,386 |
| Net realized gain (loss) | | (45,797) | | (141,914) |
| Change in net unrealized appreciation (depreciation) | | (204,897) | | (29,804) |
| Net increase (decrease) in net assets resulting from operations | | (73,450) | | (69,332) |
| Distributions to shareholders | | (119,175) | | (103,575) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 87,663,467 | | - |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | 87,663,467 | | - |
| Total increase (decrease) in net assets | | 87,470,842 | | (172,907) |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 3,126,326 | | 3,299,233 |
| End of period | $ | 90,597,168 | $ | 3,126,326 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 2,000,000 | | - |
| Net increase (decrease) | | 2,000,000 | | - |
| | | | | |
Financial Highlights
Fidelity® Investment Grade Securitized ETF |
| |
| Years ended August 31, | | 2024 | | 2023 | | 2022 | | 2021 A |
Selected Per-Share Data | | | | | | | | |
| Net asset value, beginning of period | $ | 41.68 | $ | 43.99 | $ | 49.93 | $ | 50.00 |
| Income from Investment Operations | | | | | | | | |
Net investment income (loss) B,C | | 1.587 | | 1.365 | | .301 | | .023 |
| Net realized and unrealized gain (loss) | | 1.784 D | | (2.294) | | (5.501) | | .160 |
| Total from investment operations | | 3.371 | | (.929) | | (5.200) | | .183 |
| Distributions from net investment income | | (1.391) | | (1.381) | | (.300) | | (.078) E |
| Distributions from net realized gain | | - | | - | | - | | (.027) E |
| Distributions from tax return of capital | | - | | - | | (.440) | | (.145) |
| Total distributions | | (1.391) | | (1.381) | | (.740) | | (.250) |
| Net asset value, end of period | $ | 43.66 | $ | 41.68 | $ | 43.99 | $ | 49.93 |
Total Return F,G,H | | | | (2.10)% | | (10.49)% | | .36% |
Ratios to Average Net Assets C,I,J | | | | | | | | |
| Expenses before reductions | | .36% | | .37% | | .36% | | .36% K |
| Expenses net of fee waivers, if any | | | | .36% | | .36% | | .36% K |
| Expenses net of all reductions | | .34% | | .36% | | .36% | | .36% K |
| Net investment income (loss) | | 4.04% | | 3.22% | | .63% | | .09% K |
| Supplemental Data | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 90,597 | $ | 3,126 | $ | 3,299 | $ | 9,986 |
Portfolio turnover rate L | | | | 865% | | 141% | | 65% M |
AFor the period March 2, 2021 (commencement of operations) through August 31, 2021.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DThe amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
EThe amount shown reflects reclassifications related to book to tax differences that were made in the year shown.
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
GBased on net asset value.
HTotal returns for periods of less than one year are not annualized.
IFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
JExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
KAnnualized.
LAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
MAmount not annualized.
Fidelity® Limited Term Bond ETF
Schedule of Investments August 31, 2024
Showing Percentage of Net Assets
| Corporate Bonds - 72.2% |
| | | Principal Amount (a) | Value ($) |
| Convertible Bonds - 0.1% | | | |
| CONSUMER DISCRETIONARY - 0.0% | | | |
| Household Durables - 0.0% | | | |
| Meritage Homes Corp. 1.75% 5/15/28 (b) | | 10,000 | 11,010 |
| Leisure Products - 0.0% | | | |
| Peloton Interactive, Inc. 5.5% 12/1/29 (b) | | 5,000 | 6,528 |
TOTAL CONSUMER DISCRETIONARY | | | 17,538 |
| | | | |
| FINANCIALS - 0.0% | | | |
| Capital Markets - 0.0% | | | |
| Coinbase Global, Inc. 0.25% 4/1/30 (b) | | 10,000 | 9,085 |
| INFORMATION TECHNOLOGY - 0.0% | | | |
| Software - 0.0% | | | |
| BlackLine, Inc. 1% 6/1/29 (b) | | 5,000 | 4,933 |
| REAL ESTATE - 0.1% | | | |
| Real Estate Management & Development - 0.1% | | | |
| Realogy Group LLC/Realogy Co-Issuer Corp. 0.25% 6/15/26 | | 33,000 | 28,050 |
| UTILITIES - 0.0% | | | |
| Independent Power and Renewable Electricity Producers - 0.0% | | | |
| Sunnova Energy International, Inc. 0.25% 12/1/26 | | 17,000 | 12,876 |
| TOTAL CONVERTIBLE BONDS | | | 72,482 |
| Nonconvertible Bonds - 72.1% | | | |
| COMMUNICATION SERVICES - 3.5% | | | |
| Diversified Telecommunication Services - 0.6% | | | |
| Altice France SA 5.125% 7/15/29 (b) | | 35,000 | 24,419 |
| Cogent Communications Group, Inc. 7% 6/15/27 (b) | | 50,000 | 50,604 |
| Connect Finco SARL / Connect U.S. Finco LLC 6.75% 10/1/26 (b) | | 40,000 | 39,697 |
| Consolidated Communications, Inc. 5% 10/1/28 (b) | | 50,000 | 43,649 |
| Frontier Communications Holdings LLC 5% 5/1/28 (b) | | 65,000 | 63,119 |
| Level 3 Financing, Inc. 3.875% 10/15/30 (b) | | 25,000 | 17,012 |
| Liquid Telecommunications Financing PLC 5.5% 9/4/26 (b) | | 25,000 | 15,545 |
| NTT Finance Corp.: | | | |
| 1.162% 4/3/26(b) | | 142,000 | 134,689 |
| 1.591% 4/3/28(b) | | 450,000 | 407,635 |
| Zayo Group Holdings, Inc. 4% 3/1/27 (b) | | 50,000 | 43,642 |
| | | | 840,011 |
| Entertainment - 0.1% | | | |
| Live Nation Entertainment, Inc. 4.75% 10/15/27 (b) | | 100,000 | 97,413 |
| Media - 1.5% | | | |
| Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (b) | | 50,000 | 46,878 |
| Altice Financing SA 5% 1/15/28 (b) | | 100,000 | 80,313 |
| CCO Holdings LLC/CCO Holdings Capital Corp. 5.125% 5/1/27 (b) | | 200,000 | 196,016 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | | | |
| 3.75% 2/15/28 | | 300,000 | 286,972 |
| 6.15% 11/10/26 | | 270,000 | 276,611 |
| Clear Channel Outdoor Holdings, Inc.: | | | |
| 7.5% 6/1/29(b) | | 10,000 | 8,432 |
| 9% 9/15/28(b) | | 50,000 | 53,148 |
| iHeartCommunications, Inc. 4.75% 1/15/28 (b) | | 50,000 | 28,681 |
| Sirius XM Radio, Inc. 3.125% 9/1/26 (b) | | 150,000 | 143,390 |
| Univision Communications, Inc. 8% 8/15/28 (b) | | 50,000 | 50,587 |
| Warnermedia Holdings, Inc.: | | | |
| 3.638% 3/15/25 | | 132,000 | 130,744 |
| 3.755% 3/15/27 | | 1,071,000 | 1,026,065 |
| | | | 2,327,837 |
| Wireless Telecommunication Services - 1.3% | | | |
| C&W Senior Finance Ltd. 6.875% 9/15/27 (b) | | 200,000 | 196,892 |
| Rogers Communications, Inc.: | | | |
| 2.95% 3/15/25 | | 467,000 | 461,437 |
| 3.2% 3/15/27 | | 480,000 | 464,365 |
| T-Mobile U.S.A., Inc.: | | | |
| 2.625% 4/15/26 | | 350,000 | 339,124 |
| 3.5% 4/15/25 | | 113,000 | 111,789 |
| 4.95% 3/15/28 | | 370,000 | 375,591 |
| | | | 1,949,198 |
TOTAL COMMUNICATION SERVICES | | | 5,214,459 |
| | | | |
| CONSUMER DISCRETIONARY - 6.2% | | | |
| Automobile Components - 0.2% | | | |
| Clarios Global LP / Clarios U.S. Finance Co. 6.75% 5/15/28 (b) | | 90,000 | 92,532 |
| Hertz Corp. 4.625% 12/1/26 (b) | | 15,000 | 11,774 |
| Macquarie AirFinance Holdings 8.125% 3/30/29 (b) | | 100,000 | 106,272 |
| Phinia, Inc. 6.75% 4/15/29 (b) | | 10,000 | 10,262 |
| The Goodyear Tire & Rubber Co. 4.875% 3/15/27 | | 40,000 | 39,078 |
| | | | 259,918 |
| Automobiles - 2.8% | | | |
| BMW U.S. Capital LLC 4.65% 8/13/26 (b) | | 276,000 | 277,116 |
| General Motors Financial Co., Inc.: | | | |
| 1.25% 1/8/26 | | 106,000 | 101,140 |
| 2.35% 2/26/27 | | 260,000 | 246,117 |
| 5.8% 6/23/28 | | 460,000 | 475,241 |
| 6% 1/9/28 | | 370,000 | 384,199 |
| Hyundai Capital America: | | | |
| 1% 9/17/24(b) | | 213,000 | 212,612 |
| 5.45% 6/24/26(b) | | 230,000 | 232,798 |
| 5.6% 3/30/28(b) | | 440,000 | 451,441 |
| 5.8% 6/26/25(b) | | 340,000 | 341,921 |
| McLaren Finance PLC 7.5% 8/1/26 (b) | | 20,000 | 17,570 |
| Mercedes-Benz Finance North America LLC: | | | |
| 1.45% 3/2/26(b) | | 187,000 | 178,663 |
| 4.8% 3/30/28(b) | | 370,000 | 374,551 |
| Volkswagen Group of America Finance LLC: | | | |
| 1.25% 11/24/25(b) | | 110,000 | 105,325 |
| 3.95% 6/6/25(b) | | 275,000 | 272,455 |
| 4.35% 6/8/27(b) | | 380,000 | 376,838 |
| 5.7% 9/12/26(b) | | 210,000 | 213,746 |
| | | | 4,261,733 |
| Distributors - 0.6% | | | |
| Genuine Parts Co.: | | | |
| 1.75% 2/1/25 | | 440,000 | 433,433 |
| 4.95% 8/15/29 | | 500,000 | 503,082 |
| | | | 936,515 |
| Diversified Consumer Services - 0.2% | | | |
| Sotheby's 7.375% 10/15/27 (b) | | 40,000 | 38,198 |
| TKC Holdings, Inc. 10.5% 5/15/29 (b) | | 100,000 | 99,748 |
| WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (b) | | 100,000 | 99,541 |
| | | | 237,487 |
| Hotels, Restaurants & Leisure - 0.8% | | | |
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | | | |
| 3.875% 1/15/28(b) | | 50,000 | 47,747 |
| 5.75% 4/15/25(b) | | 50,000 | 49,915 |
| Affinity Interactive 6.875% 12/15/27 (b) | | 100,000 | 85,721 |
| Aramark Services, Inc. 5% 4/1/25 (b) | | 50,000 | 49,900 |
| Boyd Gaming Corp. 4.75% 12/1/27 | | 50,000 | 49,063 |
| Carnival Corp. 7.625% 3/1/26 (b) | | 200,000 | 202,026 |
| Churchill Downs, Inc. 6.75% 5/1/31 (b) | | 50,000 | 51,381 |
| International Game Technology PLC 4.125% 4/15/26 (b) | | 50,000 | 49,068 |
| Las Vegas Sands Corp. 3.5% 8/18/26 | | 50,000 | 48,565 |
| Life Time, Inc. 5.75% 1/15/26 (b) | | 50,000 | 50,008 |
| Light & Wonder International, Inc. 7% 5/15/28 (b) | | 50,000 | 50,564 |
| MGM Resorts International 4.625% 9/1/26 | | 70,000 | 69,053 |
| NCL Corp. Ltd. 5.875% 3/15/26 (b) | | 50,000 | 49,973 |
| Royal Caribbean Cruises Ltd.: | | | |
| 5.5% 4/1/28(b) | | 100,000 | 100,772 |
| 7.25% 1/15/30(b) | | 50,000 | 52,858 |
| Six Flags Entertainment Corp. 5.5% 4/15/27 (b) | | 50,000 | 49,644 |
| Station Casinos LLC 6.625% 3/15/32 (b) | | 25,000 | 25,502 |
| Viking Cruises Ltd. 9.125% 7/15/31 (b) | | 50,000 | 54,853 |
| | | | 1,136,613 |
| Household Durables - 0.1% | | | |
| Beazer Homes U.S.A., Inc. 7.5% 3/15/31 (b) | | 10,000 | 10,180 |
| Landsea Homes Corp. 8.875% 4/1/29 (b) | | 15,000 | 15,526 |
| Newell Brands, Inc. 5.7% 4/1/26 | | 50,000 | 49,823 |
| Tempur Sealy International, Inc. 4% 4/15/29 (b) | | 50,000 | 46,365 |
| | | | 121,894 |
| Leisure Products - 0.2% | | | |
| Brunswick Corp. 5.85% 3/18/29 | | 307,000 | 314,083 |
| Mattel, Inc. 5.875% 12/15/27 (b) | | 50,000 | 50,535 |
| | | | 364,618 |
| Specialty Retail - 1.2% | | | |
| Advance Auto Parts, Inc. 5.95% 3/9/28 | | 239,000 | 241,835 |
| Arko Corp. 5.125% 11/15/29 (b) | | 20,000 | 17,764 |
| AutoNation, Inc. 1.95% 8/1/28 | | 540,000 | 483,518 |
| AutoZone, Inc.: | | | |
| 3.625% 4/15/25 | | 228,000 | 225,868 |
| 6.25% 11/1/28 | | 239,000 | 254,169 |
| Group 1 Automotive, Inc. 6.375% 1/15/30 (b) | | 15,000 | 15,260 |
| Hudson Automotive Group 8% 5/15/32 (b) | | 10,000 | 10,547 |
| O'Reilly Automotive, Inc. 5.75% 11/20/26 | | 120,000 | 122,918 |
| Ross Stores, Inc. 0.875% 4/15/26 | | 473,000 | 445,380 |
| Staples, Inc.: | | | |
| 10.75% 9/1/29(b) | | 30,000 | 28,257 |
| 12.75% 1/15/30(b) | | 20,000 | 15,458 |
| | | | 1,860,974 |
| Textiles, Apparel & Luxury Goods - 0.1% | | | |
| Hanesbrands, Inc. 4.875% 5/15/26 (b) | | 50,000 | 49,653 |
| Tapestry, Inc. 7% 11/27/26 | | 63,000 | 64,984 |
| | | | 114,637 |
TOTAL CONSUMER DISCRETIONARY | | | 9,294,389 |
| | | | |
| CONSUMER STAPLES - 4.6% | | | |
| Beverages - 0.8% | | | |
| Constellation Brands, Inc. 3.6% 2/15/28 | | 470,000 | 455,447 |
| Keurig Dr. Pepper, Inc. 4.597% 5/25/28 | | 450,000 | 452,033 |
| Molson Coors Beverage Co. 3% 7/15/26 | | 223,000 | 216,900 |
| | | | 1,124,380 |
| Consumer Staples Distribution & Retail - 1.2% | | | |
| 7-Eleven, Inc.: | | | |
| 0.95% 2/10/26(b) | | 297,000 | 281,607 |
| 1.3% 2/10/28(b) | | 181,000 | 162,018 |
| Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | | | |
| 3.25% 3/15/26(b) | | 100,000 | 96,607 |
| 6.5% 2/15/28(b) | | 50,000 | 50,644 |
| Dollar General Corp. 4.625% 11/1/27 | | 432,000 | 429,097 |
| Dollar Tree, Inc.: | | | |
| 4% 5/15/25 | | 77,000 | 76,373 |
| 4.2% 5/15/28 | | 460,000 | 451,468 |
| KeHE Distributor / Nextwave 9% 2/15/29 (b) | | 50,000 | 52,164 |
| Mondelez International Holdings Netherlands BV 0.75% 9/24/24 (b) | | 186,000 | 185,478 |
| Performance Food Group, Inc. 5.5% 10/15/27 (b) | | 50,000 | 49,715 |
| Sigma Holdco BV 7.875% 5/15/26 (b) | | 10,000 | 9,864 |
| Walgreens Boots Alliance, Inc. 8.125% 8/15/29 | | 10,000 | 10,011 |
| | | | 1,855,046 |
| Food Products - 0.6% | | | |
| Campbell Soup Co. 5.3% 3/20/26 | | 75,000 | 75,879 |
| JDE Peet's BV: | | | |
| 0.8% 9/24/24(b) | | 149,000 | 148,573 |
| 1.375% 1/15/27(b) | | 344,000 | 318,577 |
| McCormick & Co., Inc. 0.9% 2/15/26 | | 390,000 | 369,395 |
| Post Holdings, Inc. 6.375% 3/1/33 (b) | | 15,000 | 15,110 |
| | | | 927,534 |
| Household Products - 0.0% | | | |
| Kronos Acquisition Holdings, Inc.: | | | |
| 8.25% 6/30/31(b) | | 15,000 | 15,435 |
| 10.75% 6/30/32(b) | | 15,000 | 14,954 |
| Resideo Funding, Inc. 6.5% 7/15/32 (b) | | 25,000 | 25,452 |
| | | | 55,841 |
| Personal Care Products - 0.1% | | | |
| Coty, Inc. 5% 4/15/26 (b) | | 100,000 | 99,541 |
| Tobacco - 1.9% | | | |
| Altria Group, Inc. 2.35% 5/6/25 | | 128,000 | 125,738 |
| BAT Capital Corp. 4.7% 4/2/27 | | 440,000 | 441,353 |
| BAT International Finance PLC: | | | |
| 1.668% 3/25/26 | | 46,000 | 43,905 |
| 3.95% 6/15/25(b) | | 186,000 | 184,103 |
| 5.931% 2/2/29 | | 590,000 | 619,054 |
| Imperial Brands Finance PLC: | | | |
| 5.5% 2/1/30(b) | | 400,000 | 408,414 |
| 6.125% 7/27/27(b) | | 440,000 | 455,338 |
| Philip Morris International, Inc.: | | | |
| 0.875% 5/1/26 | | 296,000 | 278,943 |
| 4.875% 2/13/29 | | 200,000 | 203,341 |
| | | | 2,760,189 |
TOTAL CONSUMER STAPLES | | | 6,822,531 |
| | | | |
| ENERGY - 5.7% | | | |
| Energy Equipment & Services - 0.3% | | | |
| Archrock Partners LP / Archrock Partners Finance Corp. 6.625% 9/1/32 (b) | | 15,000 | 15,187 |
| Baker Hughes Co. 2.061% 12/15/26 | | 133,000 | 126,418 |
| Kodiak Gas Services LLC 7.25% 2/15/29 (b) | | 50,000 | 51,782 |
| Nabors Industries, Inc. 8.875% 8/15/31 (b) | | 20,000 | 20,040 |
| Seadrill Finance Ltd. 8.375% 8/1/30 (b) | | 50,000 | 52,779 |
| Star Holding LLC 8.75% 8/1/31 (b) | | 15,000 | 14,695 |
| Transocean Aquila Ltd. 8% 9/30/28 (b) | | 100,000 | 102,836 |
| U.S.A. Compression Partners LP/U.S.A. Compression Finance Corp. 7.125% 3/15/29 (b) | | 20,000 | 20,543 |
| | | | 404,280 |
| Oil, Gas & Consumable Fuels - 5.4% | | | |
| 6297782 LLC 4.911% 9/1/27 (b) | | 79,000 | 79,166 |
| Baytex Energy Corp. 7.375% 3/15/32 (b) | | 20,000 | 20,714 |
| Buckeye Partners LP: | | | |
| 4.125% 3/1/25(b) | | 34,000 | 33,746 |
| 4.125% 12/1/27 | | 100,000 | 95,916 |
| California Resources Corp. 8.25% 6/15/29 (b) | | 55,000 | 56,728 |
| Canacol Energy Ltd. 5.75% 11/24/28 (b) | | 30,000 | 17,288 |
| Canadian Natural Resources Ltd. 2.05% 7/15/25 | | 143,000 | 139,356 |
| Cheniere Energy, Inc. 4.625% 10/15/28 | | 50,000 | 49,432 |
| Citgo Petroleum Corp. 6.375% 6/15/26 (b) | | 50,000 | 50,281 |
| Comstock Resources, Inc. 6.75% 3/1/29 (b) | | 10,000 | 9,836 |
| CVR Energy, Inc. 8.5% 1/15/29 (b) | | 50,000 | 50,940 |
| DCP Midstream Operating LP 5.625% 7/15/27 | | 440,000 | 451,427 |
| Delek Logistics Partners LP/Delek Logistics Finance Corp. 8.625% 3/15/29 (b) | | 50,000 | 52,574 |
| Diamondback Energy, Inc. 5.2% 4/18/27 | | 352,000 | 357,931 |
| EG Global Finance PLC 12% 11/30/28 (b) | | 100,000 | 109,082 |
| Enbridge, Inc.: | | | |
| 1.6% 10/4/26 | | 320,000 | 301,516 |
| 2.5% 2/14/25 | | 116,000 | 114,613 |
| 5.3% 4/5/29 | | 136,000 | 139,781 |
| 5.9% 11/15/26 | | 167,000 | 171,678 |
| Energy Transfer LP: | | | |
| 2.9% 5/15/25 | | 373,000 | 366,959 |
| 5.5% 6/1/27 | | 440,000 | 448,652 |
| EnLink Midstream Partners LP 4.85% 7/15/26 | | 50,000 | 49,848 |
| EQM Midstream Partners LP 7.5% 6/1/27 (b) | | 50,000 | 51,528 |
| Equinor ASA: | | | |
| 1.75% 1/22/26 | | 83,000 | 80,027 |
| 2.875% 4/6/25 | | 305,000 | 301,566 |
| Genesis Energy LP/Genesis Energy Finance Corp.: | | | |
| 7.875% 5/15/32 | | 5,000 | 5,130 |
| 8% 1/15/27 | | 100,000 | 102,392 |
| Harvest Midstream I LP 7.5% 5/15/32 (b) | | 30,000 | 31,538 |
| Hess Corp. 4.3% 4/1/27 | | 480,000 | 476,716 |
| Hess Midstream Operations LP 5.625% 2/15/26 (b) | | 50,000 | 49,863 |
| Howard Midstream Energy Partners LLC 7.375% 7/15/32 (b) | | 15,000 | 15,529 |
| Kinder Morgan, Inc. 4.3% 3/1/28 | | 250,000 | 248,694 |
| Kinetik Holdings LP 6.625% 12/15/28 (b) | | 50,000 | 51,519 |
| Kraken Oil & Gas Partners LLC 7.625% 8/15/29 (b) | | 10,000 | 10,306 |
| Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp. 6% 8/1/26 (b) | | 50,000 | 49,771 |
| Matador Resources Co. 6.5% 4/15/32 (b) | | 25,000 | 25,372 |
| Moss Creek Resources Holdings, Inc. 8.25% 9/1/31 (b) | | 10,000 | 10,086 |
| MPLX LP: | | | |
| 1.75% 3/1/26 | | 159,000 | 152,015 |
| 4.25% 12/1/27 | | 460,000 | 454,465 |
| New Fortress Energy, Inc.: | | | |
| 6.5% 9/30/26(b) | | 80,000 | 69,250 |
| 6.75% 9/15/25(b) | | 20,000 | 19,503 |
| NGL Energy Operating LLC/NGL Energy Finance Corp. 8.125% 2/15/29 (b) | | 50,000 | 51,136 |
| Occidental Petroleum Corp.: | | | |
| 5% 8/1/27 | | 233,000 | 234,933 |
| 5.2% 8/1/29 | | 97,000 | 98,361 |
| Parkland Corp. 6.625% 8/15/32 (b) | | 40,000 | 40,419 |
| PBF Holding Co. LLC/PBF Finance Corp. 7.875% 9/15/30 (b) | | 50,000 | 51,993 |
| Petroleos Mexicanos: | | | |
| 6.49% 1/23/27 | | 420,000 | 407,456 |
| 6.5% 3/13/27 | | 600,000 | 577,050 |
| Phillips 66 Co.: | | | |
| 1.3% 2/15/26 | | 296,000 | 282,135 |
| 3.85% 4/9/25 | | 77,000 | 76,343 |
| Range Resources Corp. 4.875% 5/15/25 | | 50,000 | 49,732 |
| Sitio Royalties OP / Sitio Finance Corp. 7.875% 11/1/28 (b) | | 50,000 | 52,661 |
| SM Energy Co. 6.625% 1/15/27 | | 25,000 | 25,037 |
| Southwestern Energy Co. 5.7% 1/23/25 (c) | | 50,000 | 49,901 |
| Summit Midstream Holdings LLC 8.625% 10/31/29 (b) | | 10,000 | 10,379 |
| Sunoco LP/Sunoco Finance Corp. 6% 4/15/27 | | 50,000 | 50,072 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 6% 3/1/27 (b) | | 50,000 | 49,859 |
| The Williams Companies, Inc.: | | | |
| 4.8% 11/15/29 | | 169,000 | 170,246 |
| 5.4% 3/2/26 | | 101,000 | 101,975 |
| Valero Energy Corp. 2.85% 4/15/25 | | 99,000 | 97,483 |
| Venture Global LNG, Inc. 7% 1/15/30 (b) | | 155,000 | 158,464 |
| Western Midstream Operating LP 6.35% 1/15/29 | | 58,000 | 61,150 |
| | | | 8,069,519 |
TOTAL ENERGY | | | 8,473,799 |
| | | | |
| FINANCIALS - 31.7% | | | |
| Banks - 18.4% | | | |
| ABN AMRO Bank NV 1.542% 6/16/27 (b)(d) | | 186,000 | 175,340 |
| Banco Santander SA: | | | |
| 1.722% 9/14/27(d) | | 400,000 | 375,353 |
| 5.365% 7/15/28(d) | | 200,000 | 203,281 |
| Bank of America Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.290% 5.08% 1/20/27(d) | | 700,000 | 702,998 |
| 1.197% 10/24/26(d) | | 386,000 | 370,321 |
| 1.319% 6/19/26(d) | | 454,000 | 440,598 |
| 1.734% 7/22/27(d) | | 330,000 | 313,054 |
| 2.015% 2/13/26(d) | | 192,000 | 189,189 |
| 4.271% 7/23/29(d) | | 250,000 | 247,340 |
| 5.202% 4/25/29(d) | | 300,000 | 306,463 |
| 5.819% 9/15/29(d) | | 320,000 | 334,235 |
| Bank of Ireland Group PLC 5.601% 3/20/30 (b)(d) | | 242,000 | 247,695 |
| Bank of Montreal 5.266% 12/11/26 | | 400,000 | 407,176 |
| Bank of Nova Scotia 5.35% 12/7/26 | | 420,000 | 428,323 |
| Barclays PLC: | | | |
| 2.279% 11/24/27(d) | | 340,000 | 321,782 |
| 2.852% 5/7/26(d) | | 260,000 | 255,578 |
| 4.972% 5/16/29(d) | | 300,000 | 300,933 |
| 5.69% 3/12/30(d) | | 200,000 | 206,189 |
| BNP Paribas SA 1.323% 1/13/27 (b)(d)(e) | | 333,000 | 317,004 |
| BPCE SA: | | | |
| 1.652% 10/6/26(b)(d) | | 198,000 | 190,621 |
| 2.045% 10/19/27(b)(d) | | 378,000 | 355,409 |
| 6.714% 10/19/29(b)(d) | | 300,000 | 317,711 |
| Canadian Imperial Bank of Commerce 5.926% 10/2/26 | | 500,000 | 514,045 |
| Capital One NA 2.28% 1/28/26 (d) | | 177,000 | 174,617 |
| Citibank NA 4.929% 8/6/26 | | 375,000 | 378,176 |
| Citigroup, Inc.: | | | |
| 1.122% 1/28/27(d) | | 375,000 | 356,117 |
| 2.014% 1/25/26(d) | | 350,000 | 345,200 |
| 3.106% 4/8/26(d) | | 393,000 | 387,824 |
| 3.887% 1/10/28(d) | | 420,000 | 413,223 |
| 4.075% 4/23/29(d) | | 340,000 | 334,407 |
| Cooperatieve Rabobank UA 1.98% 12/15/27 (b)(d) | | 375,000 | 352,769 |
| Danske Bank A/S: | | | |
| 6.259% 9/22/26(b)(d) | | 376,000 | 381,062 |
| 6.466% 1/9/26(b)(d) | | 150,000 | 150,545 |
| DNB Bank ASA: | | | |
| 1.535% 5/25/27(b)(d) | | 381,000 | 361,775 |
| 1.605% 3/30/28(b)(d) | | 469,000 | 433,921 |
| HSBC Holdings PLC: | | | |
| 4.041% 3/13/28(d) | | 420,000 | 412,628 |
| 4.292% 9/12/26(d) | | 420,000 | 416,831 |
| 5.21% 8/11/28(d) | | 342,000 | 346,819 |
| 6.161% 3/9/29(d) | | 300,000 | 313,659 |
| Huntington Bancshares, Inc. 4.443% 8/4/28 (d) | | 314,000 | 313,081 |
| Huntington National Bank 5.699% 11/18/25 (d) | | 148,000 | 147,969 |
| ING Groep NV: | | | |
| 1.726% 4/1/27(d) | | 181,000 | 172,556 |
| 5.335% 3/19/30(d) | | 201,000 | 205,499 |
| Intesa Sanpaolo SpA 5.71% 1/15/26 (b) | | 357,000 | 358,197 |
| JPMorgan Chase & Co.: | | | |
| 1.04% 2/4/27(d) | | 500,000 | 475,123 |
| 1.045% 11/19/26(d) | | 198,000 | 189,163 |
| 1.47% 9/22/27(d) | | 265,000 | 248,929 |
| 3.54% 5/1/28(d) | | 500,000 | 487,599 |
| 4.323% 4/26/28(d) | | 670,000 | 666,931 |
| 5.04% 1/23/28(d) | | 500,000 | 506,007 |
| 5.571% 4/22/28(d) | | 222,000 | 227,589 |
| 6.07% 10/22/27(d) | | 400,000 | 413,028 |
| KeyCorp U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.250% 6.5954% 5/23/25 (d)(e) | | 173,000 | 173,464 |
| Lloyds Banking Group PLC: | | | |
| 2.438% 2/5/26(d) | | 200,000 | 197,512 |
| 5.871% 3/6/29(d) | | 320,000 | 331,503 |
| 5.985% 8/7/27(d) | | 230,000 | 235,151 |
| Mitsubishi UFJ Financial Group, Inc.: | | | |
| 1.538% 7/20/27(d) | | 300,000 | 283,144 |
| 1.64% 10/13/27(d) | | 160,000 | 150,436 |
| 5.354% 9/13/28(d) | | 300,000 | 306,358 |
| Mizuho Financial Group, Inc.: | | | |
| 1.234% 5/22/27(d) | | 80,000 | 75,465 |
| 1.554% 7/9/27(d) | | 100,000 | 94,401 |
| 5.667% 5/27/29(d) | | 250,000 | 258,384 |
| Morgan Stanley Bank, West Valley City Utah 5.882% 10/30/26 | | 320,000 | 329,740 |
| NatWest Group PLC: | | | |
| 3.073% 5/22/28(d) | | 290,000 | 278,035 |
| 5.847% 3/2/27(d) | | 415,000 | 421,008 |
| NatWest Markets PLC 5.416% 5/17/27 (b) | | 300,000 | 305,856 |
| PNC Financial Services Group, Inc.: | | | |
| 5.102% 7/23/27(d) | | 450,000 | 453,798 |
| 5.354% 12/2/28(d) | | 90,000 | 92,467 |
| Regions Financial Corp. 2.25% 5/18/25 | | 166,000 | 162,491 |
| Santander Holdings U.S.A., Inc.: | | | |
| 2.49% 1/6/28(d) | | 218,000 | 204,592 |
| 3.45% 6/2/25 | | 545,000 | 537,462 |
| 5.807% 9/9/26(d) | | 250,000 | 250,984 |
| Societe Generale: | | | |
| 1.488% 12/14/26(b)(d) | | 168,000 | 160,041 |
| 1.792% 6/9/27(b)(d) | | 336,000 | 316,674 |
| 2.625% 10/16/24(b) | | 200,000 | 199,284 |
| Sumitomo Mitsui Financial Group, Inc. 1.402% 9/17/26 | | 325,000 | 304,836 |
| Truist Financial Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 7.160% 7.161% 10/30/29(d) | | 300,000 | 325,970 |
| 1.887% 6/7/29(d) | | 250,000 | 225,903 |
| 5.9% 10/28/26(d) | | 390,000 | 393,909 |
| U.S. Bancorp 4.653% 2/1/29 (d) | | 500,000 | 500,561 |
| Wells Fargo & Co.: | | | |
| 2.164% 2/11/26(d) | | 104,000 | 102,578 |
| 2.406% 10/30/25(d) | | 316,000 | 314,341 |
| 3.526% 3/24/28(d) | | 320,000 | 311,592 |
| 4.3% 7/22/27 | | 171,000 | 170,334 |
| 5.707% 4/22/28(d) | | 800,000 | 821,687 |
| 6.303% 10/23/29(d) | | 420,000 | 445,518 |
| Western Alliance Bancorp. 3% 6/15/31 (d) | | 50,000 | 45,215 |
| Westpac Banking Corp. 4.11% 7/24/34 (d) | | 245,000 | 234,935 |
| | | | 27,507,511 |
| Capital Markets - 5.6% | | | |
| Ares Capital Corp. 3.25% 7/15/25 | | 250,000 | 245,755 |
| Athene Global Funding: | | | |
| 1.73% 10/2/26(b) | | 360,000 | 338,612 |
| 5.339% 1/15/27(b) | | 250,000 | 253,005 |
| 5.516% 3/25/27(b) | | 350,000 | 356,799 |
| Blackstone Private Credit Fund 4.7% 3/24/25 | | 150,000 | 149,181 |
| Deutsche Bank AG New York Branch: | | | |
| 2.129% 11/24/26(d) | | 388,000 | 373,737 |
| 2.311% 11/16/27(d) | | 217,000 | 204,660 |
| 6.72% 1/18/29(d) | | 300,000 | 315,835 |
| Goldman Sachs Group, Inc.: | | | |
| 2.64% 2/24/28(d) | | 1,390,000 | 1,326,349 |
| 3.272% 9/29/25(d) | | 266,000 | 265,459 |
| 4.223% 5/1/29(d) | | 500,000 | 493,097 |
| Intercontinental Exchange, Inc.: | | | |
| 3.625% 9/1/28(b) | | 400,000 | 386,694 |
| 3.65% 5/23/25 | | 181,000 | 179,312 |
| 4% 9/15/27 | | 282,000 | 279,251 |
| Morgan Stanley: | | | |
| 2.475% 1/21/28(d) | | 270,000 | 256,987 |
| 3.591% 7/22/28(d) | | 440,000 | 427,709 |
| 3.772% 1/24/29(d) | | 420,000 | 409,841 |
| 5.042% 7/19/30(d) | | 500,000 | 508,524 |
| 5.164% 4/20/29(d) | | 727,000 | 740,691 |
| Nomura Holdings, Inc. 1.653% 7/14/26 | | 100,000 | 94,319 |
| Nuveen LLC 5.55% 1/15/30 (b) | | 67,000 | 69,463 |
| State Street Corp. 2.901% 3/30/26 (d) | | 16,000 | 15,786 |
| UBS AG London Branch: | | | |
| 1.25% 6/1/26 | | 100,000 | 94,534 |
| 1.375% 1/13/25(b) | | 15,000 | 14,786 |
| UBS Group AG: | | | |
| 1.305% 2/2/27(b)(d) | | 100,000 | 94,933 |
| 2.593% 9/11/25(b)(d) | | 220,000 | 219,856 |
| 6.246% 9/22/29(b)(d) | | 250,000 | 263,687 |
| VFH Parent LLC / Valor Co-Issuer, Inc. 7.5% 6/15/31 (b) | | 20,000 | 20,748 |
| | | | 8,399,610 |
| Consumer Finance - 3.6% | | | |
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | | | |
| 1.65% 10/29/24 | | 162,000 | 160,957 |
| 1.75% 1/30/26 | | 145,000 | 138,814 |
| 2.45% 10/29/26 | | 151,000 | 143,916 |
| 6.1% 1/15/27 | | 450,000 | 463,260 |
| Ally Financial, Inc.: | | | |
| 4.75% 6/9/27 | | 530,000 | 528,098 |
| 5.125% 9/30/24 | | 207,000 | 206,855 |
| 6.848% 1/3/30(d) | | 300,000 | 317,278 |
| American Express Co. 5.389% 7/28/27 (d) | | 390,000 | 396,636 |
| Capital One Financial Corp.: | | | |
| 1.878% 11/2/27(d) | | 420,000 | 395,400 |
| 4.985% 7/24/26(d) | | 228,000 | 227,503 |
| 7.149% 10/29/27(d) | | 325,000 | 340,650 |
| Capstone Borrower, Inc. 8% 6/15/30 (b) | | 10,000 | 10,533 |
| Ford Motor Credit Co. LLC: | | | |
| 2.3% 2/10/25 | | 420,000 | 413,982 |
| 5.85% 5/17/27 | | 500,000 | 508,500 |
| 6.95% 6/10/26 | | 700,000 | 719,263 |
| Navient Corp. 6.75% 6/15/26 | | 35,000 | 35,604 |
| OneMain Finance Corp.: | | | |
| 3.5% 1/15/27 | | 65,000 | 61,618 |
| 7.5% 5/15/31 | | 90,000 | 93,110 |
| PRA Group, Inc. 8.875% 1/31/30 (b) | | 10,000 | 10,336 |
| Toyota Motor Credit Corp. 4.55% 8/7/26 | | 249,000 | 249,959 |
| | | | 5,422,272 |
| Financial Services - 1.8% | | | |
| Block, Inc. 6.5% 5/15/32 (b) | | 30,000 | 31,110 |
| Corebridge Financial, Inc.: | | | |
| 3.5% 4/4/25 | | 74,000 | 73,229 |
| 3.65% 4/5/27 | | 105,000 | 102,806 |
| Corebridge Global Funding: | | | |
| 0.9% 9/22/25(b) | | 100,000 | 96,044 |
| 4.65% 8/20/27(b) | | 116,000 | 116,511 |
| Freedom Mortgage Corp. 7.625% 5/1/26 (b) | | 40,000 | 40,170 |
| GGAM Finance Ltd. 7.75% 5/15/26 (b) | | 100,000 | 102,609 |
| Global Aircraft Leasing Co. Ltd. 8.75% 9/1/27 (b) | | 15,000 | 15,150 |
| Gn Bondco LLC 9.5% 10/15/31 (b) | | 50,000 | 50,894 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. 5.25% 5/15/27 | | 150,000 | 144,563 |
| Jackson Financial, Inc. 5.17% 6/8/27 | | 228,000 | 231,100 |
| Jbs U.S.A. Holding Lux/ Jbs U.S.A. F 2.5% 1/15/27 | | 1,080,000 | 1,025,403 |
| Nationstar Mortgage Holdings, Inc. 6.5% 8/1/29 (b) | | 25,000 | 25,200 |
| Nationwide Building Society 6.557% 10/18/27 (b)(d) | | 400,000 | 414,751 |
| Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc. 6.75% 8/15/32 (b) | | 20,000 | 20,633 |
| The Western Union Co. 1.35% 3/15/26 | | 280,000 | 265,351 |
| | | | 2,755,524 |
| Insurance - 2.2% | | | |
| Acrisure LLC / Acrisure Finance, Inc. 8.25% 2/1/29 (b) | | 15,000 | 15,439 |
| Empower Finance 2020 LP 1.357% 9/17/27 (b) | | 258,000 | 234,197 |
| Equitable Financial Life Global Funding: | | | |
| 1.4% 8/27/27(b) | | 344,000 | 314,355 |
| 1.7% 11/12/26(b) | | 451,000 | 423,709 |
| Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 (b) | | 272,000 | 261,983 |
| Guardian Life Global Funding 1.4% 7/6/27 (b) | | 438,000 | 403,908 |
| Jackson National Life Global Funding 5.55% 7/2/27 (b) | | 219,000 | 223,705 |
| Jones DesLauriers Insurance Management, Inc. 10.5% 12/15/30 (b) | | 5,000 | 5,434 |
| New York Life Global Funding 5.45% 9/18/26 (b) | | 550,000 | 561,515 |
| Panther Escrow Issuer LLC 7.125% 6/1/31 (b) | | 25,000 | 26,040 |
| Pricoa Global Funding I 2.4% 9/23/24 (b) | | 117,000 | 116,802 |
| Protective Life Global Funding 3.218% 3/28/25 (b) | | 157,000 | 155,289 |
| RGA Global Funding: | | | |
| 2% 11/30/26(b) | | 273,000 | 257,446 |
| 5.448% 5/24/29(b) | | 193,000 | 199,062 |
| Willis Group North America, Inc. 4.65% 6/15/27 | | 100,000 | 100,164 |
| | | | 3,299,048 |
| Mortgage Real Estate Investment Trusts - 0.1% | | | |
| Rithm Capital Corp. 8% 4/1/29 (b) | | 10,000 | 9,952 |
| Starwood Property Trust, Inc. 4.75% 3/15/25 | | 100,000 | 99,344 |
| | | | 109,296 |
TOTAL FINANCIALS | | | 47,493,261 |
| | | | |
| HEALTH CARE - 4.1% | | | |
| Biotechnology - 0.3% | | | |
| Amgen, Inc. 5.15% 3/2/28 | | 491,000 | 501,536 |
| Health Care Equipment & Supplies - 0.2% | | | |
| Alcon Finance Corp. 2.75% 9/23/26 (b) | | 200,000 | 192,718 |
| Medline Borrower LP / Medline Co. 6.25% 4/1/29 (b) | | 30,000 | 30,925 |
| Sotera Health Holdings LLC 7.375% 6/1/31 (b) | | 15,000 | 15,688 |
| | | | 239,331 |
| Health Care Providers & Services - 1.9% | | | |
| Centene Corp. 2.45% 7/15/28 | | 170,000 | 155,541 |
| CHS/Community Health Systems, Inc. 5.625% 3/15/27 (b) | | 200,000 | 193,549 |
| Cigna Group 3.4% 3/1/27 | | 400,000 | 389,890 |
| CVS Health Corp.: | | | |
| 4.3% 3/25/28 | | 460,000 | 454,459 |
| 5% 2/20/26 | | 350,000 | 351,012 |
| HCA Holdings, Inc.: | | | |
| 3.125% 3/15/27 | | 300,000 | 289,389 |
| 5.875% 2/15/26 | | 50,000 | 50,411 |
| Humana, Inc. 5.75% 12/1/28 | | 500,000 | 522,349 |
| ICON Investments Six Designated Activity 5.809% 5/8/27 | | 318,000 | 326,170 |
| Surgery Center Holdings, Inc. 7.25% 4/15/32 (b) | | 20,000 | 21,006 |
| Tenet Healthcare Corp. 5.125% 11/1/27 | | 150,000 | 148,695 |
| U.S. Acute Care Solutions 9.75% 5/15/29 (b) | | 5,000 | 5,115 |
| | | | 2,907,586 |
| Health Care Technology - 0.1% | | | |
| IQVIA, Inc. 5% 5/15/27 (b) | | 100,000 | 99,277 |
| Life Sciences Tools & Services - 0.1% | | | |
| Revvity, Inc. 0.85% 9/15/24 | | 170,000 | 169,691 |
| Pharmaceuticals - 1.5% | | | |
| 1375209 BC Ltd. 9% 1/30/28 (b) | | 50,000 | 48,592 |
| Bausch Health Companies, Inc.: | | | |
| 5.5% 11/1/25(b) | | 115,000 | 110,701 |
| 11% 9/30/28(b) | | 50,000 | 45,750 |
| Bayer U.S. Finance II LLC: | | | |
| 4.25% 12/15/25(b) | | 180,000 | 177,928 |
| 4.375% 12/15/28(b) | | 470,000 | 459,844 |
| Bayer U.S. Finance LLC 3.375% 10/8/24 (b) | | 300,000 | 299,237 |
| Haleon UK Capital PLC 3.125% 3/24/25 | | 160,000 | 158,232 |
| Jazz Securities DAC 4.375% 1/15/29 (b) | | 35,000 | 33,308 |
| Organon & Co. / Organon Foreign Debt Co-Issuer BV 4.125% 4/30/28 (b) | | 50,000 | 47,801 |
| Viatris, Inc.: | | | |
| 1.65% 6/22/25 | | 353,000 | 342,896 |
| 2.3% 6/22/27 | | 620,000 | 579,559 |
| | | | 2,303,848 |
TOTAL HEALTH CARE | | | 6,221,269 |
| | | | |
| INDUSTRIALS - 4.6% | | | |
| Aerospace & Defense - 1.8% | | | |
| BAE Systems PLC: | | | |
| 5% 3/26/27(b) | | 200,000 | 202,169 |
| 5.125% 3/26/29(b) | | 200,000 | 204,153 |
| Bombardier, Inc. 7% 6/1/32 (b) | | 30,000 | 31,230 |
| L3Harris Technologies, Inc. 5.4% 1/15/27 | | 550,000 | 561,460 |
| Rolls-Royce PLC 5.75% 10/15/27 (b) | | 50,000 | 51,265 |
| RTX Corp. 5.75% 1/15/29 | | 85,000 | 89,271 |
| The Boeing Co.: | | | |
| 3.2% 3/1/29 | | 540,000 | 497,946 |
| 4.875% 5/1/25 | | 156,000 | 155,352 |
| 5.04% 5/1/27 | | 440,000 | 440,583 |
| 6.259% 5/1/27(b) | | 29,000 | 29,835 |
| TransDigm, Inc.: | | | |
| 5.5% 11/15/27 | | 250,000 | 247,813 |
| 6.375% 3/1/29(b) | | 200,000 | 206,112 |
| VistaJet Malta Finance PLC / XO Management Holding, Inc. 7.875% 5/1/27 (b) | | 35,000 | 32,849 |
| | | | 2,750,038 |
| Building Products - 0.0% | | | |
| AmeriTex Holdco Intermediate LLC 10.25% 10/15/28 (b) | | 50,000 | 53,194 |
| Commercial Services & Supplies - 0.6% | | | |
| APX Group, Inc. 6.75% 2/15/27 (b) | | 100,000 | 100,187 |
| Artera Services LLC 8.5% 2/15/31 (b) | | 50,000 | 50,057 |
| Brand Industrial Services, Inc. 10.375% 8/1/30 (b) | | 50,000 | 54,479 |
| CoreCivic, Inc. 8.25% 4/15/29 | | 15,000 | 15,824 |
| Garda World Security Corp. 8.25% 8/1/32 (b) | | 15,000 | 15,245 |
| GFL Environmental, Inc. 4% 8/1/28 (b) | | 105,000 | 100,091 |
| Madison IAQ LLC 4.125% 6/30/28 (b) | | 50,000 | 47,575 |
| Neptune BidCo U.S., Inc. 9.29% 4/15/29 (b) | | 50,000 | 49,938 |
| Prime Securities Services Borrower LLC/Prime Finance, Inc. 5.75% 4/15/26 (b) | | 50,000 | 50,094 |
| Republic Services, Inc. 0.875% 11/15/25 | | 361,000 | 345,205 |
| The GEO Group, Inc.: | | | |
| 8.625% 4/15/29 | | 15,000 | 15,561 |
| 10.25% 4/15/31 | | 30,000 | 31,694 |
| Wrangler Holdco Corp. 6.625% 4/1/32 (b) | | 15,000 | 15,487 |
| | | | 891,437 |
| Construction & Engineering - 0.0% | | | |
| AECOM 5.125% 3/15/27 | | 50,000 | 50,047 |
| Arcosa, Inc. 6.875% 8/15/32 (b) | | 10,000 | 10,424 |
| | | | 60,471 |
| Ground Transportation - 0.2% | | | |
| Canadian Pacific Railway Co. 1.75% 12/2/26 | | 155,000 | 146,273 |
| Genesee & Wyoming, Inc. 6.25% 4/15/32 (b) | | 25,000 | 25,552 |
| Uber Technologies, Inc. 7.5% 9/15/27 (b) | | 50,000 | 50,998 |
| XPO, Inc. 6.25% 6/1/28 (b) | | 50,000 | 51,011 |
| | | | 273,834 |
| Machinery - 0.8% | | | |
| Daimler Trucks Finance North America LLC: | | | |
| 2% 12/14/26(b) | | 350,000 | 330,929 |
| 5.125% 9/25/27(b) | | 150,000 | 152,477 |
| ESAB Corp. 6.25% 4/15/29 (b) | | 25,000 | 25,682 |
| Ingersoll Rand, Inc.: | | | |
| 5.176% 6/15/29 | | 300,000 | 307,752 |
| 5.197% 6/15/27 | | 300,000 | 305,258 |
| TK Elevator U.S. Newco, Inc. 5.25% 7/15/27 (b) | | 100,000 | 98,446 |
| | | | 1,220,544 |
| Marine Transportation - 0.0% | | | |
| Seaspan Corp. 5.5% 8/1/29 (b) | | 50,000 | 47,625 |
| Passenger Airlines - 0.6% | | | |
| American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29 | | 206,602 | 194,915 |
| American Airlines, Inc. 7.25% 2/15/28 (b) | | 50,000 | 50,311 |
| American Airlines, Inc. / AAdvantage Loyalty IP Ltd. 5.5% 4/20/26 (b) | | 87,500 | 87,047 |
| Delta Air Lines, Inc. 2.9% 10/28/24 | | 306,000 | 304,340 |
| United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | | 147,011 | 139,044 |
| United Airlines, Inc. 4.375% 4/15/26 (b) | | 100,000 | 97,587 |
| | | | 873,244 |
| Professional Services - 0.1% | | | |
| CoreLogic, Inc. 4.5% 5/1/28 (b) | | 50,000 | 46,791 |
| TriNet Group, Inc. 7.125% 8/15/31 (b) | | 50,000 | 51,855 |
| | | | 98,646 |
| Trading Companies & Distributors - 0.3% | | | |
| Air Lease Corp. 2.2% 1/15/27 | | 270,000 | 255,277 |
| Fortress Transportation & Infrastructure Investors LLC 7.875% 12/1/30 (b) | | 50,000 | 53,659 |
| United Rentals North America, Inc.: | | | |
| 3.875% 11/15/27 | | 50,000 | 48,256 |
| 6.125% 3/15/34(b) | | 40,000 | 40,859 |
| | | | 398,051 |
| Transportation Infrastructure - 0.2% | | | |
| Avolon Holdings Funding Ltd.: | | | |
| 2.875% 2/15/25(b) | | 95,000 | 93,762 |
| 5.5% 1/15/26(b) | | 202,000 | 202,252 |
| | | | 296,014 |
TOTAL INDUSTRIALS | | | 6,963,098 |
| | | | |
| INFORMATION TECHNOLOGY - 2.7% | | | |
| Communications Equipment - 0.1% | | | |
| Hughes Satellite Systems Corp. 5.25% 8/1/26 | | 50,000 | 41,794 |
| ViaSat, Inc. 5.625% 9/15/25 (b) | | 50,000 | 49,502 |
| | | | 91,296 |
| Electronic Equipment, Instruments & Components - 0.5% | | | |
| Amphenol Corp. 5.05% 4/5/29 | | 82,000 | 84,280 |
| CPI CG, Inc. 10% 7/15/29 (b) | | 10,000 | 10,517 |
| Dell International LLC/EMC Corp. 5.25% 2/1/28 | | 366,000 | 375,232 |
| Insight Enterprises, Inc. 6.625% 5/15/32 (b) | | 10,000 | 10,351 |
| Lightning Power LLC 7.25% 8/15/32 (b) | | 15,000 | 15,499 |
| Sensata Technologies, Inc. 6.625% 7/15/32 (b) | | 200,000 | 206,943 |
| | | | 702,822 |
| IT Services - 0.2% | | | |
| Acuris Finance U.S.: | | | |
| 5% 5/1/28(b) | | 100,000 | 89,517 |
| 9% 8/1/29(b) | | 15,000 | 15,000 |
| Amentum Escrow Corp. 7.25% 8/1/32 (b) | | 20,000 | 20,912 |
| Camelot Finance SA 4.5% 11/1/26 (b) | | 50,000 | 48,890 |
| CDW LLC/CDW Finance Corp. 5.1% 3/1/30 | | 130,000 | 130,601 |
| | | | 304,920 |
| Semiconductors & Semiconductor Equipment - 0.8% | | | |
| Broadcom, Inc.: | | | |
| 1.95% 2/15/28(b) | | 310,000 | 284,980 |
| 5.05% 7/12/27 | | 500,000 | 507,656 |
| 5.05% 7/12/29 | | 246,000 | 250,799 |
| Entegris, Inc. 4.75% 4/15/29 (b) | | 90,000 | 88,318 |
| Micron Technology, Inc. 4.185% 2/15/27 | | 116,000 | 114,845 |
| | | | 1,246,598 |
| Software - 1.1% | | | |
| CNT PRNT/CDK GLO II/FIN 8% 6/15/29 (b) | | 50,000 | 51,625 |
| McAfee Corp. 7.375% 2/15/30 (b) | | 15,000 | 14,389 |
| Open Text Corp. 3.875% 2/15/28 (b) | | 100,000 | 94,812 |
| Oracle Corp.: | | | |
| 1.65% 3/25/26 | | 230,000 | 219,597 |
| 4.5% 5/6/28 | | 450,000 | 452,254 |
| Roper Technologies, Inc.: | | | |
| 2.35% 9/15/24 | | 180,000 | 179,752 |
| 4.5% 10/15/29 | | 114,000 | 113,795 |
| SS&C Technologies, Inc. 5.5% 9/30/27 (b) | | 150,000 | 149,845 |
| Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (b) | | 50,000 | 45,706 |
| VMware, Inc. 1.4% 8/15/26 | | 325,000 | 305,707 |
| | | | 1,627,482 |
| Technology Hardware, Storage & Peripherals - 0.0% | | | |
| Western Digital Corp. 4.75% 2/15/26 | | 55,000 | 54,503 |
TOTAL INFORMATION TECHNOLOGY | | | 4,027,621 |
| | | | |
| MATERIALS - 2.2% | | | |
| Chemicals - 1.5% | | | |
| Axalta Coating Systems Dutch Holding B BV 7.25% 2/15/31 (b) | | 50,000 | 52,951 |
| International Flavors & Fragrances, Inc. 1.23% 10/1/25 (b) | | 443,000 | 425,166 |
| LSB Industries, Inc. 6.25% 10/15/28 (b) | | 15,000 | 14,700 |
| LYB International Finance III LLC 1.25% 10/1/25 | | 204,000 | 196,271 |
| Methanex Corp. 5.125% 10/15/27 | | 50,000 | 49,216 |
| NOVA Chemicals Corp.: | | | |
| 5% 5/1/25(b) | | 100,000 | 99,396 |
| 5.25% 6/1/27(b) | | 50,000 | 49,357 |
| Nutrien Ltd. 4.9% 3/27/28 | | 600,000 | 608,068 |
| Olympus Water U.S. Holding Corp. 7.25% 6/15/31 (b) | | 30,000 | 31,008 |
| SCIH Salt Holdings, Inc. 6.625% 5/1/29 (b) | | 65,000 | 62,203 |
| SPCM SA 3.125% 3/15/27 (b) | | 50,000 | 46,711 |
| The Chemours Co. LLC 5.375% 5/15/27 | | 100,000 | 97,167 |
| The Mosaic Co. 5.375% 11/15/28 | | 500,000 | 513,367 |
| Tronox, Inc. 4.625% 3/15/29 (b) | | 50,000 | 45,566 |
| | | | 2,291,147 |
| Construction Materials - 0.0% | | | |
| Eco Material Technologies, Inc. 7.875% 1/31/27 (b) | | 20,000 | 20,257 |
| VM Consolidated, Inc. 5.5% 4/15/29 (b) | | 50,000 | 48,661 |
| | | | 68,918 |
| Containers & Packaging - 0.3% | | | |
| Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 4.125% 8/15/26 (b) | | 65,000 | 56,059 |
| Berry Global, Inc. 4.875% 7/15/26 (b) | | 24,000 | 23,747 |
| Graphic Packaging International, Inc. 6.375% 7/15/32 (b) | | 30,000 | 30,673 |
| Mauser Packaging Solutions Holding Co. 7.875% 4/15/27 (b) | | 50,000 | 51,697 |
| Owens-Brockway Glass Container, Inc. 7.25% 5/15/31 (b) | | 50,000 | 50,594 |
| Sealed Air Corp. 5% 4/15/29 (b) | | 150,000 | 147,122 |
| Trivium Packaging Finance BV 8.5% 8/15/27 (b) | | 50,000 | 49,935 |
| | | | 409,827 |
| Metals & Mining - 0.4% | | | |
| Alcoa Nederland Holding BV 7.125% 3/15/31 (b) | | 5,000 | 5,258 |
| Cleveland-Cliffs, Inc. 7% 3/15/32 (b) | | 35,000 | 35,149 |
| Glencore Funding LLC 5.338% 4/4/27 (b) | | 350,000 | 355,942 |
| HudBay Minerals, Inc. 4.5% 4/1/26 (b) | | 50,000 | 49,309 |
| Mineral Resources Ltd. 9.25% 10/1/28 (b) | | 70,000 | 73,951 |
| Novelis Corp. 3.25% 11/15/26 (b) | | 50,000 | 48,122 |
| | | | 567,731 |
TOTAL MATERIALS | | | 3,337,623 |
| | | | |
| REAL ESTATE - 2.0% | | | |
| Equity Real Estate Investment Trusts (REITs) - 2.0% | | | |
| American Tower Corp. 1.3% 9/15/25 | | 129,000 | 124,136 |
| Boston Properties, Inc. 3.2% 1/15/25 | | 295,000 | 292,268 |
| Brixmor Operating Partnership LP 2.25% 4/1/28 | | 177,000 | 162,081 |
| Brookfield Property REIT, Inc./BPR Nimbus LLC/BPR Cumulus LLC/GGSI Sellco LLC 5.75% 5/15/26 (b) | | 88,000 | 87,785 |
| Crown Castle, Inc.: | | | |
| 1.35% 7/15/25 | | 27,000 | 26,183 |
| 5% 1/11/28 | | 450,000 | 454,059 |
| Healthcare Realty Holdings LP 3.5% 8/1/26 | | 450,000 | 439,655 |
| Iron Mountain, Inc. 4.875% 9/15/27 (b) | | 50,000 | 49,093 |
| Kite Realty Group Trust 4% 3/15/25 | | 150,000 | 148,470 |
| MPT Operating Partnership LP/MPT Finance Corp. 5.25% 8/1/26 | | 100,000 | 94,065 |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co.-Issuer 7% 2/1/30 (b) | | 10,000 | 10,250 |
| Realty Income Corp.: | | | |
| 2.1% 3/15/28 | | 359,000 | 330,656 |
| 2.2% 6/15/28 | | 24,000 | 22,085 |
| SBA Communications Corp. 3.875% 2/15/27 | | 100,000 | 96,739 |
| Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC 6.5% 2/15/29 (b) | | 55,000 | 42,107 |
| Ventas Realty LP: | | | |
| 2.65% 1/15/25 | | 199,000 | 196,795 |
| 3% 1/15/30 | | 426,000 | 389,867 |
| Vornado Realty LP 2.15% 6/1/26 | | 80,000 | 75,682 |
| | | | 3,041,976 |
| UTILITIES - 4.8% | | | |
| Electric Utilities - 2.3% | | | |
| Cleco Corporate Holdings LLC 3.743% 5/1/26 | | 230,000 | 225,311 |
| Duke Energy Corp. 4.3% 3/15/28 | | 755,000 | 750,700 |
| Edison International 5.45% 6/15/29 | | 301,000 | 309,499 |
| ENEL Finance International NV 5.125% 6/26/29 (b) | | 360,000 | 365,432 |
| Eversource Energy 5.45% 3/1/28 | | 360,000 | 369,067 |
| Exelon Corp. 2.75% 3/15/27 | | 54,000 | 51,869 |
| FirstEnergy Corp.: | | | |
| 1.6% 1/15/26 | | 29,000 | 27,742 |
| 2.05% 3/1/25 | | 138,000 | 135,512 |
| Firstenergy Pennsylvania Elect 5.15% 3/30/26 (b) | | 189,000 | 189,680 |
| Georgia Power Co. 4.65% 5/16/28 | | 264,000 | 266,688 |
| NextEra Energy Partners LP 7.25% 1/15/29 (b) | | 50,000 | 52,348 |
| PG&E Corp. 5% 7/1/28 | | 50,000 | 48,972 |
| Southern Co. 5.5% 3/15/29 | | 226,000 | 235,257 |
| Vistra Operations Co. LLC: | | | |
| 5% 7/31/27(b) | | 320,000 | 316,735 |
| 7.75% 10/15/31(b) | | 50,000 | 53,201 |
| | | | 3,398,013 |
| Gas Utilities - 0.3% | | | |
| CenterPoint Energy Resources Corp. 5.25% 3/1/28 | | 440,000 | 449,478 |
| Independent Power and Renewable Electricity Producers - 0.4% | | | |
| Calpine Corp. 5.125% 3/15/28 (b) | | 50,000 | 48,790 |
| Sunnova Energy Corp. 5.875% 9/1/26 (b) | | 50,000 | 46,973 |
| The AES Corp.: | | | |
| 3.3% 7/15/25(b) | | 96,000 | 94,114 |
| 5.45% 6/1/28 | | 360,000 | 366,658 |
| | | | 556,535 |
| Multi-Utilities - 1.8% | | | |
| Dominion Energy, Inc. 1.45% 4/15/26 | | 390,000 | 370,441 |
| DTE Energy Co.: | | | |
| 4.22% 11/1/24 | | 140,000 | 139,684 |
| 4.875% 6/1/28 | | 450,000 | 454,972 |
| 4.95% 7/1/27 | | 105,000 | 106,139 |
| NiSource, Inc.: | | | |
| 0.95% 8/15/25 | | 274,000 | 263,811 |
| 2.95% 9/1/29 | | 477,000 | 441,896 |
| 5.25% 3/30/28 | | 440,000 | 449,817 |
| Sempra: | | | |
| 3.3% 4/1/25 | | 181,000 | 178,794 |
| 3.4% 2/1/28 | | 196,000 | 188,834 |
| WEC Energy Group, Inc. 5% 9/27/25 | | 188,000 | 188,458 |
| | | | 2,782,846 |
TOTAL UTILITIES | | | 7,186,872 |
| | | | |
| TOTAL NONCONVERTIBLE BONDS | | | 108,076,898 |
| TOTAL CORPORATE BONDS (Cost $108,171,711) | | | 108,149,380 |
| | | | |
| U.S. Treasury Obligations - 6.4% |
| | | Principal Amount (a) | Value ($) |
| U.S. Treasury Notes: | | | |
| 4.5% 5/15/27 (f) | | 7,308,000 | 7,431,884 |
| 4.625% 4/30/29 | | 2,136,300 | 2,216,077 |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $9,488,325) | | | 9,647,961 |
| | | | |
| U.S. Government Agency - Mortgage Securities - 0.1% |
| | | Principal Amount (a) | Value ($) |
| Fannie Mae - 0.1% | | | |
4.5% 3/1/39 to 9/1/49 (Cost $207,259) | | 194,657 | 193,405 |
| | | | |
| Asset-Backed Securities - 10.7% |
| | | Principal Amount (a) | Value ($) |
| AASET Trust: | | | |
| Series 2019-2 Class A, 3.376% 10/16/39 (b) | | 128,419 | 122,487 |
| Series 2021-1A Class A, 2.95% 11/16/41 (b) | | 161,965 | 150,586 |
| Series 2021-2A Class A, 2.798% 1/15/47 (b) | | 314,961 | 285,495 |
| AIMCO CLO Ltd. Series 2022-12A Class AR, CME Term SOFR 3 Month Index + 1.170% 6.4558% 1/17/32 (b)(d)(e) | | 483,095 | 483,585 |
| Ares CLO Series 2024-54A Class AR, CME Term SOFR 3 Month Index + 1.270% 6.5714% 10/15/32 (b)(d)(e) | | 250,000 | 250,049 |
| Ari Fleet Lease Trust 2023-B Series 2023-B Class A2, 6.05% 7/15/32 (b) | | 275,300 | 277,658 |
| Ari Fleet Lease Trust 2024-B Series 2024-B Class A3, 5.26% 4/15/33 (b) | | 100,000 | 102,257 |
| Blackbird Capital Aircraft Series 2021-1A Class A, 2.443% 7/15/46 (b) | | 375,503 | 341,921 |
| Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28 | | 75,000 | 76,643 |
| Cascade Funding Mortgage Trust Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(d) | | 10,652 | 10,498 |
| Castlelake Aircraft Structured Trust Series 2021-1A Class A, 3.474% 1/15/46 (b) | | 167,300 | 160,730 |
| Cedar Funding Ltd.: | | | |
| Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6436% 10/20/32 (b)(d)(e) | | 250,000 | 250,046 |
| Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.360% 6.663% 7/15/33 (b)(d)(e) | | 798,000 | 798,804 |
| Cent CLO LP Series 2021-21A Class A1R3, CME Term SOFR 3 Month Index + 1.230% 6.4952% 7/27/30 (b)(d)(e) | | 83,281 | 83,308 |
| CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b) | | 42,236 | 41,442 |
| Chase Issuance Trust Series 2023-A2 Class A, 5.08% 9/15/30 | | 536,000 | 553,449 |
| Chesapeake Funding II LLC: | | | |
| Series 2023-2A Class A1, 6.16% 10/15/35 (b) | | 78,665 | 79,805 |
| Series 2024-1A Class A1, 5.52% 5/15/36 (b) | | 93,014 | 93,929 |
| Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/28 (b) | | 72,000 | 72,879 |
| Daimler Trucks Retail Trust 20 Series 2024-1 Class A3, 5.49% 12/15/27 | | 209,000 | 212,069 |
| DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/51 (b) | | 972,500 | 911,261 |
| Dell Equipment Finance Trust 2 Series 2023-3 Class A3, 5.93% 4/23/29 (b) | | 193,000 | 195,899 |
| DLLAD Series 2024-1A Class A3, 5.3% 7/20/29 (b) | | 19,000 | 19,393 |
| Dllmt 2024-1 LLC Series 2024-1A Class A3, 4.84% 8/21/28 (b) | | 117,000 | 117,291 |
| Enterprise Fleet Financing Series 2024-2 Class A3, 5.61% 4/20/28 (b) | | 50,000 | 51,205 |
| Enterprise Fleet Financing 202 Series 2024-3 Class A3, 4.98% 8/21/28 (b) | | 206,000 | 208,686 |
| Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b) | | 114,876 | 117,016 |
| Enterprise Fleet Financing LLC Series 2022-3 Class A2, 4.38% 7/20/29 (b) | | 51,989 | 51,726 |
| Finance of America HECM Buyout Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(d) | | 171,884 | 168,721 |
| Flatiron Clo 28 Ltd. / Flatiron Series 2024-1A Class A1, CME Term SOFR 3 Month Index + 1.320% 6.5866% 7/15/36 (b)(d)(e) | | 359,000 | 360,288 |
| Flatiron CLO Ltd. / Flatiron CLO LLC Series 2024-1A Class AR, CME Term SOFR 3 Month Index + 1.380% 6.5084% 5/20/36 (b)(d)(e) | | 250,000 | 250,199 |
| Ford Credit Floorplan Master Owner Trust Series 2024-1 Class B, 5.48% 4/15/29 (b) | | 192,000 | 195,492 |
| GMF Floorplan Owner Revolving Trust: | | | |
| Series 2023-1 Class A1, 5.34% 6/15/28 (b) | | 425,000 | 430,710 |
| Series 2024-1A Class A1, 5.13% 3/15/29 (b) | | 360,000 | 366,650 |
| Kubota Credit Owner Trust Series 2024-2A Class A3, 5.26% 11/15/28 (b) | | 100,000 | 101,971 |
| Magnetite Xxii Ltd. / Magnetite Series 2024-22A Class ARR, CME Term SOFR 3 Month Index + 1.250% 6.5258% 7/15/36 (b)(d)(e) | | 311,000 | 311,194 |
| Marlette Funding Trust 2024-1 Series 2024-1A Class A, 5.95% 7/17/34 (b) | | 80,819 | 81,102 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/37 (b) | | 100,000 | 101,282 |
| Neuberger Berman Ln Advisers N Series 2024-50A Class AR, CME Term SOFR 3 Month Index + 1.250% 6.533% 7/23/36 (b)(d)(e) | | 364,000 | 364,182 |
| Niagara Park CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.260% 6.5474% 7/17/32 (b)(d)(e) | | 1,070,000 | 1,070,983 |
| Nissan Master Owner Trust Receiva Series 2024-B Class A, 5.05% 2/15/29 (b) | | 113,000 | 114,409 |
| Palmer Square Loan Funding 202 Series 2024-3A Class A1, CME Term SOFR 3 Month Index + 1.080% 6.4166% 8/8/32 (b)(d)(e) | | 250,000 | 250,059 |
| Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME Term SOFR 3 Month Index + 1.050% 6.3514% 4/15/30 (b)(d)(e) | | 296,132 | 296,172 |
| PK ALIFT Loan Funding 3 LP Series 2024-1 Class A1, 5.842% 9/15/39 (b) | | 250,000 | 254,787 |
| Porsche Financial Auto Securitization Trust Series 2023-2A Class A3, 5.79% 1/22/29 (b) | | 168,000 | 169,912 |
| Prpm 2021-5, LLC Series 2021-5 Class A1, 4.793% 6/25/26 (b)(d) | | 459,939 | 453,631 |
| Rr 16 Ltd. Series 2021-16A Class A1, CME Term SOFR 3 Month Index + 1.370% 6.673% 7/15/36 (b)(d)(e) | | 250,000 | 250,012 |
| SBA Tower Trust: | | | |
| Series 2019, 2.836% 1/15/50 (b) | | 137,000 | 135,604 |
| 1.884% 7/15/50 (b) | | 86,000 | 82,302 |
| SLAM Ltd. / SLAM LLC Series 2021-1A Class A, 2.434% 6/15/46 (b) | | 1,284,162 | 1,161,850 |
| Sofi Consumer Loan Program Series 2023-1S Class A, 5.81% 5/15/31 (b) | | 10,569 | 10,569 |
| Symphony CLO XXI, Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.623% 7/15/32 (b)(d)(e) | | 791,000 | 791,740 |
| TCI-Symphony CLO Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.190% 6.493% 7/15/30 (b)(d)(e) | | 493,429 | 493,904 |
| Tesla Electric Vehicle Trust 2023-1 Series 2023-1 Class A3, 5.38% 6/20/28 (b) | | 184,000 | 187,162 |
| Upstart Securitization Trust 2 Series 2023-3 Class A, 6.9% 10/20/33 (b) | | 169,841 | 171,395 |
| VCAT Asset Securitization, LLC: | | | |
| Series 2021-NPL1 Class A1, 5.2891% 12/26/50 (b) | | 10,383 | 10,360 |
| Series 2021-NPL2 Class A1, 5.115% 3/27/51 (b) | | 153,312 | 152,926 |
| Series 2021-NPL3 Class A1, 4.743% 5/25/51 (b)(d) | | 273,148 | 270,345 |
| Voya Clo 2022-1 Ltd. / Voya Clo Series 2024-1A Class A1R, CME Term SOFR 3 Month Index + 1.250% 0% 4/20/35 (b)(d)(e) | | 250,000 | 250,000 |
| Wheels Fleet Lease Funding 1 L: | | | |
| Series 2023-2A Class A, 6.46% 8/18/38 (b) | | 357,660 | 360,112 |
| Series 2024-2A Class A1, 4.87% 6/21/39 (b) | | 100,000 | 100,425 |
| World Omni Auto Trust 2024-C Series 2024-C Class A3, 4.43% 12/17/29 | | 194,000 | 194,043 |
| TOTAL ASSET-BACKED SECURITIES (Cost $16,279,074) | | | 16,084,610 |
| | | | |
| Collateralized Mortgage Obligations - 1.9% |
| | | Principal Amount (a) | Value ($) |
| Private Sponsor - 1.6% | | | |
| Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/66 (b) | | 362,460 | 321,511 |
| Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(d) | | 21,480 | 21,262 |
| Cfmt 2024-Hb15 LLC sequential payer Series 2024-HB15 Class A, 4% 8/25/34 (b)(d) | | 100,000 | 98,090 |
| Cfmt LLC floater sequential payer Series 2024-HB13 Class A, 3% 5/25/34 (b)(d) | | 89,178 | 85,283 |
| Csmc Trust sequential payer Series 2021-RPL9 Class A1, 2.4364% 2/25/61 (b) | | 538,665 | 539,625 |
| GCAT Trust sequential payer Series 2021-NQM7 Class A1, 1.915% 8/25/66 (b) | | 187,153 | 168,906 |
| Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 2.25% 7/25/67 (b)(d) | | 427,310 | 424,530 |
| New Residential Mortgage Loan Trust Series 2019-5A Class A1B, 3.5% 8/25/59 (b) | | 47,868 | 44,841 |
| New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 4.6696% 8/25/61 (b) | | 144,079 | 140,008 |
| Preston Ridge Partners Mortgage Trust: | | | |
| sequential payer Series 2021-8 Class A1, 1.743% 9/25/26 (b)(d) | | 350,328 | 343,970 |
| Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b) | | 58,453 | 53,124 |
| Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(d) | | 79,340 | 71,935 |
| RMF Buyout Issuance Trust sequential payer: | | | |
| Series 2021-HB1 Class A, 1.2586% 11/25/31 (b) | | 39,295 | 38,848 |
| Series 2022-HB1 Class A, 4.272% 4/25/32 (b) | | 2,764 | 2,757 |
TOTAL PRIVATE SPONSOR | | | 2,354,690 |
| U.S. Government Agency - 0.3% | | | |
| Fannie Mae: | | | |
| planned amortization class: | | | |
Series 2015-28 Class P, 2.5% 5/25/45 | | 29,936 | 27,961 |
Series 2019-33 Class N, 3% 3/25/48 | | 230,617 | 218,535 |
| Series 2019-59 Class AB, 2.5% 10/25/39 | | 79,606 | 73,134 |
| Freddie Mac planned amortization class Series 2019-4903 Class DA, 3% 10/25/48 | | 112,432 | 105,252 |
TOTAL U.S. GOVERNMENT AGENCY | | | 424,882 |
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $2,904,046) | | | 2,779,572 |
| | | | |
| Commercial Mortgage Securities - 5.1% |
| | | Principal Amount (a) | Value ($) |
| BAMLL Commercial Mortgage Securities Trust: | | | |
| floater Series 2022-DKLX Class A, CME Term SOFR 1 Month Index + 1.150% 6.487% 1/15/39 (b)(d)(e) | | 174,000 | 171,528 |
| sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b) | | 138,000 | 128,340 |
| Bank of America Commercial Mortgage Trust sequential payer Series 2015-UBS7 Class ASB, 3.429% 9/15/48 | | 101,683 | 100,540 |
| BBCMS Mortgage Trust sequential payer Series 2017-C1 Class ASB, 3.488% 2/15/50 | | 417,687 | 410,291 |
| Benchmark Mortgage Trust sequential payer Series 2018-B2 Class A2, 3.6623% 2/15/51 | | 40,996 | 40,417 |
| BLOX Trust floater sequential payer Series 2021-BLOX Class A, CME Term SOFR 1 Month Index + 0.860% 6.2015% 9/15/26 (b)(d)(e) | | 352,000 | 342,303 |
| BMP floater Series 2024-MF23 Class A, CME Term SOFR 1 Month Index + 1.370% 6.7088% 6/15/41 (b)(d)(e) | | 100,000 | 99,594 |
| BPR Trust floater Series 2022-OANA Class A, CME Term SOFR 1 Month Index + 1.890% 7.2349% 4/15/37 (b)(d)(e) | | 566,000 | 566,708 |
| BX Commercial Mortgage Trust floater: | | | |
| Series 2021-PAC Class A, CME Term SOFR 1 Month Index + 0.800% 6.1406% 10/15/36 (b)(d)(e) | | 323,000 | 319,871 |
| Series 2021-VINO Class A, CME Term SOFR 1 Month Index + 0.760% 6.1038% 5/15/38 (b)(d)(e) | | 216,285 | 213,987 |
| Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 6.3498% 2/15/39 (b)(d)(e) | | 337,101 | 333,940 |
| BX Commercial Mtg Trust floater Series 2024-MDHS Class A, 6.9782% 5/15/41 (b)(d) | | 160,813 | 160,511 |
| BX Trust floater: | | | |
| Series 2021-ACNT Class A, CME Term SOFR 1 Month Index + 0.960% 6.3015% 11/15/38 (b)(d)(e) | | 299,455 | 296,554 |
| Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.5019% 8/15/39 (b)(d)(e) | | 129,554 | 129,716 |
| Series 2024-CNYN Class A, CME Term SOFR 1 Month Index + 1.440% 6.7788% 4/15/41 (b)(d)(e) | | 193,859 | 193,008 |
| CF Hippolyta Issuer LLC sequential payer: | | | |
| Series 2020-1 Class A1, 1.69% 7/15/60 (b) | | 484,805 | 466,116 |
| Series 2021-1A Class A1, 1.53% 3/15/61 (b) | | 340,224 | 316,826 |
| Citigroup Commercial Mortgage Trust sequential payer Series 2016-GC36 Class AAB, 3.368% 2/10/49 | | 33,077 | 32,643 |
| COMM Mortgage Trust sequential payer Series 2020-SBX Class A, 1.67% 1/10/38 (b) | | 625,000 | 540,355 |
| Credit Suisse Mortgage Trust sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | | 54,100 | 51,561 |
| ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, CME Term SOFR 1 Month Index + 0.810% 6.1525% 11/15/38 (b)(d)(e) | | 442,485 | 436,677 |
| Eqt Trust 2024-Extr sequential payer Series 2024-EXTR Class A, 5.3308% 7/5/41 (b)(d) | | 406,000 | 413,455 |
| GS Mortgage Securities Trust floater Series 2021-IP Class A, CME Term SOFR 1 Month Index + 1.060% 6.4015% 10/15/36 (b)(d)(e) | | 190,000 | 187,154 |
| JPMorgan Chase Commercial Mortgage Securities Trust floater Series 2019-BKWD Class A, CME Term SOFR 1 Month Index + 1.610% 6.9515% 9/15/29 (b)(d)(e) | | 47,002 | 44,188 |
| LIFE Mortgage Trust floater Series 2021-BMR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1515% 3/15/38 (b)(d)(e) | | 230,802 | 226,561 |
| Morgan Stanley BAML Trust sequential payer Series 2016-C28 Class A3, 3.272% 1/15/49 | | 106,361 | 104,141 |
| Morgan Stanley Capital I Trust sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | | 302,000 | 289,208 |
| Open Trust 2023-Air sequential payer Series 2023-AIR Class A, CME Term SOFR 1 Month Index + 3.080% 8.426% 10/15/28 (b)(d)(e) | | 91,656 | 92,458 |
| SREIT Trust floater Series 2021-MFP Class A, CME Term SOFR 1 Month Index + 0.840% 6.1822% 11/15/38 (b)(d)(e) | | 286,102 | 282,615 |
| Voya CLO Ltd. floater Series 2024-2A Class AR, CME Term SOFR 3 Month Index + 1.200% 6.482% 7/20/32 (b)(d)(e) | | 400,000 | 400,066 |
| Wells Fargo Commercial Mortgag Trust sequential payer Series 2015-NXS3 Class ASB, 3.371% 9/15/57 | | 85,501 | 84,599 |
| Wells Fargo Commercial Mortgage Trust sequential payer: | | | |
| Series 2015-LC22 Class ASB, 3.571% 9/15/58 | | 61,027 | 60,522 |
| Series 2017-RC1 Class ASB, 3.453% 1/15/60 | | 110,040 | 108,391 |
| TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $7,896,737) | | | 7,644,844 |
| | | | |
| Foreign Government and Government Agency Obligations - 0.1% |
| | | Principal Amount (a) | Value ($) |
United Mexican States 3.25% 4/16/30 (Cost $199,372) | | 200,000 | 181,500 |
| | | | |
| Bank Loan Obligations - 1.6% |
| | | Principal Amount (a) | Value ($) |
| COMMUNICATION SERVICES - 0.1% | | | |
| Interactive Media & Services - 0.0% | | | |
| TripAdvisor, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.9967% 7/8/31 (d)(e)(g) | | 5,000 | 4,990 |
| Media - 0.1% | | | |
| Univision Communications, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6112% 1/31/29 (d)(e)(g) | | 159,186 | 154,211 |
TOTAL COMMUNICATION SERVICES | | | 159,201 |
| CONSUMER DISCRETIONARY - 0.4% | | | |
| Automobile Components - 0.0% | | | |
| Power Stop LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 9.9072% 1/26/29 (d)(e)(g) | | 9,974 | 9,575 |
| Automobiles - 0.0% | | | |
| CWGS Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.8905% 6/3/28 (d)(e)(g) | | 54,717 | 52,073 |
| Broadline Retail - 0.1% | | | |
| Great Outdoors Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1112% 3/5/28 (d)(e)(g) | | 109,437 | 109,391 |
| Diversified Consumer Services - 0.0% | | | |
| Spin Holdco, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.6001% 3/4/28 (d)(e)(g) | | 54,717 | 46,318 |
| Hotels, Restaurants & Leisure - 0.1% | | | |
| City Football Group Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.3924% 7/21/30 (d)(e)(g) | | 60,000 | 59,700 |
| United PF Holdings LLC 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.5137% 12/30/26 (d)(e)(g) | | 35,000 | 31,815 |
| | | | 91,515 |
| Leisure Products - 0.1% | | | |
| Hayward Industries, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.8612% 5/28/28 (d)(e)(g) | | 54,718 | 54,718 |
| Specialty Retail - 0.1% | | | |
| Empire Today LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.000% 10.5137% 4/1/28 (d)(e)(g) | | 54,718 | 39,514 |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1395% 6/6/31 (d)(e)(g) | | 54,859 | 53,182 |
| Tory Burch LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.6112% 4/16/28 (d)(e)(g) | | 54,718 | 54,786 |
| | | | 147,482 |
TOTAL CONSUMER DISCRETIONARY | | | 511,072 |
| CONSUMER STAPLES - 0.1% | | | |
| Food Products - 0.1% | | | |
| Del Monte Foods Corp. Ii, Inc.: | | | |
| 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 13.4426% 8/2/28 (d)(e)(g) | | 25,674 | 24,390 |
| 2LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6919% 8/2/28 (d)(e)(g) | | 54,722 | 32,833 |
| Dm Escrow Corp. 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 15.5% 9/3/24 (d)(e)(g) | | 3,065 | 2,912 |
| | | | 60,135 |
| FINANCIALS - 0.2% | | | |
| Capital Markets - 0.1% | | | |
| Hightower Holding LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.7477% 4/21/28 (d)(e)(g) | | 54,719 | 54,787 |
| Financial Services - 0.0% | | | |
| Nexus Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3437% 7/18/31 (d)(e)(g) | | 25,000 | 24,755 |
| Insurance - 0.1% | | | |
| Alliant Holdings Intermediate LLC Tranche B6 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8115% 11/6/30 (d)(e)(g) | | 54,862 | 55,009 |
| Asurion LLC 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3467% 8/19/28 (d)(e)(g) | | 54,722 | 54,164 |
| USI, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0846% 11/23/29 (d)(e)(g) | | 54,725 | 54,705 |
| | | | 163,878 |
TOTAL FINANCIALS | | | 243,420 |
| HEALTH CARE - 0.2% | | | |
| Health Care Equipment & Supplies - 0.1% | | | |
| Medline Borrower LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.9967% 10/23/28 (d)(e)(g) | | 106,533 | 106,742 |
| Packaging Coordinators Midco, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5846% 11/30/27 (d)(e)(g) | | 55,000 | 55,092 |
| | | | 161,834 |
| Health Care Providers & Services - 0.1% | | | |
| MED ParentCo LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.2467% 4/7/31 (d)(e)(g) | | 54,856 | 54,925 |
| Health Care Technology - 0.0% | | | |
| Athenahealth Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.4967% 2/15/29 (d)(e)(g) | | 54,721 | 54,252 |
TOTAL HEALTH CARE | | | 271,011 |
| INDUSTRIALS - 0.2% | | | |
| Building Products - 0.0% | | | |
| Acproducts Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.8462% 5/17/28 (d)(e)(g) | | 19,808 | 14,868 |
| Oscar AcquisitionCo LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.5846% 4/29/29 (d)(e)(g) | | 54,722 | 54,243 |
| | | | 69,111 |
| Commercial Services & Supplies - 0.2% | | | |
| ABG Intermediate Holdings 2 LLC Tranche B1 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.9967% 12/21/28 (d)(e)(g) | | 54,721 | 54,846 |
| Allied Universal Holdco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 9.0967% 5/14/28 (d)(e)(g) | | 109,437 | 108,745 |
| Ensemble RCM LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.000% 8.2521% 8/1/29 (d)(e)(g) | | 5,000 | 5,011 |
| LRS Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 9.6112% 6/28/28 (d)(e)(g) | | 54,719 | 52,531 |
| Neptune BidCo U.S., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.404% 4/11/29 (d)(e)(g) | | 54,723 | 52,295 |
| | | | 273,428 |
TOTAL INDUSTRIALS | | | 342,539 |
| INFORMATION TECHNOLOGY - 0.1% | | | |
| Software - 0.1% | | | |
| Ascend Learning LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8467% 12/10/28 (d)(e)(g) | | 54,719 | 54,591 |
| Cloud Software Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3346% 3/29/29 (d)(e)(g) | | 119,700 | 119,585 |
| Leia Finco U.S. LLC 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 7/2/31 (e)(g)(h) | | 30,000 | 29,706 |
| | | | 203,882 |
| MATERIALS - 0.3% | | | |
| Chemicals - 0.3% | | | |
| American Rock Salt Co. LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.3188% 6/4/28 (d)(e)(g) | | 39,897 | 31,439 |
| ARC Falcon I, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.8467% 9/30/28 (d)(e)(g) | | 54,720 | 54,614 |
| Aruba Investment Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4437% 11/24/27 (d)(e)(g) | | 54,719 | 54,138 |
| Consolidated Energy Finance SA Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.5572% 11/15/30 (d)(e)(g) | | 54,863 | 50,839 |
| Discovery Purchaser Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.370% 9.6932% 10/4/29 (d)(e)(g) | | 54,725 | 54,667 |
| Hexion Holdings Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.7711% 3/15/29 (d)(e)(g) | | 54,581 | 54,260 |
| Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8474% 6/23/31 (d)(e)(g) | | 50,745 | 50,865 |
| W.R. Grace Holding LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 8.4967% 9/22/28 (d)(e)(g) | | 54,719 | 54,829 |
| | | | 405,651 |
| Containers & Packaging - 0.0% | | | |
| Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.670% 8.4217% 4/13/29 (d)(e)(g) | | 95,829 | 95,639 |
TOTAL MATERIALS | | | 501,290 |
| UTILITIES - 0.0% | | | |
| Electric Utilities - 0.0% | | | |
| Brookfield WEC Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.9967% 1/20/31 (d)(e)(g) | | 55,000 | 55,032 |
| TOTAL BANK LOAN OBLIGATIONS (Cost $2,375,360) | | | 2,347,582 |
| | | | |
| Bank Notes - 0.1% |
| | | Principal Amount (a) | Value ($) |
First Citizens Bank & Trust Co. 2.969% 9/27/25 (d) (Cost $185,000) | | 185,000 | 184,505 |
| | | | |
| Preferred Securities - 0.1% |
| | | Principal Amount (a) | Value ($) |
| FINANCIALS - 0.1% | | | |
| Banks - 0.0% | | | |
| Citigroup, Inc. 7.125% (d)(i) | | 30,000 | 31,250 |
| Consumer Finance - 0.1% | | | |
| Ally Financial, Inc. 4.7% (d)(i) | | 60,000 | 50,083 |
| TOTAL PREFERRED SECURITIES (Cost $77,513) | | | 81,333 |
| | | | |
| Money Market Funds - 0.7% |
| | | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (j) (Cost $1,106,746) | | 1,106,525 | 1,106,746 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 99.0% (Cost $148,891,143) | 148,401,438 |
NET OTHER ASSETS (LIABILITIES) - 1.0% | 1,443,876 |
| NET ASSETS - 100.0% | 149,845,314 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Treasury Contracts | | | | | |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 18 | Dec 2024 | 3,735,844 | (4,953) | (4,953) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 161 | Dec 2024 | 17,613,148 | (69,397) | (69,397) |
| | | | | | |
| TOTAL FUTURES CONTRACTS | | | | | (74,350) |
| The notional amount of futures purchased as a percentage of Net Assets is 14.3% |
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $20,254,555.
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $54,558,318 or 36.4% of net assets. |
| (c) | Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
| (d) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (e) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (f) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $288,410. |
| (g) | Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
| (h) | The coupon rate will be determined upon settlement of the loan after period end. |
| (i) | Security is perpetual in nature with no stated maturity date. |
| (j) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 2,892,593 | 58,735,194 | 60,520,987 | 110,000 | (54) | - | 1,106,746 | 0.0% |
| Total | 2,892,593 | 58,735,194 | 60,520,987 | 110,000 | (54) | - | 1,106,746 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Corporate Bonds | 108,149,380 | - | 108,149,380 | - |
|
| U.S. Government and Government Agency Obligations | 9,647,961 | - | 9,647,961 | - |
|
| U.S. Government Agency - Mortgage Securities | 193,405 | - | 193,405 | - |
|
| Asset-Backed Securities | 16,084,610 | - | 16,084,610 | - |
|
| Collateralized Mortgage Obligations | 2,779,572 | - | 2,779,572 | - |
|
| Commercial Mortgage Securities | 7,644,844 | - | 7,644,844 | - |
|
| Foreign Government and Government Agency Obligations | 181,500 | - | 181,500 | - |
|
| Bank Loan Obligations | 2,347,582 | - | 2,347,582 | - |
|
| Bank Notes | 184,505 | - | 184,505 | - |
|
| Preferred Securities | 81,333 | - | 81,333 | - |
|
| Money Market Funds | 1,106,746 | 1,106,746 | - | - |
| Total Investments in Securities: | 148,401,438 | 1,106,746 | 147,294,692 | - |
Derivative Instruments: Liabilities | | | | |
Futures Contracts | (74,350) | (74,350) | - | - |
| Total Liabilities | (74,350) | (74,350) | - | - |
| Total Derivative Instruments: | (74,350) | (74,350) | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Interest Rate Risk | | |
Futures Contracts (a) | 0 | (74,350) |
| Total Interest Rate Risk | 0 | (74,350) |
| Total Value of Derivatives | 0 | (74,350) |
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
Fidelity® Limited Term Bond ETF
Financial Statements
| Statement of Assets and Liabilities |
As of August 31, 2024 |
| Assets | | | | |
| Investment in securities, at value - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $147,784,397) | $ | 147,294,692 | | |
Fidelity Central Funds (cost $1,106,746) | | 1,106,746 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $148,891,143) | | | $ | 148,401,438 |
| Cash | | | | 16,692 |
| Receivable for investments sold | | | | 770,657 |
| Interest receivable | | | | 1,530,505 |
| Distributions receivable from Fidelity Central Funds | | | | 6,808 |
| Other receivables | | | | 2 |
Total assets | | | | 150,726,102 |
| Liabilities | | | | |
| Payable for investments purchased | $ | 296,573 | | |
| Distributions payable | | 519,000 | | |
| Accrued management fee | | 30,813 | | |
| Payable for daily variation margin on futures contracts | | 34,402 | | |
| Total liabilities | | | | 880,788 |
| Net Assets | | | $ | 149,845,314 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 158,029,872 |
| Total accumulated earnings (loss) | | | | (8,184,558) |
| Net Assets | | | $ | 149,845,314 |
Net Asset Value, offering price and redemption price per share ($149,845,314 ÷ 3,000,000 shares) | | | $ | 49.95 |
| Statement of Operations |
| Year ended August 31, 2024 |
| Investment Income | | | | |
| Dividends | | | $ | 1,410 |
| Interest | | | | 6,175,867 |
| Income from Fidelity Central Funds | | | | 110,000 |
| Total income | | | | 6,287,277 |
| Expenses | | | | |
| Management fee | $ | 383,186 | | |
| Independent trustees' fees and expenses | | 483 | | |
| Total expenses before reductions | | 383,669 | | |
| Expense reductions | | (2,167) | | |
| Total expenses after reductions | | | | 381,502 |
| Net Investment income (loss) | | | | 5,905,775 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (1,119,260) | | |
| Redemptions in-kind | | (524,711) | | |
| Fidelity Central Funds | | (54) | | |
| Futures contracts | | 386,926 | | |
| Total net realized gain (loss) | | | | (1,257,099) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 7,094,264 | | |
| Futures contracts | | (187,939) | | |
| Total change in net unrealized appreciation (depreciation) | | | | 6,906,325 |
| Net gain (loss) | | | | 5,649,226 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 11,555,001 |
| Statement of Changes in Net Assets |
| |
| | Year ended August 31, 2024 | | Year ended August 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 5,905,775 | $ | 6,098,797 |
| Net realized gain (loss) | | (1,257,099) | | (8,143,543) |
| Change in net unrealized appreciation (depreciation) | | 6,906,325 | | 7,912,100 |
| Net increase (decrease) in net assets resulting from operations | | 11,555,001 | | 5,867,354 |
| Distributions to shareholders | | (5,946,050) | | (6,097,800) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 4,973,559 | | 102,725,889 |
| Cost of shares redeemed | | (36,469,557) | | (167,087,505) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | (31,495,998) | | (64,361,616) |
| Total increase (decrease) in net assets | | (25,887,047) | | (64,592,062) |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 175,732,361 | | 240,324,423 |
| End of period | $ | 149,845,314 | $ | 175,732,361 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 100,000 | | 2,150,000 |
| Redeemed | | (750,000) | | (3,450,000) |
| Net increase (decrease) | | (650,000) | | (1,300,000) |
| | | | | |
Financial Highlights
Fidelity® Limited Term Bond ETF |
| |
| Years ended August 31, | | 2024 | | 2023 | | 2022 | | 2021 | | 2020 |
Selected Per-Share Data | | | | | | | | | | |
| Net asset value, beginning of period | $ | 48.15 | $ | 48.55 | $ | 52.44 | $ | 52.52 | $ | 51.07 |
| Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) A,B | | 1.881 | | 1.315 | | .539 | | .470 | | 1.039 |
| Net realized and unrealized gain (loss) | | 1.831 | | (.351) | | (3.868) | | (.044) | | 1.495 |
| Total from investment operations | | 3.712 | | .964 | | (3.329) | | .426 | | 2.534 |
| Distributions from net investment income | | (1.912) | | (1.364) | | (.561) | | (.486) C | | (1.084) |
| Distributions from net realized gain | | - | | - | | - | | (.020) C | | - |
| Total distributions | | (1.912) | | (1.364) | | (.561) | | (.506) | | (1.084) |
| Net asset value, end of period | $ | 49.95 | $ | 48.15 | $ | 48.55 | $ | 52.44 | $ | 52.52 |
Total Return D,E | | | | 2.02% | | (6.38)% | | .83% | | 5.04% |
Ratios to Average Net Assets B,F,G | | | | | | | | | | |
| Expenses before reductions | | .25% | | .32% | | .36% | | .36% | | .36% |
| Expenses net of fee waivers, if any | | | | .32% | | .36% | | .36% | | .36% |
| Expenses net of all reductions | | .25% | | .32% | | .36% | | .36% | | .36% |
| Net investment income (loss) | | 3.85% | | 2.73% | | 1.07% | | .90% | | 2.02% |
| Supplemental Data | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 149,845 | $ | 175,732 | $ | 240,324 | $ | 283,197 | $ | 181,184 |
Portfolio turnover rate H,I | | | | 59% | | 38% | | 75% | | 102% |
ACalculated based on average shares outstanding during the period.
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
CThe amount shown reflects reclassifications related to book to tax differences that were made in the year shown.
DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
EBased on net asset value.
FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
HPortfolio turnover rate excludes securities received or delivered in-kind.
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Fidelity® Low Duration Bond ETF
Schedule of Investments August 31, 2024
Showing Percentage of Net Assets
| Nonconvertible Bonds - 55.0% |
| | | Principal Amount (a) | Value ($) |
| COMMUNICATION SERVICES - 1.3% | | | |
| Diversified Telecommunication Services - 0.0% | | | |
| AT&T, Inc. 5.539% 2/20/26 | | 30,000 | 30,006 |
| Verizon Communications, Inc. 3.5% 11/1/24 | | 25,000 | 24,918 |
| | | | 54,924 |
| Media - 0.8% | | | |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 4.908% 7/23/25 | | 1,184,000 | 1,180,095 |
| COX Communications, Inc. 3.85% 2/1/25 (b) | | 800,000 | 794,508 |
| Warnermedia Holdings, Inc.: | | | |
| 3.638% 3/15/25 | | 1,000,000 | 990,486 |
| 3.788% 3/15/25 | | 30,000 | 29,725 |
| | | | 2,994,814 |
| Wireless Telecommunication Services - 0.5% | | | |
| Rogers Communications, Inc. 2.95% 3/15/25 | | 30,000 | 29,643 |
| Sprint Corp. 7.625% 2/15/25 | | 775,000 | 777,692 |
| T-Mobile U.S.A., Inc. 3.5% 4/15/25 | | 1,180,000 | 1,167,355 |
| | | | 1,974,690 |
TOTAL COMMUNICATION SERVICES | | | 5,024,428 |
| CONSUMER DISCRETIONARY - 5.6% | | | |
| Automobiles - 4.9% | | | |
| American Honda Finance Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.790% 6.1505% 10/3/25 (c)(d) | | 1,100,000 | 1,104,829 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.8141% 6/13/25 (c)(d) | | 1,100,000 | 1,100,579 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.710% 6.0678% 1/9/26 (c)(d) | | 1,100,000 | 1,102,444 |
| 1.5% 1/13/25 | | 25,000 | 24,674 |
| BMW U.S. Capital LLC: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.620% 5.9595% 8/11/25 (b)(c)(d) | | 1,100,000 | 1,101,284 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.800% 6.1387% 8/13/26 (b)(c)(d) | | 1,100,000 | 1,105,951 |
| 3.25% 4/1/25 (b) | | 30,000 | 29,705 |
| General Motors Financial Co., Inc.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 5.9767% 10/15/24 (c)(d) | | 25,000 | 25,008 |
| 1.2% 10/15/24 | | 750,000 | 746,136 |
| 3.5% 11/7/24 | | 1,100,000 | 1,095,584 |
| 3.8% 4/7/25 | | 1,020,000 | 1,011,003 |
| 4% 1/15/25 | | 270,000 | 268,549 |
| 4.35% 4/9/25 | | 750,000 | 746,036 |
| Hyundai Capital America: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.320% 6.6643% 11/3/25 (b)(c)(d) | | 30,000 | 30,195 |
| 2.65% 2/10/25 (b) | | 1,200,000 | 1,185,961 |
| 5.45% 6/24/26 (b) | | 661,000 | 669,041 |
| 5.8% 6/26/25 (b) | | 1,100,000 | 1,106,216 |
| 5.875% 4/7/25 (b) | | 25,000 | 25,069 |
| Mercedes-Benz Finance North America LLC U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.630% 5.9778% 7/31/26 (b)(c)(d) | | 1,500,000 | 1,502,271 |
| Volkswagen Group of America Finance LLC: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.830% 6.1936% 3/20/26 (b)(c)(d) | | 1,500,000 | 1,500,428 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.060% 6.395% 8/14/26 (b)(c)(d) | | 1,091,000 | 1,096,568 |
| 2.85% 9/26/24 (b) | | 1,100,000 | 1,098,171 |
| 3.35% 5/13/25 (b) | | 800,000 | 790,504 |
| | | | 18,466,206 |
| Specialty Retail - 0.4% | | | |
| AutoZone, Inc. 3.625% 4/15/25 | | 630,000 | 624,108 |
| Lowe's Companies, Inc. 3.125% 9/15/24 | | 25,000 | 24,975 |
| The Home Depot, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.330% 5.6919% 12/24/25 (c)(d) | | 860,000 | 860,875 |
| | | | 1,509,958 |
| Textiles, Apparel & Luxury Goods - 0.3% | | | |
| Tapestry, Inc. 7.05% 11/27/25 | | 1,030,000 | 1,049,093 |
TOTAL CONSUMER DISCRETIONARY | | | 21,025,257 |
| CONSUMER STAPLES - 1.4% | | | |
| Beverages - 0.0% | | | |
| Constellation Brands, Inc. 4.75% 11/15/24 | | 30,000 | 29,936 |
| Consumer Staples Distribution & Retail - 0.6% | | | |
| Dollar General Corp. 4.25% 9/20/24 | | 1,125,000 | 1,124,124 |
| Dollar Tree, Inc. 4% 5/15/25 | | 1,180,000 | 1,170,396 |
| | | | 2,294,520 |
| Food Products - 0.2% | | | |
| Campbell Soup Co.: | | | |
| 3.95% 3/15/25 | | 750,000 | 745,118 |
| 5.3% 3/20/26 | | 3,000 | 3,035 |
| | | | 748,153 |
| Tobacco - 0.6% | | | |
| Altria Group, Inc. 2.35% 5/6/25 | | 1,000,000 | 982,324 |
| BAT Capital Corp. 2.789% 9/6/24 | | 25,000 | 24,994 |
| BAT International Finance PLC 3.95% 6/15/25 (b) | | 25,000 | 24,745 |
| Philip Morris International, Inc. 5.125% 11/15/24 | | 30,000 | 29,975 |
| Reynolds American, Inc. 4.45% 6/12/25 | | 1,080,000 | 1,074,400 |
| | | | 2,136,438 |
TOTAL CONSUMER STAPLES | | | 5,209,047 |
| ENERGY - 3.9% | | | |
| Oil, Gas & Consumable Fuels - 3.9% | | | |
| Canadian Natural Resources Ltd.: | | | |
| 2.05% 7/15/25 | | 800,000 | 779,616 |
| 3.9% 2/1/25 | | 1,875,000 | 1,863,755 |
| Columbia Pipeline Group, Inc. 4.5% 6/1/25 | | 1,176,000 | 1,169,371 |
| DCP Midstream Operating LP 5.375% 7/15/25 | | 1,000,000 | 999,646 |
| Enbridge, Inc.: | | | |
| 2.5% 1/15/25 | | 800,000 | 791,603 |
| 2.5% 2/14/25 | | 817,000 | 807,229 |
| Energy Transfer LP: | | | |
| 2.9% 5/15/25 | | 1,450,000 | 1,426,515 |
| 4.05% 3/15/25 | | 500,000 | 496,600 |
| 5.625% 5/1/27 (b) | | 30,000 | 30,072 |
| Enterprise Products Operating LP 3.75% 2/15/25 | | 25,000 | 24,848 |
| MPLX LP: | | | |
| 4% 2/15/25 | | 1,350,000 | 1,341,315 |
| 4.875% 12/1/24 | | 375,000 | 374,396 |
| 4.875% 6/1/25 | | 1,000,000 | 998,070 |
| Phillips 66 Co. 3.85% 4/9/25 | | 1,175,000 | 1,164,968 |
| Plains All American Pipeline LP/PAA Finance Corp. 3.6% 11/1/24 | | 250,000 | 249,133 |
| Spectra Energy Partners LP 3.5% 3/15/25 | | 25,000 | 24,764 |
| The Williams Companies, Inc. 3.9% 1/15/25 | | 775,000 | 770,793 |
| Western Midstream Operating LP 3.1% 2/1/25 | | 1,100,000 | 1,086,863 |
| | | | 14,399,557 |
| FINANCIALS - 34.0% | | | |
| Banks - 21.9% | | | |
| ABN AMRO Bank NV U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.780% 7.1437% 9/18/27 (b)(c)(d) | | 1,100,000 | 1,116,945 |
| Banco Santander SA 2.746% 5/28/25 | | 750,000 | 737,054 |
| Bank of America Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.330% 6.6904% 4/2/26 (c)(d) | | 30,000 | 30,179 |
| 0.981% 9/25/25 (c) | | 30,000 | 29,910 |
| 1.197% 10/24/26 (c) | | 750,000 | 719,536 |
| 1.319% 6/19/26 (c) | | 1,000,000 | 970,481 |
| 1.53% 12/6/25 (c) | | 1,000,000 | 989,686 |
| 2.456% 10/22/25 (c) | | 1,000,000 | 995,713 |
| 3.366% 1/23/26 (c) | | 1,030,000 | 1,021,542 |
| 3.384% 4/2/26 (c) | | 2,000,000 | 1,978,121 |
| Bank of Montreal: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.060% 6.4261% 6/7/25 (c)(d) | | 1,125,000 | 1,130,689 |
| 1.5% 1/10/25 | | 425,000 | 419,361 |
| 1.85% 5/1/25 | | 1,275,000 | 1,249,662 |
| 3.7% 6/7/25 | | 750,000 | 743,171 |
| Bank of Nova Scotia: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.540% 5.9133% 3/2/26 (c)(d) | | 30,000 | 29,988 |
| 1.45% 1/10/25 | | 1,000,000 | 986,958 |
| 2.2% 2/3/25 | | 1,500,000 | 1,481,280 |
| 3.45% 4/11/25 | | 750,000 | 743,072 |
| Barclays PLC: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.880% 7.2441% 9/13/27 (c)(d) | | 1,100,000 | 1,117,945 |
| 2.852% 5/7/26 (c) | | 1,200,000 | 1,179,591 |
| 4.375% 1/12/26 | | 1,200,000 | 1,192,906 |
| 5.829% 5/9/27 (c) | | 750,000 | 760,561 |
| BNP Paribas SA: | | | |
| 2.219% 6/9/26 (b)(c) | | 1,050,000 | 1,025,736 |
| 3.375% 1/9/25 (b) | | 550,000 | 545,921 |
| BPCE SA 2.375% 1/14/25 (b) | | 1,800,000 | 1,779,820 |
| Canadian Imperial Bank of Commerce: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.940% 6.2984% 4/7/25 (c)(d) | | 30,000 | 30,095 |
| 2.25% 1/28/25 | | 780,000 | 770,925 |
| 3.3% 4/7/25 | | 1,000,000 | 989,109 |
| 5.144% 4/28/25 | | 30,000 | 30,026 |
| Citibank NA U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6.0513% 8/6/26 (c)(d) | | 750,000 | 751,103 |
| Citigroup, Inc.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.680% 6.0334% 10/30/24 (c)(d) | | 1,500,000 | 1,500,795 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 6.045% 1/25/26 (c)(d) | | 25,000 | 25,020 |
| 1.281% 11/3/25 (c) | | 1,000,000 | 992,654 |
| 3.106% 4/8/26 (c) | | 1,750,000 | 1,726,953 |
| 3.29% 3/17/26 (c) | | 1,000,000 | 989,682 |
| Cooperatieve Rabobank UA 1.339% 6/24/26 (b)(c) | | 1,200,000 | 1,163,596 |
| Cooperatieve Rabobank UA/NY 4.333% 8/28/26 | | 1,000,000 | 1,000,058 |
| Credit Agricole SA 1.907% 6/16/26 (b)(c) | | 350,000 | 341,123 |
| Danske Bank A/S: | | | |
| 3.244% 12/20/25 (b)(c) | | 1,000,000 | 993,264 |
| 6.466% 1/9/26 (b)(c) | | 900,000 | 903,268 |
| DNB Bank ASA 1.127% 9/16/26 (b)(c) | | 600,000 | 576,733 |
| Fifth Third Bancorp 2.375% 1/28/25 | | 300,000 | 296,465 |
| HSBC Holdings PLC: | | | |
| 1.645% 4/18/26 (c) | | 1,000,000 | 977,123 |
| 2.099% 6/4/26 (c) | | 1,200,000 | 1,171,811 |
| 2.633% 11/7/25 (c) | | 1,450,000 | 1,442,414 |
| 2.999% 3/10/26 (c) | | 763,000 | 753,881 |
| Huntington Bancshares, Inc. 4% 5/15/25 | | 1,000,000 | 991,555 |
| Huntington National Bank 5.699% 11/18/25 (c) | | 500,000 | 499,897 |
| ING Groep NV: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.560% 6.9254% 9/11/27 (c)(d) | | 1,100,000 | 1,114,929 |
| 1.4% 7/1/26 (b)(c) | | 1,200,000 | 1,164,165 |
| 3.869% 3/28/26 (c) | | 1,000,000 | 992,523 |
| Intesa Sanpaolo SpA 3.25% 9/23/24 (b) | | 250,000 | 249,650 |
| JPMorgan Chase & Co.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.920% 6.2563% 2/24/26 (c)(d) | | 25,000 | 25,046 |
| 1.561% 12/10/25 (c) | | 780,000 | 771,633 |
| 2.005% 3/13/26 (c) | | 1,000,000 | 982,751 |
| 2.083% 4/22/26 (c) | | 1,500,000 | 1,471,481 |
| 2.301% 10/15/25 (c) | | 1,130,000 | 1,125,508 |
| 2.595% 2/24/26 (c) | | 1,000,000 | 987,340 |
| 5.546% 12/15/25 (c) | | 1,000,000 | 1,000,189 |
| KeyCorp U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.250% 6.5954% 5/23/25 (c)(d) | | 1,100,000 | 1,102,950 |
| Lloyds Banking Group PLC: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.560% 6.9038% 8/7/27 (c)(d) | | 1,100,000 | 1,113,912 |
| 2.438% 2/5/26 (c) | | 1,350,000 | 1,333,208 |
| 3.511% 3/18/26 (c) | | 1,550,000 | 1,535,653 |
| 4.45% 5/8/25 | | 1,650,000 | 1,643,793 |
| Mitsubishi UFJ Financial Group, Inc.: | | | |
| 1.412% 7/17/25 | | 1,000,000 | 970,577 |
| 2.193% 2/25/25 | | 750,000 | 739,989 |
| 3.777% 3/2/25 | | 422,000 | 419,394 |
| 3.837% 4/17/26 (c) | | 800,000 | 793,225 |
| 5.063% 9/12/25 (c) | | 1,100,000 | 1,099,704 |
| Mizuho Financial Group, Inc.: | | | |
| 2.226% 5/25/26 (c) | | 1,000,000 | 979,423 |
| 2.555% 9/13/25 (c) | | 1,100,000 | 1,099,134 |
| PNC Bank NA 3.25% 6/1/25 | | 650,000 | 641,746 |
| PNC Financial Services Group, Inc.: | | | |
| 5.102% 7/23/27 (c) | | 1,200,000 | 1,210,127 |
| 5.671% 10/28/25 (c) | | 1,530,000 | 1,530,180 |
| Royal Bank of Canada: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.570% 5.92% 4/27/26 (c)(d) | | 1,100,000 | 1,098,988 |
| 1.15% 6/10/25 | | 30,000 | 29,167 |
| 4.95% 4/25/25 | | 30,000 | 30,003 |
| 5.069% 7/23/27 (c) | | 1,500,000 | 1,517,064 |
| Santander Holdings U.S.A., Inc.: | | | |
| 3.45% 6/2/25 | | 1,200,000 | 1,183,403 |
| 4.5% 7/17/25 | | 950,000 | 943,549 |
| Societe Generale: | | | |
| 2.226% 1/21/26 (b)(c) | | 1,000,000 | 987,300 |
| 2.625% 10/16/24 (b) | | 550,000 | 548,032 |
| 2.625% 1/22/25 (b) | | 750,000 | 741,516 |
| The Toronto-Dominion Bank: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.020% 6.3865% 6/6/25 (c)(d) | | 25,000 | 25,123 |
| 1.45% 1/10/25 | | 30,000 | 29,602 |
| 3.766% 6/6/25 | | 30,000 | 29,757 |
| Truist Financial Corp.: | | | |
| 4% 5/1/25 | | 750,000 | 744,354 |
| 4.26% 7/28/26 (c) | | 25,000 | 24,774 |
| U.S. Bancorp: | | | |
| 1.45% 5/12/25 | | 30,000 | 29,317 |
| 5.727% 10/21/26 (c) | | 20,000 | 20,203 |
| Wells Fargo & Co.: | | | |
| 2.164% 2/11/26 (c) | | 1,200,000 | 1,183,587 |
| 2.188% 4/30/26 (c) | | 1,150,000 | 1,127,199 |
| 2.406% 10/30/25 (c) | | 1,000,000 | 994,750 |
| 3% 2/19/25 | | 30,000 | 29,717 |
| 3.908% 4/25/26 (c) | | 1,430,000 | 1,417,656 |
| Wells Fargo Bank NA U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.710% 6.0667% 1/15/26 (c)(d) | | 1,100,000 | 1,102,237 |
| | | | 81,828,906 |
| Capital Markets - 6.4% | | | |
| Athene Global Funding: | | | |
| 1.716% 1/7/25 (b) | | 300,000 | 296,092 |
| 2.5% 1/14/25 (b) | | 1,030,000 | 1,018,716 |
| 4.86% 8/27/26 (b) | | 750,000 | 751,176 |
| Bank of New York Mellon Corp.: | | | |
| 1.6% 4/24/25 | | 30,000 | 29,386 |
| 4.414% 7/24/26 (c) | | 30,000 | 29,862 |
| Bank of New York, New York 5.224% 11/21/25 (c) | | 750,000 | 749,723 |
| Deutsche Bank AG New York Branch: | | | |
| 2.129% 11/24/26 (c) | | 1,000,000 | 963,241 |
| 3.961% 11/26/25 (c) | | 1,000,000 | 995,944 |
| 6.119% 7/14/26 (c) | | 800,000 | 804,818 |
| GA Global Funding Trust 3.85% 4/11/25 (b) | | 250,000 | 247,825 |
| Goldman Sachs Group, Inc.: | | | |
| CME Term SOFR 3 Month Index + 1.430% 6.5497% 5/15/26 (c)(d) | | 1,000,000 | 1,004,737 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.490% 5.8431% 10/21/24 (c)(d) | | 25,000 | 25,002 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.060% 6.4045% 8/10/26 (c)(d) | | 1,500,000 | 1,503,346 |
| 0.855% 2/12/26 (c) | | 1,030,000 | 1,009,375 |
| 3.272% 9/29/25 (c) | | 690,000 | 688,598 |
| Morgan Stanley: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.950% 6.2844% 2/18/26 (c)(d) | | 30,000 | 30,059 |
| 0.864% 10/21/25 (c) | | 450,000 | 447,037 |
| 1.164% 10/21/25 (c) | | 1,500,000 | 1,490,972 |
| 2.188% 4/28/26 (c) | | 1,200,000 | 1,176,485 |
| 4.679% 7/17/26 (c) | | 1,100,000 | 1,095,224 |
| NASDAQ, Inc. 5.65% 6/28/25 | | 750,000 | 753,292 |
| State Street Corp.: | | | |
| 2.354% 11/1/25 (c) | | 1,530,000 | 1,522,085 |
| 2.901% 3/30/26 (c) | | 1,030,000 | 1,016,210 |
| 5.104% 5/18/26 (c) | | 1,000,000 | 1,001,426 |
| UBS Group AG: | | | |
| 1.364% 1/30/27 (b)(c) | | 1,200,000 | 1,141,293 |
| 2.193% 6/5/26 (b)(c) | | 1,200,000 | 1,173,461 |
| 2.593% 9/11/25 (b)(c) | | 1,000,000 | 999,346 |
| 3.75% 3/26/25 | | 1,000,000 | 992,110 |
| 6.373% 7/15/26 (b)(c) | | 1,000,000 | 1,010,404 |
| | | | 23,967,245 |
| Consumer Finance - 4.1% | | | |
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | | | |
| 1.65% 10/29/24 | | 1,000,000 | 993,562 |
| 3.5% 1/15/25 | | 900,000 | 893,571 |
| 6.5% 7/15/25 | | 900,000 | 908,669 |
| Ally Financial, Inc.: | | | |
| 4.625% 3/30/25 | | 450,000 | 447,920 |
| 5.8% 5/1/25 | | 1,000,000 | 1,002,001 |
| American Express Co.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.930% 6.2985% 3/4/25 (c)(d) | | 25,000 | 25,047 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.970% 6.32% 7/28/27 (c)(d) | | 1,500,000 | 1,507,111 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.350% 6.6992% 10/30/26 (c)(d) | | 1,100,000 | 1,108,916 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.760% 6.0987% 2/13/26 (c)(d) | | 1,100,000 | 1,104,163 |
| 2.25% 3/4/25 | | 30,000 | 29,586 |
| 3.95% 8/1/25 | | 30,000 | 29,761 |
| 4.99% 5/1/26 (c) | | 500,000 | 499,465 |
| Capital One Financial Corp.: | | | |
| 2.636% 3/3/26 (c) | | 1,675,000 | 1,651,389 |
| 3.2% 2/5/25 | | 1,025,000 | 1,015,648 |
| Discover Financial Services: | | | |
| 3.75% 3/4/25 | | 1,750,000 | 1,736,321 |
| 3.95% 11/6/24 | | 1,000,000 | 996,772 |
| Ford Motor Credit Co. LLC: | | | |
| 4.389% 1/8/26 | | 435,000 | 429,779 |
| 5.125% 6/16/25 | | 750,000 | 747,990 |
| John Deere Capital Corp. 2.05% 1/9/25 | | 25,000 | 24,730 |
| Toyota Motor Credit Corp. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.890% 6.2233% 5/18/26 (c)(d) | | 25,000 | 25,161 |
| | | | 15,177,562 |
| Financial Services - 1.1% | | | |
| CNH Industrial Capital LLC 3.95% 5/23/25 | | 750,000 | 743,230 |
| Corebridge Financial, Inc. 3.5% 4/4/25 | | 1,025,000 | 1,014,324 |
| DH Europe Finance II SARL 2.2% 11/15/24 | | 30,000 | 29,808 |
| Fiserv, Inc. 3.85% 6/1/25 | | 1,200,000 | 1,188,936 |
| The Western Union Co. 2.85% 1/10/25 | | 1,330,000 | 1,317,914 |
| | | | 4,294,212 |
| Insurance - 0.5% | | | |
| Equitable Financial Life Global Funding 1.1% 11/12/24 (b) | | 525,000 | 520,530 |
| Jackson National Life Global Funding 1.75% 1/12/25 (b) | | 1,200,000 | 1,184,296 |
| Marsh & McLennan Companies, Inc. 3.5% 3/10/25 | | 25,000 | 24,793 |
| Pacific Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 5.9885% 6/4/26 (b)(c)(d) | | 25,000 | 25,017 |
| Principal Life Global Funding II % (b) | | 30,000 | 29,607 |
| TIAA Asset Management Finance LLC 4.125% 11/1/24 (b) | | 30,000 | 29,926 |
| | | | 1,814,169 |
TOTAL FINANCIALS | | | 127,082,094 |
| HEALTH CARE - 2.3% | | | |
| Biotechnology - 0.2% | | | |
| AbbVie, Inc. 2.6% 11/21/24 | | 30,000 | 29,818 |
| Amgen, Inc. 5.25% 3/2/25 | | 500,000 | 500,151 |
| | | | 529,969 |
| Health Care Equipment & Supplies - 0.1% | | | |
| Boston Scientific Corp. 1.9% 6/1/25 | | 400,000 | 391,457 |
| Health Care Providers & Services - 1.4% | | | |
| CVS Health Corp. 4.1% 3/25/25 | | 1,100,000 | 1,094,081 |
| Elevance Health, Inc.: | | | |
| 2.375% 1/15/25 | | 600,000 | 593,556 |
| 3.35% 12/1/24 | | 30,000 | 29,842 |
| HCA Holdings, Inc.: | | | |
| 5.25% 4/15/25 | | 1,450,000 | 1,449,204 |
| 5.375% 2/1/25 | | 2,030,000 | 2,027,233 |
| 5.875% 2/15/26 | | 25,000 | 25,206 |
| Humana, Inc. 3.85% 10/1/24 | | 25,000 | 24,965 |
| | | | 5,244,087 |
| Pharmaceuticals - 0.6% | | | |
| Bristol-Myers Squibb Co. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.490% 5.8213% 2/20/26 (c)(d) | | 30,000 | 30,117 |
| Haleon UK Capital PLC 3.125% 3/24/25 | | 1,050,000 | 1,038,396 |
| Viatris, Inc. 1.65% 6/22/25 | | 1,225,000 | 1,189,935 |
| | | | 2,258,448 |
TOTAL HEALTH CARE | | | 8,423,961 |
| INDUSTRIALS - 1.8% | | | |
| Aerospace & Defense - 0.6% | | | |
| BAE Systems Holdings, Inc. 3.8% 10/7/24 (b) | | 675,000 | 673,835 |
| The Boeing Co. 4.875% 5/1/25 | | 1,441,000 | 1,435,014 |
| | | | 2,108,849 |
| Building Products - 0.3% | | | |
| Carrier Global Corp. 2.242% 2/15/25 | | 1,000,000 | 985,302 |
| Ground Transportation - 0.0% | | | |
| Canadian Pacific Railway Co. 1.35% 12/2/24 | | 30,000 | 29,701 |
| Machinery - 0.2% | | | |
| Caterpillar Financial Services Corp. 2.15% 11/8/24 | | 30,000 | 29,829 |
| Daimler Trucks Finance North America LLC 1.625% 12/13/24 (b) | | 750,000 | 741,765 |
| Parker Hannifin Corp. 3.3% 11/21/24 | | 30,000 | 29,891 |
| | | | 801,485 |
| Trading Companies & Distributors - 0.5% | | | |
| Air Lease Corp.: | | | |
| 2.3% 2/1/25 | | 1,250,000 | 1,233,561 |
| 3.25% 3/1/25 | | 775,000 | 766,959 |
| 4.25% 9/15/24 | | 25,000 | 24,975 |
| | | | 2,025,495 |
| Transportation Infrastructure - 0.2% | | | |
| Avolon Holdings Funding Ltd. 2.125% 2/21/26 (b) | | 1,000,000 | 956,232 |
TOTAL INDUSTRIALS | | | 6,907,064 |
| INFORMATION TECHNOLOGY - 0.7% | | | |
| Semiconductors & Semiconductor Equipment - 0.2% | | | |
| NXP BV/NXP Funding LLC/NXP U.S.A., Inc. 2.7% 5/1/25 | | 1,000,000 | 984,080 |
| Software - 0.5% | | | |
| Oracle Corp.: | | | |
| 2.5% 4/1/25 | | 1,025,000 | 1,009,254 |
| 2.95% 5/15/25 | | 750,000 | 739,255 |
| | | | 1,748,509 |
TOTAL INFORMATION TECHNOLOGY | | | 2,732,589 |
| MATERIALS - 0.3% | | | |
| Chemicals - 0.3% | | | |
| Celanese U.S. Holdings LLC 6.05% 3/15/25 | | 1,175,000 | 1,179,230 |
| Nutrien Ltd. 5.9% 11/7/24 | | 30,000 | 30,021 |
| | | | 1,209,251 |
| REAL ESTATE - 1.7% | | | |
| Equity Real Estate Investment Trusts (REITs) - 1.3% | | | |
| American Tower Corp.: | | | |
| 2.4% 3/15/25 | | 25,000 | 24,603 |
| 2.95% 1/15/25 | | 750,000 | 743,219 |
| 4% 6/1/25 | | 1,450,000 | 1,437,627 |
| Boston Properties, Inc. 3.2% 1/15/25 | | 380,000 | 376,481 |
| Kimco Realty OP, LLC 3.3% 2/1/25 | | 1,000,000 | 991,175 |
| Kite Realty Group Trust 4% 3/15/25 | | 1,100,000 | 1,088,778 |
| Ventas Realty LP 2.65% 1/15/25 | | 25,000 | 24,723 |
| | | | 4,686,606 |
| Real Estate Management & Development - 0.4% | | | |
| Essex Portfolio LP 3.5% 4/1/25 | | 1,500,000 | 1,486,062 |
TOTAL REAL ESTATE | | | 6,172,668 |
| UTILITIES - 2.0% | | | |
| Electric Utilities - 0.7% | | | |
| Edison International 3.55% 11/15/24 | | 20,000 | 19,917 |
| Eversource Energy 3.15% 1/15/25 | | 1,500,000 | 1,487,175 |
| Pacific Gas & Electric Co. 4.95% 6/8/25 | | 1,300,000 | 1,296,128 |
| | | | 2,803,220 |
| Gas Utilities - 0.5% | | | |
| Eastern Energy Gas Holdings LLC 3.6% 12/15/24 | | 1,100,000 | 1,093,978 |
| The East Ohio Gas Co. 1.3% 6/15/25 (b) | | 800,000 | 776,008 |
| | | | 1,869,986 |
| Independent Power and Renewable Electricity Producers - 0.3% | | | |
| Constellation Energy Generation, LLC 3.25% 6/1/25 | | 950,000 | 936,716 |
| Multi-Utilities - 0.5% | | | |
| Berkshire Hathaway Energy Co. 3.5% 2/1/25 | | 20,000 | 19,834 |
| DTE Energy Co.: | | | |
| 1.05% 6/1/25 | | 1,250,000 | 1,213,118 |
| 2.529% 10/1/24 | | 25,000 | 24,936 |
| Sempra 3.3% 4/1/25 | | 550,000 | 543,297 |
| | | | 1,801,185 |
TOTAL UTILITIES | | | 7,411,107 |
| TOTAL NONCONVERTIBLE BONDS (Cost $204,686,701) | | | 205,597,023 |
| | | | |
| U.S. Treasury Obligations - 25.5% |
| | | Principal Amount (a) | Value ($) |
| U.S. Treasury Bills, yield at date of purchase 5.25% to 5.31% 10/3/24 to 1/2/25 | | 44,315,700 | 43,795,895 |
| U.S. Treasury Notes: | | | |
| 4.125% 1/31/25 | | 20,000,000 | 19,933,984 |
| 4.25% 1/31/26 | | 9,400,000 | 9,412,117 |
| 4.75% 7/31/25 | | 22,000,000 | 22,058,094 |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $95,000,417) | | | 95,200,090 |
| | | | |
| Asset-Backed Securities - 15.6% |
| | | Principal Amount (a) | Value ($) |
| Affirm Asset Securitization Trust Series 2024-X1 Class A, 6.27% 5/15/29 (b) | | 106,091 | 106,377 |
| Ally Auto Receivables Trust: | | | |
| Series 2022-2 Class A3, 4.76% 5/17/27 | | 830,174 | 828,440 |
| Series 2024-1 Class A2, 5.32% 1/15/27 | | 20,000 | 20,001 |
| Ares CLO Series 2024-54A Class AR, CME Term SOFR 3 Month Index + 1.270% 6.5714% 10/15/32 (b)(c)(d) | | 347,000 | 347,067 |
| Ari Fleet Lease Trust 2024-B Series 2024-B Class A2, 5.54% 4/15/33 (b) | | 100,000 | 100,928 |
| Bank of America Credit Card Master Trust Series 2022-A1 Class A1, 3.53% 11/15/27 | | 1,510,000 | 1,494,268 |
| BMW Vehicle Lease Trust Series 2024-1 Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.400% 5.7488% 7/27/26 (c)(d) | | 22,936 | 22,943 |
| Bofa Auto Trust 2024-1 Series 2024-1A Class A2, 5.57% 12/15/26 (b) | | 579,000 | 581,066 |
| Capital One Multi-Asset Execution Trust Series 2021-A3 Class A3, 1.04% 11/15/26 | | 25,000 | 24,779 |
| CarMax Auto Owner Trust: | | | |
| Series 2022-2 Class A3, 3.49% 2/16/27 | | 706,881 | 699,802 |
| Series 2022-3 Class A2A, 3.97% 4/15/27 | | 1,220,603 | 1,211,659 |
| Carmax Auto Owner Trust: | | | |
| Series 2024-1 Class A2A, 5.3% 3/15/27 | | 1,035,808 | 1,036,265 |
| Series 2024-2: | | | |
Class A2A, 5.65% 5/17/27 | | 911,000 | 915,388 |
Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.730% 5.9335% 5/17/27 (c)(d) | | 1,500,000 | 1,501,540 |
| Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A2A, 6.08% 12/15/26 | | 723,513 | 726,213 |
| Carmax Auto Owner Trust 2024-3 Series 2024-3 Class A2A, 5.21% 9/15/27 | | 791,000 | 795,069 |
| Carmax Select Receivables Trust Series 2024-A Class A2A, 5.78% 9/15/27 | | 56,000 | 56,232 |
| Chase Auto Owner Trust Series 2024-4A Class A2, 5.25% 9/27/27 (b) | | 896,000 | 899,749 |
| Chase Auto Owner Trust 24-3 Series 2024-3A Class A2, 5.53% 9/27/27 (b) | | 488,000 | 490,564 |
| Chase Issuance Trust Series 2022-A1 Class A, 3.97% 9/15/27 | | 1,500,000 | 1,488,605 |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/35 (b) | | 1,027,366 | 1,042,249 |
| Citizens Auto Receivables Trust Series 2024-1 Class A2A, 5.43% 10/15/26 (b) | | 877,875 | 878,271 |
| Daimler Trucks Retail Trust 20 Series 2024-1 Class A2, 5.6% 4/15/26 | | 1,500,000 | 1,502,990 |
| Dell Equipment Finance Trust Series 2023-1 Class A3, 5.65% 9/22/28 (b) | | 1,500,000 | 1,504,597 |
| Discover Card Execution Note Trust: | | | |
| Series 2021-A1 Class A1, 0.58% 9/15/26 | | 25,000 | 24,949 |
| Series 2022-A2 Class A, 3.32% 5/15/27 | | 1,500,000 | 1,482,390 |
| DLLAD Series 2024-1A Class A2, 5.5% 8/20/27 (b) | | 375,000 | 377,456 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/26 (b) | | 171,000 | 172,592 |
| Enterprise Fleet Financing 202 Series 2024-3 Class A2, 5.31% 4/20/27 (b) | | 663,000 | 667,560 |
| Flatiron Clo 28 Ltd. / Flatiron Series 2024-1A Class A1, CME Term SOFR 3 Month Index + 1.320% 6.5866% 7/15/36 (b)(c)(d) | | 1,038,000 | 1,041,725 |
| Ford Credit Auto Owner Trust: | | | |
| Series 2018-1 Class A, 3.19% 7/15/31 (b) | | 1,200,000 | 1,190,632 |
| Series 2020-1: | | | |
Class A, 2.04% 8/15/31 (b) | | 1,000,000 | 985,476 |
Class B, 2.29% 8/15/31 (b) | | 1,000,000 | 985,657 |
| Series 2020-2: | | | |
Class A, 1.06% 4/15/33 (b) | | 1,200,000 | 1,150,178 |
Class B, 1.49% 4/15/33 (b) | | 900,000 | 864,398 |
| Series 2023-A Class A3, 4.65% 2/15/28 | | 1,157,000 | 1,155,722 |
| Ford Credit Floorplan Master Owner Trust Series 2020-2 Class A, 1.06% 9/15/27 | | 25,000 | 24,061 |
| FORDO Series 2024-B Class A2A, 5.4% 4/15/27 | | 765,000 | 769,337 |
| GM Financial Automobile Leasing Trust: | | | |
| Series 2023-1 Class A3, 5.16% 4/20/26 | | 21,987 | 21,974 |
| Series 2024-2 Class A2A, 5.43% 9/21/26 | | 942,000 | 946,811 |
| GM Financial Consumer Automobile Receivables Trust: | | | |
| Series 2021-2 Class C, 1.28% 1/19/27 | | 25,000 | 24,239 |
| Series 2021-4 Class A3, 0.68% 9/16/26 | | 950,373 | 932,989 |
| Series 2022-2 Class A3, 3.1% 2/16/27 | | 16,237 | 16,038 |
| Series 2022-4 Class A3, 4.82% 8/16/27 | | 34,555 | 34,513 |
| GM Financial Leasing Trust Series 2024-1 Class A2A, 5.18% 6/22/26 | | 1,451,108 | 1,451,797 |
| Honda Auto Receivables 2024-2 Series 2024-2 Class A2, 5.48% 11/18/26 | | 883,000 | 887,137 |
| HPEFS Equipment Trust Series 2024-2A Class A2, 5.5% 10/20/31 (b) | | 534,000 | 537,023 |
| Hyundai Auto Lease Securitizat: | | | |
| Series 2023-B Class A3, 5.15% 6/15/26 (b) | | 1,000,000 | 1,000,099 |
| Series 2024-B Class A2A, 5.51% 10/15/26 (b) | | 881,000 | 885,099 |
| Hyundai Auto Receivables Trust: | | | |
| Series 2022-B Class A3, 3.72% 11/16/26 | | 18,445 | 18,291 |
| Series 2024-A Class A2A, 5.29% 4/15/27 | | 12,000 | 12,016 |
| John Deere Owner Trust Series 2024-A Class A2A, 5.19% 2/16/27 | | 20,000 | 20,030 |
| Juniper Valley Park CLO LLC Series 2024-1A Class AR, CME Term SOFR 3 Month Index + 1.250% 6.532% 7/20/36 (b)(c)(d) | | 1,419,000 | 1,419,559 |
| Kubota Credit Owner Trust Series 2024-2A Class A2, 5.45% 4/15/27 (b) | | 330,000 | 332,725 |
| Magnetite Xxii Ltd. / Magnetite Series 2024-22A Class ARR, CME Term SOFR 3 Month Index + 1.250% 6.5258% 7/15/36 (b)(c)(d) | | 892,000 | 892,557 |
| Marlette Funding Trust 2024-1 Series 2024-1A Class A, 5.95% 7/17/34 (b) | | 80,819 | 81,102 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A2A, 5.44% 2/16/27 | | 1,104,000 | 1,110,217 |
| Mercedes-Benz Auto Receivables: | | | |
| Series 2022-1, Class A3, 5.21% 8/16/27 | | 1,011,837 | 1,013,934 |
| Series 2023-1 Class A3, 4.51% 11/15/27 | | 800,000 | 797,534 |
| Neuberger Berman Ln Advisers N Series 2024-50A Class AR, CME Term SOFR 3 Month Index + 1.250% 6.533% 7/23/36 (b)(c)(d) | | 1,500,000 | 1,500,750 |
| Palmer Square Loan Funding 202 Series 2024-3A Class A1, CME Term SOFR 3 Month Index + 1.080% 6.4166% 8/8/32 (b)(c)(d) | | 578,000 | 578,136 |
| Santander Drive Auto Receivabl Series 2024-3 Class A2, 5.91% 6/15/27 | | 814,000 | 816,626 |
| Sbna Auto Lease Trust Series 2024-B Class A2, 5.67% 11/20/26 (b) | | 662,000 | 664,269 |
| Sfs Auto Receivables Securitization Trust: | | | |
| Series 2024-1A Class A2, 5.35% 6/21/27 (b) | | 18,292 | 18,294 |
| Series 2024-2A Class A2, 5.71% 10/20/27 (b) | | 928,000 | 931,789 |
| Tesla Series 2024-A Class A2A, 5.37% 6/22/26 (b) | | 984 | 984 |
| Tesla Auto Lease Trust 2023-B Series 2023-B Class A3, 6.13% 9/21/26 (b) | | 25,000 | 25,221 |
| Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (b) | | 25,000 | 25,086 |
| Tesla Electric Vehicle Trust 2023-1 Series 2023-1 Class A2A, 5.54% 12/21/26 (b) | | 783,294 | 784,207 |
| Toyota Auto Receivables 2024-B Series 2024-B Class A2A, 5.41% 3/15/27 | | 1,014,000 | 1,016,461 |
| Toyota Auto Receivables Owner Trust: | | | |
| Series 2022-C Class A3, 3.76% 4/15/27 | | 294,814 | 292,441 |
| Series 2023-A Class A3, 4.63% 9/15/27 | | 715,000 | 713,910 |
| Toyota Lease Owner Trust Series 2023 A Class A3, 4.93% 4/20/26 (b) | | 1,000,000 | 998,673 |
| Toyota Lease Owner Trust 2023- Series 2023-B Class A3, 5.66% 11/20/26 (b) | | 1,500,000 | 1,516,710 |
| Verizon Master Trust Series 2022-4 Class A, 3.4% 11/20/28 (c) | | 25,000 | 24,714 |
| Volkswagen Auto Lease Trust 20 Series 2023-A Class A2A, 5.87% 1/20/26 | | 724,799 | 725,721 |
| Volkswagen Auto Lease Trust 2024- Series 2024-A Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.470% 5.8208% 12/21/26 (c)(d) | | 1,500,000 | 1,501,278 |
| Voya Clo 2022-1 Ltd. / Voya Clo Series 2024-1A Class A1R, CME Term SOFR 3 Month Index + 1.250% 0% 4/20/35 (b)(c)(d) | | 696,000 | 696,000 |
| Wheels Fleet Lease Funding 1 L: | | | |
| Series 2024-1A Class A2, 6.1716% 2/18/39 (b)(c) | | 1,038,000 | 1,039,325 |
| Series 2024-2A Class A2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.080% 5.77% 6/21/39 (b)(c)(d) | | 459,000 | 459,413 |
| World Omni Auto Receivables Trust Series 2024-B Class A2A, 5.48% 9/15/27 | | 798,000 | 801,266 |
| World Omni Automobile Lease Se Series 2024-A: | | | |
| Class A2A, 5.32% 2/16/27 | | 11,000 | 11,047 |
| Class A2B, 5.7835% 2/16/27 (c) | | 744,000 | 744,385 |
| World Omni Select Auto Trust 2024 Series 2024-A Class A2A, 5.37% 2/15/28 | | 839,000 | 842,091 |
| TOTAL ASSET-BACKED SECURITIES (Cost $58,094,007) | | | 58,331,676 |
| | | | |
| Collateralized Mortgage Obligations - 0.0% |
| | | Principal Amount (a) | Value ($) |
| Private Sponsor - 0.0% | | | |
Cfmt LLC floater sequential payer Series 2024-HB13 Class A, 3% 5/25/34 (b)(c) (Cost $127,654) | | 133,768 | 127,925 |
| | | | |
| Commercial Mortgage Securities - 2.8% |
| | | Principal Amount (a) | Value ($) |
| BANK Trust sequential payer Series 2017-BNK5 Class ASB, 3.179% 6/15/60 | | 92,146 | 90,022 |
| Benchmark Mortgage Trust sequential payer Series 2018-B2 Class ASB, 3.7802% 2/15/51 | | 152,655 | 150,191 |
| BLP Commercial Mortgage Trust sequential payer Series 2024-IND2 Class A, CME Term SOFR 1 Month Index + 1.340% 6.679% 3/15/41 (b)(c)(d) | | 135,000 | 134,325 |
| BMP floater Series 2024-MF23 Class A, CME Term SOFR 1 Month Index + 1.370% 6.7088% 6/15/41 (b)(c)(d) | | 211,000 | 210,143 |
| BX Commercial Mortgage Trust: | | | |
| floater: | | | |
Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 6.3498% 2/15/39 (b)(c)(d) | | 1,366,624 | 1,353,812 |
Series 2023-XL3 Class A, CME Term SOFR 1 Month Index + 1.760% 7.0983% 12/9/40 (b)(c)(d) | | 87,508 | 87,727 |
| floater sequential payer: | | | |
Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.1215% 6/15/38 (b)(c)(d) | | 1,139,759 | 1,127,293 |
Series 2024-XL5 Class A, CME Term SOFR 1 Month Index + 1.390% 6.7285% 3/15/41 (b)(c)(d) | | 703,893 | 701,694 |
| BX Commercial Mortgage Trust 2024-Xl4 floater sequential payer Series 2024-XL4 Class A, CME Term SOFR 1 Month Index + 1.440% 6.7789% 2/15/39 (b)(c)(d) | | 306,322 | 305,939 |
| BX Commercial Mtg Trust floater Series 2024-MDHS Class A, 6.9782% 5/15/41 (b)(c) | | 467,302 | 466,427 |
| BX Trust: | | | |
| floater Series 2024-CNYN Class A, CME Term SOFR 1 Month Index + 1.440% 6.7788% 4/15/41 (b)(c)(d) | | 467,832 | 465,780 |
| floater sequential payer Series 2021-MFM1 Class A, CME Term SOFR 1 Month Index + 0.810% 6.1515% 1/15/34 (b)(c)(d) | | 30,169 | 29,924 |
| CD Mortgage Trust sequential payer Series 2017-CD4 Class ASB, 3.317% 5/10/50 | | 63,134 | 61,937 |
| Citigroup Commercial Mortgage Trust sequential payer Series 2017-P7 Class AAB, 3.509% 4/14/50 | | 20,896 | 20,555 |
| COMM Mortgage Trust sequential payer: | | | |
| Series 2015-CR22 Class ASB, 3.144% 3/10/48 | | 9,753 | 9,733 |
| Series 2015-CR27 Class ASB, 3.404% 10/10/48 | | 49,907 | 49,403 |
| Series 2015-LC21 Class ASB, 3.421% 7/10/48 | | 56,778 | 56,484 |
| CSAIL Commercial Mortgage Trust sequential payer: | | | |
| Series 2016-C7 Class ASB, 3.3143% 11/15/49 | | 55,212 | 54,604 |
| Series 2017-CX10 Class ASB, 3.3269% 11/15/50 | | 58,187 | 57,153 |
| DBJPM Mortgage Trust sequential payer Series 2017-C6 Class ASB, 3.121% 6/10/50 | | 111,258 | 108,816 |
| DBJPM Trust sequential payer Series 2016-C1 Class ASB, 3.038% 5/10/49 | | 170,089 | 167,444 |
| GS Mortgage Securities Trust sequential payer: | | | |
| Series 2015-GC32 Class AAB, 3.513% 7/10/48 | | 14,326 | 14,225 |
| Series 2017-GS7 Class AAB, 3.203% 8/10/50 | | 573,929 | 562,322 |
| Series 2017-GS8 Class AAB, 3.313% 11/10/50 | | 70,171 | 68,709 |
| JPMBB Commercial Mortgage Securities Trust sequential payer Series 2015-C28 Class ASB, 3.042% 10/15/48 | | 86,073 | 85,646 |
| JPMDB Commercial Mortgage Securities Trust sequential payer Series 2016-C4 Class ASB, 2.9941% 12/15/49 | | 32,409 | 31,668 |
| Morgan Stanley BAML Trust: | | | |
| sequential payer Series 2015-C23 Class ASB, 3.398% 7/15/50 | | 35,115 | 34,923 |
| Series 2015-C21 Class ASB, 3.15% 3/15/48 | | 10,289 | 10,238 |
| Series 2015-C22 Class ASB, 3.04% 4/15/48 | | 8,045 | 8,045 |
| Morgan Stanley Bank of America Merrill Lynch Trust sequential payer Series 2017-C34 Class ASB, 3.354% 11/15/52 | | 160,021 | 156,589 |
| Morgan Stanley Capital I Trust sequential payer Series 2015-UBS8 Class ASB, 3.626% 12/15/48 | | 112,469 | 111,449 |
| Open Trust 2023-Air sequential payer Series 2023-AIR Class A, CME Term SOFR 1 Month Index + 3.080% 8.426% 10/15/28 (b)(c)(d) | | 89,859 | 90,645 |
| SREIT Trust floater Series 2021-FLWR Class A, CME Term SOFR 1 Month Index + 0.690% 6.028% 7/15/36 (b)(c)(d) | | 700,000 | 692,071 |
| Ubs Commercial Mortgage Trust sequential payer Series 2017-C4 Class ASB, 3.366% 10/15/50 | | 118,382 | 115,992 |
| UBS Commercial Mortgage Trust sequential payer: | | | |
| Series 2017-C5 Class ASB, 3.345% 11/15/50 | | 15,680 | 15,321 |
| Series 2017-C7 Class ASB, 3.586% 12/15/50 | | 268,760 | 263,441 |
| Wells Fargo Commercial Mortgage Trust: | | | |
| floater Series 2016-C32 Class A3FL, CME Term SOFR 1 Month Index + 1.530% 6.8731% 1/15/59 (c)(d) | | 598,629 | 600,933 |
| sequential payer: | | | |
Series 2015-C28 Class A3, 3.29% 5/15/48 | | 438,846 | 433,053 |
Series 2015-C29 Class ASB, 3.4% 6/15/48 | | 38,408 | 38,183 |
Series 2015-C30 Class ASB, 3.412% 9/15/58 | | 11,758 | 11,675 |
Series 2015-LC22 Class ASB, 3.571% 9/15/58 | | 726,098 | 720,091 |
Series 2016-BNK1 Class ASB, 2.514% 8/15/49 | | 204,902 | 201,260 |
Series 2016-C32 Class ASB, 3.324% 1/15/59 | | 115,436 | 114,464 |
Series 2016-LC24 Class ASB, 2.825% 10/15/49 | | 58,311 | 57,219 |
Series 2016-LC25 Class ASB, 3.486% 12/15/59 | | 177,564 | 175,149 |
Series 2017-C38 Class ASB, 3.261% 7/15/50 | | 53,275 | 52,333 |
Series 2017-C42 Class ASB, 3.488% 12/15/50 | | 58,293 | 57,323 |
| TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $10,419,026) | | | 10,432,373 |
| | | | |
| Bank Notes - 0.2% |
| | | Principal Amount (a) | Value ($) |
Truist Bank 2.15% 12/6/24 (Cost $990,938) | | 1,000,000 | 991,852 |
| | | | |
| Money Market Funds - 0.3% |
| | | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (e) (Cost $1,031,485) | | 1,031,279 | 1,031,485 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 99.4% (Cost $370,350,228) | 371,712,424 |
NET OTHER ASSETS (LIABILITIES) - 0.6% | 2,118,397 |
| NET ASSETS - 100.0% | 373,830,821 |
| | |
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $69,370,555 or 18.6% of net assets. |
| (c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (d) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | - | 171,272,104 | 170,240,646 | 667,264 | 27 | - | 1,031,485 | 0.0% |
| Total | - | 171,272,104 | 170,240,646 | 667,264 | 27 | - | 1,031,485 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Corporate Bonds | 205,597,023 | - | 205,597,023 | - |
|
| U.S. Government and Government Agency Obligations | 95,200,090 | - | 95,200,090 | - |
|
| Asset-Backed Securities | 58,331,676 | - | 58,331,676 | - |
|
| Collateralized Mortgage Obligations | 127,925 | - | 127,925 | - |
|
| Commercial Mortgage Securities | 10,432,373 | - | 10,432,373 | - |
|
| Bank Notes | 991,852 | - | 991,852 | - |
|
| Money Market Funds | 1,031,485 | 1,031,485 | - | - |
| Total Investments in Securities: | 371,712,424 | 1,031,485 | 370,680,939 | - |
Fidelity® Low Duration Bond ETF
Financial Statements
| Statement of Assets and Liabilities |
As of August 31, 2024 |
| Assets | | | | |
| Investment in securities, at value - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $369,318,743) | $ | 370,680,939 | | |
Fidelity Central Funds (cost $1,031,485) | | 1,031,485 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $370,350,228) | | | $ | 371,712,424 |
| Cash | | | | 15,105 |
| Receivable for investments sold | | | | 2,243,542 |
| Interest receivable | | | | 2,184,288 |
| Distributions receivable from Fidelity Central Funds | | | | 7,955 |
Total assets | | | | 376,163,314 |
| Liabilities | | | | |
| Payable for investments purchased | $ | 695,999 | | |
| Distributions payable | | 1,574,100 | | |
| Accrued management fee | | 62,394 | | |
| Total liabilities | | | | 2,332,493 |
| Net Assets | | | $ | 373,830,821 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 372,200,440 |
| Total accumulated earnings (loss) | | | | 1,630,381 |
| Net Assets | | | $ | 373,830,821 |
Net Asset Value, offering price and redemption price per share ($373,830,821 ÷ 7,425,000 shares) | | | $ | 50.35 |
| Statement of Operations |
| For the period February 22, 2024 (commencement of operations) through August 31, 2024 |
| Investment Income | | | | |
| Interest | | | $ | 6,939,305 |
| Income from Fidelity Central Funds | | | | 667,264 |
| Total income | | | | 7,606,569 |
| Expenses | | | | |
| Management fee | $ | 289,923 | | |
| Independent trustees' fees and expenses | | 272 | | |
| Total expenses before reductions | | 290,195 | | |
| Expense reductions | | (661) | | |
| Total expenses after reductions | | | | 289,534 |
| Net Investment income (loss) | | | | 7,317,035 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 31,698 | | |
| Fidelity Central Funds | | 27 | | |
| Total net realized gain (loss) | | | | 31,725 |
| Change in net unrealized appreciation (depreciation) on investment securities | | | | 1,362,196 |
| Net gain (loss) | | | | 1,393,921 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 8,710,956 |
| Statement of Changes in Net Assets |
| |
| | For the period February 22, 2024 (commencement of operations) through August 31, 2024 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $ | 7,317,035 |
| Net realized gain (loss) | | 31,725 |
| Change in net unrealized appreciation (depreciation) | | 1,362,196 |
| Net increase (decrease) in net assets resulting from operations | | 8,710,956 |
| Distributions to shareholders | | (7,080,575) |
| | | |
| Share transactions | | |
| Proceeds from sales of shares | | 372,200,440 |
| | | |
Net increase (decrease) in net assets resulting from share transactions | | 372,200,440 |
| Total increase (decrease) in net assets | | 373,830,821 |
| | | |
| Net Assets | | |
| Beginning of period | | - |
| End of period | $ | 373,830,821 |
| | | |
| Other Information | | |
| Shares | | |
| Sold | | 7,425,000 |
| Net increase (decrease) | | 7,425,000 |
| | | |
Financial Highlights
Fidelity® Low Duration Bond ETF |
| |
| Years ended August 31, | | 2024 A |
Selected Per-Share Data | | |
| Net asset value, beginning of period | $ | 50.00 |
| Income from Investment Operations | | |
Net investment income (loss) B,C | | 1.305 |
| Net realized and unrealized gain (loss) | | .190 |
| Total from investment operations | | 1.495 |
| Distributions from net investment income | | (1.145) |
| Total distributions | | (1.145) |
| Net asset value, end of period | $ | 50.35 |
Total Return D,E,F | | |
Ratios to Average Net Assets C,G,H | | |
| Expenses before reductions | | .20% I |
| Expenses net of fee waivers, if any | | |
| Expenses net of all reductions | | .20% I |
| Net investment income (loss) | | 5.00% I |
| Supplemental Data | | |
| Net assets, end of period (000 omitted) | $ | 373,831 |
Portfolio turnover rate J,K | | |
AFor the period February 22, 2024 (commencement of operations) through August 31, 2024.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FBased on net asset value.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
KPortfolio turnover rate excludes securities received or delivered in-kind.
Fidelity® Low Duration Bond Factor ETF
Schedule of Investments August 31, 2024
Showing Percentage of Net Assets
| Nonconvertible Bonds - 86.5% |
| | | Principal Amount (a) | Value ($) |
| COMMUNICATION SERVICES - 0.8% | | | |
| Diversified Telecommunication Services - 0.8% | | | |
| Verizon Communications, Inc.: | | | |
| CME Term SOFR 3 Month Index + 1.360% 6.4797% 5/15/25 (b)(c) | | 2,713,000 | 2,726,971 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.790% 6.1536% 3/20/26 (b)(c) | | 1,380,000 | 1,385,341 |
| | | | 4,112,312 |
| CONSUMER DISCRETIONARY - 7.9% | | | |
| Automobiles - 7.9% | | | |
| American Honda Finance Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.780% 6.1326% 4/23/25 (b)(c) | | 800,000 | 802,182 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.790% 6.1505% 10/3/25 (b)(c) | | 1,800,000 | 1,807,903 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.710% 6.0676% 7/9/27 (b)(c) | | 1,400,000 | 1,398,138 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.710% 6.0678% 1/9/26 (b)(c) | | 900,000 | 901,999 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.770% 6.1344% 3/12/27 (b)(c) | | 1,600,000 | 1,601,867 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.920% 6.2769% 1/12/26 (b)(c) | | 900,000 | 905,479 |
| BMW U.S. Capital LLC: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.620% 5.9595% 8/11/25 (b)(c)(d) | | 700,000 | 700,817 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.800% 6.1387% 8/13/26 (b)(c)(d) | | 3,500,000 | 3,518,935 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.840% 6.2017% 4/1/25 (b)(c)(d) | | 6,900,000 | 6,915,798 |
| General Motors Financial Co., Inc.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.300% 6.6584% 4/7/25 (b)(c) | | 1,580,000 | 1,586,952 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.350% 6.6901% 5/8/27 (b)(c) | | 1,400,000 | 1,410,454 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 5.9767% 10/15/24 (b)(c) | | 620,000 | 620,206 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.040% 6.3763% 2/26/27 (b)(c) | | 2,200,000 | 2,199,804 |
| Hyundai Capital America: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.040% 6.4026% 6/24/27 (b)(c)(d) | | 900,000 | 902,088 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.040% 6.4036% 3/19/27 (b)(c)(d) | | 1,300,000 | 1,303,407 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.320% 6.6643% 11/3/25 (b)(c)(d) | | 5,500,000 | 5,535,811 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.500% 6.8601% 1/8/27 (b)(c)(d) | | 900,000 | 911,365 |
| Mercedes-Benz Finance North America LLC: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.570% 5.9173% 8/1/25 (b)(c)(d) | | 1,300,000 | 1,300,854 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.630% 5.9778% 7/31/26 (b)(c)(d) | | 2,600,000 | 2,603,936 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.670% 6.0288% 1/9/26 (b)(c)(d) | | 1,500,000 | 1,500,406 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.930% 6.2907% 3/30/25 (b)(c)(d) | | 300,000 | 301,120 |
| Volkswagen Group of America Finance LLC: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.830% 6.1936% 3/20/26 (b)(c)(d) | | 1,900,000 | 1,900,542 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.930% 6.2944% 9/12/25 (b)(c)(d) | | 600,000 | 601,860 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.060% 6.395% 8/14/26 (b)(c)(d) | | 1,491,000 | 1,498,610 |
| | | | 42,730,533 |
| CONSUMER STAPLES - 0.8% | | | |
| Beverages - 0.8% | | | |
| Keurig Dr. Pepper, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.880% 6.2438% 3/15/27 (b)(c) | | 1,000,000 | 1,005,261 |
| PepsiCo Singapore Financing I Pte. Ltd. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.560% 5.8939% 2/16/27 (b)(c) | | 800,000 | 802,082 |
| PepsiCo, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.400% 5.7387% 2/13/26 (b)(c) | | 2,400,000 | 2,406,829 |
| | | | 4,214,172 |
| ENERGY - 0.2% | | | |
| Oil, Gas & Consumable Fuels - 0.2% | | | |
| TransCanada PipeLines Ltd. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.520% 6.8858% 3/9/26 (b)(c) | | 1,000,000 | 1,000,394 |
| FINANCIALS - 70.8% | | | |
| Banks - 47.0% | | | |
| ABN AMRO Bank NV U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.780% 7.1437% 9/18/27 (b)(c)(d) | | 1,500,000 | 1,523,107 |
| ANZ New Zealand International Ltd. London Branch U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.600% 5.9334% 2/18/25 (b)(c)(d) | | 700,000 | 700,872 |
| Australia & New Zealand Banking Group Ltd.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.640% 6.0005% 10/3/25 (b)(c)(d) | | 1,900,000 | 1,904,844 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.680% 6.0362% 7/16/27 (b)(c)(d) | | 3,100,000 | 3,101,956 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.750% 6.1105% 7/3/25 (b)(c)(d) | | 1,000,000 | 1,003,778 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.810% 6.1645% 1/18/27 (b)(c)(d) | | 4,900,000 | 4,919,749 |
| Banco Santander SA: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.120% 6.4758% 7/15/28 (b)(c) | | 2,000,000 | 2,000,000 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.380% 6.7439% 3/14/28 (b)(c) | | 1,800,000 | 1,810,085 |
| Bank of America Corp.: | | | |
| CME Term SOFR 3 Month Index + 1.020% 6.3608% 9/15/26 (b)(c) | | 2,000,000 | 2,013,197 |
| CME Term SOFR 3 Month Index + 1.030% 6.2737% 2/5/26 (b)(c) | | 3,521,000 | 3,528,017 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.970% 6.3223% 7/22/27 (b)(c) | | 1,000,000 | 1,004,708 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.050% 6.3943% 2/4/28 (b)(c) | | 300,000 | 301,640 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.330% 6.6904% 4/2/26 (b)(c) | | 3,000,000 | 3,017,879 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.350% 6.7152% 9/15/27 (b)(c) | | 2,400,000 | 2,428,452 |
| Bank of America NA: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.780% 6.1144% 8/18/25 (b)(c) | | 600,000 | 601,364 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.020% 6.3534% 8/18/26 (b)(c) | | 1,900,000 | 1,915,175 |
| Bank of Montreal: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.460% 5.8226% 1/10/25 (b)(c) | | 720,000 | 720,423 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.620% 5.9838% 9/15/26 (b)(c) | | 1,220,000 | 1,218,117 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.710% 6.0744% 12/12/24 (b)(c) | | 1,400,000 | 1,401,650 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.760% 6.1285% 6/4/27 (b)(c) | | 2,400,000 | 2,400,000 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.950% 6.3124% 9/25/25 (b)(c) | | 120,000 | 120,684 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.060% 6.4261% 6/7/25 (b)(c) | | 2,300,000 | 2,311,631 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.330% 6.6971% 6/5/26 (b)(c) | | 900,000 | 910,220 |
| Bank of New Zealand U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.810% 6.16% 1/27/27 (b)(c)(d) | | 350,000 | 350,481 |
| Bank of Nova Scotia: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.540% 5.9133% 3/2/26 (b)(c) | | 2,559,000 | 2,557,938 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.900% 6.2575% 4/11/25 (b)(c) | | 1,100,000 | 1,103,836 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.080% 6.1456% 8/1/29 (b)(c) | | 1,500,000 | 1,501,889 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.090% 6.4544% 6/12/25 (b)(c) | | 600,000 | 603,850 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.460% 5.8176% 1/10/25 (b)(c) | | 1,000,000 | 1,000,361 |
| Banque Federative du Credit Mutuel SA: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.070% 6.4039% 2/16/28 (b)(c)(d) | | 1,800,000 | 1,802,896 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.400% 6.7567% 7/13/26 (b)(c)(d) | | 800,000 | 809,942 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.130% 6.4826% 1/23/27 (b)(c)(d) | | 1,000,000 | 1,002,495 |
| Barclays PLC: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.490% 6.8544% 3/12/28 (b)(c) | | 3,100,000 | 3,123,228 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.880% 7.2441% 9/13/27 (b)(c) | | 800,000 | 813,051 |
| BPCE SA: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.980% 7.3338% 10/19/27 (b)(c)(d) | | 900,000 | 914,130 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.960% 6.3219% 9/25/25 (b)(c)(d) | | 3,000,000 | 3,009,395 |
| Canadian Imperial Bank of Commerce: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.420% 5.7744% 10/18/24 (b)(c) | | 1,390,000 | 1,390,368 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.940% 6.2984% 4/7/25 (b)(c) | | 4,240,000 | 4,253,460 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.940% 6.3022% 6/28/27 (b)(c) | | 1,800,000 | 1,803,740 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.220% 6.5813% 10/2/26 (b)(c) | | 500,000 | 504,816 |
| Citibank NA: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.590% 5.9392% 4/30/26 (b)(c) | | 3,000,000 | 3,001,122 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.060% 6.4285% 12/4/26 (b)(c) | | 600,000 | 606,717 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.800% 6.1672% 9/29/25 (b)(c) | | 5,900,000 | 5,921,889 |
| Citigroup, Inc.: | | | |
| CME Term SOFR 3 Month Index + 1.510% 6.8432% 7/1/26 (b)(c) | | 1,790,000 | 1,802,586 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 6.045% 1/25/26 (b)(c) | | 3,340,000 | 3,342,671 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.770% 6.1358% 6/9/27 (b)(c) | | 3,600,000 | 3,600,140 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.280% 6.6184% 2/24/28 (b)(c) | | 1,200,000 | 1,209,313 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.520% 6.8932% 3/17/26 (b)(c) | | 1,100,000 | 1,105,190 |
| Commonwealth Bank of Australia: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.400% 5.7584% 7/7/25 (b)(c)(d) | | 2,700,000 | 2,701,840 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.520% 5.8838% 6/15/26 (b)(c)(d) | | 2,310,000 | 2,307,519 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.630% 5.9879% 1/10/25 (b)(c)(d) | | 1,000,000 | 1,001,100 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.630% 5.9944% 9/12/25 (b)(c)(d) | | 1,000,000 | 1,002,310 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.740% 6.1039% 3/14/25 (b)(c)(d) | | 1,300,000 | 1,303,524 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.750% 6.1141% 3/13/26 (b)(c)(d) | | 1,200,000 | 1,204,605 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.970% 6.3339% 3/14/27 (b)(c)(d) | | 800,000 | 807,028 |
| Cooperatieve Rabobank UA/NY: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.380% 5.7376% 1/10/25 (b)(c) | | 930,000 | 930,340 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.700% 6.0544% 7/18/25 (b)(c) | | 2,500,000 | 2,507,550 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.710% 6.0678% 1/9/26 (b)(c) | | 2,800,000 | 2,809,645 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.710% 6.0771% 3/5/27 (b)(c) | | 2,200,000 | 2,205,148 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.900% 6.259% 10/5/26 (b)(c) | | 1,900,000 | 1,908,265 |
| Credit Agricole SA: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.870% 6.2354% 3/11/27 (b)(c)(d) | | 1,500,000 | 1,503,286 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.290% 6.649% 7/5/26 (b)(c)(d) | | 2,000,000 | 2,022,480 |
| HSBC Holdings PLC: | | | |
| CME Term SOFR 3 Month Index + 1.640% 6.9848% 9/12/26 (b)(c) | | 500,000 | 504,920 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.430% 6.7943% 3/10/26 (b)(c) | | 1,900,000 | 1,907,399 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.570% 6.9062% 8/14/27 (b)(c) | | 1,800,000 | 1,827,342 |
| HSBC U.S.A., Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.960% 6.3279% 3/4/27 (b)(c) | | 3,500,000 | 3,513,079 |
| ING Groep NV: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.010% 6.3708% 4/1/27 (b)(c) | | 200,000 | 200,210 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.640% 7.0022% 3/28/26 (b)(c) | | 1,600,000 | 1,609,809 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.560% 6.9254% 9/11/27 (b)(c) | | 2,500,000 | 2,533,929 |
| JPMorgan Chase & Co.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.600% 5.9658% 12/10/25 (b)(c) | | 1,950,000 | 1,951,114 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.760% 6.1276% 9/22/27 (b)(c) | | 1,400,000 | 1,402,618 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.880% 6.2381% 4/22/27 (b)(c) | | 1,000,000 | 1,004,003 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.920% 6.2563% 2/24/26 (b)(c) | | 5,300,000 | 5,309,646 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.920% 6.2731% 4/22/28 (b)(c) | | 1,800,000 | 1,803,107 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.930% 6.2831% 7/22/28 (b)(c) | | 2,400,000 | 2,403,859 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.180% 6.5163% 2/24/28 (b)(c) | | 700,000 | 705,559 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.200% 6.5526% 1/23/28 (b)(c) | | 2,600,000 | 2,619,871 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.320% 6.6705% 4/26/26 (b)(c) | | 1,900,000 | 1,909,554 |
| JPMorgan Chase Bank U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 6.3658% 12/8/26 (b)(c) | | 1,700,000 | 1,723,986 |
| Lloyds Banking Group PLC: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.560% 6.9038% 8/7/27 (b)(c) | | 1,500,000 | 1,518,971 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.580% 6.94% 1/5/28 (b)(c) | | 900,000 | 911,568 |
| Mitsubishi UFJ Financial Group, Inc.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.940% 6.2698% 2/20/26 (b)(c) | | 1,600,000 | 1,602,897 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.380% 6.7494% 9/12/25 (b)(c) | | 3,100,000 | 3,100,874 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.440% 6.7953% 4/17/26 (b)(c) | | 1,100,000 | 1,106,427 |
| Mizuho Financial Group, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.960% 6.2871% 5/22/26 (b)(c) | | 2,200,000 | 2,207,331 |
| Morgan Stanley Bank, West Valley City Utah: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.780% 6.1356% 7/16/25 (b)(c) | | 1,800,000 | 1,806,064 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.940% 6.2931% 7/14/28 (b)(c) | | 3,800,000 | 3,807,566 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.080% 6.4367% 1/14/28 (b)(c) | | 1,800,000 | 1,809,842 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.160% 6.5155% 10/30/26 (b)(c) | | 600,000 | 607,436 |
| National Australia Bank Ltd.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 5.9854% 6/11/27 (b)(c)(d) | | 6,900,000 | 6,895,792 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 6.0071% 1/12/27 (b)(c)(d) | | 900,000 | 900,561 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 6.0158% 12/10/25 (b)(c)(d) | | 2,500,000 | 2,506,475 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.760% 6.0987% 5/13/25 (b)(c)(d) | | 4,900,000 | 4,914,700 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.860% 6.2258% 6/9/25 (b)(c)(d) | | 400,000 | 401,395 |
| NatWest Group PLC: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.250% 6.6172% 3/1/28 (b)(c) | | 1,300,000 | 1,302,723 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.300% 6.635% 11/15/28 (b)(c) | | 2,000,000 | 2,009,800 |
| NatWest Markets PLC: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.760% 6.1222% 9/29/26 (b)(c)(d) | | 650,000 | 649,502 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.900% 6.2334% 5/17/27 (b)(c)(d) | | 1,600,000 | 1,602,095 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.140% 6.4734% 5/17/29 (b)(c)(d) | | 1,000,000 | 1,001,681 |
| Nordea Bank Abp: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.740% 6.1036% 3/19/27 (b)(c)(d) | | 1,500,000 | 1,503,200 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.960% 6.3265% 6/6/25 (b)(c)(d) | | 200,000 | 200,822 |
| Royal Bank of Canada: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.340% 5.6984% 10/7/24 (b)(c) | | 1,180,000 | 1,180,164 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.520% 5.8781% 1/20/26 (b)(c) | | 2,492,000 | 2,493,457 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.570% 5.92% 4/27/26 (b)(c) | | 400,000 | 399,632 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.590% 5.9363% 11/2/26 (b)(c) | | 830,000 | 830,025 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.710% 6.0631% 1/21/27 (b)(c) | | 1,900,000 | 1,902,997 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.840% 6.1967% 4/14/25 (b)(c) | | 3,500,000 | 3,509,681 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.950% 6.3038% 1/19/27 (b)(c) | | 1,500,000 | 1,506,788 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.080% 6.4371% 1/12/26 (b)(c) | | 400,000 | 402,799 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.790% 6.1426% 7/23/27 (b)(c) | | 2,300,000 | 2,302,105 |
| Skandinaviska Enskilda Banken AB U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.890% 6.2571% 3/5/27 (b)(c)(d) | | 1,500,000 | 1,503,165 |
| Societe Generale U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.050% 6.4031% 1/21/26 (b)(c)(d) | | 2,330,000 | 2,332,300 |
| Standard Chartered PLC: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.930% 6.2637% 11/23/25 (b)(c)(d) | | 1,000,000 | 998,935 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.170% 6.506% 5/14/28 (b)(c)(d) | | 1,500,000 | 1,505,308 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.740% 7.1022% 3/30/26 (b)(c)(d) | | 970,000 | 974,811 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.930% 7.2884% 7/6/27 (b)(c)(d) | | 1,000,000 | 1,016,272 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 2.030% 7.3701% 2/8/28 (b)(c)(d) | | 1,600,000 | 1,634,553 |
| Sumitomo Mitsui Financial Group, Inc.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.880% 6.2358% 1/14/27 (b)(c) | | 870,000 | 874,486 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.170% 6.5288% 7/9/29 (b)(c) | | 1,900,000 | 1,913,546 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.300% 6.6563% 7/13/26 (b)(c) | | 1,000,000 | 1,013,340 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.430% 6.7858% 1/13/26 (b)(c) | | 2,200,000 | 2,229,082 |
| Sumitomo Mitsui Trust Bank Ltd.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.440% 5.8026% 9/16/24 (b)(c)(d) | | 800,000 | 800,056 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.120% 6.4854% 3/9/26 (b)(c)(d) | | 1,600,000 | 1,611,005 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.150% 6.5137% 9/14/26 (b)(c)(d) | | 1,300,000 | 1,312,930 |
| Svenska Handelsbanken AB: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.2754% 6/10/25 (b)(c)(d) | | 900,000 | 903,420 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.250% 6.6138% 6/15/26 (b)(c)(d) | | 500,000 | 506,540 |
| Swedbank AB: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.910% 6.269% 4/4/25 (b)(c)(d) | | 900,000 | 902,133 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.380% 6.7438% 6/15/26 (b)(c)(d) | | 1,000,000 | 1,014,180 |
| The Toronto-Dominion Bank: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.590% 5.9558% 9/10/26 (b)(c) | | 1,100,000 | 1,098,344 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.730% 6.0884% 4/5/27 (b)(c) | | 2,200,000 | 2,201,592 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.020% 6.3865% 6/6/25 (b)(c) | | 1,400,000 | 1,406,903 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.080% 6.4349% 7/17/26 (b)(c) | | 1,100,000 | 1,110,729 |
| Wells Fargo & Co.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.070% 6.4231% 4/22/28 (b)(c) | | 3,400,000 | 3,411,655 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.320% 6.671% 4/25/26 (b)(c) | | 3,340,000 | 3,356,595 |
| Wells Fargo Bank NA: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.800% 6.1456% 8/1/25 (b)(c) | | 1,200,000 | 1,204,324 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.060% 6.4% 8/7/26 (b)(c) | | 2,200,000 | 2,219,521 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.070% 6.4354% 12/11/26 (b)(c) | | 600,000 | 606,073 |
| Westpac Banking Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.300% 5.6334% 11/18/24 (b)(c) | | 200,000 | 200,039 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.420% 5.7765% 4/16/26 (b)(c) | | 1,600,000 | 1,599,008 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.520% 5.8883% 6/3/26 (b)(c) | | 860,000 | 860,023 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.720% 6.0534% 11/17/25 (b)(c) | | 4,200,000 | 4,218,063 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.810% 6.1662% 4/16/29 (b)(c) | | 3,200,000 | 3,192,322 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 6.3399% 8/26/25 (b)(c) | | 1,500,000 | 1,509,680 |
| | | | 253,274,000 |
| Capital Markets - 12.8% | | | |
| Athene Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.850% 6.1901% 5/8/26 (b)(c)(d) | | 3,000,000 | 2,993,836 |
| Bank of New York Mellon Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.200% 5.551% 10/25/24 (b)(c) | | 450,000 | 450,016 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 5.971% 4/25/25 (b)(c) | | 2,000,000 | 2,003,168 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.830% 6.1831% 7/21/28 (b)(c) | | 900,000 | 900,672 |
| Bank of New York, New York U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.8141% 3/13/26 (b)(c) | | 5,695,000 | 5,697,062 |
| Charles Schwab Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.520% 5.8587% 5/13/26 (b)(c) | | 1,860,000 | 1,854,870 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.050% 6.4183% 3/3/27 (b)(c) | | 1,200,000 | 1,211,203 |
| Deutsche Bank AG New York Branch U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.210% 6.5529% 11/16/27 (b)(c) | | 900,000 | 897,757 |
| GA Global Funding Trust U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.360% 6.7175% 4/11/25 (b)(c)(d) | | 500,000 | 502,275 |
| Goldman Sachs Group, Inc.: | | | |
| CME Term SOFR 3 Month Index + 1.430% 6.5497% 5/15/26 (b)(c) | | 2,500,000 | 2,511,842 |
| CME Term SOFR 3 Month Index + 2.010% 7.2752% 10/28/27 (b)(c) | | 360,000 | 368,269 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.790% 6.1558% 12/9/26 (b)(c) | | 4,700,000 | 4,698,496 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.810% 6.1758% 3/9/27 (b)(c) | | 50,000 | 49,944 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.820% 6.1858% 9/10/27 (b)(c) | | 1,800,000 | 1,795,894 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.920% 6.2731% 10/21/27 (b)(c) | | 2,200,000 | 2,199,574 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.060% 6.4045% 8/10/26 (b)(c) | | 2,700,000 | 2,706,023 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.120% 6.4563% 2/24/28 (b)(c) | | 500,000 | 503,625 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.850% 7.2138% 3/15/28 (b)(c) | | 2,900,000 | 2,958,845 |
| Macquarie Bank Ltd.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.920% 6.2816% 7/2/27 (b)(c)(d) | | 3,800,000 | 3,819,904 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.200% 6.5661% 12/7/26 (b)(c)(d) | | 600,000 | 607,282 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.240% 6.6042% 6/15/26 (b)(c)(d) | | 500,000 | 504,978 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.310% 6.6732% 3/21/25 (b)(c)(d) | | 1,400,000 | 1,405,709 |
| Macquarie Group Ltd. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.710% 6.0667% 10/14/25 (b)(c)(d) | | 3,560,000 | 3,561,403 |
| Morgan Stanley: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.950% 6.2844% 2/18/26 (b)(c) | | 7,660,000 | 7,675,137 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.020% 6.3767% 4/13/28 (b)(c) | | 4,400,000 | 4,412,804 |
| Nomura Holdings, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.250% 6.6105% 7/2/27 (b)(c) | | 1,700,000 | 1,713,000 |
| State Street Corp. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.840% 6.1883% 8/3/26 (b)(c) | | 800,000 | 802,677 |
| UBS AG London Branch: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.470% 5.8267% 1/13/25 (b)(c)(d) | | 800,000 | 800,210 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.930% 6.2954% 9/11/25 (b)(c) | | 8,800,000 | 8,849,309 |
| UBS Group AG U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.580% 6.9195% 5/12/26 (b)(c)(d) | | 700,000 | 704,993 |
| | | | 69,160,777 |
| Consumer Finance - 6.1% | | | |
| American Express Co.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 5.9943% 11/4/26 (b)(c) | | 2,550,000 | 2,551,214 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.930% 6.2985% 3/4/25 (b)(c) | | 1,560,000 | 1,562,911 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.970% 6.32% 7/28/27 (b)(c) | | 1,400,000 | 1,406,637 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.000% 6.3339% 2/16/28 (b)(c) | | 600,000 | 602,371 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.350% 6.6992% 10/30/26 (b)(c) | | 560,000 | 564,539 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.760% 6.0987% 2/13/26 (b)(c) | | 700,000 | 702,649 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.930% 6.2805% 7/26/28 (b)(c) | | 1,800,000 | 1,804,501 |
| John Deere Capital Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.790% 6.1554% 6/8/26 (b)(c) | | 3,800,000 | 3,818,614 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.200% 5.5566% 10/11/24 (b)(c) | | 1,810,000 | 1,810,079 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.440% 5.8061% 3/6/26 (b)(c) | | 2,400,000 | 2,402,448 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.480% 5.8331% 10/22/25 (b)(c) | | 2,000,000 | 2,002,315 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.570% 5.9372% 3/3/26 (b)(c) | | 2,400,000 | 2,404,187 |
| Toyota Motor Credit Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.890% 6.2233% 5/18/26 (b)(c) | | 1,360,000 | 1,368,755 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.290% 5.6541% 9/13/24 (b)(c) | | 1,920,000 | 1,920,058 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.320% 5.6767% 1/13/25 (b)(c) | | 1,190,000 | 1,189,891 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.785% 5/15/26 (b)(c) | | 3,300,000 | 3,299,265 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.560% 5.9176% 1/10/25 (b)(c) | | 600,000 | 600,439 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 6.0136% 3/19/27 (b)(c) | | 2,300,000 | 2,298,097 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 6.0154% 9/11/25 (b)(c) | | 700,000 | 701,811 |
| | | | 33,010,781 |
| Financial Services - 0.7% | | | |
| Corebridge Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.300% 6.6624% 9/25/26 (b)(c)(d) | | 1,300,000 | 1,309,933 |
| National Rural Utilities Cooperative Finance Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.330% 5.6845% 10/18/24 (b)(c) | | 760,000 | 760,098 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.800% 6.1443% 2/5/27 (b)(c) | | 800,000 | 805,485 |
| Nationwide Building Society U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.290% 6.6239% 2/16/28 (b)(c)(d) | | 700,000 | 706,279 |
| | | | 3,581,795 |
| Insurance - 4.2% | | | |
| MassMutual Global Funding II: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.270% 5.6231% 10/21/24 (b)(c)(d) | | 600,000 | 600,070 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.740% 6.0978% 4/9/27 (b)(c)(d) | | 1,500,000 | 1,498,716 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.770% 6.12% 1/29/27 (b)(c)(d) | | 1,200,000 | 1,203,288 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.870% 6.2332% 3/21/25 (b)(c)(d) | | 1,200,000 | 1,203,718 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.980% 6.3376% 7/10/26 (b)(c)(d) | | 200,000 | 201,412 |
| Metropolitan Life Global Funding I U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.910% 6.2732% 3/21/25 (b)(c)(d) | | 400,000 | 401,033 |
| New York Life Global Funding: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.610% 5.9631% 4/21/25 (b)(c)(d) | | 600,000 | 601,370 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.930% 6.2913% 4/2/26 (b)(c)(d) | | 600,000 | 605,117 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.480% 5.8458% 6/9/26 (b)(c)(d) | | 1,800,000 | 1,804,138 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.9963% 5/2/25 (b)(c)(d) | | 1,700,000 | 1,703,451 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.670% 6.0313% 4/2/27 (b)(c)(d) | | 3,000,000 | 3,004,479 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6.0641% 6/13/25 (b)(c)(d) | | 1,400,000 | 1,403,430 |
| Pacific Life Global Funding II: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.860% 6.2238% 6/16/25 (b)(c)(d) | | 1,000,000 | 1,003,404 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.050% 6.4% 7/28/26 (b)(c)(d) | | 1,400,000 | 1,411,449 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 5.9885% 6/4/26 (b)(c)(d) | | 3,560,000 | 3,562,462 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.850% 6.1943% 2/5/27 (b)(c)(d) | | 400,000 | 400,467 |
| Principal Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.900% 6.2475% 8/28/25 (b)(c)(d) | | 1,100,000 | 1,105,740 |
| Protective Life Global Funding: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.980% 6.3422% 3/28/25 (b)(c)(d) | | 200,000 | 200,733 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.050% 6.4144% 12/11/24 (b)(c)(d) | | 800,000 | 801,760 |
| | | | 22,716,237 |
TOTAL FINANCIALS | | | 381,743,590 |
| HEALTH CARE - 1.4% | | | |
| Health Care Providers & Services - 0.4% | | | |
| UnitedHealth Group, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.500% 5.851% 7/15/26 (b)(c) | | 2,200,000 | 2,206,692 |
| Pharmaceuticals - 1.0% | | | |
| Bristol-Myers Squibb Co. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.490% 5.8213% 2/20/26 (b)(c) | | 3,525,000 | 3,538,700 |
| Roche Holdings, Inc.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.560% 5.9258% 3/10/25 (b)(c)(d) | | 1,400,000 | 1,402,669 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.740% 6.079% 11/13/26 (b)(c)(d) | | 500,000 | 502,765 |
| | | | 5,444,134 |
TOTAL HEALTH CARE | | | 7,650,826 |
| INDUSTRIALS - 3.2% | | | |
| Aerospace & Defense - 0.5% | | | |
| General Electric Co. CME Term SOFR 3 Month Index + 0.640% 5.8837% 5/5/26 (b)(c) | | 2,780,000 | 2,784,288 |
| Machinery - 2.7% | | | |
| Caterpillar Financial Services Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.7945% 8/11/25 (b)(c) | | 1,600,000 | 1,603,049 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.460% 5.7999% 2/27/26 (b)(c) | | 500,000 | 500,760 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.520% 5.856% 5/14/27 (b)(c) | | 1,400,000 | 1,402,188 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.520% 5.8841% 6/13/25 (b)(c) | | 6,960,000 | 6,976,021 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 6.0239% 10/16/26 (b)(c) | | 2,000,000 | 2,009,670 |
| Daimler Trucks Finance North America LLC U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.960% 6.3219% 9/25/27 (b)(c)(d) | | 2,000,000 | 2,001,695 |
| | | | 14,493,383 |
TOTAL INDUSTRIALS | | | 17,277,671 |
| INFORMATION TECHNOLOGY - 0.1% | | | |
| Semiconductors & Semiconductor Equipment - 0.1% | | | |
| Analog Devices, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.250% 5.6117% 10/1/24 (b)(c) | | 600,000 | 600,000 |
| MATERIALS - 0.2% | | | |
| Metals & Mining - 0.2% | | | |
| Glencore Funding LLC U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.060% 6.419% 4/4/27 (b)(c)(d) | | 1,200,000 | 1,201,188 |
| REAL ESTATE - 0.6% | | | |
| Equity Real Estate Investment Trusts (REITs) - 0.6% | | | |
| Public Storage Operating Co.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.600% 5.951% 7/25/25 (b)(c) | | 900,000 | 901,621 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.700% 6.0562% 4/16/27 (b)(c) | | 2,500,000 | 2,510,245 |
| | | | 3,411,866 |
| UTILITIES - 0.5% | | | |
| Electric Utilities - 0.5% | | | |
| NextEra Energy Capital Holdings, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.760% 6.11% 1/29/26 (b)(c) | | 2,600,000 | 2,611,071 |
| TOTAL NONCONVERTIBLE BONDS (Cost $465,558,845) | | | 466,553,623 |
| | | | |
| U.S. Treasury Obligations - 12.0% |
| | | Principal Amount (a) | Value ($) |
| U.S. Treasury Notes: | | | |
| 1.375% 11/15/31 | | 3,690,000 | 3,124,104 |
| 1.875% 2/15/32 | | 8,100,000 | 7,072,304 |
| 2.75% 8/15/32 | | 5,350,000 | 4,947,705 |
| 2.875% 5/15/32 | | 6,300,000 | 5,893,945 |
| 3.375% 5/15/33 | | 7,060,000 | 6,793,595 |
| 3.5% 2/15/33 | | 1,100,000 | 1,070,094 |
| 3.875% 8/15/33 | | 4,840,000 | 4,829,223 |
| 3.875% 8/15/34 | | 1,900,000 | 1,892,871 |
| 4% 2/15/34 | | 9,100,000 | 9,156,873 |
| 4.125% 11/15/32 | | 6,500,000 | 6,621,621 |
| 4.375% 5/15/34 | | 5,500,000 | 5,699,375 |
| 4.5% 11/15/33 | | 7,600,000 | 7,945,266 |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $63,875,741) | | | 65,046,976 |
| | | | |
| Money Market Funds - 2.9% |
| | | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (e) (Cost $15,538,540) | | 15,535,433 | 15,538,540 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 101.4% (Cost $544,973,126) | 547,139,139 |
NET OTHER ASSETS (LIABILITIES) - (1.4)% | (7,597,275) |
| NET ASSETS - 100.0% | 539,541,864 |
| | |
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (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 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 $146,726,073 or 27.2% of net assets. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 12,007,431 | 299,526,184 | 295,995,117 | 589,701 | 42 | - | 15,538,540 | 0.0% |
| Total | 12,007,431 | 299,526,184 | 295,995,117 | 589,701 | 42 | - | 15,538,540 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Corporate Bonds | 466,553,623 | - | 466,553,623 | - |
|
| U.S. Government and Government Agency Obligations | 65,046,976 | - | 65,046,976 | - |
|
| Money Market Funds | 15,538,540 | 15,538,540 | - | - |
| Total Investments in Securities: | 547,139,139 | 15,538,540 | 531,600,599 | - |
Fidelity® Low Duration Bond Factor ETF
Financial Statements
| Statement of Assets and Liabilities |
As of August 31, 2024 |
| Assets | | | | |
| Investment in securities, at value - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $529,434,586) | $ | 531,600,599 | | |
Fidelity Central Funds (cost $15,538,540) | | 15,538,540 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $544,973,126) | | | $ | 547,139,139 |
| Cash | | | | 37,067 |
| Foreign currency held at value (cost $12) | | | | 12 |
| Receivable for investments sold | | | | 21,628,984 |
| Receivable for fund shares sold | | | | 1,252,511 |
| Interest receivable | | | | 4,520,452 |
| Distributions receivable from Fidelity Central Funds | | | | 27,550 |
Total assets | | | | 574,605,715 |
| Liabilities | | | | |
| Payable for investments purchased | $ | 32,419,560 | | |
| Distributions payable | | 2,578,700 | | |
| Accrued management fee | | 65,591 | | |
| Total liabilities | | | | 35,063,851 |
| Net Assets | | | $ | 539,541,864 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 542,023,260 |
| Total accumulated earnings (loss) | | | | (2,481,396) |
| Net Assets | | | $ | 539,541,864 |
Net Asset Value, offering price and redemption price per share ($539,541,864 ÷ 10,775,000 shares) | | | $ | 50.07 |
| Statement of Operations |
| Year ended August 31, 2024 |
| Investment Income | | | | |
| Interest | | | $ | 21,973,847 |
| Income from Fidelity Central Funds | | | | 589,701 |
| Total income | | | | 22,563,548 |
| Expenses | | | | |
| Management fee | $ | 571,779 | | |
| Independent trustees' fees and expenses | | 1,027 | | |
| Miscellaneous | | 7,097 | | |
| Total expenses before reductions | | 579,903 | | |
| Expense reductions | | (4,819) | | |
| Total expenses after reductions | | | | 575,084 |
| Net Investment income (loss) | | | | 21,988,464 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (1,655,967) | | |
| Fidelity Central Funds | | 42 | | |
| Foreign currency transactions | | (1) | | |
| Total net realized gain (loss) | | | | (1,655,926) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 4,378,730 | | |
| Assets and liabilities in foreign currencies | | 1 | | |
| Total change in net unrealized appreciation (depreciation) | | | | 4,378,731 |
| Net gain (loss) | | | | 2,722,805 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 24,711,269 |
| Statement of Changes in Net Assets |
| |
| | Year ended August 31, 2024 | | Year ended August 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 21,988,464 | $ | 9,876,592 |
| Net realized gain (loss) | | (1,655,926) | | (1,462,909) |
| Change in net unrealized appreciation (depreciation) | | 4,378,731 | | 1,524,108 |
| Net increase (decrease) in net assets resulting from operations | | 24,711,269 | | 9,937,791 |
| Distributions to shareholders | | (21,969,275) | | (9,884,875) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 313,301,417 | | 34,828,301 |
| Cost of shares redeemed | | (11,215,717) | | (7,418,736) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | 302,085,700 | | 27,409,565 |
| Total increase (decrease) in net assets | | 304,827,694 | | 27,462,481 |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 234,714,170 | | 207,251,689 |
| End of period | $ | 539,541,864 | $ | 234,714,170 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 6,275,000 | | 700,000 |
| Redeemed | | (225,000) | | (150,000) |
| Net increase (decrease) | | 6,050,000 | | 550,000 |
| | | | | |
Financial Highlights
Fidelity® Low Duration Bond Factor ETF |
| |
| Years ended August 31, | | 2024 | | 2023 | | 2022 | | 2021 | | 2020 |
Selected Per-Share Data | | | | | | | | | | |
| Net asset value, beginning of period | $ | 49.67 | $ | 49.64 | $ | 50.91 | $ | 50.99 | $ | 50.71 |
| Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) A,B | | 2.861 | | 2.344 | | .495 | | .275 | | .913 |
| Net realized and unrealized gain (loss) | | .350 | | .015 | | (1.278) | | (.085) | | .325 |
| Total from investment operations | | 3.211 | | 2.359 | | (.783) | | .190 | | 1.238 |
| Distributions from net investment income | | (2.811) | | (2.329) | | (.487) | | (.270) | | (.958) |
| Total distributions | | (2.811) | | (2.329) | | (.487) | | (.270) | | (.958) |
| Net asset value, end of period | $ | 50.07 | $ | 49.67 | $ | 49.64 | $ | 50.91 | $ | 50.99 |
Total Return C,D | | | | 4.87% | | (1.53)% | | .36% | | 2.48% |
Ratios to Average Net Assets B,E,F | | | | | | | | | | |
| Expenses before reductions | | .15% | | .15% | | .15% | | .15% | | .15% |
| Expenses net of fee waivers, if any | | | | .15% | | .15% | | .15% | | .15% |
| Expenses net of all reductions | | .15% | | .15% | | .15% | | .15% | | .15% |
| Net investment income (loss) | | 5.75% | | 4.72% | | .99% | | .54% | | 1.81% |
| Supplemental Data | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 539,542 | $ | 234,714 | $ | 207,252 | $ | 235,442 | $ | 191,216 |
Portfolio turnover rate G | | | | 47% | | 45% | | 40% | | 43% H |
ACalculated based on average shares outstanding during the period.
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
DBased on net asset value.
EFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
FExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
GAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
HPortfolio turnover rate excludes securities received or delivered in-kind.
Fidelity® Tactical Bond ETF
Schedule of Investments August 31, 2024
Showing Percentage of Net Assets
| Corporate Bonds - 27.3% |
| | | Principal Amount (a) | Value ($) |
| Convertible Bonds - 0.2% | | | |
| COMMUNICATION SERVICES - 0.1% | | | |
| Media - 0.1% | | | |
| DISH Network Corp. 3.375% 8/15/26 | | 21,000 | 13,074 |
| INFORMATION TECHNOLOGY - 0.0% | | | |
| Semiconductors & Semiconductor Equipment - 0.0% | | | |
| MKS Instruments, Inc. 1.25% 6/1/30 (b) | | 3,000 | 3,089 |
| Wolfspeed, Inc. 1.875% 12/1/29 | | 15,000 | 5,718 |
| | | | 8,807 |
| REAL ESTATE - 0.0% | | | |
| Real Estate Management & Development - 0.0% | | | |
| Realogy Group LLC/Realogy Co-Issuer Corp. 0.25% 6/15/26 | | 3,000 | 2,550 |
| Redfin Corp. 0.5% 4/1/27 | | 10,000 | 6,850 |
| | | | 9,400 |
| UTILITIES - 0.1% | | | |
| Electric Utilities - 0.0% | | | |
| PG&E Corp. 4.25% 12/1/27 (b) | | 3,000 | 3,201 |
| Independent Power and Renewable Electricity Producers - 0.1% | | | |
| NextEra Energy Partners LP 2.5% 6/15/26 (b) | | 3,000 | 2,768 |
| Sunnova Energy International, Inc.: | | | |
| 0.25% 12/1/26 | | 7,000 | 5,302 |
| 2.625% 2/15/28 | | 1,000 | 646 |
| | | | 8,716 |
TOTAL UTILITIES | | | 11,917 |
| | | | |
| TOTAL CONVERTIBLE BONDS | | | 43,198 |
| Nonconvertible Bonds - 27.1% | | | |
| COMMUNICATION SERVICES - 3.4% | | | |
| Diversified Telecommunication Services - 0.3% | | | |
| Altice France SA: | | | |
| 5.125% 7/15/29(b) | | 27,000 | 18,838 |
| 5.5% 1/15/28(b) | | 9,000 | 6,404 |
| Connect Finco SARL / Connect U.S. Finco LLC 6.75% 10/1/26 (b) | | 4,000 | 3,970 |
| Consolidated Communications, Inc. 5% 10/1/28 (b) | | 2,000 | 1,746 |
| Frontier Communications Holdings LLC: | | | |
| 5.875% 11/1/29 | | 5,000 | 4,599 |
| 6% 1/15/30(b) | | 3,000 | 2,767 |
| IHS Holding Ltd.: | | | |
| 5.625% 11/29/26(b) | | 5,000 | 4,856 |
| 6.25% 11/29/28(b) | | 1,000 | 919 |
| Iliad Holding SAS: | | | |
| 7% 10/15/28(b) | | 1,000 | 1,015 |
| 8.5% 4/15/31(b) | | 2,000 | 2,119 |
| Level 3 Financing, Inc.: | | | |
| 3.625% 1/15/29(b) | | 1,000 | 623 |
| 3.875% 10/15/30(b) | | 5,000 | 3,402 |
| 4% 4/15/31(b) | | 3,000 | 2,010 |
| 4.875% 6/15/29(b) | | 1,000 | 778 |
| 10.5% 5/15/30(b) | | 11,000 | 11,786 |
| 11% 11/15/29(b) | | 358 | 392 |
| Liquid Telecommunications Financing PLC 5.5% 9/4/26 (b) | | 7,000 | 4,352 |
| Sitios Latinoamerica S.A.B. de CV 5.375% 4/4/32 (b) | | 5,000 | 4,745 |
| Windstream Escrow LLC 7.75% 8/15/28 (b) | | 5,000 | 4,881 |
| Zayo Group Holdings, Inc. 4% 3/1/27 (b)(c) | | 6,000 | 5,237 |
| | | | 85,439 |
| Entertainment - 0.0% | | | |
| Roblox Corp. 3.875% 5/1/30 (b) | | 3,000 | 2,764 |
| Media - 2.1% | | | |
| Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (b) | | 10,000 | 9,376 |
| Altice Financing SA 5.75% 8/15/29 (b) | | 19,000 | 14,636 |
| Altice France Holding SA 6% 2/15/28 (b) | | 4,000 | 1,288 |
| CCO Holdings LLC/CCO Holdings Capital Corp.: | | | |
| 4.5% 8/15/30(b) | | 12,000 | 10,702 |
| 4.75% 2/1/32(b) | | 30,000 | 26,140 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 3.7% 4/1/51 | | 380,000 | 241,107 |
| Clear Channel Outdoor Holdings, Inc.: | | | |
| 5.125% 8/15/27(b) | | 14,000 | 13,677 |
| 7.5% 6/1/29(b) | | 8,000 | 6,746 |
| 7.875% 4/1/30(b) | | 5,000 | 5,224 |
| CSC Holdings LLC: | | | |
| 3.375% 2/15/31(b) | | 10,000 | 6,430 |
| 4.625% 12/1/30(b) | | 12,000 | 4,692 |
| 5.5% 4/15/27(b) | | 16,000 | 13,054 |
| DISH DBS Corp.: | | | |
| 5.75% 12/1/28(b) | | 6,000 | 4,616 |
| 5.875% 11/15/24 | | 1,000 | 971 |
| DISH Network Corp. 11.75% 11/15/27 (b) | | 10,000 | 10,168 |
| LCPR Senior Secured Financing DAC: | | | |
| 5.125% 7/15/29(b) | | 4,000 | 3,230 |
| 6.75% 10/15/27(b) | | 6,000 | 5,486 |
| Outfront Media Capital LLC / Corp. 7.375% 2/15/31 (b) | | 5,000 | 5,314 |
| Sirius XM Radio, Inc. 4.125% 7/1/30 (b) | | 90,000 | 80,782 |
| Univision Communications, Inc.: | | | |
| 4.5% 5/1/29(b) | | 12,000 | 10,531 |
| 8% 8/15/28(b) | | 6,000 | 6,070 |
| 8.5% 7/31/31(b) | | 6,000 | 5,988 |
| Virgin Media Secured Finance PLC 4.5% 8/15/30 (b) | | 17,000 | 15,013 |
| VTR Finance BV 6.375% 7/15/28 (b) | | 2,000 | 1,830 |
| Warnermedia Holdings, Inc. 5.141% 3/15/52 | | 20,000 | 15,212 |
| Ziggo Bond Co. BV 6% 1/15/27 (b) | | 5,000 | 4,986 |
| | | | 523,269 |
| Wireless Telecommunication Services - 1.0% | | | |
| AXIAN Telecom 7.375% 2/16/27 (b) | | 3,000 | 2,993 |
| C&W Senior Finance Ltd. 6.875% 9/15/27 (b) | | 15,000 | 14,767 |
| Millicom International Cellular SA: | | | |
| 4.5% 4/27/31(b) | | 205,000 | 182,323 |
| 7.375% 4/2/32(b) | | 40,000 | 40,376 |
| | | | 240,459 |
TOTAL COMMUNICATION SERVICES | | | 851,931 |
| | | | |
| CONSUMER DISCRETIONARY - 2.4% | | | |
| Automobile Components - 0.6% | | | |
| Dana, Inc. 4.25% 9/1/30 | | 2,000 | 1,801 |
| Macquarie AirFinance Holdings: | | | |
| 6.5% 3/26/31(b) | | 5,000 | 5,272 |
| 8.125% 3/30/29(b) | | 6,000 | 6,376 |
| 8.375% 5/1/28(b) | | 5,000 | 5,298 |
| ZF Finance GmbH 2% 5/6/27 (Reg. S) | EUR | 100,000 | 104,277 |
| ZF North America Capital, Inc.: | | | |
| 4.75% 4/29/25(b) | | 6,000 | 5,947 |
| 6.75% 4/23/30(b) | | 5,000 | 5,140 |
| 6.875% 4/23/32(b) | | 5,000 | 5,195 |
| 7.125% 4/14/30(b) | | 5,000 | 5,240 |
| | | | 144,546 |
| Automobiles - 0.1% | | | |
| Aston Martin Capital Holdings Ltd. 10% 3/31/29 (b) | | 5,000 | 5,092 |
| McLaren Finance PLC 7.5% 8/1/26 (b) | | 4,000 | 3,514 |
| Rivian Holdco & Rivian LLC & Rivian Automotive LLC CME Term SOFR 6 Month Index + 6.050% 11.3595% 10/15/26 (b)(d)(e) | | 6,000 | 6,000 |
| | | | 14,606 |
| Broadline Retail - 0.0% | | | |
| Kohl's Corp. 4.25% 7/17/25 | | 2,000 | 1,981 |
| Match Group Holdings II LLC 3.625% 10/1/31 (b) | | 5,000 | 4,440 |
| | | | 6,421 |
| Distributors - 0.0% | | | |
| The Gates Corp. 6.875% 7/1/29 (b) | | 5,000 | 5,129 |
| Windsor Holdings III, LLC 8.5% 6/15/30 (b) | | 4,000 | 4,285 |
| | | | 9,414 |
| Diversified Consumer Services - 0.2% | | | |
| Service Corp. International 5.125% 6/1/29 | | 6,000 | 5,929 |
| Sotheby's 7.375% 10/15/27 (b) | | 5,000 | 4,775 |
| StoneMor, Inc. 8.5% 5/15/29 (b) | | 2,000 | 1,780 |
| TKC Holdings, Inc.: | | | |
| 6.875% 5/15/28(b) | | 6,000 | 5,961 |
| 10.5% 5/15/29(b) | | 7,000 | 6,982 |
| WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (b) | | 10,000 | 9,954 |
| | | | 35,381 |
| Hotels, Restaurants & Leisure - 0.9% | | | |
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | | | |
| 4% 10/15/30(b) | | 18,000 | 16,488 |
| 6.125% 6/15/29(b) | | 5,000 | 5,106 |
| Aramark Services, Inc. 5% 2/1/28 (b) | | 2,000 | 1,962 |
| Boyd Gaming Corp. 4.75% 6/15/31 (b) | | 12,000 | 11,291 |
| Caesars Entertainment, Inc.: | | | |
| 6.5% 2/15/32(b) | | 5,000 | 5,138 |
| 8.125% 7/1/27(b) | | 16,000 | 16,340 |
| Carnival Corp. 10.5% 6/1/30 (b) | | 32,000 | 34,731 |
| ClubCorp Holdings, Inc. 8.5% 9/15/25 (b) | | 6,000 | 5,580 |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.: | | | |
| 4.625% 1/15/29(b) | | 2,000 | 1,871 |
| 6.75% 1/15/30(b) | | 11,000 | 9,889 |
| Hilton Domestic Operating Co., Inc.: | | | |
| 3.625% 2/15/32(b) | | 4,000 | 3,585 |
| 5.875% 4/1/29(b) | | 5,000 | 5,095 |
| 6.125% 4/1/32(b) | | 5,000 | 5,126 |
| Hilton Grand Vacations Borrower Escrow LLC 6.625% 1/15/32 (b) | | 5,000 | 5,060 |
| Jacobs Entertainment, Inc. 6.75% 2/15/29 (b) | | 4,000 | 3,816 |
| Life Time, Inc.: | | | |
| 5.75% 1/15/26(b) | | 7,000 | 7,001 |
| 8% 4/15/26(b) | | 3,000 | 3,045 |
| Lindblad Expeditions LLC 6.75% 2/15/27 (b) | | 1,000 | 994 |
| MajorDrive Holdings IV LLC 6.375% 6/1/29 (b) | | 7,000 | 6,599 |
| Melco Resorts Finance Ltd. 5.375% 12/4/29 (b) | | 7,000 | 6,381 |
| Merlin Entertainments Group 7.375% 2/15/31 (b) | | 2,000 | 1,993 |
| MGM Resorts International 6.5% 4/15/32 | | 5,000 | 5,036 |
| NCL Corp. Ltd. 3.625% 12/15/24 (b) | | 3,000 | 2,979 |
| Royal Caribbean Cruises Ltd.: | | | |
| 6% 2/1/33(b) | | 5,000 | 5,122 |
| 6.25% 3/15/32(b) | | 2,000 | 2,065 |
| 7.25% 1/15/30(b) | | 5,000 | 5,286 |
| Station Casinos LLC: | | | |
| 4.5% 2/15/28(b) | | 4,000 | 3,839 |
| 6.625% 3/15/32(b) | | 5,000 | 5,100 |
| Viking Cruises Ltd. 9.125% 7/15/31 (b) | | 5,000 | 5,485 |
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (b) | | 16,000 | 15,894 |
| Yum! Brands, Inc.: | | | |
| 3.625% 3/15/31 | | 4,000 | 3,671 |
| 4.625% 1/31/32 | | 5,000 | 4,739 |
| | | | 216,307 |
| Household Durables - 0.1% | | | |
| Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 4.625% 4/1/30 (b) | | 3,000 | 2,823 |
| Beazer Homes U.S.A., Inc. 7.5% 3/15/31 (b) | | 5,000 | 5,090 |
| Landsea Homes Corp. 8.875% 4/1/29 (b) | | 3,000 | 3,105 |
| LGI Homes, Inc.: | | | |
| 4% 7/15/29(b) | | 2,000 | 1,816 |
| 8.75% 12/15/28(b) | | 4,000 | 4,262 |
| Newell Brands, Inc. 6.875% 4/1/36 (c)(f) | | 5,000 | 4,755 |
| Tempur Sealy International, Inc. 4% 4/15/29 (b) | | 5,000 | 4,636 |
| TopBuild Corp. 4.125% 2/15/32 (b) | | 2,000 | 1,820 |
| | | | 28,307 |
| Leisure Products - 0.0% | | | |
| Amer Sports Co. 6.75% 2/16/31 (b) | | 8,000 | 8,130 |
| Specialty Retail - 0.3% | | | |
| Arko Corp. 5.125% 11/15/29 (b) | | 2,000 | 1,776 |
| Bath & Body Works, Inc. 6.625% 10/1/30 (b) | | 5,000 | 5,062 |
| Carvana Co.: | | | |
| 4.875% 9/1/29(b) | | 1,000 | 841 |
| 5.625% 10/1/25(b) | | 8,000 | 7,820 |
| 12% 12/1/28 pay-in-kind(b)(d) | | 1,117 | 1,159 |
| 14% 6/1/31 pay-in-kind(b)(d) | | 17,072 | 19,443 |
| Champions Financing, Inc. 8.75% 2/15/29 (b) | | 4,000 | 4,103 |
| Group 1 Automotive, Inc. 6.375% 1/15/30 (b) | | 5,000 | 5,087 |
| Hudson Automotive Group 8% 5/15/32 (b) | | 5,000 | 5,274 |
| LBM Acquisition LLC 6.25% 1/15/29 (b) | | 7,000 | 6,328 |
| LCM Investments Holdings 8.25% 8/1/31 (b) | | 5,000 | 5,316 |
| Sally Holdings LLC 6.75% 3/1/32 (c) | | 5,000 | 5,100 |
| Staples, Inc.: | | | |
| 10.75% 9/1/29(b) | | 5,000 | 4,710 |
| 12.75% 1/15/30(b) | | 6,150 | 4,753 |
| Wand NewCo 3, Inc. 7.625% 1/30/32 (b) | | 5,000 | 5,238 |
| | | | 82,010 |
| Textiles, Apparel & Luxury Goods - 0.2% | | | |
| Crocs, Inc. 4.125% 8/15/31 (b) | | 6,000 | 5,393 |
| Tapestry, Inc.: | | | |
| 3.05% 3/15/32 | | 10,000 | 8,372 |
| 7% 11/27/26 | | 4,000 | 4,126 |
| 7.35% 11/27/28 | | 7,000 | 7,342 |
| 7.7% 11/27/30 | | 14,000 | 14,907 |
| 7.85% 11/27/33 | | 14,000 | 14,980 |
| Wolverine World Wide, Inc. 4% 8/15/29 (b) | | 4,000 | 3,406 |
| | | | 58,526 |
TOTAL CONSUMER DISCRETIONARY | | | 603,648 |
| | | | |
| CONSUMER STAPLES - 0.5% | | | |
| Beverages - 0.0% | | | |
| Triton Water Holdings, Inc. 6.25% 4/1/29 (b) | | 7,000 | 6,922 |
| Consumer Staples Distribution & Retail - 0.2% | | | |
| Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | | | |
| 3.5% 3/15/29(b) | | 17,000 | 15,745 |
| 4.875% 2/15/30(b) | | 3,000 | 2,932 |
| C&S Group Enterprises LLC 5% 12/15/28 (b) | | 7,000 | 5,288 |
| KeHE Distributor / Nextwave 9% 2/15/29 (b) | | 7,000 | 7,303 |
| Performance Food Group, Inc. 5.5% 10/15/27 (b) | | 6,000 | 5,966 |
| Sigma Holdco BV 7.875% 5/15/26 (b) | | 10,000 | 9,864 |
| U.S. Foods, Inc. 6.875% 9/15/28 (b) | | 5,000 | 5,201 |
| United Natural Foods, Inc. 6.75% 10/15/28 (b) | | 2,000 | 1,878 |
| Walgreens Boots Alliance, Inc. 8.125% 8/15/29 | | 5,000 | 5,006 |
| | | | 59,183 |
| Food Products - 0.2% | | | |
| Darling Ingredients, Inc. 6% 6/15/30 (b) | | 3,000 | 3,037 |
| Fiesta Purchaser, Inc. 7.875% 3/1/31 (b) | | 5,000 | 5,260 |
| Lamb Weston Holdings, Inc. 4.375% 1/31/32 (b) | | 5,000 | 4,606 |
| Post Holdings, Inc.: | | | |
| 4.625% 4/15/30(b) | | 17,000 | 16,157 |
| 6.25% 2/15/32(b) | | 5,000 | 5,128 |
| 6.375% 3/1/33(b) | | 5,000 | 5,037 |
| | | | 39,225 |
| Household Products - 0.1% | | | |
| Kronos Acquisition Holdings, Inc.: | | | |
| 8.25% 6/30/31(b) | | 5,000 | 5,145 |
| 10.75% 6/30/32(b) | | 5,000 | 4,985 |
| Resideo Funding, Inc. 6.5% 7/15/32 (b) | | 3,000 | 3,054 |
| | | | 13,184 |
TOTAL CONSUMER STAPLES | | | 118,514 |
| | | | |
| ENERGY - 5.0% | | | |
| Energy Equipment & Services - 0.3% | | | |
| Archrock Partners LP / Archrock Partners Finance Corp. 6.625% 9/1/32 (b) | | 4,000 | 4,050 |
| Nabors Industries, Inc.: | | | |
| 8.875% 8/15/31(b) | | 5,000 | 5,010 |
| 9.125% 1/31/30(b) | | 5,000 | 5,358 |
| Seadrill Finance Ltd. 8.375% 8/1/30 (b) | | 5,000 | 5,278 |
| Star Holding LLC 8.75% 8/1/31 (b) | | 1,000 | 980 |
| Transocean Poseidon Ltd. 6.875% 2/1/27 (b) | | 1,200 | 1,201 |
| Transocean, Inc.: | | | |
| 8% 2/1/27(b) | | 9,000 | 8,999 |
| 8.25% 5/15/29(b) | | 5,000 | 5,062 |
| 8.5% 5/15/31(b) | | 5,000 | 5,074 |
| U.S.A. Compression Partners LP/U.S.A. Compression Finance Corp. 7.125% 3/15/29 (b) | | 5,000 | 5,136 |
| Valaris Ltd. 8.375% 4/30/30 (b) | | 5,000 | 5,216 |
| Vallourec SA 7.5% 4/15/32 (b) | | 7,000 | 7,371 |
| Viridien 8.75% 4/1/27 (b) | | 9,000 | 8,622 |
| Yinson Boronia Production BV 8.947% 7/31/42 (b) | | 3,000 | 3,144 |
| | | | 70,501 |
| Oil, Gas & Consumable Fuels - 4.7% | | | |
| Antero Midstream Partners LP/Antero Midstream Finance Corp. 5.375% 6/15/29 (b) | | 4,000 | 3,952 |
| Baytex Energy Corp. 7.375% 3/15/32 (b) | | 5,000 | 5,178 |
| Blue Racer Midstream LLC/Blue Racer Finance Corp.: | | | |
| 7% 7/15/29(b) | | 5,000 | 5,201 |
| 7.25% 7/15/32(b) | | 1,000 | 1,048 |
| California Resources Corp. 8.25% 6/15/29 (b) | | 11,000 | 11,346 |
| Calumet Specialty Products Partners LP/Calumet Finance Corp. 9.75% 7/15/28 (b) | | 5,000 | 4,916 |
| Canacol Energy Ltd. 5.75% 11/24/28 (b) | | 11,000 | 6,339 |
| Cheniere Energy Partners LP 5.75% 8/15/34 (b) | | 5,000 | 5,177 |
| Citgo Petroleum Corp.: | | | |
| 6.375% 6/15/26(b) | | 6,000 | 6,034 |
| 8.375% 1/15/29(b) | | 5,000 | 5,194 |
| CNX Midstream Partners LP 4.75% 4/15/30 (b) | | 12,000 | 11,192 |
| CNX Resources Corp. 7.25% 3/1/32 (b) | | 5,000 | 5,235 |
| Columbia Pipelines Operating Co. LLC: | | | |
| 5.927% 8/15/30(b) | | 2,000 | 2,101 |
| 6.036% 11/15/33(b) | | 6,000 | 6,335 |
| 6.497% 8/15/43(b) | | 2,000 | 2,174 |
| 6.544% 11/15/53(b) | | 2,000 | 2,218 |
| 6.714% 8/15/63(b) | | 2,000 | 2,224 |
| Comstock Resources, Inc.: | | | |
| 5.875% 1/15/30(b) | | 1,000 | 945 |
| 6.75% 3/1/29(b) | | 12,000 | 11,804 |
| CQP Holdco LP / BIP-V Chinook Holdco LLC 7.5% 12/15/33 (b) | | 10,000 | 10,804 |
| Crescent Energy Finance LLC 7.625% 4/1/32 (b) | | 2,000 | 2,062 |
| CVR Energy, Inc.: | | | |
| 5.75% 2/15/28(b) | | 12,000 | 11,317 |
| 8.5% 1/15/29(b) | | 5,000 | 5,094 |
| Delek Logistics Partners LP/Delek Logistics Finance Corp.: | | | |
| 7.125% 6/1/28(b) | | 9,000 | 9,070 |
| 8.625% 3/15/29(b) | | 11,000 | 11,566 |
| EG Global Finance PLC 12% 11/30/28 (b) | | 8,000 | 8,727 |
| Energean Israel Finance Ltd. 5.375% 3/30/28 (Reg. S) (b) | | 1,000 | 903 |
| Energean PLC 6.5% 4/30/27 (b) | | 4,000 | 3,949 |
| EnLink Midstream LLC 6.5% 9/1/30 (b) | | 4,000 | 4,276 |
| EQM Midstream Partners LP 6.5% 7/1/27 (b) | | 5,000 | 5,125 |
| Global Partners LP/GLP Finance Corp.: | | | |
| 6.875% 1/15/29 | | 18,000 | 18,129 |
| 8.25% 1/15/32(b) | | 5,000 | 5,198 |
| Golar LNG Ltd. 7% 10/20/25 (b) | | 7,000 | 6,995 |
| Gran Tierra Energy, Inc. 9.5% 10/15/29 (b) | | 5,000 | 4,859 |
| Harbour Energy PLC 5.5% 10/15/26 (b) | | 2,000 | 1,985 |
| Harvest Midstream I LP: | | | |
| 7.5% 9/1/28(b) | | 10,000 | 10,234 |
| 7.5% 5/15/32(b) | | 5,000 | 5,256 |
| Hess Midstream Operations LP: | | | |
| 4.25% 2/15/30(b) | | 17,000 | 16,067 |
| 6.5% 6/1/29(b) | | 5,000 | 5,159 |
| HF Sinclair Corp. 5% 2/1/28 (b) | | 5,000 | 4,928 |
| Howard Midstream Energy Partners LLC 7.375% 7/15/32 (b) | | 5,000 | 5,176 |
| Kinder Morgan, Inc. 3.6% 2/15/51 | | 200,000 | 142,659 |
| Kinetik Holdings LP: | | | |
| 5.875% 6/15/30(b) | | 5,000 | 5,016 |
| 6.625% 12/15/28(b) | | 5,000 | 5,152 |
| Kosmos Energy Ltd.: | | | |
| 7.5% 3/1/28(b) | | 2,000 | 1,938 |
| 7.75% 5/1/27(b) | | 1,000 | 989 |
| Matador Resources Co. 6.5% 4/15/32 (b) | | 5,000 | 5,074 |
| Moss Creek Resources Holdings, Inc. 8.25% 9/1/31 (b) | | 4,000 | 4,034 |
| MPLX LP: | | | |
| 5% 3/1/33 | | 50,000 | 49,479 |
| 5.65% 3/1/53 | | 50,000 | 48,833 |
| New Fortress Energy, Inc.: | | | |
| 6.5% 9/30/26(b)(c) | | 23,000 | 19,909 |
| 6.75% 9/15/25(b) | | 9,000 | 8,776 |
| Northern Oil & Gas, Inc. 8.75% 6/15/31 (b) | | 5,000 | 5,341 |
| Parkland Corp.: | | | |
| 4.5% 10/1/29(b) | | 2,000 | 1,888 |
| 4.625% 5/1/30(b) | | 10,000 | 9,353 |
| 6.625% 8/15/32(b) | | 5,000 | 5,052 |
| PBF Holding Co. LLC/PBF Finance Corp.: | | | |
| 6% 2/15/28 | | 4,000 | 3,961 |
| 7.875% 9/15/30(b) | | 9,000 | 9,359 |
| Permian Resources Operating LLC: | | | |
| 5.875% 7/1/29(b) | | 1,000 | 1,000 |
| 6.25% 2/1/33(b) | | 5,000 | 5,127 |
| 7% 1/15/32(b) | | 5,000 | 5,245 |
| Petroleos Mexicanos: | | | |
| 6.5% 3/13/27 | | 5,000 | 4,809 |
| 7.69% 1/23/50 | | 450,000 | 333,990 |
| Sitio Royalties OP / Sitio Finance Corp. 7.875% 11/1/28 (b) | | 2,000 | 2,106 |
| SM Energy Co.: | | | |
| 6.75% 8/1/29(b) | | 5,000 | 5,078 |
| 7% 8/1/32(b) | | 5,000 | 5,122 |
| Southwestern Energy Co. 4.75% 2/1/32 | | 5,000 | 4,739 |
| Sunoco Logistics Partners, LP: | | | |
| 7% 5/1/29(b) | | 5,000 | 5,208 |
| 7.25% 5/1/32(b) | | 5,000 | 5,288 |
| Sunoco LP/Sunoco Finance Corp. 4.5% 5/15/29 | | 17,000 | 16,322 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | | | |
| 6% 12/31/30(b) | | 10,000 | 9,537 |
| 6% 9/1/31(b) | | 20,000 | 18,954 |
| Talos Production, Inc. 9% 2/1/29 (b) | | 3,000 | 3,187 |
| Targa Resources Corp. 4.2% 2/1/33 | | 160,000 | 148,810 |
| Teine Energy Ltd. 6.875% 4/15/29 (b) | | 1,000 | 996 |
| Tullow Oil PLC: | | | |
| 7% 3/1/25(b) | | 4,000 | 3,898 |
| 10.25% 5/15/26(b) | | 5,000 | 4,839 |
| Venture Global LNG, Inc. 7% 1/15/30 (b) | | 5,000 | 5,112 |
| Viper Energy, Inc. 7.375% 11/1/31 (b) | | 5,000 | 5,309 |
| | | | 1,176,981 |
TOTAL ENERGY | | | 1,247,482 |
| | | | |
| FINANCIALS - 5.7% | | | |
| Banks - 2.2% | | | |
| AIB Group PLC 2.875% 5/30/31 (Reg. S) (d) | EUR | 100,000 | 108,355 |
| Bank of America Corp. 2.299% 7/21/32 (d) | | 90,000 | 76,610 |
| BNP Paribas SA 0.5% 1/19/30 (Reg. S) (d) | EUR | 100,000 | 96,801 |
| HAT Holdings I LLC/HAT Holdings II LLC: | | | |
| 3.375% 6/15/26(b) | | 4,000 | 3,832 |
| 8% 6/15/27(b) | | 5,000 | 5,239 |
| HSBC Holdings PLC 3% 7/22/28 (d) | GBP | 100,000 | 124,038 |
| ING Groep NV 4.75% 5/23/34 (Reg. S) (d) | EUR | 100,000 | 118,605 |
| UniCredit SpA: | | | |
| 5.459% 6/30/35(b)(d) | | 3,000 | 2,928 |
| 5.861% 6/19/32(b)(d) | | 4,000 | 3,991 |
| Western Alliance Bancorp. 3% 6/15/31 (d) | | 10,000 | 9,043 |
| | | | 549,442 |
| Capital Markets - 0.6% | | | |
| AssuredPartners, Inc. 7.5% 2/15/32 (b) | | 5,000 | 5,100 |
| Coinbase Global, Inc. 3.625% 10/1/31 (b) | | 5,000 | 4,120 |
| Hightower Holding LLC: | | | |
| 6.75% 4/15/29(b) | | 2,000 | 1,909 |
| 9.125% 1/31/30(b) | | 5,000 | 5,178 |
| Jane Street Group LLC/JSG Finance, Inc.: | | | |
| 4.5% 11/15/29(b) | | 2,000 | 1,909 |
| 7.125% 4/30/31(b) | | 5,000 | 5,251 |
| Jefferies Finance LLC/JFIN Co-Issuer Corp. 5% 8/15/28 (b) | | 1,000 | 950 |
| StoneX Group, Inc. 7.875% 3/1/31 (b) | | 5,000 | 5,258 |
| UBS Group AG 2.125% 11/15/29 (Reg. S) (d) | GBP | 100,000 | 116,886 |
| VFH Parent LLC / Valor Co-Issuer, Inc. 7.5% 6/15/31 (b) | | 5,000 | 5,187 |
| | | | 151,748 |
| Consumer Finance - 1.2% | | | |
| Ally Financial, Inc.: | | | |
| 5.75% 11/20/25(c) | | 3,000 | 3,008 |
| 6.7% 2/14/33(c) | | 2,000 | 2,059 |
| Capital One Financial Corp.: | | | |
| 5.468% 2/1/29(d) | | 9,000 | 9,155 |
| 5.817% 2/1/34(d) | | 15,000 | 15,328 |
| 7.624% 10/30/31(d) | | 11,000 | 12,417 |
| Capstone Borrower, Inc. 8% 6/15/30 (b) | | 2,000 | 2,107 |
| Encore Capital Group, Inc.: | | | |
| 8.5% 5/15/30(b) | | 11,000 | 11,511 |
| 9.25% 4/1/29(b) | | 3,000 | 3,194 |
| Ford Motor Credit Co. LLC: | | | |
| 3.375% 11/13/25 | | 200,000 | 195,380 |
| 5.8% 3/8/29 | | 20,000 | 20,382 |
| Navient Corp.: | | | |
| 4.875% 3/15/28 | | 1,000 | 952 |
| 5% 3/15/27 | | 1,000 | 981 |
| 5.625% 8/1/33 | | 1,000 | 863 |
| OneMain Finance Corp.: | | | |
| 3.5% 1/15/27 | | 5,000 | 4,740 |
| 7.125% 11/15/31 | | 10,000 | 10,104 |
| 7.5% 5/15/31 | | 5,000 | 5,173 |
| PRA Group, Inc. 8.875% 1/31/30 (b) | | 5,000 | 5,168 |
| SLM Corp. 4.2% 10/29/25 | | 3,000 | 2,965 |
| | | | 305,487 |
| Financial Services - 0.9% | | | |
| Block, Inc.: | | | |
| 3.5% 6/1/31 | | 10,000 | 9,027 |
| 6.5% 5/15/32(b) | | 10,000 | 10,370 |
| Boost Newco Borrower LLC 7.5% 1/15/31 (b) | | 5,000 | 5,331 |
| CBRE Global Investors Pan European Core Fund 4.75% 3/27/34 (Reg. S) | EUR | 100,000 | 115,964 |
| GGAM Finance Ltd.: | | | |
| 6.875% 4/15/29(b) | | 5,000 | 5,160 |
| 7.75% 5/15/26(b) | | 10,000 | 10,261 |
| 8% 2/15/27(b) | | 8,000 | 8,340 |
| 8% 6/15/28(b) | | 2,000 | 2,138 |
| Global Aircraft Leasing Co. Ltd. 8.75% 9/1/27 (b) | | 5,000 | 5,050 |
| Gn Bondco LLC 9.5% 10/15/31 (b) | | 4,000 | 4,071 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | | | |
| 5.25% 5/15/27 | | 19,000 | 18,311 |
| 9% 6/15/30(b) | | 5,000 | 5,059 |
| 9.75% 1/15/29(b) | | 5,000 | 5,251 |
| NCR Atleos Corp. 9.5% 4/1/29 (b) | | 3,000 | 3,305 |
| Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc. 6.75% 8/15/32 (b) | | 5,000 | 5,158 |
| | | | 212,796 |
| Insurance - 0.7% | | | |
| Acrisure LLC / Acrisure Finance, Inc.: | | | |
| 6% 8/1/29(b) | | 18,000 | 17,190 |
| 7.5% 11/6/30(b) | | 5,000 | 5,132 |
| 8.25% 2/1/29(b) | | 5,000 | 5,146 |
| 8.5% 6/15/29(b) | | 5,000 | 5,192 |
| Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer: | | | |
| 4.25% 10/15/27(b) | | 6,000 | 5,783 |
| 6.75% 10/15/27(b) | | 12,000 | 11,942 |
| AmWINS Group, Inc. 6.375% 2/15/29 (b) | | 5,000 | 5,127 |
| Argentum Netherlands BV for Zurich Insurance Co. Ltd. 2.75% 2/19/49 (Reg. S) (d) | EUR | 100,000 | 105,910 |
| Jones DesLauriers Insurance Management, Inc. 10.5% 12/15/30 (b) | | 5,000 | 5,434 |
| Panther Escrow Issuer LLC 7.125% 6/1/31 (b) | | 5,000 | 5,208 |
| USI, Inc. 7.5% 1/15/32 (b) | | 5,000 | 5,238 |
| | | | 177,302 |
| Mortgage Real Estate Investment Trusts - 0.1% | | | |
| Rithm Capital Corp.: | | | |
| 6.25% 10/15/25(b) | | 1,000 | 998 |
| 8% 4/1/29(b) | | 5,000 | 4,976 |
| Starwood Property Trust, Inc.: | | | |
| 3.625% 7/15/26(b) | | 1,000 | 962 |
| 3.75% 12/31/24(b) | | 6,000 | 5,946 |
| 4.75% 3/15/25 | | 1,000 | 993 |
| 7.25% 4/1/29(b) | | 10,000 | 10,409 |
| | | | 24,284 |
TOTAL FINANCIALS | | | 1,421,059 |
| | | | |
| HEALTH CARE - 1.4% | | | |
| Biotechnology - 0.1% | | | |
| Emergent BioSolutions, Inc. 3.875% 8/15/28 (b) | | 13,000 | 9,652 |
| Grifols SA % (b) | | 1,000 | 950 |
| | | | 10,602 |
| Health Care Equipment & Supplies - 0.1% | | | |
| AdaptHealth LLC 5.125% 3/1/30 (b) | | 8,000 | 7,315 |
| Avantor Funding, Inc. 4.625% 7/15/28 (b) | | 4,000 | 3,893 |
| Embecta Corp. 5% 2/15/30 (b) | | 1,000 | 902 |
| Medline Borrower LP / Medline Co. 6.25% 4/1/29 (b) | | 15,000 | 15,462 |
| Sotera Health Holdings LLC 7.375% 6/1/31 (b) | | 5,000 | 5,229 |
| | | | 32,801 |
| Health Care Providers & Services - 1.0% | | | |
| Akumin, Inc. 8% 8/1/28 (b) | | 2,000 | 1,660 |
| AMN Healthcare 4% 4/15/29 (b)(c) | | 3,000 | 2,798 |
| Centene Corp.: | | | |
| 2.625% 8/1/31 | | 20,000 | 16,965 |
| 4.625% 12/15/29 | | 80,000 | 77,831 |
| CHS/Community Health Systems, Inc.: | | | |
| 4.75% 2/15/31(b) | | 46,000 | 39,235 |
| 5.25% 5/15/30(b) | | 5,000 | 4,483 |
| 6.125% 4/1/30(b) | | 21,000 | 16,630 |
| 10.875% 1/15/32(b) | | 2,000 | 2,165 |
| DaVita, Inc.: | | | |
| 4.625% 6/1/30(b) | | 18,000 | 16,972 |
| 6.875% 9/1/32(b) | | 5,000 | 5,115 |
| LifePoint Health, Inc.: | | | |
| 5.375% 1/15/29(b) | | 4,000 | 3,734 |
| 10% 6/1/32(b) | | 5,000 | 5,427 |
| ModivCare Escrow Issuer, Inc. 5% 10/1/29 (b) | | 2,000 | 1,431 |
| Molina Healthcare, Inc. 3.875% 11/15/30 (b) | | 4,000 | 3,678 |
| Pediatrix Medical Group, Inc. 5.375% 2/15/30 (b) | | 6,000 | 5,738 |
| Prime Healthcare Services 9.375% 9/1/29 (b) | | 5,000 | 5,040 |
| Radiology Partners, Inc. 7.775% 1/31/29 pay-in-kind (b)(d) | | 11,397 | 10,955 |
| Surgery Center Holdings, Inc. 7.25% 4/15/32 (b) | | 7,000 | 7,352 |
| Toledo Hospital 5.325% 11/15/28 | | 25,000 | 24,563 |
| U.S. Acute Care Solutions 9.75% 5/15/29 (b) | | 6,000 | 6,138 |
| | | | 257,910 |
| Health Care Technology - 0.0% | | | |
| IQVIA, Inc. 5% 10/15/26 (b) | | 1,000 | 993 |
| Pharmaceuticals - 0.2% | | | |
| 1375209 BC Ltd. 9% 1/30/28 (b) | | 6,000 | 5,831 |
| Bausch Health Companies, Inc.: | | | |
| 4.875% 6/1/28(b) | | 5,000 | 3,735 |
| 5.25% 1/30/30(b) | | 4,000 | 2,000 |
| 5.5% 11/1/25(b) | | 14,000 | 13,477 |
| 11% 9/30/28(b) | | 4,000 | 3,660 |
| Organon & Co. / Organon Foreign Debt Co-Issuer BV: | | | |
| 4.125% 4/30/28(b) | | 11,000 | 10,516 |
| 5.125% 4/30/31(b) | | 5,000 | 4,683 |
| 6.75% 5/15/34(b) | | 4,000 | 4,145 |
| | | | 48,047 |
TOTAL HEALTH CARE | | | 350,353 |
| | | | |
| INDUSTRIALS - 3.3% | | | |
| Aerospace & Defense - 0.9% | | | |
| Bombardier, Inc.: | | | |
| 7% 6/1/32(b) | | 5,000 | 5,205 |
| 7.25% 7/1/31(b) | | 5,000 | 5,248 |
| 8.75% 11/15/30(b) | | 5,000 | 5,453 |
| Moog, Inc. 4.25% 12/15/27 (b) | | 5,000 | 4,816 |
| Spirit Aerosystems, Inc. 9.75% 11/15/30 (b) | | 5,000 | 5,596 |
| The Boeing Co.: | | | |
| 6.259% 5/1/27(b) | | 2,000 | 2,058 |
| 6.298% 5/1/29(b) | | 3,000 | 3,133 |
| 6.388% 5/1/31(b) | | 2,000 | 2,107 |
| 6.528% 5/1/34(b) | | 3,000 | 3,177 |
| 6.858% 5/1/54(b) | | 124,000 | 133,515 |
| 7.008% 5/1/64(b) | | 4,000 | 4,308 |
| TransDigm, Inc.: | | | |
| 6.375% 3/1/29(b) | | 5,000 | 5,153 |
| 7.125% 12/1/31(b) | | 15,000 | 15,840 |
| VistaJet Malta Finance PLC / XO Management Holding, Inc.: | | | |
| 6.375% 2/1/30(b) | | 11,000 | 9,020 |
| 7.875% 5/1/27(b) | | 4,000 | 3,754 |
| 9.5% 6/1/28(b) | | 3,000 | 2,806 |
| | | | 211,189 |
| Air Freight & Logistics - 0.1% | | | |
| Aercap Global Aviation Trust 6.5% 6/15/45 (b)(d) | | 5,000 | 4,984 |
| Cargo Aircraft Management, Inc. 4.75% 2/1/28 (b) | | 4,000 | 3,820 |
| Rand Parent LLC 8.5% 2/15/30 (b)(c) | | 16,000 | 16,000 |
| | | | 24,804 |
| Building Products - 0.2% | | | |
| Advanced Drain Systems, Inc. 6.375% 6/15/30 (b) | | 11,000 | 11,181 |
| AmeriTex Holdco Intermediate LLC 10.25% 10/15/28 (b) | | 5,000 | 5,319 |
| Builders FirstSource, Inc. 6.375% 3/1/34 (b) | | 5,000 | 5,133 |
| EMRLD Borrower LP / Emerald Co.: | | | |
| 6.625% 12/15/30(b) | | 12,000 | 12,288 |
| 6.75% 7/15/31(b) | | 5,000 | 5,152 |
| MasterBrand, Inc. 7% 7/15/32 (b) | | 3,000 | 3,090 |
| MITER Brands Acquisition Holdco, Inc. / MIWD Borrower LLC 6.75% 4/1/32 (b) | | 5,000 | 5,138 |
| Oscar Acquisition Co. LLC / Oscar Finance, Inc. 9.5% 4/15/30 (b) | | 5,000 | 4,695 |
| | | | 51,996 |
| Commercial Services & Supplies - 0.5% | | | |
| ADT Corp. 4.125% 8/1/29 (b) | | 17,000 | 16,144 |
| Allied Universal Holdco LLC 7.875% 2/15/31 (b) | | 9,000 | 9,138 |
| Allied Universal Holdco LLC / Allied Universal Finance Corp. 9.75% 7/15/27 (b) | | 13,000 | 13,031 |
| APX Group, Inc. 6.75% 2/15/27 (b) | | 7,000 | 7,013 |
| Artera Services LLC 8.5% 2/15/31 (b) | | 21,000 | 21,024 |
| Brand Industrial Services, Inc. 10.375% 8/1/30 (b) | | 10,000 | 10,896 |
| Cimpress PLC 7% 6/15/26 | | 3,000 | 2,990 |
| Clean Harbors, Inc. 6.375% 2/1/31 (b) | | 2,000 | 2,044 |
| CoreCivic, Inc. 8.25% 4/15/29 | | 5,000 | 5,275 |
| Garda World Security Corp. 8.25% 8/1/32 (b) | | 5,000 | 5,082 |
| GFL Environmental, Inc. 6.75% 1/15/31 (b) | | 5,000 | 5,223 |
| Madison IAQ LLC 4.125% 6/30/28 (b) | | 1,000 | 952 |
| Neptune BidCo U.S., Inc. 9.29% 4/15/29 (b) | | 1,000 | 999 |
| Reworld Holding Corp. 4.875% 12/1/29 (b) | | 7,000 | 6,495 |
| The GEO Group, Inc.: | | | |
| 8.625% 4/15/29 | | 4,000 | 4,149 |
| 10.25% 4/15/31 | | 4,000 | 4,226 |
| Williams Scotsman, Inc. 6.625% 6/15/29 (b) | | 5,000 | 5,162 |
| Wrangler Holdco Corp. 6.625% 4/1/32 (b) | | 5,000 | 5,162 |
| | | | 125,005 |
| Construction & Engineering - 0.1% | | | |
| ATP Tower Holdings LLC/Andean Tower Partners 4.05% 4/27/26 (b) | | 6,000 | 5,740 |
| Pike Corp.: | | | |
| 5.5% 9/1/28(b) | | 7,000 | 6,819 |
| 8.625% 1/31/31(b) | | 5,000 | 5,398 |
| Railworks Holdings LP 8.25% 11/15/28 (b) | | 7,000 | 7,152 |
| | | | 25,109 |
| Electrical Equipment - 0.0% | | | |
| GrafTech Global Enterprises, Inc. 9.875% 12/15/28 (b) | | 5,000 | 4,012 |
| Sensata Technologies BV 4% 4/15/29 (b) | | 5,000 | 4,708 |
| | | | 8,720 |
| Ground Transportation - 0.6% | | | |
| Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 5.75% 7/15/27 (b) | | 5,000 | 4,885 |
| Genesee & Wyoming, Inc. 6.25% 4/15/32 (b) | | 10,000 | 10,221 |
| Mobico Group PLC 2.375% 11/20/28 (Reg. S) | GBP | 100,000 | 115,287 |
| Uber Technologies, Inc. 4.5% 8/15/29 (b) | | 17,000 | 16,672 |
| XPO, Inc. 6.25% 6/1/28 (b) | | 5,000 | 5,101 |
| | | | 152,166 |
| Industrial Conglomerates - 0.0% | | | |
| Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.: | | | |
| 5.25% 10/1/25(b) | | 1,000 | 996 |
| 7% 7/15/31(b) | | 5,000 | 5,199 |
| | | | 6,195 |
| Machinery - 0.1% | | | |
| Mueller Water Products, Inc. 4% 6/15/29 (b) | | 5,000 | 4,727 |
| TK Elevator Holdco GmbH 7.625% 7/15/28 (b) | | 5,000 | 5,007 |
| TK Elevator U.S. Newco, Inc. 5.25% 7/15/27 (b) | | 4,000 | 3,938 |
| | | | 13,672 |
| Marine Transportation - 0.0% | | | |
| Seaspan Corp. 5.5% 8/1/29 (b) | | 6,000 | 5,715 |
| Passenger Airlines - 0.1% | | | |
| American Airlines, Inc.: | | | |
| 7.25% 2/15/28(b)(c) | | 5,000 | 5,031 |
| 8.5% 5/15/29(b) | | 5,000 | 5,198 |
| Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. 11% 4/15/29 (b) | | 5,475 | 5,572 |
| JetBlue Airways Corp./JetBlue Loyalty LP 9.875% 9/20/31 (b) | | 5,000 | 4,942 |
| Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd. 8% 9/20/25 (b) | | 4,000 | 2,498 |
| | | | 23,241 |
| Professional Services - 0.0% | | | |
| CoreLogic, Inc. 4.5% 5/1/28 (b) | | 5,000 | 4,679 |
| TriNet Group, Inc. 7.125% 8/15/31 (b) | | 5,000 | 5,185 |
| | | | 9,864 |
| Trading Companies & Distributors - 0.1% | | | |
| Beacon Roofing Supply, Inc. 6.5% 8/1/30 (b) | | 5,000 | 5,135 |
| FLY Leasing Ltd. 7% 10/15/24 (b) | | 1,000 | 994 |
| Fortress Transportation & Infrastructure Investors LLC: | | | |
| 7% 6/15/32(b) | | 5,000 | 5,231 |
| 7.875% 12/1/30(b) | | 5,000 | 5,366 |
| Foundation Building Materials, Inc. 6% 3/1/29 (b) | | 2,000 | 1,794 |
| United Rentals North America, Inc. 6.125% 3/15/34 (b) | | 5,000 | 5,107 |
| | | | 23,627 |
| Transportation Infrastructure - 0.6% | | | |
| Avolon Holdings Funding Ltd. 5.75% 11/15/29 (b) | | 5,000 | 5,119 |
| Heathrow Funding Ltd. 6% 3/5/32 (Reg. S) | GBP | 100,000 | 132,374 |
| | | | 137,493 |
TOTAL INDUSTRIALS | | | 818,796 |
| | | | |
| INFORMATION TECHNOLOGY - 0.9% | | | |
| Communications Equipment - 0.2% | | | |
| CommScope, Inc. 4.75% 9/1/29 (b) | | 14,000 | 11,270 |
| HTA Group Ltd. 7.5% 6/4/29 (b) | | 18,000 | 18,116 |
| IHS Netherlands Holdco BV 8% 9/18/27 (b) | | 4,000 | 3,988 |
| ViaSat, Inc. 5.625% 9/15/25 (b) | | 6,000 | 5,940 |
| | | | 39,314 |
| Electronic Equipment, Instruments & Components - 0.1% | | | |
| Coherent Corp. 5% 12/15/29 (b) | | 6,000 | 5,802 |
| CPI CG, Inc. 10% 7/15/29 (b) | | 5,000 | 5,259 |
| Insight Enterprises, Inc. 6.625% 5/15/32 (b) | | 5,000 | 5,176 |
| Lightning Power LLC 7.25% 8/15/32 (b) | | 5,000 | 5,166 |
| TTM Technologies, Inc. 4% 3/1/29 (b) | | 5,000 | 4,719 |
| | | | 26,122 |
| IT Services - 0.1% | | | |
| Acuris Finance U.S.: | | | |
| 5% 5/1/28(b) | | 9,000 | 8,057 |
| 9% 8/1/29(b) | | 3,000 | 3,000 |
| Ahead DB Holdings LLC 6.625% 5/1/28 (b) | | 3,000 | 2,878 |
| Amentum Escrow Corp. 7.25% 8/1/32 (b) | | 5,000 | 5,228 |
| ASGN, Inc. 4.625% 5/15/28 (b) | | 11,000 | 10,628 |
| Cogent Communications Group, Inc. 7% 6/15/27 (b) | | 5,000 | 5,058 |
| Unisys Corp. 6.875% 11/1/27 (b) | | 1,000 | 936 |
| Virtusa Corp. 7.125% 12/15/28 (b) | | 2,000 | 1,882 |
| | | | 37,667 |
| Semiconductors & Semiconductor Equipment - 0.1% | | | |
| Entegris, Inc. 4.375% 4/15/28 (b) | | 17,000 | 16,329 |
| Software - 0.3% | | | |
| Cloud Software Group, Inc.: | | | |
| 6.5% 3/31/29(b) | | 8,000 | 7,886 |
| 8.25% 6/30/32(b) | | 5,000 | 5,235 |
| 9% 9/30/29(b) | | 15,000 | 15,097 |
| CNT PRNT/CDK GLO II/FIN 8% 6/15/29 (b) | | 3,000 | 3,097 |
| Elastic NV 4.125% 7/15/29 (b) | | 3,000 | 2,795 |
| Helios Software Holdings, Inc. / ION Corporate Solutions Finance Sarl 8.75% 5/1/29 (b) | | 4,000 | 4,165 |
| ION Trading Technologies Ltd. 5.75% 5/15/28 (b) | | 5,000 | 4,706 |
| McAfee Corp. 7.375% 2/15/30 (b) | | 3,000 | 2,878 |
| MicroStrategy, Inc. 6.125% 6/15/28 (b) | | 3,000 | 2,924 |
| Open Text Corp. 3.875% 12/1/29 (b) | | 14,000 | 12,907 |
| UKG, Inc. 6.875% 2/1/31 (b) | | 5,000 | 5,172 |
| Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (b) | | 3,000 | 2,742 |
| | | | 69,604 |
| Technology Hardware, Storage & Peripherals - 0.1% | | | |
| Seagate HDD Cayman: | | | |
| 5.75% 12/1/34 | | 5,000 | 5,003 |
| 8.25% 12/15/29 | | 5,000 | 5,420 |
| Western Digital Corp.: | | | |
| 2.85% 2/1/29 | | 6,000 | 5,383 |
| 3.1% 2/1/32 | | 2,000 | 1,683 |
| 4.75% 2/15/26 | | 1,000 | 991 |
| | | | 18,480 |
TOTAL INFORMATION TECHNOLOGY | | | 207,516 |
| | | | |
| MATERIALS - 1.4% | | | |
| Chemicals - 0.7% | | | |
| Consolidated Energy Finance SA 12% 2/15/31 (b) | | 6,000 | 5,905 |
| CVR Partners LP/CVR Nitrogen Finance Corp. 6.125% 6/15/28 (b) | | 4,000 | 3,883 |
| Herens HoldCo Sarl 4.75% 5/15/28 (b) | | 2,000 | 1,744 |
| INEOS Quattro Finance 2 PLC 9.625% 3/15/29 (b) | | 2,000 | 2,157 |
| Kobe U.S. Midco 2, Inc. 9.25% 11/1/26 pay-in-kind (b)(d) | | 7,562 | 6,201 |
| LSB Industries, Inc. 6.25% 10/15/28 (b) | | 5,000 | 4,900 |
| Methanex Corp.: | | | |
| 5.125% 10/15/27 | | 16,000 | 15,749 |
| 5.65% 12/1/44 | | 4,000 | 3,573 |
| NOVA Chemicals Corp.: | | | |
| 4.25% 5/15/29(b) | | 10,000 | 9,121 |
| 5.25% 6/1/27(b) | | 5,000 | 4,936 |
| 8.5% 11/15/28(b) | | 5,000 | 5,331 |
| 9% 2/15/30(b) | | 5,000 | 5,371 |
| Nufarm Australia Ltd. 5% 1/27/30 (b) | | 6,000 | 5,561 |
| Olin Corp. 5% 2/1/30 | | 16,000 | 15,466 |
| Olympus Water U.S. Holding Corp.: | | | |
| 4.25% 10/1/28(b) | | 18,000 | 16,906 |
| 6.25% 10/1/29(b) | | 6,000 | 5,636 |
| SCIH Salt Holdings, Inc.: | | | |
| 4.875% 5/1/28(b) | | 2,000 | 1,906 |
| 6.625% 5/1/29(b) | | 6,000 | 5,742 |
| SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (b) | | 5,000 | 4,927 |
| The Chemours Co. LLC: | | | |
| 5.375% 5/15/27 | | 1,000 | 972 |
| 5.75% 11/15/28(b) | | 19,000 | 17,805 |
| Tronox, Inc. 4.625% 3/15/29 (b) | | 10,000 | 9,113 |
| W.R. Grace Holding LLC: | | | |
| 4.875% 6/15/27(b) | | 8,000 | 7,823 |
| 7.375% 3/1/31(b) | | 5,000 | 5,193 |
| | | | 165,921 |
| Construction Materials - 0.1% | | | |
| Eco Material Technologies, Inc. 7.875% 1/31/27 (b) | | 11,000 | 11,141 |
| Smyrna Ready Mix Concrete LLC 8.875% 11/15/31 (b) | | 5,000 | 5,367 |
| Summit Materials LLC/Summit Materials Finance Corp. 7.25% 1/15/31 (b) | | 5,000 | 5,256 |
| | | | 21,764 |
| Containers & Packaging - 0.2% | | | |
| ARD Finance SA 6.5% 6/30/27 pay-in-kind (b)(d) | | 3,000 | 691 |
| Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC: | | | |
| 4% 9/1/29(b) | | 7,000 | 6,032 |
| 6% 6/15/27(b) | | 2,000 | 1,994 |
| Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 4.125% 8/15/26 (b) | | 1,000 | 862 |
| Clydesdale Acquisition Holdings, Inc.: | | | |
| 6.625% 4/15/29(b) | | 5,000 | 4,993 |
| 6.875% 1/15/30(b) | | 5,000 | 5,018 |
| 8.75% 4/15/30(b) | | 6,000 | 5,987 |
| Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26 | | 1,000 | 991 |
| Graham Packaging Co., Inc. 7.125% 8/15/28 (b) | | 2,000 | 1,977 |
| Graphic Packaging International, Inc. 6.375% 7/15/32 (b) | | 5,000 | 5,112 |
| Mauser Packaging Solutions Holding Co. 7.875% 4/15/27 (b)(c) | | 5,000 | 5,170 |
| Owens-Brockway Glass Container, Inc. 7.375% 6/1/32 (b) | | 5,000 | 5,023 |
| Sealed Air Corp. 6.5% 7/15/32 (b) | | 5,000 | 5,115 |
| Sealed Air Corp./Sealed Air Corp. U.S. 7.25% 2/15/31 (b) | | 5,000 | 5,254 |
| Trivium Packaging Finance BV: | | | |
| 5.5% 8/15/26(b) | | 6,000 | 5,924 |
| 8.5% 8/15/27(b) | | 5,000 | 4,994 |
| | | | 65,137 |
| Metals & Mining - 0.4% | | | |
| Alcoa Nederland Holding BV 7.125% 3/15/31 (b) | | 9,000 | 9,465 |
| ATI, Inc. 7.25% 8/15/30 | | 5,000 | 5,310 |
| Cleveland-Cliffs, Inc. 7% 3/15/32 (b) | | 10,000 | 10,043 |
| Eldorado Gold Corp. 6.25% 9/1/29 (b) | | 3,000 | 2,963 |
| ERO Copper Corp. 6.5% 2/15/30 (b) | | 11,000 | 10,719 |
| First Quantum Minerals Ltd. 6.875% 10/15/27 (b) | | 18,000 | 17,803 |
| HudBay Minerals, Inc. 4.5% 4/1/26 (b) | | 3,000 | 2,959 |
| Kaiser Aluminum Corp. 4.5% 6/1/31 (b) | | 5,000 | 4,493 |
| Mineral Resources Ltd.: | | | |
| 8% 11/1/27(b) | | 9,000 | 9,142 |
| 9.25% 10/1/28(b) | | 5,000 | 5,282 |
| Novelis Corp. 3.875% 8/15/31 (b) | | 3,000 | 2,690 |
| Samarco Mineracao SA 9% 6/30/31 pay-in-kind (b)(d) | | 5,000 | 4,661 |
| Vibrantz Technologies, Inc. 9% 2/15/30 (b) | | 5,000 | 4,561 |
| | | | 90,091 |
| Paper & Forest Products - 0.0% | | | |
| Ahlstrom Holding 3 OY 4.875% 2/4/28 (b) | | 5,000 | 4,699 |
| LABL, Inc. 6.75% 7/15/26 (b) | | 1,000 | 995 |
| Mercer International, Inc. 5.125% 2/1/29 | | 3,000 | 2,452 |
| | | | 8,146 |
TOTAL MATERIALS | | | 351,059 |
| | | | |
| REAL ESTATE - 1.2% | | | |
| Equity Real Estate Investment Trusts (REITs) - 0.7% | | | |
| GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25 | | 2,000 | 1,995 |
| Highwoods Realty LP 7.65% 2/1/34 | | 31,000 | 34,818 |
| MPT Operating Partnership LP/MPT Finance Corp.: | | | |
| 3.5% 3/15/31 | | 42,000 | 28,688 |
| 5.25% 8/1/26 | | 6,000 | 5,644 |
| Omega Healthcare Investors, Inc. 3.25% 4/15/33 | | 8,000 | 6,769 |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co.-Issuer 7% 2/1/30 (b) | | 5,000 | 5,125 |
| Piedmont Operating Partnership LP: | | | |
| 6.875% 7/15/29 | | 25,000 | 25,973 |
| 9.25% 7/20/28 | | 15,000 | 16,584 |
| Safehold Operating Partnership LP: | | | |
| 2.8% 6/15/31 | | 7,000 | 6,077 |
| 2.85% 1/15/32 | | 4,000 | 3,429 |
| Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC 6% 1/15/30 (b) | | 22,000 | 16,117 |
| Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC: | | | |
| 4.75% 4/15/28(b) | | 19,000 | 16,706 |
| 10.5% 2/15/28(b) | | 2,000 | 2,052 |
| 10.5% 2/15/28(b) | | 2,000 | 2,052 |
| VICI Properties LP 6.125% 4/1/54 | | 3,000 | 3,060 |
| VICI Properties LP / VICI Note Co. 4.125% 8/15/30 (b) | | 3,000 | 2,826 |
| | | | 177,915 |
| Real Estate Management & Development - 0.5% | | | |
| Blackstone Property Partners Europe LP 1% 5/4/28 (Reg. S) | EUR | 100,000 | 99,387 |
| Brandywine Operating Partnership LP 8.875% 4/12/29 | | 7,000 | 7,607 |
| Greystar Real Estate Partners 7.75% 9/1/30 (b) | | 5,000 | 5,320 |
| Howard Hughes Corp. 4.375% 2/1/31 (b) | | 1,000 | 896 |
| Kennedy-Wilson, Inc. 4.75% 2/1/30 | | 5,000 | 4,412 |
| Realogy Group LLC/Realogy Co.-Issuer Corp. 5.25% 4/15/30 (b) | | 2,000 | 1,394 |
| Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.125% 8/1/30 (b) | | 2,000 | 1,976 |
| | | | 120,992 |
TOTAL REAL ESTATE | | | 298,907 |
| | | | |
| UTILITIES - 1.9% | | | |
| Electric Utilities - 1.7% | | | |
| DPL, Inc.: | | | |
| 4.125% 7/1/25 | | 4,000 | 3,927 |
| 4.35% 4/15/29 | | 300,000 | 280,484 |
| EnBW Energie Baden-Wuerttemberg AG 1.375% 8/31/81 (Reg. S) (d) | EUR | 100,000 | 98,549 |
| NextEra Energy Partners LP: | | | |
| 4.5% 9/15/27(b) | | 2,000 | 1,932 |
| 7.25% 1/15/29(b)(c) | | 5,000 | 5,235 |
| NRG Energy, Inc. 5.25% 6/15/29 (b) | | 7,000 | 6,920 |
| PG&E Corp. 5% 7/1/28 | | 8,000 | 7,835 |
| Vistra Operations Co. LLC: | | | |
| 5% 7/31/27(b) | | 16,000 | 15,837 |
| 6.875% 4/15/32(b) | | 5,000 | 5,193 |
| 7.75% 10/15/31(b) | | 5,000 | 5,320 |
| | | | 431,232 |
| Independent Power and Renewable Electricity Producers - 0.1% | | | |
| Calpine Corp.: | | | |
| 4.625% 2/1/29(b) | | 2,000 | 1,908 |
| 5.125% 3/15/28(b) | | 3,000 | 2,927 |
| Sunnova Energy Corp. 5.875% 9/1/26 (b) | | 8,000 | 7,516 |
| | | | 12,351 |
| Water Utilities - 0.1% | | | |
| Anglian Water Services Financing PLC 6.293% 7/30/30 (Reg. S) | GBP | 25,000 | 34,278 |
TOTAL UTILITIES | | | 477,861 |
| | | | |
| TOTAL NONCONVERTIBLE BONDS | | | 6,747,126 |
| TOTAL CORPORATE BONDS (Cost $6,597,753) | | | 6,790,324 |
| | | | |
| U.S. Treasury Obligations - 55.3% |
| | | Principal Amount (a) | Value ($) |
| U.S. Treasury Bonds: | | | |
| 3.625% 2/15/53 | | 1,574,000 | 1,411,866 |
| 4.125% 8/15/53 | | 370,000 | 363,337 |
| 4.375% 2/15/38 | | 70,000 | 72,830 |
| U.S. Treasury Notes: | | | |
| 3.5% 1/31/30 | | 560,000 | 552,497 |
| 3.5% 2/15/33 | | 200,000 | 194,563 |
| 3.625% 3/31/30 | | 590,000 | 585,460 |
| 3.75% 5/31/30 | | 5,000 | 4,992 |
| 4% 1/31/31 | | 100,000 | 101,098 |
| 4% 2/15/34 | | 79,000 | 79,494 |
| 4.125% 7/31/31 | | 1,490,000 | 1,517,575 |
| 4.125% 11/15/32 | | 2,010,000 | 2,047,609 |
| 4.375% 5/15/34 | | 6,210,000 | 6,435,112 |
| 4.5% 11/15/33 | | 220,000 | 229,995 |
| 4.625% 4/30/29 | | 30,000 | 31,120 |
| 4.875% 10/31/28 (g) | | 115,000 | 119,892 |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $13,929,049) | | | 13,747,440 |
| | | | |
| Asset-Backed Securities - 1.9% |
| | | Principal Amount (a) | Value ($) |
| AASET Trust Series 2018-1A Class A, 3.844% 1/16/38 (b) | | 84,593 | 60,653 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/47 (b) | | 116,875 | 113,451 |
| Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | | 147,253 | 136,209 |
| Subway Funding LLC Issuer Series 2024-1A Class A2I, 6.028% 7/30/54 (b) | | 25,000 | 25,650 |
| Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | | 143,810 | 129,429 |
| TOTAL ASSET-BACKED SECURITIES (Cost $449,123) | | | 465,392 |
| | | | |
| Commercial Mortgage Securities - 1.7% |
| | | Principal Amount (a) | Value ($) |
| BX Commercial Mortgage Trust floater Series 2022-LP2 Class B, CME Term SOFR 1 Month Index + 1.310% 6.6492% 2/15/39 (b)(d)(e) | | 75,924 | 74,737 |
| BX Trust floater Series 2022-IND Class C, CME Term SOFR 1 Month Index + 2.290% 7.6269% 4/15/37 (b)(d)(e) | | 88,907 | 88,741 |
| Open Trust 2023-Air sequential payer Series 2023-AIR: | | | |
| Class A, CME Term SOFR 1 Month Index + 3.080% 8.426% 10/15/28 (b)(d)(e) | | 89,859 | 90,645 |
| Class B, CME Term SOFR 1 Month Index + 3.830% 9.1749% 10/15/28 (b)(d)(e) | | 89,859 | 90,195 |
| VLS Commercial Mortgage Trust sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | | 100,000 | 81,746 |
| TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $423,365) | | | 426,064 |
| | | | |
| Municipal Securities - 0.6% |
| | | Principal Amount (a) | Value ($) |
Chicago Board of Ed. Series 2009 G, 1.75% 12/15/25 (Cost $149,827) | | 160,000 | 151,610 |
| | | | |
| Foreign Government and Government Agency Obligations - 4.2% |
| | | Principal Amount (a) | Value ($) |
| Brazilian Federative Republic: | | | |
| 5.625% 2/21/47 | | 200,000 | 173,822 |
| 10% 1/1/27 | BRL | 400,000 | 68,302 |
| 10% 1/1/33 | BRL | 400,000 | 63,542 |
| Colombian Republic 8% 11/14/35 | | 200,000 | 212,200 |
| Dominican Republic 4.875% 9/23/32 (b) | | 260,000 | 244,725 |
| Japan Government 0.1% 12/20/24 | JPY | 21,700,000 | 148,409 |
| United Mexican States: | | | |
| 7.75% 5/29/31 | MXN | 1,405,000 | 64,693 |
| 7.75% 11/13/42 | MXN | 1,492,000 | 61,404 |
| TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,036,422) | | | 1,037,097 |
| | | | |
| Common Stocks - 0.0% |
| | | Shares | Value ($) |
| HEALTH CARE - 0.0% | | | |
| Health Care Providers & Services - 0.0% | | | |
| Cano Health, Inc. (h) | | 444 | 4,924 |
| Cano Health, Inc. warrants (h)(i) | | 14 | 51 |
| TOTAL COMMON STOCKS (Cost $8,740) | | | 4,975 |
| | | | |
| Bank Loan Obligations - 0.6% |
| | | Principal Amount (a) | Value ($) |
| COMMUNICATION SERVICES - 0.0% | | | |
| Media - 0.0% | | | |
| Diamond Sports Group LLC 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 15.4423% 5/25/26 (d)(e)(j) | | 4,000 | 3,643 |
| CONSUMER DISCRETIONARY - 0.3% | | | |
| Automobile Components - 0.0% | | | |
| Power Stop LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 9.9072% 1/26/29 (d)(e)(j) | | 2,992 | 2,873 |
| Diversified Consumer Services - 0.1% | | | |
| Spin Holdco, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.6001% 3/4/28 (d)(e)(j) | | 12,865 | 10,890 |
| TKC Holdings, Inc. 1LN, term loan 13.5% 2/14/27 (d)(j) | | 3,275 | 2,710 |
| | | | 13,600 |
| Hotels, Restaurants & Leisure - 0.1% | | | |
| Bulldog Purchaser, Inc. Tranche B 2LN, term loan CME Term SOFR 3 Month Index + 6.750% 12.0846% 6/14/32 (d)(e)(j) | | 5,000 | 4,958 |
| City Football Group Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.3924% 7/21/30 (d)(e)(j) | | 10,878 | 10,824 |
| ClubCorp Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.000% 10.5962% 9/18/26 (d)(e)(j) | | 2,156 | 2,158 |
| United PF Holdings LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.5137% 12/30/26 (d)(e)(j) | | 7,948 | 7,225 |
| | | | 25,165 |
| Household Durables - 0.0% | | | |
| Mattress Firm, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.8462% 9/24/28 (d)(e)(j) | | 5,000 | 4,997 |
| Specialty Retail - 0.1% | | | |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1395% 6/6/31 (d)(e)(j) | | 14,898 | 14,443 |
| Staples, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.750% 11.0844% 9/10/29 (d)(e)(j) | | 5,000 | 4,550 |
| | | | 18,993 |
TOTAL CONSUMER DISCRETIONARY | | | 65,628 |
| ENERGY - 0.1% | | | |
| Oil, Gas & Consumable Fuels - 0.1% | | | |
| EG America LLC Tranche BC 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 11.0716% 2/7/28 (d)(e)(j) | | 20,847 | 20,778 |
| FINANCIALS - 0.0% | | | |
| Financial Services - 0.0% | | | |
| Nexus Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3437% 7/18/31 (d)(e)(j) | | 5,000 | 4,951 |
| HEALTH CARE - 0.0% | | | |
| Health Care Providers & Services - 0.0% | | | |
| Cano Health, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 13.3346% 6/28/29 (d)(e)(h)(j) | | 2,608 | 2,601 |
| Modivcare, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.0816% 7/1/31 (d)(e)(j) | | 5,000 | 4,869 |
| | | | 7,470 |
| INDUSTRIALS - 0.0% | | | |
| Building Products - 0.0% | | | |
| Acproducts Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.8462% 5/17/28 (d)(e)(j) | | 4,898 | 3,677 |
| Commercial Services & Supplies - 0.0% | | | |
| Brand Industrial Services, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.7477% 8/1/30 (d)(e)(j) | | 1,000 | 991 |
| Professional Services - 0.0% | | | |
| CoreLogic, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8612% 6/2/28 (d)(e)(j) | | 997 | 984 |
TOTAL INDUSTRIALS | | | 5,652 |
| INFORMATION TECHNOLOGY - 0.1% | | | |
| Software - 0.1% | | | |
| Ascend Learning LLC 2LN, term loan CME Term SOFR 1 Month Index + 5.750% 11.0967% 12/10/29 (d)(e)(j) | | 5,000 | 4,788 |
| DH Corp./Societe term loan CME Term SOFR 3 Month Index + 7.250% 12.4592% 9/13/29 (d)(e)(h)(j) | | 114 | 114 |
| Finastra U.S.A., Inc. term loan CME Term SOFR 1 Month Index + 7.250% 12.4592% 9/13/29 (d)(e)(h)(j) | | 4,861 | 4,861 |
| Leia Finco U.S. LLC: | | | |
| 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 7/2/31 (e)(j)(k) | | 4,000 | 3,961 |
| 2LN, term loan CME Term SOFR 1 Month Index + 5.250% 7/2/32 (e)(j)(k) | | 5,000 | 4,892 |
| Polaris Newco LLC: | | | |
| 2LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.4321% 6/4/29 (d)(e)(j) | | 3,000 | 2,950 |
| Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.5137% 6/2/28 (d)(e)(j) | | 1,000 | 992 |
| | | | 22,558 |
| MATERIALS - 0.1% | | | |
| Chemicals - 0.1% | | | |
| American Rock Salt Co. LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.3188% 6/4/28 (d)(e)(j) | | 995 | 784 |
| Hexion Holdings Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.7711% 3/15/29 (d)(e)(j) | | 6,967 | 6,926 |
| Hexion, Inc. 2LN, term loan CME Term SOFR 1 Month Index + 7.430% 12.7842% 3/15/30 (d)(e)(j) | | 1,000 | 896 |
| M2S Group Intermediate Holding Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 9.8518% 8/25/31 (d)(e)(j) | | 5,000 | 4,688 |
| | | | 13,294 |
| UTILITIES - 0.0% | | | |
| Independent Power and Renewable Electricity Producers - 0.0% | | | |
| Enstall Group BV Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.5962% 8/27/28 (d)(e)(h)(j) | | 4,903 | 4,633 |
| Win Waste Innovations Holdings Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1112% 3/25/28 (d)(e)(j) | | 2,000 | 1,868 |
| | | | 6,501 |
| TOTAL BANK LOAN OBLIGATIONS (Cost $150,444) | | | 150,475 |
| | | | |
| Preferred Securities - 2.8% |
| | | Principal Amount (a) | Value ($) |
| ENERGY - 0.9% | | | |
| Oil, Gas & Consumable Fuels - 0.9% | | | |
| Enbridge, Inc. 5.75% 7/15/80 (d) | | 220,000 | 211,982 |
| Energy Transfer LP 6.625% (d)(l) | | 2,000 | 1,951 |
| EnLink Midstream Partners LP CME Term SOFR 3 Month Index + 4.370% 9.7156% (d)(e)(l) | | 7,000 | 7,129 |
| Plains All American Pipeline LP CME Term SOFR 3 Month Index + 4.110% 9.4897% (d)(e)(l) | | 9,000 | 8,995 |
| | | | 230,057 |
| FINANCIALS - 1.8% | | | |
| Banks - 1.7% | | | |
| Bank of America Corp. 5.875% (d)(l) | | 5,000 | 5,101 |
| Bank of Nova Scotia: | | | |
| CME Term SOFR 3 Month Index + 2.900% 8.2137% (d)(e)(l) | | 250,000 | 248,488 |
| 4.9% (d)(l) | | 150,000 | 149,440 |
| Citigroup, Inc. 7.125% (d)(l) | | 5,000 | 5,208 |
| JPMorgan Chase & Co. 4.6% (d)(l) | | 5,000 | 4,993 |
| M&T Bank Corp.: | | | |
| 3.5% (d)(l) | | 2,000 | 1,769 |
| 5.125% (d)(l) | | 1,000 | 990 |
| Wells Fargo & Co. 6.85% (d)(l) | | 5,000 | 5,175 |
| | | | 421,164 |
| Consumer Finance - 0.1% | | | |
| Ally Financial, Inc.: | | | |
| 4.7% (d)(l) | | 12,000 | 10,932 |
| 4.7% (d)(l) | | 3,000 | 2,504 |
| | | | 13,436 |
TOTAL FINANCIALS | | | 434,600 |
| INDUSTRIALS - 0.1% | | | |
| Trading Companies & Distributors - 0.1% | | | |
| AerCap Holdings NV 5.875% 10/10/79 (d) | | 7,000 | 7,152 |
| Air Lease Corp. 4.125% (d)(l) | | 6,000 | 5,524 |
| Aircastle Ltd. 5.25% (b)(d)(l) | | 7,000 | 7,047 |
| | | | 19,723 |
| TOTAL PREFERRED SECURITIES (Cost $668,514) | | | 684,380 |
| | | | |
| Money Market Funds - 5.1% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.39% (m) | | 1,217,524 | 1,217,768 |
| Fidelity Securities Lending Cash Central Fund 5.39% (m)(n) | | 45,198 | 45,202 |
| TOTAL MONEY MARKET FUNDS (Cost $1,262,970) | | | 1,262,970 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 99.5% (Cost $24,676,207) | 24,720,727 |
NET OTHER ASSETS (LIABILITIES) - 0.5% | 134,259 |
| NET ASSETS - 100.0% | 24,854,986 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Bond Index Contracts | | | | | |
| TME 10 Year Canadian Note Contracts (Canada) | 1 | Dec 2024 | 91,315 | (929) | (929) |
| | | | | | |
| Treasury Contracts | | | | | |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 1 | Dec 2024 | 207,547 | (275) | (275) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 2 | Dec 2024 | 218,797 | (941) | (941) |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 1 | Dec 2024 | 123,125 | (2,447) | (2,447) |
| | | | | | |
| TOTAL TREASURY CONTRACTS | | | | | (3,663) |
| | | | | | |
| TOTAL PURCHASED | | | | | (4,592) |
| | | | | | |
| Sold | | | | | |
| | | | | | |
| Bond Index Contracts | | | | | |
| ICE Long Gilt Contracts (United Kingdom) | 1 | Dec 2024 | 129,623 | 881 | 881 |
| | | | | | |
| TOTAL FUTURES CONTRACTS | | | | | (3,711) |
| The notional amount of futures purchased as a percentage of Net Assets is 2.6% |
| The notional amount of futures sold as a percentage of Net Assets is 0.5% |
| Forward Foreign Currency Contracts |
Currency Purchased
| Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) |
| | | | | | | |
| USD | 1,464 | CAD | 2,000 | Bank of America, N.A. | 10/03/24 | (21) |
| USD | 883,258 | EUR | 799,000 | Bank of America, N.A. | 10/03/24 | (1,130) |
| USD | 545,479 | GBP | 421,000 | State Street Bank and Trust Co | 10/03/24 | (7,570) |
| | | | | | | |
| TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | | (8,721) |
| Unrealized Appreciation | | | 0 |
| Unrealized Depreciation | | | (8,721) |
Currency Abbreviations
| BRL | - | Brazilian real |
| CAD | - | Canadian dollar |
| EUR | - | European Monetary Unit |
| GBP | - | British pound sterling |
| JPY | - | Japanese yen |
| MXN | - | Mexican peso |
| USD | - | U.S. dollar |
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $4,373,551 or 17.6% of net assets. |
| (c) | Security or a portion of the security is on loan at period end. |
| (d) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (e) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (f) | Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
| (g) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $21,176. |
| (j) | Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
| (k) | The coupon rate will be determined upon settlement of the loan after period end. |
| (l) | Security is perpetual in nature with no stated maturity date. |
| (m) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (n) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 1,113,145 | 2,781,987 | 2,677,367 | 18,878 | 3 | - | 1,217,768 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 5.39% | - | 78,176 | 32,974 | 21 | - | - | 45,202 | 0.0% |
| Total | 1,113,145 | 2,860,163 | 2,710,341 | 18,899 | 3 | - | 1,262,970 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Equities: | | | | |
Health Care | 4,975 | - | - | 4,975 |
|
| Corporate Bonds | 6,790,324 | - | 6,790,324 | - |
|
| U.S. Government and Government Agency Obligations | 13,747,440 | - | 13,747,440 | - |
|
| Asset-Backed Securities | 465,392 | - | 465,392 | - |
|
| Commercial Mortgage Securities | 426,064 | - | 426,064 | - |
|
| Municipal Securities | 151,610 | - | 151,610 | - |
|
| Foreign Government and Government Agency Obligations | 1,037,097 | - | 1,037,097 | - |
|
| Bank Loan Obligations | 150,475 | - | 138,266 | 12,209 |
|
| Preferred Securities | 684,380 | - | 684,380 | - |
|
| Money Market Funds | 1,262,970 | 1,262,970 | - | - |
| Total Investments in Securities: | 24,720,727 | 1,262,970 | 23,440,573 | 17,184 |
Derivative Instruments: Assets | | | | |
Futures Contracts | 881 | 881 | - | - |
| Total Assets | 881 | 881 | - | - |
| Liabilities | | | | |
Futures Contracts | (4,592) | (4,592) | - | - |
Forward Foreign Currency Contracts | (8,721) | - | (8,721) | - |
| Total Liabilities | (13,313) | (4,592) | (8,721) | - |
| Total Derivative Instruments: | (12,432) | (3,711) | (8,721) | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Foreign Exchange Risk | | |
Forward Foreign Currency Contracts (a) | 0 | (8,721) |
| Total Foreign Exchange Risk | 0 | (8,721) |
| Interest Rate Risk | | |
Futures Contracts (b) | 881 | (4,592) |
| Total Interest Rate Risk | 881 | (4,592) |
| Total Value of Derivatives | 881 | (13,313) |
(a)Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.
(b)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
Fidelity® Tactical Bond ETF
Financial Statements
| Statement of Assets and Liabilities |
As of August 31, 2024 |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $43,456) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $23,413,237) | $ | 23,457,757 | | |
Fidelity Central Funds (cost $1,262,970) | | 1,262,970 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $24,676,207) | | | $ | 24,720,727 |
| Cash | | | | 1,269 |
| Foreign currency held at value (cost $38,127) | | | | 38,127 |
| Receivable for investments sold | | | | 25,659 |
| Dividends receivable | | | | 779 |
| Interest receivable | | | | 250,687 |
| Distributions receivable from Fidelity Central Funds | | | | 3,355 |
| Other receivables | | | | 221 |
Total assets | | | | 25,040,824 |
| Liabilities | | | | |
| Payable for investments purchased | $ | 38,054 | | |
| Unrealized depreciation on forward foreign currency contracts | | 8,721 | | |
| Distributions payable | | 81,000 | | |
| Accrued management fee | | 9,730 | | |
| Payable for daily variation margin on futures contracts | | 2,957 | | |
| Other payables and accrued expenses | | 173 | | |
| Collateral on securities loaned | | 45,203 | | |
| Total liabilities | | | | 185,838 |
| Net Assets | | | $ | 24,854,986 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 24,991,378 |
| Total accumulated earnings (loss) | | | | (136,392) |
| Net Assets | | | $ | 24,854,986 |
Net Asset Value, offering price and redemption price per share ($24,854,986 ÷ 500,000 shares) | | | $ | 49.71 |
| Statement of Operations |
| Year ended August 31, 2024 |
| Investment Income | | | | |
| Dividends | | | $ | 12,962 |
| Interest | | | | 811,308 |
| Income from Fidelity Central Funds (including $21 from security lending) | | | | 18,899 |
| Total income | | | | 843,169 |
| Expenses | | | | |
| Management fee | $ | 82,617 | | |
| Independent trustees' fees and expenses | | 44 | | |
| Miscellaneous | | 537 | | |
| Total expenses before reductions | | 83,198 | | |
| Expense reductions | | (1,509) | | |
| Total expenses after reductions | | | | 81,689 |
| Net Investment income (loss) | | | | 761,480 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (51,630) | | |
| Fidelity Central Funds | | 3 | | |
| Forward foreign currency contracts | | 3,006 | | |
| Foreign currency transactions | | 11 | | |
| Futures contracts | | 4,545 | | |
| Total net realized gain (loss) | | | | (44,065) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 521,585 | | |
| Forward foreign currency contracts | | (25,186) | | |
| Assets and liabilities in foreign currencies | | 693 | | |
| Futures contracts | | (4,061) | | |
| Total change in net unrealized appreciation (depreciation) | | | | 493,031 |
| Net gain (loss) | | | | 448,966 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 1,210,446 |
| Statement of Changes in Net Assets |
| |
| | Year ended August 31, 2024 | | For the period January 24, 2023 (commencement of operations) through August 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 761,480 | $ | 411,778 |
| Net realized gain (loss) | | (44,065) | | (117,655) |
| Change in net unrealized appreciation (depreciation) | | 493,031 | | (460,761) |
| Net increase (decrease) in net assets resulting from operations | | 1,210,446 | | (166,638) |
| Distributions to shareholders | | (771,900) | | (408,300) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 9,947,616 | | 15,043,762 |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | 9,947,616 | | 15,043,762 |
| Total increase (decrease) in net assets | | 10,386,162 | | 14,468,824 |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 14,468,824 | | - |
| End of period | $ | 24,854,986 | $ | 14,468,824 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 200,000 | | 300,000 |
| Net increase (decrease) | | 200,000 | | 300,000 |
| | | | | |
Financial Highlights
Fidelity® Tactical Bond ETF |
| |
| Years ended August 31, | | 2024 | | 2023 A |
Selected Per-Share Data | | | | |
| Net asset value, beginning of period | $ | 48.23 | $ | 50.00 |
| Income from Investment Operations | | | | |
Net investment income (loss) B,C | | 2.439 | | 1.373 |
| Net realized and unrealized gain (loss) | | 1.506 | | (1.782) |
| Total from investment operations | | 3.945 | | (.409) |
| Distributions from net investment income | | (2.465) | | (1.361) |
| Total distributions | | (2.465) | | (1.361) |
| Net asset value, end of period | $ | 49.71 | $ | 48.23 |
Total Return D,E,F | | | | (.82)% |
Ratios to Average Net Assets C,G,H | | | | |
| Expenses before reductions | | .55% | | .55% I |
| Expenses net of fee waivers, if any | | | | .55% I |
| Expenses net of all reductions | | .54% | | .54% I |
| Net investment income (loss) | | 5.06% | | 4.64% I |
| Supplemental Data | | | | |
| Net assets, end of period (000 omitted) | $ | 24,855 | $ | 14,469 |
Portfolio turnover rate J | | | | 46% I |
AFor the period January 24, 2023 (commencement of operations) through August 31, 2023.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FBased on net asset value.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
KPortfolio turnover rate excludes securities received or delivered in-kind.
Schedule of Investments August 31, 2024
Showing Percentage of Net Assets
| Corporate Bonds - 30.8% |
| | | Principal Amount (a) | Value ($) |
| Convertible Bonds - 0.1% | | | |
| COMMUNICATION SERVICES - 0.0% | | | |
| Media - 0.0% | | | |
| DISH Network Corp. 3.375% 8/15/26 | | 2,486,000 | 1,547,755 |
| INFORMATION TECHNOLOGY - 0.0% | | | |
| Electronic Equipment, Instruments & Components - 0.0% | | | |
| Itron, Inc. 1.375% 7/15/30 (b) | | 200,000 | 204,600 |
| Semiconductors & Semiconductor Equipment - 0.0% | | | |
| MKS Instruments, Inc. 1.25% 6/1/30 (b) | | 552,000 | 568,284 |
| Wolfspeed, Inc. 1.875% 12/1/29 | | 3,035,000 | 1,156,952 |
| | | | 1,725,236 |
TOTAL INFORMATION TECHNOLOGY | | | 1,929,836 |
| | | | |
| REAL ESTATE - 0.0% | | | |
| Real Estate Management & Development - 0.0% | | | |
| Realogy Group LLC/Realogy Co-Issuer Corp. 0.25% 6/15/26 | | 438,000 | 372,300 |
| Redfin Corp. 0.5% 4/1/27 | | 2,103,000 | 1,440,555 |
| | | | 1,812,855 |
| UTILITIES - 0.1% | | | |
| Electric Utilities - 0.0% | | | |
| PG&E Corp. 4.25% 12/1/27 (b) | | 400,000 | 426,800 |
| Independent Power and Renewable Electricity Producers - 0.1% | | | |
| NextEra Energy Partners LP 2.5% 6/15/26 (b) | | 1,114,000 | 1,027,736 |
| Sunnova Energy International, Inc.: | | | |
| 0.25% 12/1/26 | | 1,206,000 | 913,442 |
| 2.625% 2/15/28 | | 249,000 | 160,730 |
| | | | 2,101,908 |
TOTAL UTILITIES | | | 2,528,708 |
| | | | |
| TOTAL CONVERTIBLE BONDS | | | 7,819,154 |
| Nonconvertible Bonds - 30.7% | | | |
| COMMUNICATION SERVICES - 3.0% | | | |
| Diversified Telecommunication Services - 0.7% | | | |
| Altice France SA: | | | |
| 5.125% 1/15/29(b) | | 1,465,000 | 1,017,090 |
| 5.125% 7/15/29(b) | | 3,425,000 | 2,389,579 |
| 5.5% 1/15/28(b) | | 2,690,000 | 1,914,200 |
| 5.5% 10/15/29(b) | | 500,000 | 346,920 |
| AT&T, Inc.: | | | |
| 2.55% 12/1/33 | | 14,059,000 | 11,644,534 |
| 3.8% 12/1/57 | | 3,772,000 | 2,764,716 |
| 4.3% 2/15/30 | | 315,000 | 311,807 |
| 4.5% 3/9/48 | | 10,000 | 8,623 |
| 5.15% 11/15/46 | | 500,000 | 479,135 |
| Cablevision Lightpath LLC: | | | |
| 3.875% 9/15/27(b) | | 374,000 | 350,995 |
| 5.625% 9/15/28(b) | | 670,000 | 607,443 |
| Connect Finco SARL / Connect U.S. Finco LLC 6.75% 10/1/26 (b) | | 633,000 | 628,206 |
| Consolidated Communications, Inc. 5% 10/1/28 (b) | | 350,000 | 305,540 |
| Frontier Communications Holdings LLC: | | | |
| 5% 5/1/28(b) | | 2,006,000 | 1,947,936 |
| 5.875% 10/15/27(b) | | 393,000 | 391,458 |
| 6.75% 5/1/29(b) | | 890,000 | 858,494 |
| 8.75% 5/15/30(b) | | 843,000 | 887,848 |
| IHS Holding Ltd.: | | | |
| 5.625% 11/29/26(b) | | 1,005,000 | 976,106 |
| 6.25% 11/29/28(b) | | 130,000 | 119,519 |
| Iliad Holding SAS: | | | |
| 7% 10/15/28(b) | | 70,000 | 71,046 |
| 8.5% 4/15/31(b) | | 1,377,000 | 1,459,161 |
| Koninklijke KPN NV 3.875% 2/16/36 (Reg. S) | EUR | 400,000 | 444,147 |
| Level 3 Financing, Inc.: | | | |
| 3.625% 1/15/29(b) | | 110,000 | 68,475 |
| 3.875% 10/15/30(b) | | 395,000 | 268,785 |
| 4% 4/15/31(b) | | 330,000 | 221,097 |
| 4.5% 4/1/30(b) | | 935,000 | 685,384 |
| 4.875% 6/15/29(b) | | 70,000 | 54,429 |
| 10.5% 5/15/30(b) | | 1,846,000 | 1,977,934 |
| 11% 11/15/29(b) | | 351,548 | 385,405 |
| Liquid Telecommunications Financing PLC 5.5% 9/4/26 (b) | | 2,240,000 | 1,392,787 |
| Optics Bidco SpA 7.2% 7/18/36 (b) | | 974,000 | 1,022,990 |
| Qtel International Finance Ltd. 2.625% 4/8/31 (b) | | 350,000 | 312,266 |
| Sable International Finance Ltd. 5.75% 9/7/27 (b) | | 1,300,000 | 1,280,903 |
| Sitios Latinoamerica S.A.B. de CV 5.375% 4/4/32 (b) | | 1,773,000 | 1,682,577 |
| Telefonica Celular del Paraguay SA 5.875% 4/15/27 (b) | | 235,000 | 233,091 |
| Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) | | 200,000 | 193,250 |
| Telstra Group Ltd. 3.5% 9/3/36 (Reg. S) | EUR | 1,200,000 | 1,323,018 |
| Verizon Communications, Inc.: | | | |
| 2.355% 3/15/32 | | 2,100,000 | 1,784,182 |
| 2.55% 3/21/31 | | 37,892,000 | 33,331,038 |
| 2.987% 10/30/56 | | 1,624,000 | 1,043,445 |
| 3.75% 2/28/36 | EUR | 425,000 | 470,799 |
| 4.78% 2/15/35(b) | | 1,373,000 | 1,353,844 |
| 4.862% 8/21/46 | | 875,000 | 826,895 |
| 5.012% 4/15/49 | | 38,000 | 37,693 |
| Virgin Media Finance PLC 5% 7/15/30 (b) | | 405,000 | 350,947 |
| Windstream Escrow LLC 7.75% 8/15/28 (b) | | 1,940,000 | 1,893,646 |
| Zayo Group Holdings, Inc. 4% 3/1/27 (b)(c) | | 1,085,000 | 947,025 |
| | | | 83,066,408 |
| Entertainment - 0.0% | | | |
| Allen Media LLC/Allen Media Co.-Issuer, Inc. 10.5% 2/15/28 (b) | | 400,000 | 156,000 |
| Roblox Corp. 3.875% 5/1/30 (b) | | 1,717,000 | 1,581,782 |
| Universal Music Group NV 4% 6/13/31 (Reg. S) | EUR | 895,000 | 1,024,729 |
| | | | 2,762,511 |
| Interactive Media & Services - 0.0% | | | |
| Baidu, Inc. 2.375% 10/9/30 | | 744,000 | 656,379 |
| Tencent Holdings Ltd.: | | | |
| 1.81% 1/26/26(b) | | 350,000 | 336,830 |
| 2.39% 6/3/30(b) | | 600,000 | 534,938 |
| | | | 1,528,147 |
| Media - 1.8% | | | |
| Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (b) | | 1,462,000 | 1,370,714 |
| Altice Financing SA: | | | |
| 5% 1/15/28(b) | | 50,000 | 40,157 |
| 5.75% 8/15/29(b) | | 4,020,000 | 3,096,625 |
| Altice France Holding SA 6% 2/15/28 (b) | | 840,000 | 270,544 |
| CCO Holdings LLC/CCO Holdings Capital Corp.: | | | |
| 4.25% 1/15/34(b) | | 960,000 | 774,154 |
| 4.5% 5/1/32 | | 2,008,000 | 1,714,540 |
| 4.5% 6/1/33(b) | | 2,302,000 | 1,924,473 |
| 4.75% 3/1/30(b) | | 3,439,000 | 3,134,748 |
| 5% 2/1/28(b) | | 1,000,000 | 963,601 |
| 5.375% 6/1/29(b) | | 2,704,000 | 2,564,914 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | | | |
| 2.25% 1/15/29 | | 6,859,000 | 6,061,194 |
| 4.4% 4/1/33 | | 58,444,000 | 53,120,577 |
| 5.25% 4/1/53 | | 21,467,000 | 17,578,824 |
| 5.375% 5/1/47 | | 5,606,000 | 4,675,071 |
| 5.5% 4/1/63 | | 2,937,000 | 2,354,693 |
| 5.75% 4/1/48 | | 1,936,000 | 1,680,768 |
| 6.1% 6/1/29 | | 5,156,000 | 5,327,064 |
| 6.484% 10/23/45 | | 2,711,000 | 2,591,263 |
| 6.55% 6/1/34 | | 3,012,000 | 3,120,092 |
| Clear Channel Outdoor Holdings, Inc.: | | | |
| 5.125% 8/15/27(b)(c) | | 1,200,000 | 1,172,295 |
| 7.5% 6/1/29(b) | | 620,000 | 522,798 |
| 7.875% 4/1/30(b) | | 1,506,000 | 1,573,555 |
| 9% 9/15/28(b) | | 155,000 | 164,760 |
| Comcast Corp.: | | | |
| 3.9% 3/1/38 | | 71,000 | 62,919 |
| 4.65% 7/15/42 | | 162,000 | 150,912 |
| CSC Holdings LLC: | | | |
| 3.375% 2/15/31(b) | | 1,010,000 | 649,473 |
| 4.125% 12/1/30(b) | | 325,000 | 214,324 |
| 4.625% 12/1/30(b) | | 1,645,000 | 643,185 |
| 5.375% 2/1/28(b) | | 1,430,000 | 1,099,513 |
| 5.5% 4/15/27(b) | | 600,000 | 489,532 |
| Discovery Communications LLC 3.625% 5/15/30 | | 5,580,000 | 4,952,861 |
| DISH DBS Corp.: | | | |
| 5.75% 12/1/28(b) | | 1,194,000 | 918,673 |
| 5.875% 11/15/24 | | 260,000 | 252,376 |
| DISH Network Corp. 11.75% 11/15/27 (b) | | 4,442,000 | 4,516,470 |
| Fox Corp.: | | | |
| 4.709% 1/25/29 | | 145,000 | 146,016 |
| 5.476% 1/25/39 | | 143,000 | 142,461 |
| 5.576% 1/25/49 | | 95,000 | 91,917 |
| LCPR Senior Secured Financing DAC: | | | |
| 5.125% 7/15/29(b) | | 1,170,000 | 944,885 |
| 6.75% 10/15/27(b) | | 1,568,000 | 1,433,609 |
| Outfront Media Capital LLC / Corp. 7.375% 2/15/31 (b) | | 1,260,000 | 1,339,245 |
| Sirius XM Radio, Inc.: | | | |
| 3.875% 9/1/31(b)(c) | | 2,100,000 | 1,802,001 |
| 4.125% 7/1/30(b) | | 635,000 | 569,965 |
| Telecomunicaciones Digitales SA 4.5% 1/30/30 (b) | | 965,000 | 877,552 |
| Time Warner Cable LLC: | | | |
| 5.5% 9/1/41 | | 16,000 | 13,846 |
| 5.875% 11/15/40 | | 1,356,000 | 1,224,047 |
| 6.55% 5/1/37 | | 157,000 | 154,897 |
| 6.75% 6/15/39 | | 674,000 | 670,159 |
| 7.3% 7/1/38 | | 211,000 | 220,669 |
| Univision Communications, Inc.: | | | |
| 4.5% 5/1/29(b) | | 1,500,000 | 1,316,354 |
| 6.625% 6/1/27(b) | | 471,000 | 466,206 |
| 7.375% 6/30/30(b) | | 799,000 | 766,912 |
| 8% 8/15/28(b) | | 285,000 | 288,344 |
| 8.5% 7/31/31(b) | | 920,000 | 918,173 |
| Virgin Media Secured Finance PLC 4.5% 8/15/30 (b) | | 1,185,000 | 1,046,476 |
| VTR Finance BV 6.375% 7/15/28 (b) | | 360,000 | 329,400 |
| Warnermedia Holdings, Inc.: | | | |
| 3.755% 3/15/27 | | 1,175,000 | 1,125,702 |
| 4.054% 3/15/29 | | 1,858,000 | 1,735,873 |
| 4.279% 3/15/32 | | 49,724,000 | 43,466,279 |
| 4.693% 5/17/33 (Reg. S) | EUR | 850,000 | 928,043 |
| 5.05% 3/15/42 | | 1,219,000 | 976,827 |
| 5.141% 3/15/52 | | 14,969,000 | 11,385,400 |
| Ziggo Bond Co. BV 6% 1/15/27 (b) | | 450,000 | 448,705 |
| Ziggo BV 4.875% 1/15/30 (b) | | 774,000 | 721,614 |
| | | | 205,299,239 |
| Wireless Telecommunication Services - 0.5% | | | |
| AXIAN Telecom 7.375% 2/16/27 (b) | | 685,000 | 683,502 |
| C&W Senior Finance Ltd. 6.875% 9/15/27 (b) | | 2,893,000 | 2,848,039 |
| CT Trust 5.125% 2/3/32 (b) | | 500,000 | 448,125 |
| Intelsat Jackson Holdings SA 6.5% 3/15/30 (b) | | 1,775,000 | 1,704,352 |
| Millicom International Cellular SA: | | | |
| 4.5% 4/27/31(b) | | 1,258,000 | 1,118,840 |
| 6.25% 3/25/29(b) | | 630,000 | 620,865 |
| 7.375% 4/2/32(b) | | 677,000 | 683,364 |
| T-Mobile U.S.A., Inc.: | | | |
| 2.25% 11/15/31 | | 8,412,000 | 7,138,785 |
| 3.875% 4/15/30 | | 35,005,000 | 33,678,176 |
| 4.375% 4/15/40 | | 207,000 | 186,561 |
| 4.5% 4/15/50 | | 407,000 | 353,140 |
| VMED O2 UK Financing I PLC 4.25% 1/31/31 (b) | | 1,740,000 | 1,512,657 |
| Vodafone Group PLC 4.875% 10/3/78 (Reg. S) (d) | GBP | 385,000 | 499,947 |
| VTR Comunicaciones SpA 5.125% 1/15/28 (b) | | 775,000 | 710,822 |
| | | | 52,187,175 |
TOTAL COMMUNICATION SERVICES | | | 344,843,480 |
| | | | |
| CONSUMER DISCRETIONARY - 1.3% | | | |
| Automobile Components - 0.1% | | | |
| Dana, Inc. 4.25% 9/1/30 | | 298,000 | 268,376 |
| Hertz Corp. 12.625% 7/15/29 (b) | | 65,000 | 69,236 |
| Macquarie AirFinance Holdings: | | | |
| 6.4% 3/26/29(b) | | 1,579,000 | 1,643,283 |
| 6.5% 3/26/31(b) | | 650,000 | 685,330 |
| 8.125% 3/30/29(b) | | 1,318,000 | 1,400,668 |
| 8.375% 5/1/28(b) | | 495,000 | 524,469 |
| Metalsa SA de CV 3.75% 5/4/31 (b) | | 325,000 | 272,188 |
| Robert Bosch GmbH 4.375% 6/2/43 (Reg. S) | EUR | 600,000 | 688,075 |
| Schaeffler AG 4.75% 8/14/29 (Reg. S) | EUR | 1,200,000 | 1,355,900 |
| ZF Europe Finance BV 2% 2/23/26 (Reg. S) | EUR | 600,000 | 641,685 |
| ZF Finance GmbH 2% 5/6/27 (Reg. S) | EUR | 700,000 | 729,942 |
| ZF North America Capital, Inc.: | | | |
| 4.75% 4/29/25(b) | | 655,000 | 649,248 |
| 6.75% 4/23/30(b) | | 1,603,000 | 1,647,830 |
| 6.875% 4/14/28(b) | | 365,000 | 377,096 |
| 6.875% 4/23/32(b) | | 455,000 | 472,756 |
| | | | 11,426,082 |
| Automobiles - 0.1% | | | |
| Aston Martin Capital Holdings Ltd. 10% 3/31/29 (b) | | 760,000 | 773,968 |
| General Motors Financial Co., Inc.: | | | |
| 2.25% 9/6/24 (Reg. S) | GBP | 350,000 | 459,556 |
| 4.35% 4/9/25 | | 3,810,000 | 3,789,865 |
| McLaren Finance PLC 7.5% 8/1/26 (b) | | 786,000 | 690,498 |
| RCI Banque SA 5.5% 10/9/34 (Reg. S) (d) | EUR | 500,000 | 563,127 |
| Rivian Holdco & Rivian LLC & Rivian Automotive LLC CME Term SOFR 6 Month Index + 6.050% 11.3595% 10/15/26 (b)(d)(e) | | 4,121,000 | 4,121,334 |
| | | | 10,398,348 |
| Broadline Retail - 0.0% | | | |
| Alibaba Group Holding Ltd. 2.125% 2/9/31 | | 200,000 | 171,638 |
| JD.com, Inc. 3.375% 1/14/30 | | 355,000 | 334,335 |
| John Lewis PLC 6.125% 1/21/25 | GBP | 1,515,000 | 1,992,307 |
| Kohl's Corp. 4.25% 7/17/25 | | 40,000 | 39,619 |
| Match Group Holdings II LLC: | | | |
| 3.625% 10/1/31(b)(c) | | 296,000 | 262,837 |
| 4.125% 8/1/30(b) | | 785,000 | 723,093 |
| Nordstrom, Inc. 4.375% 4/1/30 (c) | | 1,320,000 | 1,212,211 |
| Prosus NV: | | | |
| 3.061% 7/13/31(b) | | 590,000 | 506,109 |
| 3.68% 1/21/30(b) | | 200,000 | 184,250 |
| 4.193% 1/19/32(b) | | 600,000 | 544,500 |
| | | | 5,970,899 |
| Distributors - 0.0% | | | |
| The Gates Corp. 6.875% 7/1/29 (b) | | 650,000 | 666,734 |
| Windsor Holdings III, LLC 8.5% 6/15/30 (b) | | 585,000 | 626,633 |
| | | | 1,293,367 |
| Diversified Consumer Services - 0.1% | | | |
| Service Corp. International: | | | |
| 4% 5/15/31 | | 330,000 | 302,828 |
| 5.125% 6/1/29 | | 615,000 | 607,745 |
| Sotheby's 7.375% 10/15/27 (b) | | 851,000 | 812,660 |
| StoneMor, Inc. 8.5% 5/15/29 (b) | | 285,000 | 253,596 |
| TKC Holdings, Inc.: | | | |
| 6.875% 5/15/28(b) | | 1,085,000 | 1,077,973 |
| 10.5% 5/15/29(b) | | 1,290,000 | 1,286,752 |
| WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (b) | | 2,159,000 | 2,149,083 |
| | | | 6,490,637 |
| Hotels, Restaurants & Leisure - 0.4% | | | |
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | | | |
| 3.875% 1/15/28(b) | | 576,000 | 550,044 |
| 4% 10/15/30(b) | | 1,855,000 | 1,699,145 |
| 4.375% 1/15/28(b) | | 600,000 | 580,041 |
| 5.75% 4/15/25(b) | | 130,000 | 129,780 |
| 6.125% 6/15/29(b) | | 1,280,000 | 1,307,232 |
| Aramark Services, Inc.: | | | |
| 5% 4/1/25(b) | | 275,000 | 274,451 |
| 5% 2/1/28(b) | | 1,496,000 | 1,467,332 |
| Bimbo Bakeries U.S.A., Inc.: | | | |
| 5.375% 1/9/36(b) | | 700,000 | 710,500 |
| 6.4% 1/15/34(b) | | 200,000 | 218,625 |
| Boyd Gaming Corp. 4.75% 6/15/31 (b)(c) | | 400,000 | 376,354 |
| Caesars Entertainment, Inc.: | | | |
| 4.625% 10/15/29(b)(c) | | 600,000 | 567,545 |
| 6.5% 2/15/32(b) | | 1,280,000 | 1,315,368 |
| 7% 2/15/30(b) | | 900,000 | 932,011 |
| 8.125% 7/1/27(b) | | 1,190,000 | 1,215,276 |
| Carnival Corp.: | | | |
| 5.75% 3/1/27(b) | | 80,000 | 80,265 |
| 6% 5/1/29(b) | | 1,220,000 | 1,225,455 |
| 7.625% 3/1/26(b) | | 1,955,000 | 1,974,804 |
| 10.5% 6/1/30(b) | | 1,870,000 | 2,029,605 |
| ClubCorp Holdings, Inc. 8.5% 9/15/25 (b) | | 150,000 | 139,500 |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.: | | | |
| 4.625% 1/15/29(b) | | 900,000 | 841,953 |
| 6.75% 1/15/30(b) | | 1,990,000 | 1,788,927 |
| Garden SpinCo Corp. 8.625% 7/20/30 (b) | | 90,000 | 98,209 |
| GENM Capital Labuan Ltd. 3.882% 4/19/31 (b) | | 750,000 | 670,547 |
| Hilton Domestic Operating Co., Inc.: | | | |
| 3.625% 2/15/32(b) | | 2,348,000 | 2,104,590 |
| 4% 5/1/31(b) | | 450,000 | 415,829 |
| 5.875% 4/1/29(b) | | 495,000 | 504,440 |
| 6.125% 4/1/32(b) | | 800,000 | 820,214 |
| Hilton Grand Vacations Borrower Escrow LLC 6.625% 1/15/32 (b) | | 1,312,000 | 1,327,812 |
| Jacobs Entertainment, Inc. 6.75% 2/15/29 (b) | | 620,000 | 591,482 |
| Life Time, Inc.: | | | |
| 5.75% 1/15/26(b) | | 715,000 | 715,117 |
| 8% 4/15/26(b) | | 1,755,000 | 1,781,446 |
| Lindblad Expeditions LLC 6.75% 2/15/27 (b) | | 69,000 | 68,561 |
| MajorDrive Holdings IV LLC 6.375% 6/1/29 (b) | | 1,468,000 | 1,383,973 |
| McDonald's Corp.: | | | |
| 3.5% 7/1/27 | | 269,000 | 263,232 |
| 4.2% 4/1/50 | | 1,792,000 | 1,500,794 |
| Meituan: | | | |
| 2.125% 10/28/25(b) | | 400,000 | 386,044 |
| 3.05% 10/28/30(b) | | 800,000 | 716,512 |
| Melco Resorts Finance Ltd.: | | | |
| 5.375% 12/4/29(b) | | 200,000 | 182,321 |
| 5.75% 7/21/28(b) | | 220,000 | 209,458 |
| Merlin Entertainments Group 7.375% 2/15/31 (b) | | 258,000 | 257,046 |
| MGM Resorts International 6.5% 4/15/32 | | 778,000 | 783,562 |
| NCL Corp. Ltd.: | | | |
| 3.625% 12/15/24(b) | | 770,000 | 764,664 |
| 7.75% 2/15/29(b) | | 1,362,000 | 1,453,507 |
| Ontario Gaming GTA LP / OTG Co. issuer, Inc. 8% 8/1/30 (b) | | 15,000 | 15,460 |
| Royal Caribbean Cruises Ltd.: | | | |
| 4.25% 7/1/26(b) | | 101,000 | 99,219 |
| 5.375% 7/15/27(b) | | 530,000 | 530,906 |
| 5.5% 8/31/26(b) | | 1,600,000 | 1,602,267 |
| 6% 2/1/33(b) | | 1,275,000 | 1,306,095 |
| 6.25% 3/15/32(b) | | 1,884,000 | 1,945,641 |
| 7.25% 1/15/30(b) | | 200,000 | 211,432 |
| Station Casinos LLC: | | | |
| 4.5% 2/15/28(b) | | 610,000 | 585,460 |
| 6.625% 3/15/32(b) | | 840,000 | 856,862 |
| Viking Cruises Ltd.: | | | |
| 6.25% 5/15/25(b) | | 500,000 | 499,887 |
| 9.125% 7/15/31(b) | | 275,000 | 301,691 |
| Whitbread PLC 2.375% 5/31/27 (Reg. S) | GBP | 100,000 | 121,417 |
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (b) | | 340,000 | 337,739 |
| Wynn Macau Ltd.: | | | |
| 4.875% 10/1/24(b) | | 325,000 | 324,110 |
| 5.5% 10/1/27(b) | | 100,000 | 96,684 |
| Yum! Brands, Inc.: | | | |
| 3.625% 3/15/31 | | 400,000 | 367,141 |
| 4.625% 1/31/32 | | 1,741,000 | 1,650,064 |
| | | | 47,275,648 |
| Household Durables - 0.0% | | | |
| Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 4.625% 4/1/30 (b) | | 370,000 | 348,228 |
| Beazer Homes U.S.A., Inc. 7.5% 3/15/31 (b) | | 565,000 | 575,177 |
| Landsea Homes Corp. 8.875% 4/1/29 (b) | | 505,000 | 522,697 |
| LGI Homes, Inc.: | | | |
| 4% 7/15/29(b) | | 512,000 | 464,861 |
| 8.75% 12/15/28(b) | | 210,000 | 223,745 |
| Newell Brands, Inc.: | | | |
| 5.7% 4/1/26 | | 635,000 | 632,757 |
| 6.875% 4/1/36(f) | | 460,000 | 437,424 |
| The Berkeley Group PLC 2.5% 8/11/31 (Reg. S) | GBP | 1,755,000 | 1,835,154 |
| TopBuild Corp. 4.125% 2/15/32 (b) | | 892,000 | 811,885 |
| Vestel Elektonik Sanayi ve Ticaret A/S 9.75% 5/15/29 (b) | | 295,000 | 296,802 |
| | | | 6,148,730 |
| Leisure Products - 0.0% | | | |
| Amer Sports Co. 6.75% 2/16/31 (b)(c) | | 1,560,000 | 1,585,328 |
| Specialty Retail - 0.4% | | | |
| Arko Corp. 5.125% 11/15/29 (b) | | 595,000 | 528,467 |
| AutoNation, Inc. 4.75% 6/1/30 | | 127,000 | 125,474 |
| AutoZone, Inc. 4% 4/15/30 | | 4,155,000 | 4,036,281 |
| Bath & Body Works, Inc. 6.625% 10/1/30 (b) | | 1,000,000 | 1,012,493 |
| Carvana Co.: | | | |
| 4.875% 9/1/29(b) | | 785,000 | 660,226 |
| 5.625% 10/1/25(b) | | 1,370,000 | 1,339,189 |
| 5.875% 10/1/28(b) | | 650,000 | 584,225 |
| 12% 12/1/28 pay-in-kind(b)(d) | | 1,232,144 | 1,278,921 |
| 13% 6/1/30 pay-in-kind(b)(d) | | 154,425 | 164,857 |
| 14% 6/1/31 pay-in-kind(b)(d) | | 1,128,157 | 1,284,817 |
| Champions Financing, Inc. 8.75% 2/15/29 (b) | | 1,742,000 | 1,786,694 |
| Group 1 Automotive, Inc. 6.375% 1/15/30 (b) | | 135,000 | 137,337 |
| Hudson Automotive Group 8% 5/15/32 (b) | | 335,000 | 353,341 |
| LBM Acquisition LLC 6.25% 1/15/29 (b) | | 1,670,000 | 1,509,619 |
| LCM Investments Holdings 8.25% 8/1/31 (b) | | 421,000 | 447,629 |
| Lowe's Companies, Inc.: | | | |
| 3.35% 4/1/27 | | 191,000 | 186,281 |
| 3.75% 4/1/32 | | 20,021,000 | 18,812,542 |
| 4.25% 4/1/52 | | 2,401,000 | 1,969,377 |
| 4.45% 4/1/62 | | 3,945,000 | 3,220,362 |
| 4.5% 4/15/30 | | 176,000 | 176,309 |
| 5.625% 4/15/53 | | 21,000 | 21,236 |
| Michaels Companies, Inc.: | | | |
| 5.25% 5/1/28(b) | | 553,000 | 434,184 |
| 7.875% 5/1/29(b) | | 140,000 | 81,959 |
| O'Reilly Automotive, Inc. 4.2% 4/1/30 | | 188,000 | 184,623 |
| Sally Holdings LLC 6.75% 3/1/32 (c) | | 845,000 | 861,961 |
| Staples, Inc.: | | | |
| 10.75% 9/1/29(b) | | 1,740,000 | 1,638,914 |
| 12.75% 1/15/30(b) | | 863,699 | 667,531 |
| TJX Companies, Inc. 3.875% 4/15/30 | | 4,000 | 3,909 |
| Wand NewCo 3, Inc. 7.625% 1/30/32 (b) | | 1,050,000 | 1,100,012 |
| | | | 44,608,770 |
| Textiles, Apparel & Luxury Goods - 0.2% | | | |
| Crocs, Inc. 4.125% 8/15/31 (b) | | 600,000 | 539,293 |
| Tapestry, Inc.: | | | |
| 7% 11/27/26 | | 1,959,000 | 2,020,693 |
| 7.05% 11/27/25 | | 726,000 | 739,457 |
| 7.35% 11/27/28 | | 3,039,000 | 3,187,690 |
| 7.7% 11/27/30 | | 5,803,000 | 6,179,060 |
| 7.85% 11/27/33 | | 4,539,000 | 4,856,855 |
| Wolverine World Wide, Inc. 4% 8/15/29 (b) | | 740,000 | 630,153 |
| | | | 18,153,201 |
TOTAL CONSUMER DISCRETIONARY | | | 153,351,010 |
| | | | |
| CONSUMER STAPLES - 0.9% | | | |
| Beverages - 0.2% | | | |
| Anheuser-Busch InBev Worldwide, Inc.: | | | |
| 4.35% 6/1/40 | | 624,000 | 575,551 |
| 4.5% 6/1/50 | | 6,964,000 | 6,495,282 |
| 4.75% 4/15/58 | | 653,000 | 610,618 |
| 5.45% 1/23/39 | | 377,000 | 396,709 |
| 5.55% 1/23/49 | | 2,806,000 | 2,940,527 |
| 5.8% 1/23/59 (Reg. S) | | 5,802,000 | 6,369,409 |
| Central American Bottling Corp. 5.25% 4/27/29 (b) | | 595,000 | 573,617 |
| Molson Coors Beverage Co. 3% 7/15/26 | | 4,389,000 | 4,268,935 |
| The Coca-Cola Co.: | | | |
| 3.375% 3/25/27 | | 1,134,000 | 1,116,110 |
| 3.45% 3/25/30 | | 562,000 | 541,251 |
| Triton Water Holdings, Inc. 6.25% 4/1/29 (b) | | 1,363,000 | 1,347,899 |
| | | | 25,235,908 |
| Consumer Staples Distribution & Retail - 0.3% | | | |
| Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | | | |
| 3.5% 3/15/29(b) | | 420,000 | 388,983 |
| 4.875% 2/15/30(b) | | 1,939,000 | 1,895,106 |
| 6.5% 2/15/28(b) | | 445,000 | 450,732 |
| C&S Group Enterprises LLC 5% 12/15/28 (b) | | 1,387,000 | 1,047,745 |
| Dollar Tree, Inc. 4% 5/15/25 | | 2,307,000 | 2,288,224 |
| KeHE Distributor / Nextwave 9% 2/15/29 (b) | | 1,267,000 | 1,321,831 |
| Kroger Co.: | | | |
| 4.65% 9/15/29 | | 4,860,000 | 4,859,754 |
| 4.9% 9/15/31 | | 4,860,000 | 4,856,363 |
| 5% 9/15/34 | | 4,860,000 | 4,844,895 |
| Minerva Luxembourg SA 8.875% 9/13/33 (b) | | 300,000 | 323,830 |
| NBM U.S. Holdings, Inc. 6.625% 8/6/29 (b) | | 310,000 | 310,871 |
| Performance Food Group, Inc. 5.5% 10/15/27 (b) | | 1,099,000 | 1,092,737 |
| REWE International Finance 4.875% 9/13/30 (Reg. S) | EUR | 1,000,000 | 1,173,748 |
| Sigma Holdco BV 7.875% 5/15/26 (b) | | 1,385,000 | 1,366,192 |
| Sysco Corp.: | | | |
| 5.95% 4/1/30 | | 948,000 | 1,011,795 |
| 6.6% 4/1/50 | | 530,000 | 609,156 |
| Tesco Corporate Treasury Services PLC 2.75% 4/27/30 (Reg. S) | GBP | 920,000 | 1,084,034 |
| U.S. Foods, Inc.: | | | |
| 4.75% 2/15/29(b) | | 1,400,000 | 1,365,065 |
| 6.875% 9/15/28(b) | | 437,000 | 454,579 |
| United Natural Foods, Inc. 6.75% 10/15/28 (b) | | 205,000 | 192,534 |
| Walgreens Boots Alliance, Inc. 8.125% 8/15/29 | | 440,000 | 440,495 |
| | | | 31,378,669 |
| Food Products - 0.1% | | | |
| Adecoagro SA 6% 9/21/27 (b) | | 130,000 | 128,497 |
| Camposol SA 6% 2/3/27 (b) | | 408,000 | 368,045 |
| Darling Ingredients, Inc. 6% 6/15/30 (b)(c) | | 1,012,000 | 1,024,387 |
| Fiesta Purchaser, Inc. 7.875% 3/1/31 (b)(c) | | 847,000 | 891,045 |
| JBS U.S.A. Food Co. 3.625% 1/15/32 (b) | | 80,000 | 71,887 |
| Lamb Weston Holdings, Inc. 4.375% 1/31/32 (b) | | 1,970,000 | 1,814,619 |
| MARB BondCo PLC 3.95% 1/29/31 (b) | | 615,000 | 520,290 |
| Post Holdings, Inc.: | | | |
| 4.5% 9/15/31(b) | | 51,000 | 47,456 |
| 4.625% 4/15/30(b) | | 180,000 | 171,074 |
| 5.5% 12/15/29(b) | | 1,238,000 | 1,216,731 |
| 5.625% 1/15/28(b) | | 49,000 | 48,873 |
| 6.25% 2/15/32(b) | | 1,130,000 | 1,158,827 |
| 6.375% 3/1/33(b) | | 645,000 | 649,709 |
| | | | 8,111,440 |
| Household Products - 0.0% | | | |
| Kronos Acquisition Holdings, Inc.: | | | |
| 8.25% 6/30/31(b) | | 295,000 | 303,546 |
| 10.75% 6/30/32(b) | | 295,000 | 294,087 |
| Reckitt Benckiser Treasury Services PLC 3.875% 9/14/33 (Reg. S) | EUR | 885,000 | 993,295 |
| Resideo Funding, Inc. 6.5% 7/15/32 (b) | | 470,000 | 478,490 |
| | | | 2,069,418 |
| Personal Care Products - 0.0% | | | |
| BellRing Brands, Inc. 7% 3/15/30 (b) | | 320,000 | 332,346 |
| Tobacco - 0.3% | | | |
| Altria Group, Inc.: | | | |
| 3.875% 9/16/46 | | 703,000 | 537,758 |
| 4.25% 8/9/42 | | 448,000 | 376,457 |
| 4.5% 5/2/43 | | 289,000 | 249,136 |
| 4.8% 2/14/29 | | 86,000 | 86,494 |
| 5.95% 2/14/49 | | 300,000 | 309,149 |
| BAT Capital Corp.: | | | |
| 4.7% 4/2/27 | | 3,039,000 | 3,048,344 |
| 4.906% 4/2/30 | | 23,185,000 | 23,314,273 |
| 5.282% 4/2/50 | | 1,336,000 | 1,218,260 |
| 5.834% 2/20/31 | | 1,000,000 | 1,049,623 |
| 6.421% 8/2/33 | | 532,000 | 576,859 |
| BAT International Finance PLC 4.125% 4/12/32 (Reg. S) | EUR | 1,200,000 | 1,330,496 |
| Imperial Brands Finance Netherlands BV 5.25% 2/15/31 (Reg. S) | EUR | 2,010,000 | 2,364,321 |
| Imperial Brands Finance PLC 6.125% 7/27/27 (b) | | 3,927,000 | 4,063,891 |
| Reynolds American, Inc.: | | | |
| 4.45% 6/12/25 | | 33,000 | 32,829 |
| 5.7% 8/15/35 | | 28,000 | 28,669 |
| 5.85% 8/15/45 | | 180,000 | 176,306 |
| | | | 38,762,865 |
TOTAL CONSUMER STAPLES | | | 105,890,646 |
| | | | |
| ENERGY - 4.1% | | | |
| Energy Equipment & Services - 0.1% | | | |
| Archrock Partners LP / Archrock Partners Finance Corp. 6.625% 9/1/32 (b) | | 680,000 | 688,481 |
| Guara Norte SARL 5.198% 6/15/34 (b) | | 248,445 | 235,193 |
| Halliburton Co.: | | | |
| 3.8% 11/15/25 | | 2,000 | 1,978 |
| 4.85% 11/15/35 | | 55,000 | 54,295 |
| Nabors Industries, Inc.: | | | |
| 8.875% 8/15/31(b) | | 380,000 | 380,765 |
| 9.125% 1/31/30(b) | | 95,000 | 101,801 |
| Oleoducto Central SA 4% 7/14/27 (b) | | 299,000 | 285,452 |
| Seadrill Finance Ltd. 8.375% 8/1/30 (b) | | 389,000 | 410,620 |
| Southern Gas Corridor CJSC 6.875% 3/24/26 (b) | | 1,530,000 | 1,555,819 |
| Star Holding LLC 8.75% 8/1/31 (b) | | 245,000 | 240,014 |
| The Oil and Gas Holding Co. 7.5% 10/25/27 (b) | | 900,000 | 936,281 |
| Transocean Aquila Ltd. 8% 9/30/28 (b) | | 376,000 | 386,662 |
| Transocean Poseidon Ltd. 6.875% 2/1/27 (b) | | 540,000 | 540,392 |
| Transocean, Inc.: | | | |
| 8% 2/1/27(b) | | 1,158,000 | 1,157,881 |
| 8.25% 5/15/29(b) | | 450,000 | 455,571 |
| 8.5% 5/15/31(b) | | 580,000 | 588,531 |
| 8.75% 2/15/30(b) | | 335,750 | 354,665 |
| U.S.A. Compression Partners LP/U.S.A. Compression Finance Corp. 7.125% 3/15/29 (b) | | 545,000 | 559,804 |
| Valaris Ltd. 8.375% 4/30/30 (b) | | 1,202,000 | 1,253,967 |
| Vallourec SA 7.5% 4/15/32 (b) | | 1,355,000 | 1,426,848 |
| Viridien 8.75% 4/1/27 (b) | | 1,637,000 | 1,568,294 |
| Yinson Boronia Production BV 8.947% 7/31/42 (b) | | 934,000 | 978,879 |
| | | | 14,162,193 |
| Oil, Gas & Consumable Fuels - 4.0% | | | |
| Antero Midstream Partners LP/Antero Midstream Finance Corp.: | | | |
| 5.375% 6/15/29(b) | | 496,000 | 490,062 |
| 5.75% 3/1/27(b) | | 338,000 | 336,687 |
| Baytex Energy Corp. 7.375% 3/15/32 (b) | | 773,000 | 800,585 |
| Blue Racer Midstream LLC/Blue Racer Finance Corp.: | | | |
| 7% 7/15/29(b) | | 195,000 | 202,831 |
| 7.25% 7/15/32(b) | | 640,000 | 671,029 |
| California Resources Corp.: | | | |
| 7.125% 2/1/26(b) | | 88,000 | 88,342 |
| 8.25% 6/15/29(b) | | 2,083,000 | 2,148,463 |
| Calumet Specialty Products Partners LP/Calumet Finance Corp. 9.75% 7/15/28 (b) | | 392,000 | 385,417 |
| Canacol Energy Ltd. 5.75% 11/24/28 (b) | | 1,560,000 | 898,950 |
| Canadian Natural Resources Ltd.: | | | |
| 2.05% 7/15/25 | | 5,600,000 | 5,457,310 |
| 3.85% 6/1/27 | | 2,800,000 | 2,746,034 |
| 5.85% 2/1/35 | | 1,246,000 | 1,293,017 |
| 6.25% 3/15/38 | | 800,000 | 852,420 |
| Cenovus Energy, Inc.: | | | |
| 2.65% 1/15/32 | | 2,134,000 | 1,820,726 |
| 3.75% 2/15/52 | | 210,000 | 152,767 |
| 5.25% 6/15/37 | | 1,285,000 | 1,263,256 |
| 5.4% 6/15/47 | | 168,000 | 161,179 |
| 6.75% 11/15/39 | | 257,000 | 287,368 |
| Cheniere Energy Partners LP 5.75% 8/15/34 (b) | | 640,000 | 662,621 |
| Citgo Petroleum Corp.: | | | |
| 6.375% 6/15/26(b) | | 1,046,000 | 1,051,886 |
| 7% 6/15/25(b) | | 651,000 | 651,393 |
| 8.375% 1/15/29(b) | | 1,565,000 | 1,625,583 |
| CNX Midstream Partners LP 4.75% 4/15/30 (b) | | 935,000 | 872,061 |
| CNX Resources Corp.: | | | |
| 6% 1/15/29(b) | | 248,000 | 248,685 |
| 7.25% 3/1/32(b) | | 1,160,000 | 1,214,608 |
| 7.375% 1/15/31(b)(c) | | 480,000 | 501,603 |
| Columbia Pipelines Operating Co. LLC: | | | |
| 5.927% 8/15/30(b) | | 5,985,000 | 6,286,944 |
| 6.036% 11/15/33(b) | | 2,478,000 | 2,616,335 |
| 6.497% 8/15/43(b) | | 423,000 | 459,792 |
| 6.544% 11/15/53(b) | | 762,000 | 845,084 |
| 6.714% 8/15/63(b) | | 456,000 | 506,960 |
| Comstock Resources, Inc.: | | | |
| 5.875% 1/15/30(b) | | 1,995,000 | 1,886,117 |
| 6.75% 3/1/29(b)(c) | | 990,000 | 973,804 |
| CQP Holdco LP / BIP-V Chinook Holdco LLC 7.5% 12/15/33 (b) | | 1,500,000 | 1,620,669 |
| Crescent Energy Finance LLC 7.625% 4/1/32 (b) | | 240,000 | 247,479 |
| CVR Energy, Inc.: | | | |
| 5.75% 2/15/28(b) | | 2,017,000 | 1,902,117 |
| 8.5% 1/15/29(b) | | 1,819,000 | 1,853,197 |
| DCP Midstream Operating LP 5.125% 5/15/29 | | 1,190,000 | 1,209,510 |
| Delek Logistics Partners LP/Delek Logistics Finance Corp.: | | | |
| 7.125% 6/1/28(b) | | 1,925,000 | 1,939,926 |
| 8.625% 3/15/29(b) | | 1,074,000 | 1,129,286 |
| DT Midstream, Inc. 4.125% 6/15/29 (b) | | 1,030,000 | 978,489 |
| Ecopetrol SA: | | | |
| 4.625% 11/2/31 | | 610,000 | 515,877 |
| 8.375% 1/19/36 | | 240,000 | 243,077 |
| 8.875% 1/13/33 | | 1,030,000 | 1,092,830 |
| EG Global Finance PLC 12% 11/30/28 (b) | | 4,247,000 | 4,632,725 |
| EIG Pearl Holdings SARL 3.545% 8/31/36 (b) | | 1,315,000 | 1,151,858 |
| Empresa Nacional de Petroleo: | | | |
| 5.95% 7/30/34(b) | | 200,000 | 207,500 |
| 6.15% 5/10/33(b) | | 300,000 | 313,500 |
| Energean Israel Finance Ltd.: | | | |
| 4.875% 3/30/26 (Reg. S)(b) | | 650,000 | 618,069 |
| 5.375% 3/30/28 (Reg. S)(b) | | 475,000 | 429,068 |
| Energean PLC 6.5% 4/30/27 (b) | | 1,120,000 | 1,105,597 |
| Energy Transfer LP: | | | |
| 3.75% 5/15/30 | | 53,877,000 | 50,963,295 |
| 4.95% 6/15/28 | | 291,000 | 294,016 |
| 5% 5/15/50 | | 1,080,000 | 957,860 |
| 5.25% 4/15/29 | | 3,592,000 | 3,672,207 |
| 5.4% 10/1/47 | | 6,100,000 | 5,703,455 |
| 5.8% 6/15/38 | | 154,000 | 157,804 |
| 6% 6/15/48 | | 1,886,000 | 1,904,476 |
| 6.25% 4/15/49 | | 109,000 | 113,413 |
| 7.375% 2/1/31(b) | | 2,262,000 | 2,408,286 |
| EnLink Midstream LLC: | | | |
| 5.625% 1/15/28(b) | | 1,018,000 | 1,036,750 |
| 6.5% 9/1/30(b) | | 1,111,000 | 1,187,777 |
| Enterprise Products Operating LP 3.7% 2/15/26 | | 5,310,000 | 5,255,223 |
| EQM Midstream Partners LP: | | | |
| 4.75% 1/15/31(b)(c) | | 434,000 | 416,986 |
| 6.5% 7/1/27(b) | | 195,000 | 199,873 |
| 7.5% 6/1/27(b) | | 425,000 | 437,989 |
| Exxon Mobil Corp. 3.482% 3/19/30 | | 2,903,000 | 2,795,622 |
| FEL Energy VI SARL 5.75% 12/1/40 (b) | | 263,004 | 248,374 |
| Galaxy Pipeline Assets BidCo Ltd.: | | | |
| 2.16% 3/31/34(b) | | 93,196 | 82,042 |
| 2.625% 3/31/36(b) | | 1,340,000 | 1,133,975 |
| GeoPark Ltd. 5.5% 1/17/27 (b) | | 300,000 | 282,939 |
| Global Partners LP/GLP Finance Corp.: | | | |
| 6.875% 1/15/29 | | 1,725,000 | 1,737,336 |
| 7% 8/1/27 | | 787,000 | 793,752 |
| 8.25% 1/15/32(b) | | 200,000 | 207,914 |
| Golar LNG Ltd. 7% 10/20/25 (b) | | 855,000 | 854,376 |
| Gran Tierra Energy, Inc. 9.5% 10/15/29 (b) | | 1,290,000 | 1,253,719 |
| Harbour Energy PLC 5.5% 10/15/26 (b) | | 190,000 | 188,602 |
| Harvest Midstream I LP: | | | |
| 7.5% 9/1/28(b) | | 1,290,000 | 1,320,191 |
| 7.5% 5/15/32(b) | | 320,000 | 336,402 |
| Hess Corp.: | | | |
| 5.6% 2/15/41 | | 7,867,000 | 8,044,599 |
| 5.8% 4/1/47 | | 360,000 | 373,432 |
| 7.125% 3/15/33 | | 110,000 | 125,304 |
| 7.3% 8/15/31 | | 4,272,000 | 4,874,443 |
| 7.875% 10/1/29 | | 303,000 | 346,069 |
| Hess Midstream Operations LP: | | | |
| 4.25% 2/15/30(b) | | 836,000 | 790,121 |
| 5.125% 6/15/28(b) | | 1,735,000 | 1,715,174 |
| 5.625% 2/15/26(b) | | 505,000 | 503,616 |
| 6.5% 6/1/29(b) | | 550,000 | 567,487 |
| HF Sinclair Corp.: | | | |
| 5% 2/1/28(b) | | 600,000 | 591,394 |
| 6.375% 4/15/27(b) | | 180,000 | 181,390 |
| Howard Midstream Energy Partners LLC: | | | |
| 7.375% 7/15/32(b) | | 405,000 | 419,281 |
| 8.875% 7/15/28(b) | | 1,370,000 | 1,460,484 |
| KazMunaiGaz National Co.: | | | |
| 3.5% 4/14/33(b) | | 585,000 | 498,531 |
| 5.375% 4/24/30(b) | | 85,000 | 84,044 |
| Kinder Morgan Energy Partners LP: | | | |
| 5.5% 3/1/44 | | 287,000 | 276,764 |
| 6.55% 9/15/40 | | 13,000 | 13,918 |
| Kinder Morgan, Inc.: | | | |
| 5.05% 2/15/46 | | 34,000 | 30,870 |
| 5.55% 6/1/45 | | 193,000 | 187,221 |
| Kinetik Holdings LP: | | | |
| 5.875% 6/15/30(b) | | 775,000 | 777,489 |
| 6.625% 12/15/28(b) | | 1,056,000 | 1,088,083 |
| Kosmos Energy Ltd.: | | | |
| 7.125% 4/4/26(b) | | 1,145,000 | 1,136,058 |
| 7.5% 3/1/28(b) | | 514,000 | 497,938 |
| 7.75% 5/1/27(b) | | 110,000 | 108,797 |
| Leviathan Bond Ltd. 6.125% 6/30/25 (Reg. S) (b) | | 595,000 | 585,138 |
| Matador Resources Co. 6.5% 4/15/32 (b) | | 970,000 | 984,438 |
| MC Brazil Downstream Trading SARL 7.25% 6/30/31 (b) | | 935,795 | 844,262 |
| Medco Laurel Tree PTE Ltd. 6.95% 11/12/28 (b) | | 330,000 | 330,116 |
| Medco Maple Tree Pte. Ltd. 8.96% 4/27/29 (b) | | 434,000 | 459,226 |
| Medco Oak Tree Pte Ltd. 7.375% 5/14/26 (b) | | 293,000 | 296,388 |
| Mesquite Energy, Inc. 7.25% (b)(g)(h) | | 269,000 | 0 |
| Moss Creek Resources Holdings, Inc. 8.25% 9/1/31 (b) | | 691,000 | 696,946 |
| MPLX LP: | | | |
| 2.65% 8/15/30 | | 9,468,000 | 8,462,132 |
| 4.8% 2/15/29 | | 83,000 | 83,784 |
| 4.875% 12/1/24 | | 160,000 | 159,742 |
| 4.95% 9/1/32 | | 6,361,000 | 6,296,460 |
| 5.5% 2/15/49 | | 249,000 | 238,763 |
| Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (b) | | 817,000 | 739,191 |
| NAK Naftogaz Ukraine 7.65% (Reg. S) | | 395,167 | 341,819 |
| New Fortress Energy, Inc.: | | | |
| 6.5% 9/30/26(b)(c) | | 5,041,000 | 4,363,623 |
| 6.75% 9/15/25(b) | | 2,204,000 | 2,149,204 |
| Northern Oil & Gas, Inc.: | | | |
| 8.125% 3/1/28(b) | | 910,000 | 930,433 |
| 8.75% 6/15/31(b) | | 395,000 | 421,909 |
| Occidental Petroleum Corp.: | | | |
| 4.2% 3/15/48 | | 146,000 | 113,031 |
| 4.4% 4/15/46 | | 800,000 | 656,365 |
| 5.55% 3/15/26 | | 1,088,000 | 1,096,954 |
| 6.2% 3/15/40 | | 150,000 | 156,764 |
| 6.45% 9/15/36 | | 1,268,000 | 1,374,217 |
| 6.6% 3/15/46 | | 216,000 | 233,236 |
| 7.5% 5/1/31 | | 36,732,500 | 41,670,560 |
| 7.875% 9/15/31 | | 65,000 | 75,043 |
| Ovintiv, Inc.: | | | |
| 5.15% 11/15/41 | | 1,386,000 | 1,208,354 |
| 6.625% 8/15/37 | | 1,341,000 | 1,431,951 |
| 7.375% 11/1/31 | | 290,000 | 324,025 |
| 8.125% 9/15/30 | | 652,000 | 753,324 |
| Parkland Corp.: | | | |
| 4.5% 10/1/29(b) | | 569,000 | 537,122 |
| 4.625% 5/1/30(b) | | 1,730,000 | 1,618,040 |
| 6.625% 8/15/32(b) | | 200,000 | 202,095 |
| PBF Holding Co. LLC/PBF Finance Corp.: | | | |
| 6% 2/15/28(c) | | 300,000 | 297,054 |
| 7.875% 9/15/30(b) | | 1,518,000 | 1,578,512 |
| Permian Resources Operating LLC: | | | |
| 5.875% 7/1/29(b) | | 2,071,000 | 2,071,000 |
| 6.25% 2/1/33(b) | | 295,000 | 302,494 |
| 7% 1/15/32(b) | | 275,000 | 288,478 |
| Petroleos de Venezuela SA: | | | |
| 5.375%(g) | | 1,100,000 | 112,255 |
| 9.75%(b)(g) | | 970,000 | 112,035 |
| Petroleos Mexicanos: | | | |
| 4.5% 1/23/26 | | 1,357,000 | 1,304,840 |
| 5.95% 1/28/31 | | 66,380,000 | 54,908,872 |
| 6.35% 2/12/48 | | 11,201,000 | 7,394,004 |
| 6.49% 1/23/27 | | 435,000 | 422,008 |
| 6.5% 3/13/27 | | 1,434,000 | 1,379,150 |
| 6.625% 6/15/35 | | 2,300,000 | 1,787,100 |
| 6.7% 2/16/32 | | 10,168,000 | 8,729,228 |
| 6.75% 9/21/47 | | 6,090,000 | 4,143,575 |
| 6.95% 1/28/60 | | 5,285,000 | 3,599,772 |
| 7.69% 1/23/50 | | 26,963,000 | 20,011,939 |
| Petronas Capital Ltd.: | | | |
| 3.404% 4/28/61(b) | | 355,000 | 251,230 |
| 3.5% 4/21/30(b) | | 200,000 | 189,550 |
| Petrorio Luxembourg Holding SA 6.125% 6/9/26 (b) | | 300,000 | 297,938 |
| Phillips 66 Co. 3.85% 4/9/25 | | 98,000 | 97,163 |
| Plains All American Pipeline LP/PAA Finance Corp.: | | | |
| 3.55% 12/15/29 | | 4,880,000 | 4,593,573 |
| 3.6% 11/1/24 | | 139,000 | 138,518 |
| Prairie Acquiror LP 9% 8/1/29 (b) | | 135,000 | 141,202 |
| PT Adaro Indonesia 4.25% 10/31/24 (b) | | 300,000 | 298,452 |
| PT Pertamina Persero 4.175% 1/21/50 (b) | | 125,000 | 102,219 |
| QatarEnergy: | | | |
| 1.375% 9/12/26(b) | | 400,000 | 377,376 |
| 2.25% 7/12/31(b) | | 1,750,000 | 1,526,875 |
| 3.125% 7/12/41(b) | | 1,090,000 | 861,100 |
| 3.3% 7/12/51(b) | | 1,384,000 | 1,027,274 |
| Rockies Express Pipeline LLC 4.95% 7/15/29 (b) | | 1,460,000 | 1,395,398 |
| Sabine Pass Liquefaction LLC 4.5% 5/15/30 | | 2,431,000 | 2,405,596 |
| Saudi Arabian Oil Co.: | | | |
| 2.25% 11/24/30(b) | | 2,445,000 | 2,131,734 |
| 3.25% 11/24/50(b) | | 695,000 | 487,369 |
| 3.5% 4/16/29(b) | | 455,000 | 434,952 |
| 3.5% 11/24/70(b) | | 809,000 | 546,075 |
| 4.25% 4/16/39(b) | | 1,165,000 | 1,057,412 |
| 4.375% 4/16/49(b) | | 95,000 | 81,641 |
| 5.875% 7/17/64(b) | | 200,000 | 202,570 |
| Seplat Energy PLC 7.75% 4/1/26 (b) | | 105,000 | 104,508 |
| Sitio Royalties OP / Sitio Finance Corp. 7.875% 11/1/28 (b) | | 511,000 | 538,197 |
| SM Energy Co.: | | | |
| 6.75% 8/1/29(b) | | 918,000 | 932,326 |
| 7% 8/1/32(b) | | 145,000 | 148,548 |
| Southwestern Energy Co. 4.75% 2/1/32 | | 1,272,000 | 1,205,579 |
| Sunoco Logistics Partners, LP: | | | |
| 7% 5/1/29(b) | | 245,000 | 255,213 |
| 7.25% 5/1/32(b) | | 370,000 | 391,332 |
| Sunoco LP/Sunoco Finance Corp.: | | | |
| 4.5% 5/15/29 | | 1,156,000 | 1,109,882 |
| 5.875% 3/15/28 | | 610,000 | 610,595 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | | | |
| 5.5% 1/15/28(b) | | 1,382,000 | 1,333,457 |
| 6% 12/31/30(b) | | 4,843,000 | 4,618,544 |
| Talos Production, Inc. 9.375% 2/1/31 (b) | | 625,000 | 667,466 |
| Teine Energy Ltd. 6.875% 4/15/29 (b) | | 149,000 | 148,339 |
| Tengizchevroil Finance Co. International Ltd. 3.25% 8/15/30 (b) | | 675,000 | 576,707 |
| The Williams Companies, Inc.: | | | |
| 3.5% 11/15/30 | | 51,855,000 | 48,586,620 |
| 3.9% 1/15/25 | | 521,000 | 518,172 |
| 4% 9/15/25 | | 180,000 | 178,331 |
| 4.65% 8/15/32 | | 3,093,000 | 3,042,628 |
| 5.3% 8/15/52 | | 406,000 | 388,732 |
| 5.4% 3/2/26 | | 1,365,000 | 1,378,178 |
| Transcontinental Gas Pipe Line Co. LLC: | | | |
| 3.25% 5/15/30 | | 1,722,000 | 1,598,762 |
| 3.95% 5/15/50 | | 542,000 | 426,618 |
| Tullow Oil PLC: | | | |
| 7% 3/1/25(b) | | 655,000 | 638,219 |
| 10.25% 5/15/26(b) | | 1,471,000 | 1,423,487 |
| Venture Global Calcasieu Pass LLC: | | | |
| 3.875% 11/1/33(b) | | 400,000 | 355,824 |
| 4.125% 8/15/31(b) | | 684,000 | 634,058 |
| 6.25% 1/15/30(b) | | 1,960,000 | 2,037,839 |
| Venture Global LNG, Inc. 7% 1/15/30 (b) | | 70,000 | 71,564 |
| Viper Energy, Inc. 7.375% 11/1/31 (b) | | 125,000 | 132,732 |
| Western Midstream Operating LP: | | | |
| 4.05% 2/1/30 | | 8,071,000 | 7,725,565 |
| 4.5% 3/1/28 | | 300,000 | 295,865 |
| 4.65% 7/1/26 | | 96,000 | 95,507 |
| 4.75% 8/15/28 | | 80,000 | 79,618 |
| 5.3% 3/1/48 | | 495,000 | 447,410 |
| | | | 461,906,464 |
TOTAL ENERGY | | | 476,068,657 |
| | | | |
| FINANCIALS - 12.6% | | | |
| Banks - 6.2% | | | |
| ABN AMRO Bank NV 3.875% 1/15/32 (Reg. S) | EUR | 1,100,000 | 1,234,508 |
| Access Bank PLC 6.125% 9/21/26 (b) | | 225,000 | 213,680 |
| AIB Group PLC: | | | |
| 2.25% 4/4/28 (Reg. S)(d) | EUR | 1,375,000 | 1,475,383 |
| 5.25% 10/23/31 (Reg. S)(d) | EUR | 1,460,000 | 1,751,561 |
| 6.608% 9/13/29(b)(d) | | 335,000 | 355,163 |
| Banco Bilbao Vizcaya Argentaria SA 6.033% 3/13/35 (d) | | 1,200,000 | 1,248,575 |
| Banco Do Brasil SA 6% 3/18/31 (b) | | 465,000 | 471,371 |
| Bancolombia SA 8.625% 12/24/34 (d) | | 270,000 | 282,909 |
| Bank of America Corp.: | | | |
| 2.299% 7/21/32(d) | | 4,641,000 | 3,950,516 |
| 2.592% 4/29/31(d) | | 24,881,000 | 22,319,588 |
| 3.419% 12/20/28(d) | | 112,475,000 | 108,448,665 |
| 4.25% 10/22/26 | | 2,667,000 | 2,653,232 |
| 5.015% 7/22/33(d) | | 19,574,000 | 19,802,026 |
| Bank of Ireland Group PLC: | | | |
| 4.625% 11/13/29 (Reg. S)(d) | EUR | 400,000 | 461,201 |
| 5.601% 3/20/30(b)(d) | | 1,050,000 | 1,074,712 |
| Barclays PLC: | | | |
| 2.279% 11/24/27(d) | | 8,400,000 | 7,949,907 |
| 2.645% 6/24/31(d) | | 5,000,000 | 4,423,655 |
| 5.262% 1/29/34 (Reg. S)(d) | EUR | 2,755,000 | 3,315,557 |
| 5.69% 3/12/30(d) | | 11,590,000 | 11,948,629 |
| 5.829% 5/9/27(d) | | 3,236,000 | 3,281,568 |
| 6.224% 5/9/34(d) | | 4,701,000 | 4,994,242 |
| 6.49% 9/13/29(d) | | 12,895,000 | 13,659,880 |
| 7.437% 11/2/33(d) | | 1,355,000 | 1,543,974 |
| 8.407% 11/14/32 (Reg. S)(d) | GBP | 200,000 | 279,284 |
| BNP Paribas SA: | | | |
| 2.159% 9/15/29(b)(d) | | 1,350,000 | 1,217,406 |
| 2.219% 6/9/26(b)(d) | | 4,250,000 | 4,151,788 |
| 2.5% 3/31/32 (Reg. S)(d) | EUR | 1,800,000 | 1,914,260 |
| 4.125% 5/24/33 (Reg. S) | EUR | 600,000 | 697,797 |
| BPCE SA: | | | |
| 5.716% 1/18/30(b)(d) | | 500,000 | 512,227 |
| 7.003% 10/19/34(b)(d) | | 425,000 | 470,304 |
| Citigroup, Inc.: | | | |
| 3.875% 3/26/25 | | 2,657,000 | 2,636,672 |
| 4.3% 11/20/26 | | 5,255,000 | 5,222,035 |
| 4.4% 6/10/25 | | 556,000 | 552,941 |
| 4.412% 3/31/31(d) | | 23,018,000 | 22,641,135 |
| 4.45% 9/29/27 | | 728,000 | 724,571 |
| 4.658% 5/24/28(d) | | 70,933,000 | 71,199,435 |
| 4.91% 5/24/33(d) | | 7,000,000 | 6,962,594 |
| Commerzbank AG 8.625% 2/28/33 (Reg. S) (d) | GBP | 700,000 | 992,708 |
| Commonwealth Bank of Australia 3.61% 9/12/34 (b)(d) | | 297,000 | 277,104 |
| Cooperatieve Rabobank UA: | | | |
| 3.822% 7/26/34 (Reg. S) | EUR | 200,000 | 225,974 |
| 4% 1/10/30 (Reg. S) | EUR | 900,000 | 1,028,381 |
| Danske Bank A/S: | | | |
| 2.25% 1/14/28 (Reg. S)(d) | GBP | 1,585,000 | 1,948,037 |
| 3.875% 1/9/32 (Reg. S)(d) | EUR | 1,700,000 | 1,902,658 |
| DNB Bank ASA 0.25% 2/23/29 (Reg. S) (d) | EUR | 400,000 | 397,409 |
| First Citizens Bank & Trust Co. 6.125% 3/9/28 | | 174,000 | 180,271 |
| HAT Holdings I LLC/HAT Holdings II LLC: | | | |
| 3.375% 6/15/26(b) | | 590,000 | 565,193 |
| 8% 6/15/27(b) | | 675,000 | 707,255 |
| HSBC Holdings PLC: | | | |
| 2.804% 5/24/32(d) | | 514,000 | 446,413 |
| 4.856% 5/23/33 (Reg. S)(d) | EUR | 775,000 | 918,815 |
| 6.254% 3/9/34(d) | | 500,000 | 537,657 |
| 6.8% 9/14/31(d) | GBP | 1,800,000 | 2,557,062 |
| 7.39% 11/3/28(d) | | 200,000 | 215,272 |
| 8.201% 11/16/34 (Reg. S)(d) | GBP | 400,000 | 577,484 |
| ING Groep NV: | | | |
| 4.5% 5/23/29 (Reg. S)(d) | EUR | 1,300,000 | 1,488,491 |
| 4.75% 5/23/34 (Reg. S)(d) | EUR | 1,900,000 | 2,253,503 |
| Intesa Sanpaolo SpA: | | | |
| 4.198% 6/1/32(b)(d) | | 263,000 | 230,095 |
| 5.71% 1/15/26(b) | | 4,470,000 | 4,484,985 |
| 6.625% 6/20/33(b) | | 785,000 | 841,835 |
| JPMorgan Chase & Co.: | | | |
| 2.739% 10/15/30(d) | | 4,783,000 | 4,379,443 |
| 2.956% 5/13/31(d) | | 2,101,000 | 1,910,995 |
| 3.761% 3/21/34 (Reg. S)(d) | EUR | 650,000 | 725,885 |
| 3.875% 9/10/24 | | 190,000 | 189,928 |
| 4.452% 12/5/29(d) | | 97,938,000 | 97,552,950 |
| 4.493% 3/24/31(d) | | 39,988,000 | 39,859,386 |
| 4.586% 4/26/33(d) | | 5,759,000 | 5,684,768 |
| 4.912% 7/25/33(d) | | 8,706,000 | 8,753,930 |
| 5.299% 7/24/29(d) | | 7,973,000 | 8,181,157 |
| 5.717% 9/14/33(d) | | 9,408,000 | 9,840,929 |
| Jyske Bank A/S: | | | |
| 5% 10/26/28(d) | EUR | 535,000 | 615,535 |
| 5.125% 5/1/35 (Reg. S)(d) | EUR | 271,000 | 312,769 |
| KBC Group NV 6.324% 9/21/34 (b)(d) | | 1,675,000 | 1,797,509 |
| Lloyds Banking Group PLC: | | | |
| 1.985% 12/15/31(d) | GBP | 140,000 | 170,896 |
| 4.5% 1/11/29 (Reg. S)(d) | EUR | 625,000 | 717,376 |
| 4.75% 9/21/31 (Reg. S)(d) | EUR | 2,480,000 | 2,906,983 |
| Magyar Export-Import Bank 6.125% 12/4/27 (b) | | 200,000 | 203,688 |
| NatWest Group PLC: | | | |
| 2.105% 11/28/31 (Reg. S)(d) | GBP | 1,185,000 | 1,450,380 |
| 3.073% 5/22/28(d) | | 2,615,000 | 2,507,105 |
| 4.771% 2/16/29 (Reg. S)(d) | EUR | 1,760,000 | 2,027,752 |
| 5.847% 3/2/27(d) | | 5,629,000 | 5,710,489 |
| 7.416% 6/6/33 (Reg. S)(d) | GBP | 380,000 | 524,007 |
| Nordea Bank Abp 4.125% 5/5/28 (Reg. S) | EUR | 1,150,000 | 1,310,371 |
| OTP Bank PLC 8.75% 5/15/33 (Reg. S) (d) | | 200,000 | 210,750 |
| Santander UK Group Holdings PLC 3.625% 1/14/26 (Reg. S) | GBP | 358,000 | 462,809 |
| Societe Generale: | | | |
| 1.488% 12/14/26(b)(d) | | 11,855,000 | 11,293,358 |
| 4.75% 11/24/25(b) | | 200,000 | 197,945 |
| 6.691% 1/10/34(b)(d) | | 1,900,000 | 2,036,421 |
| Synchrony Bank: | | | |
| 5.4% 8/22/25 | | 1,668,000 | 1,669,140 |
| 5.625% 8/23/27 | | 1,510,000 | 1,531,420 |
| UniCredit SpA: | | | |
| 5.459% 6/30/35(b)(d) | | 1,037,000 | 1,012,122 |
| 5.861% 6/19/32(b)(d) | | 190,000 | 189,571 |
| Virgin Money UK PLC 7.625% 8/23/29 (Reg. S) (d) | GBP | 1,135,000 | 1,619,704 |
| Wells Fargo & Co.: | | | |
| 3.526% 3/24/28(d) | | 78,741,000 | 76,671,990 |
| 4.478% 4/4/31(d) | | 30,657,000 | 30,342,501 |
| 4.897% 7/25/33(d) | | 12,817,000 | 12,754,580 |
| 5.013% 4/4/51(d) | | 2,888,000 | 2,767,274 |
| 5.499% 1/23/35(d) | | 902,000 | 930,824 |
| 5.574% 7/25/29(d) | | 4,958,000 | 5,119,803 |
| 6.303% 10/23/29(d) | | 5,374,000 | 5,700,504 |
| Western Alliance Bancorp. 3% 6/15/31 (d) | | 1,697,000 | 1,534,597 |
| Westpac Banking Corp. 4.11% 7/24/34 (d) | | 405,000 | 388,362 |
| | | | 712,587,459 |
| Capital Markets - 3.2% | | | |
| Ares Capital Corp.: | | | |
| 2.15% 7/15/26 | | 7,000,000 | 6,601,233 |
| 3.875% 1/15/26 | | 2,302,000 | 2,257,986 |
| AssuredPartners, Inc.: | | | |
| 5.625% 1/15/29(b) | | 860,000 | 821,872 |
| 7.5% 2/15/32(b) | | 530,000 | 540,650 |
| Athene Global Funding: | | | |
| 5.339% 1/15/27(b) | | 8,388,000 | 8,488,819 |
| 5.583% 1/9/29(b) | | 11,348,000 | 11,653,343 |
| Blackstone Private Credit Fund: | | | |
| 4.7% 3/24/25 | | 6,807,000 | 6,769,815 |
| 4.875% 4/14/26 | GBP | 905,000 | 1,164,837 |
| 7.05% 9/29/25 | | 6,813,000 | 6,920,505 |
| Coinbase Global, Inc. 3.625% 10/1/31 (b) | | 990,000 | 815,816 |
| Deutsche Bank AG: | | | |
| 3.25% 5/24/28 (Reg. S)(d) | EUR | 600,000 | 659,047 |
| 4.5% 4/1/25 | | 2,787,000 | 2,769,381 |
| 4.5% 7/12/35 (Reg. S)(d) | EUR | 500,000 | 563,874 |
| 6.125% 12/12/30 (Reg. S)(d) | GBP | 1,200,000 | 1,618,490 |
| Deutsche Bank AG New York Branch: | | | |
| 3.729% 1/14/32(d) | | 3,000,000 | 2,652,853 |
| 5.882% 7/8/31(d) | | 5,000,000 | 5,065,132 |
| 6.72% 1/18/29(d) | | 2,411,000 | 2,538,262 |
| 6.819% 11/20/29(d) | | 5,293,000 | 5,632,177 |
| Goldman Sachs Group, Inc.: | | | |
| 2.383% 7/21/32(d) | | 16,686,000 | 14,207,549 |
| 3.102% 2/24/33(d) | | 5,872,000 | 5,194,108 |
| 3.691% 6/5/28(d) | | 80,410,000 | 78,507,885 |
| 3.75% 5/22/25 | | 200,000 | 198,080 |
| 3.8% 3/15/30 | | 3,355,000 | 3,234,765 |
| 3.814% 4/23/29(d) | | 6,641,000 | 6,453,898 |
| 4.25% 10/21/25 | | 554,000 | 550,004 |
| 6.75% 10/1/37 | | 6,606,000 | 7,445,708 |
| Hightower Holding LLC: | | | |
| 6.75% 4/15/29(b) | | 411,000 | 392,390 |
| 9.125% 1/31/30(b) | | 1,260,000 | 1,304,734 |
| Jane Street Group LLC/JSG Finance, Inc.: | | | |
| 4.5% 11/15/29(b) | | 548,000 | 523,035 |
| 7.125% 4/30/31(b) | | 780,000 | 819,187 |
| Jefferies Finance LLC/JFIN Co-Issuer Corp. 5% 8/15/28 (b) | | 159,000 | 151,093 |
| Moody's Corp.: | | | |
| 3.25% 1/15/28 | | 108,000 | 104,617 |
| 3.75% 3/24/25 | | 822,000 | 816,399 |
| Morgan Stanley: | | | |
| 2.699% 1/22/31(d) | | 2,000,000 | 1,810,703 |
| 3.622% 4/1/31(d) | | 22,606,000 | 21,449,147 |
| 3.955% 3/21/35 (Reg. S)(d) | EUR | 650,000 | 727,457 |
| 4.35% 9/8/26 | | 2,767,000 | 2,752,407 |
| 4.431% 1/23/30(d) | | 85,724,000 | 85,184,385 |
| 4.656% 3/2/29(d) | EUR | 200,000 | 230,708 |
| 4.889% 7/20/33(d) | | 10,578,000 | 10,552,445 |
| 5.449% 7/20/29(d) | | 3,984,000 | 4,106,297 |
| Sixth Street Specialty Lending, Inc. 6.125% 3/1/29 | | 3,599,000 | 3,689,160 |
| StoneX Group, Inc. 7.875% 3/1/31 (b) | | 300,000 | 315,452 |
| UBS Group AG: | | | |
| 1.494% 8/10/27(b)(d) | | 4,044,000 | 3,791,405 |
| 2.125% 11/15/29 (Reg. S)(d) | GBP | 335,000 | 391,569 |
| 2.193% 6/5/26(b)(d) | | 3,100,000 | 3,031,440 |
| 2.593% 9/11/25(b)(d) | | 1,207,000 | 1,206,210 |
| 3.75% 3/26/25 | | 250,000 | 248,027 |
| 3.869% 1/12/29(b)(d) | | 2,511,000 | 2,433,351 |
| 4.125% 9/24/25(b) | | 200,000 | 198,192 |
| 4.125% 6/9/33 (Reg. S)(d) | EUR | 2,170,000 | 2,454,922 |
| 4.194% 4/1/31(b)(d) | | 8,283,000 | 8,003,880 |
| 4.55% 4/17/26 | | 250,000 | 249,179 |
| 4.75% 3/17/32 (Reg. S)(d) | EUR | 1,900,000 | 2,232,068 |
| 5.428% 2/8/30(b)(d) | | 17,100,000 | 17,519,883 |
| 6.537% 8/12/33(b)(d) | | 8,087,000 | 8,771,187 |
| VFH Parent LLC / Valor Co-Issuer, Inc. 7.5% 6/15/31 (b) | | 685,000 | 710,624 |
| | | | 369,497,642 |
| Consumer Finance - 1.7% | | | |
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | | | |
| 1.65% 10/29/24 | | 684,000 | 679,596 |
| 2.45% 10/29/26 | | 954,000 | 909,242 |
| 3% 10/29/28 | | 1,019,000 | 953,018 |
| 3.3% 1/30/32 | | 8,561,000 | 7,609,675 |
| 4.45% 4/3/26 | | 276,000 | 273,954 |
| 5.1% 1/19/29 | | 7,200,000 | 7,299,319 |
| 5.75% 6/6/28 | | 12,100,000 | 12,514,079 |
| 6.45% 4/15/27 | | 2,392,000 | 2,488,942 |
| 6.5% 7/15/25 | | 603,000 | 608,809 |
| Ally Financial, Inc.: | | | |
| 4.75% 6/9/27 | | 2,500,000 | 2,491,028 |
| 5.75% 11/20/25 | | 4,974,000 | 4,987,220 |
| 5.8% 5/1/25 | | 832,000 | 833,664 |
| 6.7% 2/14/33(c) | | 1,928,000 | 1,984,702 |
| 7.1% 11/15/27 | | 23,666,000 | 25,132,715 |
| 8% 11/1/31 | | 9,128,000 | 10,417,818 |
| Capital One Financial Corp.: | | | |
| 2.636% 3/3/26(d) | | 1,228,000 | 1,210,690 |
| 3.273% 3/1/30(d) | | 5,471,000 | 5,097,540 |
| 3.65% 5/11/27 | | 5,794,000 | 5,652,501 |
| 3.8% 1/31/28 | | 744,000 | 721,846 |
| 4.927% 5/10/28(d) | | 2,886,000 | 2,900,175 |
| 4.985% 7/24/26(d) | | 1,758,000 | 1,754,171 |
| 5.247% 7/26/30(d) | | 35,590,000 | 35,954,802 |
| 7.624% 10/30/31(d) | | 13,756,000 | 15,528,418 |
| Capstone Borrower, Inc. 8% 6/15/30 (b) | | 305,000 | 321,252 |
| Discover Financial Services: | | | |
| 3.75% 3/4/25 | | 586,000 | 581,420 |
| 4.1% 2/9/27 | | 197,000 | 193,605 |
| 4.5% 1/30/26 | | 5,267,000 | 5,235,043 |
| 6.7% 11/29/32 | | 500,000 | 544,923 |
| Encore Capital Group, Inc.: | | | |
| 8.5% 5/15/30(b) | | 1,240,000 | 1,297,565 |
| 9.25% 4/1/29(b) | | 710,000 | 755,796 |
| Ford Motor Credit Co. LLC: | | | |
| 4.063% 11/1/24 | | 2,533,000 | 2,525,401 |
| 4.445% 2/14/30 | EUR | 500,000 | 558,817 |
| 5.113% 5/3/29 | | 2,400,000 | 2,375,822 |
| 6.05% 3/5/31 | | 2,630,000 | 2,703,013 |
| 6.86% 6/5/26 | GBP | 370,000 | 496,584 |
| 7.122% 11/7/33 | | 16,500,000 | 17,824,541 |
| Navient Corp.: | | | |
| 4.875% 3/15/28 | | 130,000 | 123,720 |
| 5% 3/15/27 | | 130,000 | 127,480 |
| 5.625% 8/1/33 | | 190,000 | 163,884 |
| OneMain Finance Corp.: | | | |
| 3.875% 9/15/28 | | 1,350,000 | 1,243,196 |
| 4% 9/15/30 | | 900,000 | 796,543 |
| 7.125% 3/15/26 | | 666,000 | 678,609 |
| 7.125% 11/15/31 | | 65,000 | 65,678 |
| 7.5% 5/15/31 | | 95,000 | 98,283 |
| 9% 1/15/29 | | 1,897,000 | 2,015,534 |
| PRA Group, Inc. 8.875% 1/31/30 (b) | | 440,000 | 454,782 |
| Shriram Finance Ltd.: | | | |
| 4.15% 7/18/25(b) | | 300,000 | 294,564 |
| 6.625% 4/22/27(b) | | 700,000 | 706,566 |
| SLM Corp. 4.2% 10/29/25 | | 454,000 | 448,730 |
| Synchrony Financial: | | | |
| 3.95% 12/1/27 | | 1,916,000 | 1,846,155 |
| 5.15% 3/19/29 | | 2,608,000 | 2,597,546 |
| | | | 195,078,976 |
| Financial Services - 1.2% | | | |
| Abu Dhabi Developmental Holding Co. PJSC 5.5% 5/8/34 (b) | | 210,000 | 221,420 |
| Block, Inc.: | | | |
| 3.5% 6/1/31 | | 2,384,000 | 2,151,974 |
| 6.5% 5/15/32(b) | | 2,368,000 | 2,455,647 |
| Boost Newco Borrower LLC 7.5% 1/15/31 (b) | | 1,745,000 | 1,860,606 |
| CBRE Global Investors Pan European Core Fund 4.75% 3/27/34 (Reg. S) | EUR | 630,000 | 730,572 |
| Corebridge Financial, Inc.: | | | |
| 3.5% 4/4/25 | | 575,000 | 569,011 |
| 3.65% 4/5/27 | | 1,926,000 | 1,885,756 |
| 3.85% 4/5/29 | | 31,300,000 | 30,218,213 |
| 3.9% 4/5/32 | | 10,300,000 | 9,536,230 |
| 4.35% 4/5/42 | | 218,000 | 187,560 |
| 4.4% 4/5/52 | | 644,000 | 535,118 |
| Cosan Luxembourg SA 7.25% 6/27/31 (b) | | 450,000 | 466,313 |
| Cruise Yacht Upper Holdco Ltd. 11.875% 7/5/28 | | 200,000 | 204,000 |
| Equitable Holdings, Inc.: | | | |
| 4.35% 4/20/28 | | 5,256,000 | 5,189,337 |
| 4.572% 2/15/29(b) | | 132,000 | 130,789 |
| GACI First Investment 5.25% 10/13/32 (Reg. S) | | 400,000 | 411,625 |
| GGAM Finance Ltd.: | | | |
| 6.875% 4/15/29(b) | | 115,000 | 118,674 |
| 7.75% 5/15/26(b) | | 670,000 | 687,480 |
| 8% 2/15/27(b) | | 1,370,000 | 1,428,191 |
| 8% 6/15/28(b) | | 2,154,000 | 2,302,497 |
| Global Aircraft Leasing Co. Ltd. 8.75% 9/1/27 (b) | | 750,000 | 757,507 |
| Gn Bondco LLC 9.5% 10/15/31 (b)(c) | | 992,000 | 1,009,729 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | | | |
| 4.375% 2/1/29 | | 3,360,000 | 2,947,759 |
| 5.25% 5/15/27 | | 220,000 | 212,025 |
| 6.25% 5/15/26 | | 2,699,000 | 2,683,516 |
| 9% 6/15/30(b) | | 170,000 | 172,006 |
| Jackson Financial, Inc.: | | | |
| 3.125% 11/23/31 | | 1,658,000 | 1,434,790 |
| 5.17% 6/8/27 | | 818,000 | 829,123 |
| 5.67% 6/8/32 | | 1,733,000 | 1,788,972 |
| Jbs U.S.A. Holding Lux/ Jbs U.S.A. F: | | | |
| 2.5% 1/15/27 | | 2,610,000 | 2,478,058 |
| 3% 5/15/32 | | 2,415,000 | 2,063,945 |
| 5.125% 2/1/28 | | 1,285,000 | 1,291,480 |
| 5.5% 1/15/30 | | 47,475,000 | 47,819,146 |
| 5.75% 4/1/33 | | 2,984,000 | 3,054,598 |
| KfW 0% 12/15/27 (Reg. S) | EUR | 1,200,000 | 1,223,009 |
| Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S) | EUR | 1,095,000 | 1,069,463 |
| Liberty Costa Rica SR SF 10.875% 1/15/31 (b) | | 300,000 | 322,688 |
| MDGH GMTN RSC Ltd.: | | | |
| 2.875% 11/7/29(b) | | 850,000 | 790,577 |
| 4.375% 11/22/33(b) | | 200,000 | 194,750 |
| 5.084% 5/22/53(b) | | 650,000 | 642,688 |
| 5.5% 4/28/33(b) | | 200,000 | 211,188 |
| NCR Atleos Corp. 9.5% 4/1/29 (b) | | 590,000 | 649,899 |
| Pine Street Trust II 5.568% 2/15/49 (b) | | 800,000 | 772,356 |
| PTT Treasury Center Co. Ltd. 3.7% 7/16/70 (b) | | 180,000 | 127,382 |
| Raizen Fuels Finance SA 6.95% 3/5/54 (b) | | 480,000 | 511,032 |
| Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc. 6.75% 8/15/32 (b) | | 745,000 | 768,590 |
| | | | 137,117,289 |
| Insurance - 0.3% | | | |
| Acrisure LLC / Acrisure Finance, Inc.: | | | |
| 4.25% 2/15/29(b) | | 600,000 | 561,205 |
| 6% 8/1/29(b) | | 600,000 | 573,010 |
| 7.5% 11/6/30(b) | | 290,000 | 297,657 |
| 8.25% 2/1/29(b) | | 220,000 | 226,433 |
| 8.5% 6/15/29(b) | | 290,000 | 301,158 |
| Admiral Group PLC 8.5% 1/6/34 (Reg. S) | GBP | 975,000 | 1,442,136 |
| AIA Group Ltd. 3.2% 9/16/40 (b) | | 625,000 | 479,163 |
| Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer: | | | |
| 4.25% 10/15/27(b) | | 420,000 | 404,791 |
| 6.75% 10/15/27(b) | | 1,795,000 | 1,786,250 |
| 6.75% 4/15/28(b) | | 260,000 | 264,812 |
| 7% 1/15/31(b) | | 440,000 | 454,762 |
| American International Group, Inc. 3.4% 6/30/30 | | 2,180,000 | 2,033,660 |
| AmWINS Group, Inc.: | | | |
| 4.875% 6/30/29(b) | | 2,162,000 | 2,060,962 |
| 6.375% 2/15/29(b) | | 500,000 | 512,661 |
| Argentum Netherlands BV 5.625% 8/15/52 (Reg. S) (d) | | 2,430,000 | 2,428,047 |
| Cloverie PLC 4.5% 9/11/44 (Reg. S) (d) | | 340,000 | 339,575 |
| Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (d) | EUR | 300,000 | 323,734 |
| Five Corners Funding Trust II 2.85% 5/15/30 (b) | | 5,993,000 | 5,469,747 |
| Hartford Financial Services Group, Inc. 4.3% 4/15/43 | | 604,000 | 532,405 |
| HUB International Ltd. 7.25% 6/15/30 (b) | | 713,000 | 744,548 |
| Jones DesLauriers Insurance Management, Inc. 10.5% 12/15/30 (b) | | 150,000 | 163,031 |
| Liberty Mutual Group, Inc. 4.569% 2/1/29 (b) | | 130,000 | 129,387 |
| Marsh & McLennan Companies, Inc.: | | | |
| 4.375% 3/15/29 | | 2,310,000 | 2,318,571 |
| 4.75% 3/15/39 | | 1,134,000 | 1,101,594 |
| Pacific LifeCorp 5.125% 1/30/43 (b) | | 554,000 | 531,508 |
| Panther Escrow Issuer LLC 7.125% 6/1/31 (b) | | 1,155,000 | 1,203,062 |
| Prudential Funding Asia PLC 2.95% 11/3/33 (Reg. S) (d) | | 975,000 | 893,001 |
| QBE Insurance Group Ltd. 2.5% 9/13/38 (Reg. S) (d) | GBP | 415,000 | 479,705 |
| Sagicor Financial Co. Ltd. 5.3% 5/13/28 (b) | | 300,000 | 290,310 |
| Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(d) | | 200,000 | 199,660 |
| Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b) | | 1,852,000 | 1,733,607 |
| TIAA Asset Management Finance LLC 4.125% 11/1/24 (b) | | 3,501,000 | 3,492,375 |
| Unum Group: | | | |
| 3.875% 11/5/25 | | 349,000 | 344,706 |
| 4% 6/15/29 | | 2,474,000 | 2,404,313 |
| USI, Inc. 7.5% 1/15/32 (b) | | 240,000 | 251,402 |
| Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (d) | | 1,605,000 | 1,393,957 |
| | | | 38,166,905 |
| Mortgage Real Estate Investment Trusts - 0.0% | | | |
| Rithm Capital Corp.: | | | |
| 6.25% 10/15/25(b) | | 397,000 | 396,179 |
| 8% 4/1/29(b) | | 220,000 | 218,954 |
| Starwood Property Trust, Inc.: | | | |
| 3.625% 7/15/26(b) | | 145,000 | 139,556 |
| 3.75% 12/31/24(b) | | 290,000 | 287,396 |
| 4.75% 3/15/25 | | 180,000 | 178,819 |
| 7.25% 4/1/29(b) | | 1,475,000 | 1,535,361 |
| | | | 2,756,265 |
TOTAL FINANCIALS | | | 1,455,204,536 |
| | | | |
| HEALTH CARE - 2.1% | | | |
| Biotechnology - 0.3% | | | |
| Amgen, Inc.: | | | |
| 5.25% 3/2/30 | | 27,282,000 | 28,261,349 |
| 5.25% 3/2/33 | | 4,107,000 | 4,220,670 |
| 5.6% 3/2/43 | | 1,432,000 | 1,463,549 |
| 5.65% 3/2/53 | | 712,000 | 732,301 |
| 5.75% 3/2/63 | | 1,297,000 | 1,330,239 |
| Emergent BioSolutions, Inc. 3.875% 8/15/28 (b) | | 2,438,000 | 1,810,150 |
| Grifols SA % (b) | | 330,000 | 313,479 |
| | | | 38,131,737 |
| Health Care Equipment & Supplies - 0.1% | | | |
| AdaptHealth LLC 5.125% 3/1/30 (b) | | 1,572,000 | 1,437,317 |
| Avantor Funding, Inc.: | | | |
| 3.875% 11/1/29(b) | | 364,000 | 340,144 |
| 4.625% 7/15/28(b) | | 735,000 | 715,279 |
| Embecta Corp. 5% 2/15/30 (b) | | 265,000 | 238,926 |
| Medline Borrower LP 3.875% 4/1/29 (b) | | 684,000 | 646,085 |
| Medline Borrower LP / Medline Co. 6.25% 4/1/29 (b) | | 3,321,000 | 3,423,370 |
| Sotera Health Holdings LLC 7.375% 6/1/31 (b) | | 545,000 | 569,981 |
| Teleflex, Inc. 4.25% 6/1/28 (b) | | 826,000 | 793,801 |
| Werfenlife SA 4.625% 6/6/28 (Reg. S) | EUR | 1,600,000 | 1,829,540 |
| | | | 9,994,443 |
| Health Care Providers & Services - 1.3% | | | |
| 180 Medical, Inc. 3.875% 10/15/29 (b) | | 625,000 | 586,092 |
| Akumin, Inc. 8% 8/1/28 (b) | | 415,000 | 344,450 |
| AMN Healthcare 4% 4/15/29 (b) | | 332,000 | 309,693 |
| Auna SA 10% 12/15/29 (b) | | 200,000 | 209,248 |
| Centene Corp.: | | | |
| 2.45% 7/15/28 | | 7,705,000 | 7,049,687 |
| 2.625% 8/1/31 | | 1,163,000 | 986,522 |
| 3.375% 2/15/30 | | 9,847,000 | 9,016,459 |
| 4.25% 12/15/27 | | 1,421,000 | 1,389,312 |
| 4.625% 12/15/29 | | 8,362,000 | 8,135,325 |
| CHS/Community Health Systems, Inc.: | | | |
| 4.75% 2/15/31(b) | | 4,011,000 | 3,421,084 |
| 5.25% 5/15/30(b) | | 2,993,000 | 2,683,627 |
| 5.625% 3/15/27(b) | | 2,058,000 | 1,991,623 |
| 6.875% 4/15/29(b) | | 3,625,000 | 3,119,423 |
| 10.875% 1/15/32(b) | | 423,000 | 457,906 |
| Cigna Group: | | | |
| 3.05% 10/15/27 | | 300,000 | 288,457 |
| 4.8% 8/15/38 | | 268,000 | 256,989 |
| 4.9% 12/15/48 | | 268,000 | 246,206 |
| CVS Health Corp.: | | | |
| 3% 8/15/26 | | 69,000 | 66,836 |
| 3.625% 4/1/27 | | 281,000 | 275,078 |
| 4.3% 3/25/28 | | 26,139,000 | 25,824,121 |
| 4.78% 3/25/38 | | 1,315,000 | 1,208,003 |
| 5% 1/30/29 | | 1,451,000 | 1,471,577 |
| 5.25% 1/30/31 | | 4,699,000 | 4,777,970 |
| DaVita, Inc.: | | | |
| 3.75% 2/15/31(b) | | 609,000 | 542,072 |
| 4.625% 6/1/30(b) | | 2,203,000 | 2,077,207 |
| 6.875% 9/1/32(b) | | 1,095,000 | 1,120,249 |
| HCA Holdings, Inc.: | | | |
| 3.5% 9/1/30 | | 29,832,000 | 27,814,709 |
| 3.625% 3/15/32 | | 232,000 | 210,923 |
| 5.625% 9/1/28 | | 1,082,000 | 1,115,839 |
| 5.875% 2/1/29 | | 2,361,000 | 2,452,839 |
| Humana, Inc.: | | | |
| 3.7% 3/23/29 | | 981,000 | 946,902 |
| 5.375% 4/15/31 | | 6,629,000 | 6,788,645 |
| LifePoint Health, Inc.: | | | |
| 5.375% 1/15/29(b) | | 936,000 | 873,670 |
| 9.875% 8/15/30(b) | | 425,000 | 466,089 |
| 10% 6/1/32(b) | | 320,000 | 347,303 |
| ModivCare Escrow Issuer, Inc. 5% 10/1/29 (b) | | 225,000 | 160,981 |
| Molina Healthcare, Inc.: | | | |
| 3.875% 11/15/30(b) | | 661,000 | 607,754 |
| 3.875% 5/15/32(b) | | 612,000 | 549,104 |
| Pediatrix Medical Group, Inc. 5.375% 2/15/30 (b) | | 1,170,000 | 1,118,845 |
| Prime Healthcare Services 9.375% 9/1/29 (b) | | 345,000 | 347,790 |
| Radiology Partners, Inc. 7.775% 1/31/29 pay-in-kind (b)(d) | | 1,431,954 | 1,376,466 |
| Sabra Health Care LP 3.2% 12/1/31 | | 11,398,000 | 9,886,085 |
| Surgery Center Holdings, Inc. 7.25% 4/15/32 (b) | | 1,393,000 | 1,463,094 |
| Tenet Healthcare Corp.: | | | |
| 4.375% 1/15/30 | | 1,354,000 | 1,294,498 |
| 4.625% 6/15/28 | | 115,000 | 112,374 |
| 6.125% 10/1/28 | | 4,595,000 | 4,603,455 |
| 6.125% 6/15/30 | | 1,731,000 | 1,758,045 |
| Toledo Hospital 5.325% 11/15/28 | | 154,000 | 151,305 |
| U.S. Acute Care Solutions 9.75% 5/15/29 (b) | | 435,000 | 445,008 |
| | | | 142,746,939 |
| Health Care Technology - 0.0% | | | |
| IQVIA, Inc.: | | | |
| 5% 10/15/26(b) | | 410,000 | 407,165 |
| 5% 5/15/27(b) | | 530,000 | 526,168 |
| | | | 933,333 |
| Life Sciences Tools & Services - 0.0% | | | |
| Charles River Laboratories International, Inc. 3.75% 3/15/29 (b) | | 936,000 | 877,083 |
| Pharmaceuticals - 0.4% | | | |
| 1375209 BC Ltd. 9% 1/30/28 (b) | | 1,133,000 | 1,101,105 |
| Bausch Health Companies, Inc.: | | | |
| 4.875% 6/1/28(b) | | 850,000 | 634,950 |
| 5.25% 1/30/30(b) | | 555,000 | 277,500 |
| 5.5% 11/1/25(b) | | 2,735,000 | 2,632,752 |
| 11% 9/30/28(b) | | 585,000 | 535,275 |
| Bayer AG 4.625% 5/26/33 (Reg. S) | EUR | 370,000 | 428,473 |
| Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) | | 1,700,000 | 1,680,429 |
| Bayer U.S. Finance LLC: | | | |
| 6.375% 11/21/30(b) | | 1,295,000 | 1,376,794 |
| 6.5% 11/21/33(b) | | 1,460,000 | 1,556,309 |
| Catalent Pharma Solutions 3.5% 4/1/30 (b) | | 380,000 | 371,081 |
| Elanco Animal Health, Inc. 6.65% 8/28/28 (d) | | 92,000 | 95,268 |
| Jazz Securities DAC 4.375% 1/15/29 (b) | | 1,394,000 | 1,326,629 |
| Mylan NV 4.55% 4/15/28 | | 5,345,000 | 5,292,616 |
| Organon & Co. / Organon Foreign Debt Co-Issuer BV: | | | |
| 5.125% 4/30/31(b) | | 2,798,000 | 2,620,449 |
| 6.75% 5/15/34(b) | | 215,000 | 222,812 |
| 7.875% 5/15/34(b) | | 265,000 | 279,225 |
| Teva Pharmaceutical Finance Netherlands III BV: | | | |
| 3.15% 10/1/26 | | 1,666,000 | 1,595,021 |
| 7.875% 9/15/29 | | 200,000 | 220,243 |
| Utah Acquisition Sub, Inc. 3.95% 6/15/26 | | 90,000 | 88,721 |
| Viatris, Inc.: | | | |
| 2.7% 6/22/30 | | 25,302,000 | 22,273,731 |
| 4% 6/22/50 | | 322,000 | 228,233 |
| | | | 44,837,616 |
TOTAL HEALTH CARE | | | 237,521,151 |
| | | | |
| INDUSTRIALS - 1.7% | | | |
| Aerospace & Defense - 0.6% | | | |
| Bombardier, Inc.: | | | |
| 6% 2/15/28(b) | | 226,000 | 226,121 |
| 7% 6/1/32(b) | | 155,000 | 161,354 |
| 7.25% 7/1/31(b) | | 670,000 | 703,292 |
| 7.875% 4/15/27(b) | | 571,000 | 572,942 |
| 8.75% 11/15/30(b) | | 1,175,000 | 1,281,343 |
| BWX Technologies, Inc.: | | | |
| 4.125% 6/30/28(b) | | 1,100,000 | 1,061,499 |
| 4.125% 4/15/29(b)(c) | | 1,203,000 | 1,150,547 |
| Embraer Netherlands Finance BV: | | | |
| 5.4% 2/1/27 | | 315,000 | 317,167 |
| 6.95% 1/17/28(b) | | 395,000 | 414,009 |
| 7% 7/28/30(b) | | 540,000 | 578,475 |
| Moog, Inc. 4.25% 12/15/27 (b) | | 205,000 | 197,453 |
| Spirit Aerosystems, Inc. 9.75% 11/15/30 (b) | | 722,000 | 808,021 |
| The Boeing Co.: | | | |
| 3.55% 3/1/38 | | 636,000 | 485,027 |
| 5.15% 5/1/30 | | 22,826,000 | 22,767,384 |
| 5.705% 5/1/40 | | 550,000 | 534,603 |
| 5.805% 5/1/50 | | 2,040,000 | 1,925,444 |
| 5.93% 5/1/60 | | 6,125,000 | 5,785,419 |
| 6.259% 5/1/27(b) | | 741,000 | 762,330 |
| 6.298% 5/1/29(b) | | 2,117,000 | 2,210,899 |
| 6.388% 5/1/31(b) | | 1,603,000 | 1,688,546 |
| 6.528% 5/1/34(b) | | 1,716,000 | 1,817,436 |
| 6.858% 5/1/54(b) | | 2,583,000 | 2,781,210 |
| 7.008% 5/1/64(b) | | 2,438,000 | 2,625,776 |
| TransDigm, Inc.: | | | |
| 5.5% 11/15/27 | | 2,735,000 | 2,711,069 |
| 6.375% 3/1/29(b) | | 1,045,000 | 1,076,936 |
| 6.625% 3/1/32(b) | | 300,000 | 311,991 |
| 6.75% 8/15/28(b) | | 5,557,000 | 5,702,871 |
| 7.125% 12/1/31(b) | | 75,000 | 79,201 |
| VistaJet Malta Finance PLC / XO Management Holding, Inc.: | | | |
| 6.375% 2/1/30(b) | | 1,749,000 | 1,434,201 |
| 7.875% 5/1/27(b) | | 1,175,000 | 1,102,782 |
| 9.5% 6/1/28(b) | | 410,000 | 383,424 |
| | | | 63,658,772 |
| Air Freight & Logistics - 0.0% | | | |
| Aercap Global Aviation Trust 6.5% 6/15/45 (b)(d) | | 155,000 | 154,515 |
| Cargo Aircraft Management, Inc. 4.75% 2/1/28 (b) | | 1,150,000 | 1,098,250 |
| Rand Parent LLC 8.5% 2/15/30 (b) | | 3,496,000 | 3,496,056 |
| | | | 4,748,821 |
| Building Products - 0.1% | | | |
| Advanced Drain Systems, Inc. 5% 9/30/27 (b) | | 1,160,000 | 1,142,067 |
| AmeriTex Holdco Intermediate LLC 10.25% 10/15/28 (b) | | 80,000 | 85,111 |
| Builders FirstSource, Inc.: | | | |
| 4.25% 2/1/32(b) | | 1,020,000 | 931,920 |
| 6.375% 3/1/34(b) | | 670,000 | 687,860 |
| Carrier Global Corp.: | | | |
| 4.5% 11/29/32 | EUR | 535,000 | 628,945 |
| 5.9% 3/15/34 | | 527,000 | 568,473 |
| 6.2% 3/15/54 | | 301,000 | 341,286 |
| EMRLD Borrower LP / Emerald Co.: | | | |
| 6.625% 12/15/30(b) | | 1,933,000 | 1,979,458 |
| 6.75% 7/15/31(b) | | 705,000 | 726,498 |
| MasterBrand, Inc. 7% 7/15/32 (b) | | 470,000 | 484,103 |
| MITER Brands Acquisition Holdco, Inc. / MIWD Borrower LLC 6.75% 4/1/32 (b) | | 370,000 | 380,231 |
| Oscar Acquisition Co. LLC / Oscar Finance, Inc. 9.5% 4/15/30 (b) | | 910,000 | 854,488 |
| Sisecam UK PLC 8.625% 5/2/32 (b) | | 545,000 | 564,075 |
| | | | 9,374,515 |
| Commercial Services & Supplies - 0.2% | | | |
| ADT Corp. 4.125% 8/1/29 (b)(c) | | 1,190,000 | 1,130,076 |
| Allied Universal Holdco LLC 7.875% 2/15/31 (b)(i) | | 1,545,000 | 1,568,613 |
| Allied Universal Holdco LLC / Allied Universal Finance Corp.: | | | |
| 6% 6/1/29(b) | | 850,000 | 756,569 |
| 9.75% 7/15/27(b) | | 1,937,000 | 1,941,552 |
| APX Group, Inc.: | | | |
| 5.75% 7/15/29(b) | | 980,000 | 970,984 |
| 6.75% 2/15/27(b) | | 420,000 | 420,783 |
| Artera Services LLC 8.5% 2/15/31 (b) | | 4,136,000 | 4,140,703 |
| Brand Industrial Services, Inc. 10.375% 8/1/30 (b) | | 2,901,000 | 3,160,848 |
| Cimpress PLC 7% 6/15/26 | | 299,000 | 298,049 |
| Clean Harbors, Inc. 6.375% 2/1/31 (b) | | 408,000 | 416,941 |
| CoreCivic, Inc.: | | | |
| 4.75% 10/15/27 | | 785,000 | 748,737 |
| 8.25% 4/15/29 | | 2,600,000 | 2,742,784 |
| Garda World Security Corp. 8.25% 8/1/32 (b) | | 505,000 | 513,258 |
| GFL Environmental, Inc. 6.75% 1/15/31 (b) | | 1,044,000 | 1,090,539 |
| Madison IAQ LLC: | | | |
| 4.125% 6/30/28(b) | | 140,000 | 133,210 |
| 5.875% 6/30/29(b) | | 1,398,000 | 1,332,167 |
| Neptune BidCo U.S., Inc. 9.29% 4/15/29 (b) | | 320,000 | 319,600 |
| Reworld Holding Corp. 4.875% 12/1/29 (b) | | 1,006,000 | 933,483 |
| The GEO Group, Inc.: | | | |
| 8.625% 4/15/29 | | 845,000 | 876,580 |
| 10.25% 4/15/31 | | 1,143,000 | 1,207,559 |
| Williams Scotsman, Inc. 6.625% 6/15/29 (b) | | 950,000 | 980,814 |
| Wrangler Holdco Corp. 6.625% 4/1/32 (b) | | 1,909,000 | 1,970,953 |
| | | | 27,654,802 |
| Construction & Engineering - 0.1% | | | |
| ATP Tower Holdings LLC/Andean Tower Partners 4.05% 4/27/26 (b) | | 1,090,000 | 1,042,821 |
| Greensaif Pipelines Bidco SARL: | | | |
| 5.8528% 2/23/36(b) | | 200,000 | 205,850 |
| 6.1027% 8/23/42(b) | | 350,000 | 357,438 |
| 6.129% 2/23/38(b) | | 1,105,000 | 1,160,941 |
| 6.51% 2/23/42(b) | | 200,000 | 213,688 |
| Pike Corp.: | | | |
| 5.5% 9/1/28(b) | | 1,418,000 | 1,381,300 |
| 8.625% 1/31/31(b) | | 1,341,000 | 1,447,660 |
| Railworks Holdings LP 8.25% 11/15/28 (b) | | 1,355,000 | 1,384,345 |
| | | | 7,194,043 |
| Electrical Equipment - 0.0% | | | |
| GrafTech Global Enterprises, Inc. 9.875% 12/15/28 (b) | | 165,000 | 132,394 |
| Regal Rexnord Corp. 6.3% 2/15/30 | | 1,964,000 | 2,074,092 |
| Sensata Technologies BV 4% 4/15/29 (b) | | 1,760,000 | 1,657,106 |
| | | | 3,863,592 |
| Ground Transportation - 0.1% | | | |
| Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 5.75% 7/15/27 (b) | | 50,000 | 48,854 |
| Genesee & Wyoming, Inc. 6.25% 4/15/32 (b) | | 1,485,000 | 1,517,773 |
| Mobico Group PLC 4.875% 9/26/31 (Reg. S) | EUR | 1,590,000 | 1,740,309 |
| Uber Technologies, Inc.: | | | |
| 4.5% 8/15/29(b) | | 2,162,000 | 2,120,348 |
| 8% 11/1/26(b) | | 850,000 | 852,885 |
| XPO, Inc.: | | | |
| 6.25% 6/1/28(b) | | 450,000 | 459,100 |
| 7.125% 2/1/32(b) | | 1,478,000 | 1,546,244 |
| | | | 8,285,513 |
| Industrial Conglomerates - 0.0% | | | |
| GRUP KUO, S.A.B. de CV 5.75% 7/7/27 (b) | | 325,000 | 313,489 |
| Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.: | | | |
| 4.75% 6/15/29(b) | | 652,000 | 628,440 |
| 5.25% 10/1/25(b) | | 51,000 | 50,818 |
| 7% 7/15/31(b) | | 590,000 | 613,438 |
| | | | 1,606,185 |
| Machinery - 0.0% | | | |
| Mueller Water Products, Inc. 4% 6/15/29 (b) | | 1,330,000 | 1,257,279 |
| TK Elevator Holdco GmbH 7.625% 7/15/28 (b) | | 690,000 | 691,013 |
| TK Elevator U.S. Newco, Inc. 5.25% 7/15/27 (b) | | 2,416,000 | 2,378,455 |
| | | | 4,326,747 |
| Marine Transportation - 0.0% | | | |
| MISC Capital Two (Labuan) Ltd. 3.75% 4/6/27 (b) | | 950,000 | 926,583 |
| Seaspan Corp. 5.5% 8/1/29 (b) | | 1,226,000 | 1,167,755 |
| | | | 2,094,338 |
| Passenger Airlines - 0.1% | | | |
| Air Canada 3.875% 8/15/26 (b) | | 310,000 | 299,129 |
| American Airlines, Inc.: | | | |
| 7.25% 2/15/28(b) | | 800,000 | 804,975 |
| 8.5% 5/15/29(b) | | 385,000 | 400,269 |
| American Airlines, Inc. / AAdvantage Loyalty IP Ltd. 5.5% 4/20/26 (b) | | 1,383,083 | 1,375,921 |
| Azul Secured Finance LLP: | | | |
| 11.5% 5/28/29(b) | | 603,847 | 368,190 |
| 11.93% 8/28/28(b) | | 300,000 | 276,750 |
| Delta Air Lines, Inc. / SkyMiles IP Ltd. 4.5% 10/20/25 (b) | | 312,500 | 311,273 |
| Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. 11% 4/15/29 (b) | | 1,092,750 | 1,112,201 |
| JetBlue Airways Corp./JetBlue Loyalty LP 9.875% 9/20/31 (b) | | 755,000 | 746,220 |
| Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd.: | | | |
| 8% 9/20/25(b) | | 335,000 | 209,213 |
| 8% 9/20/25(b) | | 105,000 | 65,574 |
| | | | 5,969,715 |
| Professional Services - 0.0% | | | |
| CoreLogic, Inc. 4.5% 5/1/28 (b) | | 2,384,000 | 2,230,973 |
| TriNet Group, Inc.: | | | |
| 3.5% 3/1/29(b) | | 900,000 | 832,570 |
| 7.125% 8/15/31(b) | | 1,751,000 | 1,815,959 |
| | | | 4,879,502 |
| Trading Companies & Distributors - 0.1% | | | |
| Air Lease Corp. 3.375% 7/1/25 | | 1,164,000 | 1,147,301 |
| Beacon Roofing Supply, Inc. 6.5% 8/1/30 (b) | | 1,001,000 | 1,027,943 |
| FLY Leasing Ltd. 7% 10/15/24 (b) | | 145,000 | 144,101 |
| Fortress Transportation & Infrastructure Investors LLC: | | | |
| 7% 6/15/32(b) | | 270,000 | 282,472 |
| 7.875% 12/1/30(b) | | 1,070,000 | 1,148,312 |
| Foundation Building Materials, Inc. 6% 3/1/29 (b) | | 320,000 | 287,083 |
| Travis Perkins PLC 3.75% 2/17/26 (Reg. S) | GBP | 463,000 | 584,394 |
| United Rentals North America, Inc. 6.125% 3/15/34 (b) | | 1,371,000 | 1,400,448 |
| | | | 6,022,054 |
| Transportation Infrastructure - 0.4% | | | |
| Aeropuertos Dominicanos Siglo XXI SA 7% 6/30/34 (b) | | 275,000 | 284,281 |
| Avolon Holdings Funding Ltd.: | | | |
| 2.875% 2/15/25(b) | | 10,863,000 | 10,721,403 |
| 4.25% 4/15/26(b) | | 30,498,000 | 30,025,024 |
| 4.375% 5/1/26(b) | | 2,716,000 | 2,675,310 |
| 5.75% 11/15/29(b) | | 320,000 | 327,603 |
| 6.375% 5/4/28(b) | | 3,064,000 | 3,184,964 |
| DP World Crescent Ltd. 3.7495% 1/30/30 (b) | | 450,000 | 429,609 |
| DP World Ltd. 5.625% 9/25/48 (b) | | 360,000 | 358,425 |
| Heathrow Funding Ltd. 6% 3/5/32 (Reg. S) | GBP | 1,000,000 | 1,323,739 |
| | | | 49,330,358 |
TOTAL INDUSTRIALS | | | 199,008,957 |
| | | | |
| INFORMATION TECHNOLOGY - 1.0% | | | |
| Communications Equipment - 0.1% | | | |
| CommScope, Inc.: | | | |
| 4.75% 9/1/29(b) | | 955,000 | 768,775 |
| 6% 3/1/26(b) | | 1,197,000 | 1,152,113 |
| HTA Group Ltd. 7.5% 6/4/29 (b) | | 3,485,000 | 3,507,478 |
| IHS Netherlands Holdco BV 8% 9/18/27 (b) | | 2,323,000 | 2,315,741 |
| ViaSat, Inc. 5.625% 9/15/25 (b) | | 1,310,000 | 1,296,949 |
| | | | 9,041,056 |
| Electronic Equipment, Instruments & Components - 0.1% | | | |
| Coherent Corp. 5% 12/15/29 (b) | | 1,415,000 | 1,368,283 |
| CPI CG, Inc. 10% 7/15/29 (b) | | 320,000 | 336,555 |
| Dell International LLC/EMC Corp.: | | | |
| 5.3% 10/1/29 | | 2,400,000 | 2,478,159 |
| 6.2% 7/15/30 | | 415,000 | 447,239 |
| Insight Enterprises, Inc. 6.625% 5/15/32 (b) | | 455,000 | 470,975 |
| Lightning Power LLC 7.25% 8/15/32 (b) | | 610,000 | 630,311 |
| Sensata Technologies, Inc. 6.625% 7/15/32 (b) | | 625,000 | 646,698 |
| TTM Technologies, Inc. 4% 3/1/29 (b) | | 2,554,000 | 2,410,361 |
| | | | 8,788,581 |
| IT Services - 0.1% | | | |
| Acuris Finance U.S.: | | | |
| 5% 5/1/28(b) | | 1,480,000 | 1,324,857 |
| 9% 8/1/29(b) | | 1,373,000 | 1,373,000 |
| Ahead DB Holdings LLC 6.625% 5/1/28 (b) | | 450,000 | 431,743 |
| Amentum Escrow Corp. 7.25% 8/1/32 (b) | | 755,000 | 789,427 |
| ASGN, Inc. 4.625% 5/15/28 (b) | | 690,000 | 666,657 |
| CA Magnum Holdings 5.375% 10/31/26 (b) | | 500,000 | 487,188 |
| Cogent Communications Group, Inc. 7% 6/15/27 (b) | | 1,010,000 | 1,021,710 |
| Gartner, Inc. 4.5% 7/1/28 (b) | | 792,000 | 777,821 |
| Go Daddy Operating Co. LLC / GD Finance Co., Inc.: | | | |
| 3.5% 3/1/29(b) | | 970,000 | 901,914 |
| 5.25% 12/1/27(b) | | 1,030,000 | 1,025,439 |
| Unisys Corp. 6.875% 11/1/27 (b) | | 150,000 | 140,404 |
| Virtusa Corp. 7.125% 12/15/28 (b) | | 135,000 | 127,062 |
| | | | 9,067,222 |
| Semiconductors & Semiconductor Equipment - 0.5% | | | |
| Broadcom, Inc.: | | | |
| 1.95% 2/15/28(b) | | 708,000 | 650,858 |
| 2.45% 2/15/31(b) | | 23,762,000 | 20,733,177 |
| 2.6% 2/15/33(b) | | 40,594,000 | 34,029,700 |
| 3.187% 11/15/36(b) | | 1,215,000 | 1,005,321 |
| 3.5% 2/15/41(b) | | 2,339,000 | 1,868,844 |
| Entegris, Inc.: | | | |
| 3.625% 5/1/29(b) | | 2,325,000 | 2,140,668 |
| 4.375% 4/15/28(b) | | 300,000 | 288,164 |
| 4.75% 4/15/29(b) | | 1,524,000 | 1,495,520 |
| 5.95% 6/15/30(b) | | 740,000 | 750,034 |
| ON Semiconductor Corp. 3.875% 9/1/28 (b) | | 1,041,000 | 989,325 |
| | | | 63,951,611 |
| Software - 0.2% | | | |
| Central Parent, Inc./Central Merger Sub, Inc. 7.25% 6/15/29 (b) | | 270,000 | 271,346 |
| Cloud Software Group, Inc.: | | | |
| 6.5% 3/31/29(b) | | 290,000 | 285,866 |
| 8.25% 6/30/32(b) | | 2,459,000 | 2,574,654 |
| 9% 9/30/29(b) | | 4,428,000 | 4,456,614 |
| CNT PRNT/CDK GLO II/FIN 8% 6/15/29 (b) | | 545,000 | 562,708 |
| Elastic NV 4.125% 7/15/29 (b) | | 1,072,000 | 998,776 |
| Gen Digital, Inc. 5% 4/15/25 (b) | | 867,000 | 863,665 |
| Helios Software Holdings, Inc. / ION Corporate Solutions Finance Sarl 8.75% 5/1/29 (b) | | 1,120,000 | 1,166,171 |
| ION Trading Technologies Ltd.: | | | |
| 5.75% 5/15/28(b) | | 1,562,000 | 1,470,241 |
| 9.5% 5/30/29(b) | | 455,000 | 483,132 |
| McAfee Corp. 7.375% 2/15/30 (b) | | 560,000 | 537,179 |
| MicroStrategy, Inc. 6.125% 6/15/28 (b) | | 1,244,000 | 1,212,576 |
| Open Text Corp.: | | | |
| 3.875% 2/15/28(b) | | 215,000 | 203,846 |
| 3.875% 12/1/29(b) | | 1,250,000 | 1,152,390 |
| Open Text Holdings, Inc.: | | | |
| 4.125% 2/15/30(b) | | 1,081,000 | 1,003,710 |
| 4.125% 12/1/31(b) | | 978,000 | 890,546 |
| Oracle Corp.: | | | |
| 1.65% 3/25/26 | | 1,381,000 | 1,318,539 |
| 2.3% 3/25/28 | | 2,182,000 | 2,025,002 |
| 2.875% 3/25/31 | | 2,500,000 | 2,237,098 |
| 3.6% 4/1/50 | | 6,000 | 4,381 |
| 3.85% 4/1/60 | | 6,000 | 4,335 |
| UKG, Inc. 6.875% 2/1/31 (b) | | 937,000 | 969,253 |
| Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (b) | | 410,000 | 374,790 |
| | | | 25,066,818 |
| Technology Hardware, Storage & Peripherals - 0.0% | | | |
| Lenovo Group Ltd. 3.421% 11/2/30 (b) | | 750,000 | 685,078 |
| Seagate HDD Cayman: | | | |
| 5.75% 12/1/34 | | 610,000 | 610,348 |
| 8.25% 12/15/29 | | 445,000 | 482,344 |
| 8.5% 7/15/31 | | 289,000 | 314,261 |
| Western Digital Corp.: | | | |
| 2.85% 2/1/29 | | 1,175,000 | 1,054,183 |
| 3.1% 2/1/32 | | 350,000 | 294,509 |
| 4.75% 2/15/26 | | 75,000 | 74,323 |
| | | | 3,515,046 |
TOTAL INFORMATION TECHNOLOGY | | | 119,430,334 |
| | | | |
| MATERIALS - 0.9% | | | |
| Chemicals - 0.5% | | | |
| Axalta Coating Systems Dutch Holding B BV 7.25% 2/15/31 (b) | | 392,000 | 415,136 |
| Braskem Idesa SAPI: | | | |
| 6.99% 2/20/32(b) | | 640,000 | 499,002 |
| 7.45% 11/15/29(b) | | 255,000 | 214,042 |
| Braskem Netherlands BV: | | | |
| 5.875% 1/31/50(b) | | 358,000 | 274,765 |
| 7.25% 2/13/33(b) | | 670,000 | 659,414 |
| 8.5% 1/12/31(b) | | 315,000 | 328,766 |
| Celanese U.S. Holdings LLC: | | | |
| 6.35% 11/15/28 | | 2,137,000 | 2,248,367 |
| 6.55% 11/15/30 | | 15,455,000 | 16,573,958 |
| 6.7% 11/15/33 | | 1,127,000 | 1,218,287 |
| Consolidated Energy Finance SA 12% 2/15/31 (b) | | 1,072,000 | 1,055,090 |
| CVR Partners LP/CVR Nitrogen Finance Corp. 6.125% 6/15/28 (b) | | 970,000 | 941,600 |
| ENN Clean Energy International Investment Ltd. 3.375% 5/12/26 (b) | | 825,000 | 797,930 |
| Herens HoldCo Sarl 4.75% 5/15/28 (b) | | 336,000 | 293,044 |
| INEOS Quattro Finance 2 PLC 9.625% 3/15/29 (b) | | 200,000 | 215,719 |
| Kobe U.S. Midco 2, Inc. 9.25% 11/1/26 pay-in-kind (b)(d) | | 1,506,100 | 1,235,002 |
| LSB Industries, Inc. 6.25% 10/15/28 (b) | | 410,000 | 401,794 |
| MEGlobal BV: | | | |
| 2.625% 4/28/28(b) | | 546,000 | 504,197 |
| 4.25% 11/3/26(b) | | 70,000 | 68,906 |
| MEGlobal Canada, Inc. 5% 5/18/25 (b) | | 300,000 | 298,545 |
| Methanex Corp.: | | | |
| 5.125% 10/15/27 | | 2,577,000 | 2,536,594 |
| 5.25% 12/15/29 | | 918,000 | 902,259 |
| 5.65% 12/1/44 | | 961,000 | 858,370 |
| NOVA Chemicals Corp.: | | | |
| 4.25% 5/15/29(b) | | 200,000 | 182,421 |
| 5.25% 6/1/27(b) | | 2,090,000 | 2,063,103 |
| 8.5% 11/15/28(b) | | 1,289,000 | 1,374,249 |
| 9% 2/15/30(b) | | 265,000 | 284,645 |
| Nufarm Australia Ltd. 5% 1/27/30 (b) | | 1,880,000 | 1,742,441 |
| OCP SA: | | | |
| 3.75% 6/23/31(b) | | 1,015,000 | 909,059 |
| 5.125% 6/23/51(b) | | 275,000 | 220,000 |
| 6.75% 5/2/34(b) | | 235,000 | 250,569 |
| 6.875% 4/25/44(b) | | 245,000 | 246,960 |
| 7.5% 5/2/54(b) | | 200,000 | 214,290 |
| Olin Corp.: | | | |
| 5% 2/1/30 | | 1,995,000 | 1,928,456 |
| 5.625% 8/1/29 | | 505,000 | 503,499 |
| Olympus Water U.S. Holding Corp.: | | | |
| 4.25% 10/1/28(b) | | 1,800,000 | 1,690,555 |
| 6.25% 10/1/29(b) | | 788,000 | 740,150 |
| 7.25% 6/15/31(b) | | 987,000 | 1,020,153 |
| 9.75% 11/15/28(b) | | 1,695,000 | 1,805,494 |
| Orbia Advance Corp. S.A.B. de CV: | | | |
| 1.875% 5/11/26(b) | | 325,000 | 307,125 |
| 2.875% 5/11/31(b) | | 600,000 | 507,078 |
| Sasol Financing U.S.A. LLC: | | | |
| 4.375% 9/18/26 | | 705,000 | 678,563 |
| 5.5% 3/18/31 | | 105,000 | 92,330 |
| 6.5% 9/27/28 | | 450,000 | 440,578 |
| SCIH Salt Holdings, Inc.: | | | |
| 4.875% 5/1/28(b) | | 70,000 | 66,701 |
| 6.625% 5/1/29(b) | | 935,000 | 894,772 |
| SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (b) | | 661,000 | 651,310 |
| The Chemours Co. LLC: | | | |
| 4.625% 11/15/29(b) | | 968,000 | 851,560 |
| 5.375% 5/15/27 | | 1,877,000 | 1,823,827 |
| 5.75% 11/15/28(b)(c) | | 1,730,000 | 1,621,168 |
| Tronox, Inc. 4.625% 3/15/29 (b)(c) | | 2,143,000 | 1,952,977 |
| W.R. Grace Holding LLC: | | | |
| 4.875% 6/15/27(b) | | 195,000 | 190,690 |
| 5.625% 8/15/29(b) | | 1,500,000 | 1,390,863 |
| 7.375% 3/1/31(b) | | 580,000 | 602,442 |
| | | | 59,788,815 |
| Construction Materials - 0.0% | | | |
| Eco Material Technologies, Inc. 7.875% 1/31/27 (b) | | 1,598,000 | 1,618,541 |
| Smyrna Ready Mix Concrete LLC 8.875% 11/15/31 (b) | | 420,000 | 450,828 |
| Summit Materials LLC/Summit Materials Finance Corp. 7.25% 1/15/31 (b) | | 786,000 | 826,283 |
| | | | 2,895,652 |
| Containers & Packaging - 0.1% | | | |
| ARD Finance SA 6.5% 6/30/27 pay-in-kind (b)(d) | | 310,000 | 71,417 |
| Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC: | | | |
| 4% 9/1/29(b) | | 1,303,000 | 1,122,861 |
| 6% 6/15/27(b) | | 1,383,000 | 1,378,951 |
| Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | | | |
| 4.125% 8/15/26(b) | | 240,000 | 206,986 |
| 5.25% 8/15/27(b) | | 105,000 | 63,162 |
| Ball Corp. 6% 6/15/29 | | 880,000 | 905,483 |
| Clydesdale Acquisition Holdings, Inc.: | | | |
| 6.625% 4/15/29(b) | | 110,000 | 109,849 |
| 6.875% 1/15/30(b) | | 725,000 | 727,673 |
| 8.75% 4/15/30(b) | | 1,290,000 | 1,287,112 |
| Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26 | | 75,000 | 74,289 |
| Graham Packaging Co., Inc. 7.125% 8/15/28 (b) | | 766,000 | 757,058 |
| Graphic Packaging International, Inc.: | | | |
| 3.75% 2/1/30(b) | | 364,000 | 336,659 |
| 6.375% 7/15/32(b) | | 535,000 | 547,000 |
| Mauser Packaging Solutions Holding Co. 7.875% 4/15/27 (b) | | 915,000 | 946,046 |
| Owens-Brockway Glass Container, Inc.: | | | |
| 7.25% 5/15/31(b) | | 120,000 | 121,425 |
| 7.375% 6/1/32(b) | | 445,000 | 447,011 |
| Sealed Air Corp.: | | | |
| 5% 4/15/29(b) | | 1,077,000 | 1,056,338 |
| 6.5% 7/15/32(b) | | 335,000 | 342,678 |
| Sealed Air Corp./Sealed Air Corp. U.S. 7.25% 2/15/31 (b) | | 373,000 | 391,983 |
| Trivium Packaging Finance BV: | | | |
| 5.5% 8/15/26(b) | | 1,250,000 | 1,234,139 |
| 8.5% 8/15/27(b) | | 471,000 | 470,392 |
| | | | 12,598,512 |
| Metals & Mining - 0.3% | | | |
| Alcoa Nederland Holding BV 7.125% 3/15/31 (b) | | 2,820,000 | 2,965,602 |
| Antofagasta PLC 2.375% 10/14/30 (b) | | 750,000 | 644,700 |
| Aris Mining Corp. 6.875% 8/9/26 (b) | | 920,000 | 894,130 |
| Arsenal AIC Parent LLC 8% 10/1/30 (b) | | 15,000 | 16,127 |
| ATI, Inc.: | | | |
| 5.875% 12/1/27 | | 625,000 | 626,229 |
| 7.25% 8/15/30 | | 145,000 | 153,978 |
| Cleveland-Cliffs, Inc. 7% 3/15/32 (b) | | 700,000 | 702,979 |
| Commercial Metals Co. 4.375% 3/15/32 | | 962,000 | 891,524 |
| Compania de Minas Buenaventura SAA 5.5% 7/23/26 (b) | | 330,000 | 322,575 |
| Constellium NV 6.375% 8/15/32 (b) | | 250,000 | 253,750 |
| Corporacion Nacional del Cobre de Chile (Codelco): | | | |
| 3.7% 1/30/50(b) | | 600,000 | 435,938 |
| 4.5% 8/1/47(b) | | 80,000 | 66,675 |
| 5.125% 2/2/33(b) | | 400,000 | 393,375 |
| 5.95% 1/8/34(b) | | 600,000 | 622,500 |
| 6.3% 9/8/53(b) | | 400,000 | 415,875 |
| 6.44% 1/26/36(b) | | 200,000 | 214,438 |
| CSN Inova Ventures 6.75% 1/28/28 (b) | | 353,000 | 337,777 |
| CSN Resources SA: | | | |
| 5.875% 4/8/32(b) | | 620,000 | 514,600 |
| 8.875% 12/5/30(b) | | 200,000 | 198,900 |
| Eldorado Gold Corp. 6.25% 9/1/29 (b) | | 385,000 | 380,276 |
| Endeavour Mining PLC 5% 10/14/26 (b) | | 630,000 | 604,976 |
| ERO Copper Corp. 6.5% 2/15/30 (b) | | 2,162,000 | 2,106,847 |
| First Quantum Minerals Ltd.: | | | |
| 6.875% 10/15/27(b) | | 2,085,000 | 2,062,190 |
| 9.375% 3/1/29(b) | | 2,386,000 | 2,538,714 |
| FMG Resources August 2006 Pty Ltd. 5.875% 4/15/30 (b) | | 345,000 | 344,454 |
| Fresnillo PLC 4.25% 10/2/50 (b) | | 300,000 | 229,164 |
| HudBay Minerals, Inc. 4.5% 4/1/26 (b) | | 696,000 | 686,381 |
| Kaiser Aluminum Corp. 4.625% 3/1/28 (b) | | 985,000 | 935,400 |
| Mineral Resources Ltd.: | | | |
| 8% 11/1/27(b) | | 730,000 | 741,480 |
| 8.5% 5/1/30(b) | | 1,120,000 | 1,164,699 |
| 9.25% 10/1/28(b) | | 310,000 | 327,498 |
| Nexa Resources SA 6.75% 4/9/34 (b) | | 400,000 | 419,500 |
| Novelis Corp. 3.875% 8/15/31 (b) | | 1,000,000 | 896,611 |
| POSCO: | | | |
| 5.75% 1/17/28(b) | | 374,000 | 385,943 |
| 5.875% 1/17/33(b) | | 200,000 | 210,926 |
| PT Freeport Indonesia: | | | |
| 4.763% 4/14/27(b) | | 200,000 | 199,846 |
| 5.315% 4/14/32(b) | | 750,000 | 751,875 |
| 6.2% 4/14/52(b) | | 200,000 | 208,126 |
| PT Indonesia Asahan Aluminium 5.45% 5/15/30 (b) | | 876,000 | 884,156 |
| Samarco Mineracao SA 9% 6/30/31 pay-in-kind (b)(d) | | 1,910,242 | 1,780,708 |
| Stillwater Mining Co. 4% 11/16/26 (b) | | 315,000 | 294,525 |
| Vale Overseas Ltd. 6.4% 6/28/54 | | 470,000 | 479,400 |
| Vibrantz Technologies, Inc. 9% 2/15/30 (b) | | 1,389,000 | 1,267,140 |
| Volcan Compania Minera SAA 4.375% 2/11/26 (b) | | 590,000 | 505,005 |
| | | | 31,077,512 |
| Paper & Forest Products - 0.0% | | | |
| Ahlstrom Holding 3 OY 4.875% 2/4/28 (b) | | 1,185,000 | 1,113,758 |
| Inversiones CMPC SA 3% 4/6/31 (b) | | 594,000 | 522,352 |
| LABL, Inc. 6.75% 7/15/26 (b) | | 776,000 | 772,125 |
| Mercer International, Inc. 5.125% 2/1/29 | | 277,000 | 226,433 |
| Suzano Austria GmbH 3.75% 1/15/31 | | 314,000 | 285,646 |
| | | | 2,920,314 |
TOTAL MATERIALS | | | 109,280,805 |
| | | | |
| REAL ESTATE - 1.8% | | | |
| Equity Real Estate Investment Trusts (REITs) - 1.5% | | | |
| Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 | | 666,000 | 673,428 |
| American Homes 4 Rent LP: | | | |
| 2.375% 7/15/31 | | 291,000 | 245,742 |
| 3.625% 4/15/32 | | 881,000 | 801,159 |
| 5.5% 2/1/34 | | 1,127,000 | 1,147,700 |
| American Tower Corp. 5.45% 2/15/34 | | 250,000 | 258,176 |
| Boston Properties, Inc.: | | | |
| 3.25% 1/30/31 | | 5,966,000 | 5,252,415 |
| 4.5% 12/1/28 | | 295,000 | 287,393 |
| 6.75% 12/1/27 | | 1,463,000 | 1,529,152 |
| Brixmor Operating Partnership LP: | | | |
| 3.85% 2/1/25 | | 3,770,000 | 3,742,250 |
| 4.05% 7/1/30 | | 10,580,000 | 10,135,035 |
| 4.125% 6/15/26 | | 833,000 | 822,988 |
| 4.125% 5/15/29 | | 2,196,000 | 2,130,079 |
| Corporate Office Properties LP: | | | |
| 2.25% 3/15/26 | | 300,000 | 287,635 |
| 2.75% 4/15/31 | | 9,142,000 | 7,841,433 |
| CTR Partnership LP/CareTrust Capital Corp. 3.875% 6/30/28 (b) | | 914,000 | 859,802 |
| GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25 | | 235,000 | 234,398 |
| Healthcare Realty Holdings LP: | | | |
| 3.1% 2/15/30 | | 149,000 | 135,555 |
| 3.5% 8/1/26 | | 155,000 | 151,437 |
| Healthpeak OP, LLC: | | | |
| 3.25% 7/15/26 | | 59,000 | 57,567 |
| 3.5% 7/15/29 | | 68,000 | 64,622 |
| Hudson Pacific Properties LP 4.65% 4/1/29 | | 1,962,000 | 1,621,952 |
| Invitation Homes Operating Partnership LP 4.15% 4/15/32 | | 2,090,000 | 1,969,259 |
| Kite Realty Group Trust 4.75% 9/15/30 | | 68,000 | 67,349 |
| LXP Industrial Trust (REIT) 2.7% 9/15/30 | | 350,000 | 306,882 |
| MPT Operating Partnership LP/MPT Finance Corp.: | | | |
| 3.5% 3/15/31 | | 2,915,000 | 1,991,100 |
| 4.625% 8/1/29 | | 1,466,000 | 1,127,310 |
| 5% 10/15/27(c) | | 2,550,000 | 2,164,244 |
| 5.25% 8/1/26(c) | | 2,142,000 | 2,014,869 |
| Omega Healthcare Investors, Inc.: | | | |
| 3.25% 4/15/33 | | 59,848,000 | 50,639,107 |
| 3.375% 2/1/31 | | 2,146,000 | 1,913,006 |
| 3.625% 10/1/29 | | 1,625,000 | 1,512,211 |
| 4.5% 1/15/25 | | 549,000 | 546,657 |
| 4.5% 4/1/27 | | 1,899,000 | 1,876,330 |
| 4.75% 1/15/28 | | 283,000 | 280,557 |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co.-Issuer 7% 2/1/30 (b) | | 375,000 | 384,385 |
| Piedmont Operating Partnership LP 2.75% 4/1/32 | | 343,000 | 269,517 |
| Prologis International Funding II SA 4.375% 7/1/36 (Reg. S) | EUR | 300,000 | 341,750 |
| Realty Income Corp.: | | | |
| 2.2% 6/15/28 | | 160,000 | 147,234 |
| 2.85% 12/15/32 | | 835,000 | 717,941 |
| 3.25% 1/15/31 | | 172,000 | 157,969 |
| 3.4% 1/15/28 | | 271,000 | 261,648 |
| Retail Opportunity Investments Partnership LP 4% 12/15/24 | | 11,000 | 10,945 |
| Safehold Operating Partnership LP: | | | |
| 2.8% 6/15/31 | | 789,000 | 684,913 |
| 2.85% 1/15/32 | | 420,000 | 359,999 |
| 6.1% 4/1/34 | | 1,062,000 | 1,104,669 |
| Simon Property Group LP 2.45% 9/13/29 | | 309,000 | 281,079 |
| Store Capital LLC: | | | |
| 2.75% 11/18/30 | | 5,212,000 | 4,506,732 |
| 4.625% 3/15/29 | | 149,000 | 144,952 |
| Sun Communities Operating LP: | | | |
| 2.3% 11/1/28 | | 392,000 | 354,540 |
| 2.7% 7/15/31 | | 956,000 | 818,684 |
| 4.2% 4/15/32 | | 112,000 | 103,873 |
| 5.7% 1/15/33 | | 805,000 | 819,456 |
| Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC 6% 1/15/30 (b) | | 810,000 | 593,390 |
| Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC: | | | |
| 6.5% 2/15/29(b) | | 3,170,000 | 2,426,894 |
| 10.5% 2/15/28(b) | | 2,010,000 | 2,062,373 |
| 10.5% 2/15/28(b) | | 5,210,000 | 5,345,752 |
| Ventas Realty LP: | | | |
| 3% 1/15/30 | | 1,026,000 | 938,974 |
| 3.5% 2/1/25 | | 573,000 | 567,738 |
| 4% 3/1/28 | | 4,720,000 | 4,617,295 |
| 4.125% 1/15/26 | | 34,000 | 33,642 |
| 4.75% 11/15/30 | | 6,487,000 | 6,484,029 |
| VICI Properties LP: | | | |
| 4.375% 5/15/25 | | 219,000 | 216,934 |
| 4.75% 2/15/28 | | 19,126,000 | 19,050,737 |
| 4.95% 2/15/30 | | 8,188,000 | 8,158,618 |
| 5.125% 5/15/32 | | 588,000 | 581,239 |
| 5.75% 4/1/34 | | 1,032,000 | 1,063,018 |
| 6.125% 4/1/54 | | 451,000 | 459,995 |
| VICI Properties LP / VICI Note Co.: | | | |
| 3.5% 2/15/25(b) | | 155,000 | 153,261 |
| 4.125% 8/15/30(b) | | 423,000 | 398,455 |
| 4.25% 12/1/26(b) | | 505,000 | 498,517 |
| 4.5% 9/1/26(b) | | 276,000 | 273,470 |
| 4.625% 6/15/25(b) | | 95,000 | 94,160 |
| 4.625% 12/1/29(b) | | 585,000 | 569,081 |
| Vornado Realty LP 2.15% 6/1/26 | | 407,000 | 385,031 |
| WP Carey, Inc.: | | | |
| 2.4% 2/1/31 | | 3,912,000 | 3,361,642 |
| 3.85% 7/15/29 | | 129,000 | 124,152 |
| 4.25% 7/23/32 | EUR | 200,000 | 225,318 |
| | | | 174,842,800 |
| Real Estate Management & Development - 0.3% | | | |
| AGPS BondCo PLC 4.625% 1/14/26 (Reg. S) (d) | EUR | 600,000 | 205,770 |
| Anywhere Real Estate Group LLC 7% 4/15/30 (b) | | 718,400 | 636,958 |
| Blackstone Property Partners Europe LP: | | | |
| 1% 5/4/28 (Reg. S) | EUR | 2,095,000 | 2,082,150 |
| 1.75% 3/12/29 (Reg. S) | EUR | 2,445,000 | 2,440,618 |
| Brandywine Operating Partnership LP: | | | |
| 3.95% 11/15/27 | | 247,000 | 231,396 |
| 4.55% 10/1/29 | | 151,000 | 138,357 |
| 8.05% 3/15/28 | | 2,185,000 | 2,325,010 |
| CBRE Group, Inc. 2.5% 4/1/31 | | 1,155,000 | 995,394 |
| CPI Property Group SA 7% 5/7/29 (Reg. S) | EUR | 950,000 | 1,058,668 |
| CTP BV 1.25% 6/21/29 (Reg. S) | EUR | 1,225,000 | 1,203,219 |
| Essex Portfolio LP 5.5% 4/1/34 | | 11,520,000 | 11,824,276 |
| Extra Space Storage LP 5.4% 2/1/34 | | 360,000 | 366,469 |
| Greystar Real Estate Partners 7.75% 9/1/30 (b) | | 135,000 | 143,651 |
| GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S) | EUR | 525,000 | 513,950 |
| Heimstaden AB 4.375% 3/6/27 (Reg. S) | EUR | 1,500,000 | 1,332,283 |
| Howard Hughes Corp. 4.375% 2/1/31 (b) | | 764,000 | 684,808 |
| Kennedy-Wilson, Inc. 4.75% 2/1/30 | | 1,539,000 | 1,358,069 |
| Logicor Financing SARL: | | | |
| 1.625% 1/17/30 (Reg. S) | EUR | 420,000 | 408,668 |
| 2% 1/17/34 (Reg. S) | EUR | 1,365,000 | 1,249,996 |
| 4.25% 7/18/29 (Reg. S) | EUR | 100,000 | 111,543 |
| Realogy Group LLC/Realogy Co-Issuer Corp. 5.75% 1/15/29 (b) | | 612,000 | 439,256 |
| Realogy Group LLC/Realogy Co.-Issuer Corp. 5.25% 4/15/30 (b) | | 125,000 | 87,155 |
| Samhallsbyggnadsbolaget I Norden AB 2.25% 8/12/27 (Reg. S) | EUR | 1,465,000 | 1,246,946 |
| Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S) | EUR | 600,000 | 631,640 |
| Tanger Properties LP: | | | |
| 2.75% 9/1/31 | | 1,012,000 | 862,337 |
| 3.125% 9/1/26 | | 1,289,000 | 1,239,723 |
| Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.125% 8/1/30 (b) | | 155,000 | 153,176 |
| Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S) | EUR | 510,000 | 537,686 |
| | | | 34,509,172 |
TOTAL REAL ESTATE | | | 209,351,972 |
| | | | |
| UTILITIES - 1.3% | | | |
| Electric Utilities - 0.5% | | | |
| Alabama Power Co. 3.05% 3/15/32 | | 1,713,000 | 1,537,662 |
| Amprion GmbH: | | | |
| 3.125% 8/27/30 (Reg. S) | EUR | 400,000 | 436,756 |
| 3.625% 5/21/31 (Reg. S) | EUR | 300,000 | 335,831 |
| Chile Electricity LUX MPC SARL 6.01% 1/20/33 (b) | | 289,500 | 299,091 |
| Clearway Energy Operating LLC: | | | |
| 3.75% 2/15/31(b) | | 828,000 | 751,308 |
| 4.75% 3/15/28(b) | | 1,165,000 | 1,131,803 |
| Cleco Corporate Holdings LLC: | | | |
| 3.375% 9/15/29 | | 2,787,000 | 2,541,196 |
| 3.743% 5/1/26 | | 4,110,000 | 4,026,201 |
| Cleveland Electric Illuminating Co. 5.95% 12/15/36 | | 146,000 | 154,711 |
| DPL, Inc. 4.125% 7/1/25 | | 1,580,000 | 1,551,037 |
| Duke Energy Corp.: | | | |
| 2.45% 6/1/30 | | 2,881,000 | 2,575,228 |
| 3.85% 6/15/34 | EUR | 350,000 | 382,714 |
| Duquesne Light Holdings, Inc.: | | | |
| 2.532% 10/1/30(b) | | 3,272,000 | 2,830,668 |
| 2.775% 1/7/32(b) | | 998,000 | 843,784 |
| Edison International 5.75% 6/15/27 | | 1,616,000 | 1,655,911 |
| Electricite de France SA: | | | |
| 4.75% 10/12/34 (Reg. S) | EUR | 1,700,000 | 2,011,661 |
| 5.5% 1/25/35 (Reg. S) | GBP | 200,000 | 256,760 |
| EnBW Energie Baden-Wuerttemberg AG 1.375% 8/31/81 (Reg. S) (d) | EUR | 1,600,000 | 1,576,787 |
| EnBW International Finance BV 3.5% 7/22/31 (Reg. S) | EUR | 200,000 | 222,252 |
| ENEL Finance International NV: | | | |
| 5.5% 6/26/34(b) | | 700,000 | 710,618 |
| 7.5% 10/14/32(b) | | 245,000 | 281,417 |
| Enel SpA 3.375% (Reg. S) (d)(j) | EUR | 345,000 | 373,921 |
| Entergy Corp. 2.8% 6/15/30 | | 476,000 | 430,504 |
| Eskom Holdings SOC Ltd.: | | | |
| 6.35% 8/10/28(b) | | 875,000 | 875,271 |
| 7.125% 2/11/25(b) | | 480,000 | 480,150 |
| 8.45% 8/10/28(b) | | 70,000 | 72,585 |
| Exelon Corp.: | | | |
| 3.35% 3/15/32 | | 1,613,000 | 1,469,506 |
| 4.05% 4/15/30 | | 12,774,000 | 12,452,014 |
| 4.1% 3/15/52 | | 341,000 | 275,801 |
| 4.7% 4/15/50 | | 124,000 | 109,814 |
| Israel Electric Corp. Ltd. 3.75% 2/22/32 (Reg. S) (b) | | 200,000 | 171,744 |
| Lamar Funding Ltd. 3.958% 5/7/25 (b) | | 300,000 | 297,204 |
| Mong Duong Finance Holdings BV 5.125% 5/7/29 (b) | | 1,356,839 | 1,306,378 |
| NextEra Energy Partners LP: | | | |
| 4.25% 9/15/24(b) | | 26,000 | 25,777 |
| 4.5% 9/15/27(b) | | 220,000 | 212,482 |
| 7.25% 1/15/29(b)(c) | | 120,000 | 125,636 |
| NGG Finance PLC 2.125% 9/5/82 (Reg. S) (d) | EUR | 805,000 | 833,377 |
| NRG Energy, Inc.: | | | |
| 3.375% 2/15/29(b) | | 1,152,000 | 1,057,156 |
| 3.625% 2/15/31(b) | | 175,000 | 156,572 |
| 3.875% 2/15/32(b) | | 27,000 | 24,203 |
| 5.25% 6/15/29(b) | | 837,000 | 827,381 |
| 5.75% 1/15/28 | | 235,000 | 235,053 |
| PG&E Corp.: | | | |
| 5% 7/1/28 | | 1,246,000 | 1,220,374 |
| 5.25% 7/1/30 | | 3,779,000 | 3,699,957 |
| Scottish Hydro Electric Transmission PLC 3.375% 9/4/32 (Reg. S) | EUR | 800,000 | 877,988 |
| Southern Co. 1.875% 9/15/81 (d) | EUR | 680,000 | 689,734 |
| Vistra Operations Co. LLC: | | | |
| 5% 7/31/27(b) | | 605,000 | 598,826 |
| 5.5% 9/1/26(b) | | 1,851,000 | 1,847,097 |
| 5.625% 2/15/27(b) | | 581,000 | 580,126 |
| 6.875% 4/15/32(b) | | 585,000 | 607,635 |
| 7.75% 10/15/31(b) | | 485,000 | 516,050 |
| | | | 58,563,712 |
| Gas Utilities - 0.0% | | | |
| ENN Energy Holdings Ltd. 4.625% 5/17/27 (b) | | 650,000 | 646,344 |
| Independent Power and Renewable Electricity Producers - 0.5% | | | |
| Aydem Yenilenebilir Enerji A/S 7.75% 2/2/27 (b) | | 415,000 | 409,942 |
| Buffalo Energy Mexico Holdings 7.875% 2/15/39 (b) | | 300,000 | 321,666 |
| Calpine Corp.: | | | |
| 4.625% 2/1/29(b) | | 305,000 | 290,914 |
| 5.125% 3/15/28(b) | | 150,000 | 146,369 |
| Emera U.S. Finance LP 3.55% 6/15/26 | | 57,000 | 55,504 |
| Energo-Pro A/S 8.5% 2/4/27 (b) | | 400,000 | 402,375 |
| EnfraGen Energia Sur SA 5.375% 12/30/30 (b) | | 900,000 | 769,500 |
| Investment Energy Resources Ltd. 6.25% 4/26/29 (b) | | 800,000 | 790,248 |
| PT Pertamina Geothermal Energy 5.15% 4/27/28 (b) | | 161,000 | 162,459 |
| RWE Finance U.S. LLC 5.875% 4/16/34 (b) | | 1,731,000 | 1,787,003 |
| Sunnova Energy Corp.: | | | |
| 5.875% 9/1/26(b) | | 1,308,000 | 1,228,802 |
| 11.75% 10/1/28(b) | | 135,000 | 125,345 |
| Termocandelaria Power Ltd. 7.875% 1/30/29 (b) | | 175,000 | 176,696 |
| The AES Corp.: | | | |
| 2.45% 1/15/31 | | 53,045,000 | 45,235,884 |
| 3.3% 7/15/25(b) | | 1,621,000 | 1,589,158 |
| 3.95% 7/15/30(b) | | 2,563,000 | 2,419,731 |
| | | | 55,911,596 |
| Multi-Utilities - 0.3% | | | |
| Abu Dhabi National Energy Co. PJSC: | | | |
| 4% 10/3/49(b) | | 700,000 | 591,941 |
| 4.696% 4/24/33(b) | | 400,000 | 403,376 |
| 4.875% 4/23/30(b) | | 80,000 | 82,218 |
| Berkshire Hathaway Energy Co. 4.05% 4/15/25 | | 2,281,000 | 2,268,344 |
| E.ON SE 3.375% 1/15/31 (Reg. S) | EUR | 750,000 | 834,147 |
| Engie SA: | | | |
| 3.875% 3/6/36 (Reg. S) | EUR | 600,000 | 669,042 |
| 4.25% 9/6/34 (Reg. S) | EUR | 1,300,000 | 1,495,387 |
| NiSource, Inc.: | | | |
| 2.95% 9/1/29 | | 1,188,000 | 1,100,571 |
| 3.6% 5/1/30 | | 21,167,000 | 20,071,985 |
| Puget Energy, Inc.: | | | |
| 4.1% 6/15/30 | | 560,000 | 533,662 |
| 4.224% 3/15/32 | | 4,134,000 | 3,812,073 |
| Sempra 6% 10/15/39 | | 106,000 | 111,198 |
| | | | 31,973,944 |
| Water Utilities - 0.0% | | | |
| Anglian Water (Osprey) Financing PLC 2% 7/31/28 (Reg. S) | GBP | 180,000 | 184,082 |
| Anglian Water Services Financing PLC: | | | |
| 5.875% 6/20/31 (Reg. S) | GBP | 360,000 | 479,452 |
| 6.293% 7/30/30 (Reg. S) | GBP | 625,000 | 856,961 |
| Severn Trent Utilities Finance PLC 4.625% 11/30/34 (Reg. S) | GBP | 385,000 | 473,288 |
| Southern Water Services Finance Ltd.: | | | |
| 1.625% 3/30/27 (Reg. S) | GBP | 265,000 | 289,000 |
| 2.375% 5/28/28 (Reg. S) | GBP | 440,000 | 462,094 |
| SW Finance I PLC 7.375% 12/12/41 (Reg. S) | GBP | 304,000 | 349,307 |
| | | | 3,094,184 |
TOTAL UTILITIES | | | 150,189,780 |
| | | | |
| TOTAL NONCONVERTIBLE BONDS | | | 3,560,141,328 |
| TOTAL CORPORATE BONDS (Cost $3,513,910,225) | | | 3,567,960,482 |
| | | | |
| U.S. Treasury Obligations - 33.3% |
| | | Principal Amount (a) | Value ($) |
| U.S. Treasury Bonds: | | | |
| 1.125% 5/15/40 | | 12,751,600 | 8,253,672 |
| 1.125% 8/15/40 | | 4,800,000 | 3,079,500 |
| 1.75% 8/15/41 | | 12,905,000 | 8,970,487 |
| 1.875% 11/15/51 | | 26,946,000 | 16,533,897 |
| 2% 11/15/41 | | 13,900,000 | 10,032,434 |
| 2% 8/15/51 | | 63,895,000 | 40,508,432 |
| 2.25% 8/15/46 | | 90,000 | 63,267 |
| 2.25% 2/15/52 | | 29,700,000 | 19,981,371 |
| 2.875% 5/15/49 | | 78,953,600 | 61,272,312 |
| 2.875% 5/15/52 | | 13,406,000 | 10,360,324 |
| 3% 2/15/47 | | 34,962,700 | 28,173,654 |
| 3% 8/15/52 | | 56,140,000 | 44,532,617 |
| 3.25% 5/15/42 | | 12,005,000 | 10,460,294 |
| 3.625% 2/15/53 | | 195,675,000 | 175,518,947 |
| 3.875% 5/15/43 (k) | | 4,000,000 | 3,775,623 |
| 4.125% 8/15/53 | | 149,868,000 | 147,169,206 |
| 4.25% 8/15/44 (i) | | 360,000 | 351,281 |
| 4.25% 2/15/54 | | 372,871,000 | 374,327,527 |
| 4.375% 8/15/43 | | 41,900,000 | 42,312,453 |
| 4.5% 2/15/44 | | 990,000 | 1,014,750 |
| 4.625% 5/15/44 | | 23,230,000 | 24,191,867 |
| 4.625% 5/15/54 | | 182,580,000 | 195,132,375 |
| 6.25% 5/15/30 (l) | | 12,400,000 | 13,961,141 |
| U.S. Treasury Notes: | | | |
| 0.75% 3/31/26 | | 9,800,000 | 9,306,938 |
| 2.375% 3/31/29 | | 15,000,000 | 14,133,398 |
| 2.625% 7/31/29 | | 26,120,000 | 24,807,878 |
| 2.75% 8/15/32 | | 54,222,000 | 50,144,760 |
| 2.875% 5/15/32 (k) | | 777,000 | 726,920 |
| 3.375% 5/15/33 | | 146,650,000 | 141,116,253 |
| 3.5% 2/15/33 | | 101,614,000 | 98,851,369 |
| 3.625% 3/31/30 | | 644,000 | 639,044 |
| 3.75% 8/15/27 | | 6,940,000 | 6,932,409 |
| 3.75% 12/31/28 | | 588,000 | 587,931 |
| 3.75% 5/31/30 | | 1,028,000 | 1,026,313 |
| 3.75% 12/31/30 | | 1,700,000 | 1,695,152 |
| 3.875% 8/15/33 (k) | | 83,699,000 | 83,512,639 |
| 3.875% 8/15/34 | | 6,680,000 | 6,654,936 |
| 4% 1/31/29 | | 3,600,000 | 3,636,422 |
| 4% 2/28/30 | | 368,000 | 372,111 |
| 4% 1/31/31 | | 60,000,000 | 60,658,594 |
| 4% 2/15/34 | | 213,512,000 | 214,846,450 |
| 4.125% 3/31/29 | | 133,826,000 | 135,937,942 |
| 4.125% 3/31/31 | | 90,514,000 | 92,182,852 |
| 4.125% 7/31/31 | | 54,900,000 | 55,916,029 |
| 4.125% 11/15/32 | | 160,450,000 | 163,452,170 |
| 4.25% 2/28/29 | | 261,000 | 266,526 |
| 4.25% 2/28/31 | | 82,750,000 | 84,857,539 |
| 4.25% 6/30/31 | | 6,030,000 | 6,188,288 |
| 4.375% 10/31/24 | | 1,000,000 | 998,574 |
| 4.375% 11/30/28 | | 1,300,000 | 1,331,332 |
| 4.375% 11/30/30 | | 129,145,000 | 133,231,228 |
| 4.375% 5/15/34 | | 438,240,000 | 454,126,163 |
| 4.5% 5/31/29 | | 9,370,000 | 9,679,283 |
| 4.5% 11/15/33 | | 270,372,000 | 282,654,916 |
| 4.625% 11/15/26 | | 21,560,000 | 21,887,611 |
| 4.625% 6/15/27 | | 6,400,000 | 6,538,000 |
| 4.625% 9/30/28 | | 962,000 | 993,115 |
| 4.625% 4/30/29 | | 257,355,000 | 266,965,601 |
| 4.625% 9/30/30 | | 526,000 | 549,526 |
| 4.625% 4/30/31 | | 36,540,000 | 38,278,505 |
| 4.875% 10/31/30 | | 136,300,000 | 144,350,219 |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $3,849,317,493) | | | 3,860,012,367 |
| | | | |
| U.S. Government Agency - Mortgage Securities - 26.7% |
| | | Principal Amount (a) | Value ($) |
| Fannie Mae - 4.9% | | | |
| 1% 12/1/36 | | 2,438,048 | 2,081,127 |
| 1.5% 9/1/35 to 4/1/52 | | 22,224,822 | 19,006,801 |
| 2% 2/1/28 to 3/1/52 | | 117,635,509 | 101,096,872 |
| 2.5% 6/1/29 to 3/1/53 | | 177,523,919 | 156,390,017 |
| 3% 2/1/31 to 3/1/52 (k) | | 62,421,564 | 56,728,040 |
| 3.5% 8/1/34 to 9/1/52 (m) | | 54,937,638 | 51,997,581 |
| 4% 1/1/42 to 6/1/52 | | 45,773,444 | 44,337,971 |
| 4.5% to 4.5% 8/1/33 to 12/1/52 | | 24,280,586 | 23,716,345 |
| 5% 5/1/41 to 4/1/53 | | 4,234,163 | 4,266,365 |
| 5.5% 9/1/52 to 8/1/54 | | 34,961,539 | 35,299,518 |
| 6% 11/1/52 to 7/1/54 | | 43,892,032 | 44,829,345 |
| 6.5% 10/1/53 to 7/1/54 | | 25,284,550 | 26,265,510 |
TOTAL FANNIE MAE | | | 566,015,492 |
| Freddie Mac - 2.9% | | | |
| 1.5% 8/1/35 to 4/1/51 | | 24,097,660 | 20,105,978 |
| 2% 6/1/35 to 4/1/52 | | 105,119,090 | 89,196,108 |
| 2.5% 2/1/30 to 1/1/52 | | 64,123,743 | 56,978,581 |
| 3% 12/1/30 to 6/1/52 (k)(m) | | 38,676,590 | 34,659,709 |
| 3.5% 3/1/32 to 5/1/52 | | 20,789,147 | 19,660,658 |
| 3.5% 9/1/47 | | 50,648 | 47,610 |
| 4% 5/1/37 to 10/1/52 | | 5,078,355 | 4,880,750 |
| 4.5% 11/1/40 to 7/1/49 | | 5,387,797 | 5,369,090 |
| 5% 6/1/52 to 8/1/53 | | 16,865,396 | 16,888,617 |
| 5.5% 11/1/52 to 2/1/54 (m) | | 22,351,459 | 22,846,638 |
| 6% 3/1/53 to 4/1/54 | | 49,048,666 | 50,669,208 |
| 6.5% 9/1/53 to 1/1/54 (l) | | 15,098,012 | 15,743,928 |
TOTAL FREDDIE MAC | | | 337,046,875 |
| Freddie Mac Multi-family Structured pass-thru certificates - 0.0% | | | |
| 3% 10/1/31 | | 13,735 | 13,304 |
| Ginnie Mae - 7.3% | | | |
| 2% 10/20/50 to 2/20/52 | | 117,122,502 | 98,575,357 |
| 2% 9/1/54 (i) | | 6,250,000 | 5,262,171 |
| 2% 9/1/54 (i) | | 20,200,000 | 17,007,335 |
| 2% 9/1/54 (i) | | 15,600,000 | 13,134,378 |
| 2% 9/1/54 (i) | | 4,700,000 | 3,957,152 |
| 2% 9/1/54 (i) | | 5,800,000 | 4,883,294 |
| 2% 9/1/54 (i) | | 15,100,000 | 12,713,404 |
| 2% 9/1/54 (i) | | 6,900,000 | 5,809,436 |
| 2% 9/1/54 (i) | | 7,500,000 | 6,314,605 |
| 2% 10/1/54 (i) | | 12,250,000 | 10,325,339 |
| 2.5% 6/20/51 to 5/20/52 | | 85,984,985 | 74,758,752 |
| 2.5% 9/1/54 (i) | | 39,000,000 | 34,080,045 |
| 3% 2/20/31 to 10/20/50 | | 4,426,582 | 4,241,976 |
| 3% 9/1/54 (i) | | 10,150,000 | 9,178,795 |
| 3% 9/1/54 (i) | | 30,450,000 | 27,536,386 |
| 3% 9/1/54 (i) | | 3,100,000 | 2,803,376 |
| 3% 9/1/54 (i) | | 3,100,000 | 2,803,376 |
| 3% 9/1/54 (i) | | 3,100,000 | 2,803,376 |
| 3% 9/1/54 (i) | | 7,700,000 | 6,963,224 |
| 3% 9/1/54 (i) | | 16,850,000 | 15,237,704 |
| 3% 9/1/54 (i) | | 2,850,000 | 2,577,297 |
| 3% 10/1/54 (i) | | 8,300,000 | 7,511,649 |
| 3% 10/1/54 (i) | | 16,100,000 | 14,570,788 |
| 3.5% 12/20/41 to 2/20/50 | | 466,308 | 440,983 |
| 3.5% 9/1/54 (i) | | 23,500,000 | 21,869,737 |
| 3.5% 9/1/54 (i) | | 1,800,000 | 1,675,129 |
| 3.5% 9/1/54 (i) | | 15,900,000 | 14,796,971 |
| 3.5% 9/1/54 (i) | | 11,750,000 | 10,934,868 |
| 3.5% 9/1/54 (i) | | 11,750,000 | 10,934,868 |
| 4% 10/20/40 to 10/20/52 | | 15,797,879 | 15,110,329 |
| 4% 9/1/54 (i) | | 16,200,000 | 15,480,090 |
| 4.5% 4/20/35 to 7/20/54 | | 12,216,227 | 11,959,315 |
| 4.5% 9/1/54 (i) | | 6,300,000 | 6,166,626 |
| 4.5% 9/1/54 (i) | | 700,000 | 685,181 |
| 5% 4/20/48 | | 242,666 | 247,966 |
| 5% 9/1/54 (i) | | 12,250,000 | 12,236,948 |
| 5% 9/1/54 (i) | | 1,600,000 | 1,598,295 |
| 5% 9/1/54 (i) | | 14,900,000 | 14,884,124 |
| 5% 9/1/54 (i) | | 7,950,000 | 7,941,529 |
| 5% 9/1/54 (i) | | 5,350,000 | 5,344,300 |
| 5% 10/1/54 (i) | | 18,850,000 | 18,783,656 |
| 5% 10/1/54 (i) | | 14,900,000 | 14,847,558 |
| 5% 10/1/54 (i) | | 8,300,000 | 8,270,787 |
| 5.5% 9/1/54 (i) | | 7,200,000 | 7,246,056 |
| 5.5% 9/1/54 (i) | | 6,100,000 | 6,139,019 |
| 5.5% 9/1/54 (i) | | 9,550,000 | 9,611,088 |
| 5.5% 9/1/54 (i) | | 9,750,000 | 9,812,367 |
| 5.5% 9/1/54 (i) | | 29,200,000 | 29,386,781 |
| 5.5% 10/1/54 (i) | | 32,625,000 | 32,826,042 |
| 6% 9/1/54 (i) | | 8,900,000 | 9,029,067 |
| 6% 9/1/54 (i) | | 750,000 | 760,876 |
| 6% 9/1/54 (i) | | 375,000 | 380,438 |
| 6% 9/1/54 (i) | | 11,450,000 | 11,616,047 |
| 6% 9/1/54 (i) | | 6,850,000 | 6,949,338 |
| 6% 9/1/54 (i) | | 5,075,000 | 5,148,597 |
| 6% 9/1/54 (i) | | 21,300,000 | 21,608,890 |
| 6% 9/1/54 (i) | | 1,000,000 | 1,014,502 |
| 6% 9/1/54 (i) | | 300,000 | 304,351 |
| 6% 9/1/54 (i) | | 29,700,000 | 30,130,706 |
| 6% 10/1/54 (i) | | 35,700,000 | 36,202,381 |
| 6.5% 9/1/54 (i) | | 4,975,000 | 5,079,413 |
| 6.5% 9/1/54 (i) | | 6,750,000 | 6,891,666 |
| 6.5% 9/1/54 (i) | | 16,575,000 | 16,922,868 |
| 6.5% 9/1/54 (i) | | 22,000,000 | 22,461,725 |
TOTAL GINNIE MAE | | | 846,780,693 |
| Uniform Mortgage Backed Securities - 11.6% | | | |
| 2% 9/1/39 (i) | | 13,800,000 | 12,479,297 |
| 2% 9/1/39 (i) | | 10,900,000 | 9,856,836 |
| 2% 10/1/39 (i) | | 13,600,000 | 12,315,438 |
| 2% 9/1/54 (i) | | 218,750,000 | 178,913,569 |
| 2% 9/1/54 (i) | | 20,600,000 | 16,848,546 |
| 2% 9/1/54 (i) | | 20,600,000 | 16,848,546 |
| 2% 9/1/54 (i) | | 21,700,000 | 17,748,226 |
| 2% 9/1/54 (i) | | 6,350,000 | 5,193,605 |
| 2% 9/1/54 (i) | | 4,775,000 | 3,905,428 |
| 2% 9/1/54 (i) | | 41,200,000 | 33,697,093 |
| 2% 9/1/54 (i) | | 35,975,000 | 29,423,614 |
| 2% 9/1/54 (i) | | 78,500,000 | 64,204,412 |
| 2% 9/1/54 (i) | | 500,000 | 408,945 |
| 2% 10/1/54 (i) | | 98,875,000 | 80,977,073 |
| 2% 10/1/54 (i) | | 105,300,000 | 86,239,047 |
| 2.5% 9/1/39 (i) | | 8,000,000 | 7,417,813 |
| 2.5% 9/1/54 (i) | | 59,500,000 | 50,721,424 |
| 2.5% 9/1/54 (i) | | 18,500,000 | 15,770,527 |
| 2.5% 9/1/54 (i) | | 18,000,000 | 15,344,296 |
| 2.5% 9/1/54 (i) | | 9,800,000 | 8,354,117 |
| 2.5% 9/1/54 (i) | | 7,525,000 | 6,414,768 |
| 2.5% 9/1/54 (i) | | 72,800,000 | 62,059,154 |
| 2.5% 9/1/54 (i) | | 1,050,000 | 895,084 |
| 2.5% 10/1/54 (i) | | 70,900,000 | 60,511,491 |
| 3% 9/1/54 (i) | | 59,150,000 | 52,442,485 |
| 3% 9/1/54 (i) | | 1,550,000 | 1,374,232 |
| 3% 10/1/54 (i) | | 36,300,000 | 32,214,831 |
| 3.5% 9/1/54 (i) | | 44,750,000 | 41,189,229 |
| 3.5% 9/1/54 (i) | | 400,000 | 368,172 |
| 4% 9/1/54 (i) | | 22,075,000 | 20,934,171 |
| 4% 9/1/54 (i) | | 2,225,000 | 2,110,013 |
| 4.5% 9/1/54 (i) | | 21,350,000 | 20,777,054 |
| 5% 9/1/39 (i) | | 10,950,000 | 11,026,565 |
| 5% 9/1/39 (i) | | 12,550,000 | 12,637,752 |
| 5% 9/1/39 (i) | | 9,700,000 | 9,767,824 |
| 5.5% 9/1/39 (i) | | 34,200,000 | 34,723,688 |
| 5.5% 9/1/54 (i) | | 22,325,000 | 22,477,611 |
| 5.5% 9/1/54 (i) | | 16,025,000 | 16,134,545 |
| 5.5% 9/1/54 (i) | | 76,600,000 | 77,123,630 |
| 5.5% 9/1/54 (i) | | 15,900,000 | 16,008,691 |
| 6% 9/1/54 (i) | | 7,600,000 | 7,739,828 |
| 6% 9/1/54 (i) | | 3,900,000 | 3,971,754 |
| 6% 9/1/54 (i) | | 6,250,000 | 6,364,990 |
| 6% 9/1/54 (i) | | 6,250,000 | 6,364,990 |
| 6% 9/1/54 (i) | | 6,425,000 | 6,543,210 |
| 6% 9/1/54 (i) | | 42,100,000 | 42,874,573 |
| 6% 9/1/54 (i) | | 29,700,000 | 30,246,432 |
| 6% 9/1/54 (i) | | 3,500,000 | 3,564,394 |
| 6% 9/1/54 (i) | | 8,800,000 | 8,961,906 |
| 6.5% 9/1/54 (i) | | 45,000,000 | 46,334,178 |
| 6.5% 9/1/54 (i) | | 17,300,000 | 17,812,917 |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | | | 1,348,638,014 |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $3,064,088,925) | | | 3,098,494,378 |
| | | | |
| Asset-Backed Securities - 6.6% |
| | | Principal Amount (a) | Value ($) |
| Aaset 2024-1 U.S. Ltd. / Aaset 20 Series 2024-1A: | | | |
| Class A1, 6.261% 5/16/49 (b) | | 4,558,622 | 4,708,939 |
| Class A2, 6.261% 5/16/49 (b) | | 4,259,389 | 4,399,838 |
| AASET Trust: | | | |
| Series 2018-1A Class A, 3.844% 1/16/38 (b) | | 209,452 | 150,176 |
| Series 2019-1 Class A, 3.844% 5/15/39 (b) | | 26,712 | 25,778 |
| Series 2019-2: | | | |
Class A, 3.376% 10/16/39 (b) | | 390,908 | 372,851 |
Class B, 4.458% 10/16/39 (b) | | 220,258 | 132,157 |
| Series 2021-1A Class A, 2.95% 11/16/41 (b) | | 1,027,061 | 954,906 |
| Series 2021-2A Class A, 2.798% 1/15/47 (b) | | 2,014,741 | 1,826,252 |
| AASET, Ltd. Series 2022-1A Class A, 6% 5/16/47 (b) | | 8,132,313 | 8,134,516 |
| Affirm Asset Securitization Trust: | | | |
| Series 2024-A Class 1A, 5.61% 2/15/29 (b) | | 1,400,000 | 1,412,915 |
| Series 2024-X1 Class A, 6.27% 5/15/29 (b) | | 1,655,315 | 1,659,786 |
| Aimco: | | | |
| Series 2024-10A Class ARR, CME Term SOFR 3 Month Index + 1.410% 6.692% 7/22/37 (b)(d)(e) | | 3,380,000 | 3,392,563 |
| Series 2024-BA Class ARR, CME Term SOFR 3 Month Index + 1.500% 6.7861% 4/16/37 (b)(d)(e) | | 5,649,000 | 5,665,851 |
| Aimco Clo 17 Ltd. / Aimco Clo 1 Series 2024-17A Class A1R, CME Term SOFR 3 Month Index + 1.350% 6.632% 7/20/37 (b)(d)(e) | | 6,062,787 | 6,064,842 |
| Aimco Clo 21 Ltd. / Aimco Clo 2 Series 2024-21A Class A1, CME Term SOFR 3 Month Index + 1.500% 6.8251% 4/18/37 (b)(d)(e) | | 4,297,000 | 4,316,139 |
| Aimco Clo 22 Ltd. / Aimco Clo 2 Series 2024-22A Class A, CME Term SOFR 3 Month Index + 1.500% 6.8266% 4/19/37 (b)(d)(e) | | 9,116,000 | 9,151,142 |
| AIMCO CLO Ltd. Series 2024-11A Class A1R2, CME Term SOFR 3 Month Index + 1.340% 6.5839% 7/17/37 (b)(d)(e) | | 6,610,000 | 6,609,901 |
| AIMCO CLO Ltd. / AIMCO CLO LLC Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.250% 6.5336% 4/20/34 (b)(d)(e) | | 2,407,000 | 2,408,278 |
| Aligned Data Centers Issuer LLC: | | | |
| Series 2023-1A Class A2, 6% 8/17/48 (b) | | 330,000 | 334,225 |
| Series 2023-2A Class A2, 6.5% 11/16/48 (b) | | 250,000 | 257,864 |
| Allegro Clo Xii Ltd. Series 2024-1A Class A1R, CME Term SOFR 3 Month Index + 1.440% 6.7236% 7/21/37 (b)(d)(e) | | 9,588,000 | 9,602,382 |
| Allegro CLO XIV, Ltd. Series 2021-2A Class A1, CME Term SOFR 3 Month Index + 1.420% 6.723% 10/15/34 (b)(d)(e) | | 5,069,000 | 5,069,618 |
| Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.500% 6.782% 7/20/35 (b)(d)(e) | | 1,450,000 | 1,450,924 |
| Allegro CLO, Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.400% 6.6836% 7/20/34 (b)(d)(e) | | 1,078,000 | 1,076,648 |
| Ally Auto Receivables Trust Series 2024-1 Class A3, 5.08% 12/15/28 | | 3,091,000 | 3,117,167 |
| American Express Credit Account Master Trust Series 2023-1 Class A, 4.87% 5/15/28 | | 1,600,000 | 1,610,556 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A: | | | |
| Class A, 3.351% 1/16/40 (b) | | 190,838 | 182,252 |
| Class B, 4.335% 1/16/40 (b) | | 138,939 | 114,959 |
| Ares CLO Series 2024-54A Class AR, CME Term SOFR 3 Month Index + 1.270% 6.5714% 10/15/32 (b)(d)(e) | | 6,899,000 | 6,900,338 |
| Ares LIX CLO Ltd. Series 2021-59A Class A, CME Term SOFR 3 Month Index + 1.290% 6.5762% 4/25/34 (b)(d)(e) | | 1,292,000 | 1,292,094 |
| Ares Ln Funding V Ltd. / Ares Ln Fund Series 2024-ALF5A Class A1, CME Term SOFR 3 Month Index + 1.500% 6.8235% 7/27/37 (b)(d)(e) | | 6,208,000 | 6,223,986 |
| Ares Loan Funding Vii Ltd. Series 2024-ALF7 Class E, CME Term SOFR 3 Month Index + 6.250% 6.25% 10/22/37 (b)(d)(e)(i) | | 100,000 | 100,000 |
| Ares LV CLO Ltd. Series 2021-55A Class A1R, CME Term SOFR 3 Month Index + 1.390% 6.693% 7/15/34 (b)(d)(e) | | 991,000 | 992,094 |
| Ares LVIII CLO LLC Series 2022-58A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.6314% 1/15/35 (b)(d)(e) | | 2,223,000 | 2,224,521 |
| Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, CME Term SOFR 3 Month Index + 1.330% 6.633% 4/15/34 (b)(d)(e) | | 5,656,000 | 5,656,911 |
| Ari Fleet Lease Trust 2024-B Series 2024-B Class A2, 5.54% 4/15/33 (b) | | 1,713,000 | 1,728,901 |
| Babson CLO Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.713% 10/15/36 (b)(d)(e) | | 987,000 | 987,928 |
| Barings CLO Ltd.: | | | |
| Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.280% 6.5662% 4/25/34 (b)(d)(e) | | 1,547,000 | 1,547,611 |
| Series 2021-4A Class A, CME Term SOFR 3 Month Index + 1.480% 6.7636% 1/20/32 (b)(d)(e) | | 902,935 | 902,935 |
| Series 2024-4A Class AR, 0% 10/20/37 (b)(d) | | 3,378,000 | 3,378,000 |
| Barings CLO Ltd. 2023-IV Series 2024-4A Class A, CME Term SOFR 3 Month Index + 1.750% 7.032% 1/20/37 (b)(d)(e) | | 5,942,000 | 6,011,183 |
| Bbam U.S. Clo Iv Ltd. Series 2024-4A Class D, CME Term SOFR 3 Month Index + 6.250% 11.5729% 7/15/39 (b)(d)(e) | | 250,000 | 247,802 |
| Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME Term SOFR 3 Month Index + 1.300% 6.5858% 1/17/35 (b)(d)(e) | | 20,400,000 | 20,403,264 |
| BETHP Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.390% 6.693% 1/15/35 (b)(d)(e) | | 1,493,000 | 1,494,536 |
| Birch Grove Clo 4 Ltd. Series 2024-4A Class ER, CME Term SOFR 3 Month Index + 6.500% 11.8014% 7/15/37 (b)(d)(e) | | 250,000 | 245,030 |
| Blackbird Capital Aircraft: | | | |
| Series 2016-1A Class A, 4.213% 12/16/41 (b) | | 142,867 | 141,694 |
| Series 2021-1A Class A, 2.443% 7/15/46 (b) | | 1,796,948 | 1,636,243 |
| Blueberry Park Clo Ltd. Series 2024-1A Class A, CME Term SOFR 3 Month Index + 1.350% 1.35% 10/20/37 (b)(d)(e)(i) | | 7,309,000 | 7,311,485 |
| Bofa Auto Trust 2024-1 Series 2024-1A Class A3, 5.35% 11/15/28 (b) | | 1,390,000 | 1,412,589 |
| Bristol Park CLO, Ltd. Series 2020-1A Class AR, CME Term SOFR 3 Month Index + 1.250% 6.553% 4/15/29 (b)(d)(e) | | 276,788 | 276,963 |
| Capital One Multi-Asset Execution Trust Series 2023-A1 Class A, 4.42% 5/15/28 | | 2,000,000 | 1,999,101 |
| Carlyle U.S. Clo 2024-2 Ltd. Series 2024-2A Class E, CME Term SOFR 3 Month Index + 6.850% 12.175% 4/25/37 (b)(d)(e) | | 250,000 | 250,686 |
| Carlyle U.S. CLO Ltd. Series 2024-11A Class A1R, CME Term SOFR 3 Month Index + 1.410% 6.7329% 7/25/37 (b)(d)(e) | | 7,985,000 | 7,985,383 |
| Carmax Auto Owner Trust Series 2024-2 Class A3, 5.5% 1/16/29 | | 2,549,000 | 2,601,266 |
| Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28 | | 2,114,000 | 2,160,317 |
| Carmax Select Receivables Trust Series 2024-A: | | | |
| Class A2A, 5.78% 9/15/27 | | 1,252,000 | 1,257,180 |
| Class A3, 5.4% 11/15/28 | | 996,000 | 1,009,931 |
| Castlelake Aircraft Securitization Trust Series 2019-1A: | | | |
| Class A, 3.967% 4/15/39 (b) | | 879,511 | 804,781 |
| Class B, 5.095% 4/15/39 (b) | | 186,315 | 127,202 |
| Castlelake Aircraft Structured Trust: | | | |
| Series 2018-1 Class A, 4.125% 6/15/43 (b) | | 64,951 | 60,572 |
| Series 2021-1A Class A, 3.474% 1/15/46 (b) | | 167,928 | 161,333 |
| Cedar Funding Series 2024-18A Class A, CME Term SOFR 3 Month Index + 1.550% 6.833% 4/23/37 (b)(d)(e) | | 12,500,000 | 12,564,963 |
| Cedar Funding Ltd.: | | | |
| Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6436% 10/20/32 (b)(d)(e) | | 1,192,000 | 1,192,218 |
| Series 2021-12A Class A1R, CME Term SOFR 3 Month Index + 1.390% 6.6762% 10/25/34 (b)(d)(e) | | 8,301,000 | 8,306,985 |
| Series 2022-15A Class A, CME Term SOFR 3 Month Index + 1.320% 6.602% 4/20/35 (b)(d)(e) | | 1,985,000 | 1,984,865 |
| Cedar Funding Xvii Clo Ltd. Series 2023-17A Class A, CME Term SOFR 3 Month Index + 1.850% 7.132% 7/20/36 (b)(d)(e) | | 2,472,000 | 2,482,242 |
| CEDF Series 2021-6A Class ARR, CME Term SOFR 3 Month Index + 1.310% 6.5936% 4/20/34 (b)(d)(e) | | 19,638,000 | 19,633,758 |
| CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b) | | 625,520 | 613,763 |
| Chase Auto Owner Trust Series 2024-1A Class A3, 5.13% 5/25/29 (b) | | 2,951,000 | 2,992,321 |
| Chesapeake Funding II LLC: | | | |
| Series 2023-2A Class A1, 6.16% 10/15/35 (b) | | 1,092,658 | 1,108,487 |
| Series 2024-1A Class A1, 5.52% 5/15/36 (b) | | 2,418,357 | 2,442,150 |
| Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/28 (b) | | 1,700,000 | 1,720,758 |
| Columbia Cent CLO 29 Ltd./Columbia Cent CLO 29 Corp. Series 2021-29A Class AR, CME Term SOFR 3 Month Index + 1.430% 6.7136% 10/20/34 (b)(d)(e) | | 6,850,000 | 6,856,843 |
| Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, CME Term SOFR 3 Month Index + 1.460% 6.7436% 4/20/34 (b)(d)(e) | | 2,765,000 | 2,767,107 |
| Croton Pk Clo Ltd. CME Term SOFR 3 Month Index + 0.550% 0% 10/15/36 (b)(d)(e)(i) | | 273,000 | 273,000 |
| Cyrusone Data Centers Issuer I Series 2024-3A Class A2, 4.65% 5/20/49 (b) | | 590,000 | 548,454 |
| Daimler Trucks Retail Trust 20 Series 2023-1 Class A2, 6.03% 9/15/25 | | 2,121,852 | 2,124,443 |
| DB Master Finance LLC: | | | |
| Series 2017-1A Class A2II, 4.03% 11/20/47 (b) | | 273,020 | 265,022 |
| Series 2021-1A: | | | |
Class A23, 2.791% 11/20/51 (b) | | 22,562,973 | 19,392,563 |
Class A2I, 2.045% 11/20/51 (b) | | 3,235,508 | 3,031,767 |
Class A2II, 2.493% 11/20/51 (b) | | 5,487,818 | 4,959,972 |
| Discover Card Execution Note Trust Series 2023 A1 Class A, 4.31% 3/15/28 | | 2,800,000 | 2,790,364 |
| Dllaa 2023-1A Series 2023-1A: | | | |
| Class A2, 5.93% 7/20/26 (b) | | 626,389 | 628,538 |
| Class A3, 5.64% 2/22/28 (b) | | 733,000 | 746,698 |
| DLLAD: | | | |
| Series 2023-1A Class A3, 4.79% 1/20/28 (b) | | 1,700,000 | 1,703,894 |
| Series 2024-1A Class A3, 5.3% 7/20/29 (b) | | 1,113,000 | 1,136,039 |
| Dllmt 2024-1 LLC Series 2024-1A Class A3, 4.84% 8/21/28 (b) | | 3,200,000 | 3,207,956 |
| Dominos Pizza Master Issuer LLC: | | | |
| Series 2018-1A Class A2II, 4.328% 7/25/48 (b) | | 3,396,788 | 3,334,092 |
| Series 2019-1A Class A2, 3.668% 10/25/49 (b) | | 6,170,880 | 5,787,080 |
| Series 2021-1A: | | | |
Class A2I, 2.662% 4/25/51 (b) | | 304,393 | 277,984 |
Class A2II, 3.151% 4/25/51 (b) | | 24,033,393 | 21,397,932 |
| Dryden 108 Clo Ltd. / Dryden 10 Series 2024-108A Class A1R, CME Term SOFR 3 Month Index + 1.360% 6.6386% 7/18/37 (b)(d)(e) | | 11,695,000 | 11,698,497 |
| Dryden 98 CLO Ltd. Series 2022-98A Class A, CME Term SOFR 3 Month Index + 1.300% 6.582% 4/20/35 (b)(d)(e) | | 3,389,000 | 3,395,449 |
| Dryden CLO, Ltd. Series 2024-83A Class AR, CME Term SOFR 3 Month Index + 1.530% 6.8642% 4/18/37 (b)(d)(e) | | 6,020,000 | 6,026,369 |
| Dryden CLO, Ltd. / Dryden CLO, LLC Series 2021-86A Class A1R, CME Term SOFR 3 Month Index + 1.360% 6.6474% 7/17/34 (b)(d)(e) | | 19,209,000 | 19,236,853 |
| Dryden Senior Loan Fund: | | | |
| Series 2021-90A Class A1A, CME Term SOFR 3 Month Index + 1.390% 6.52% 2/20/35 (b)(d)(e) | | 2,292,000 | 2,295,429 |
| Series 2024-78A Class A1R, CME Term SOFR 3 Month Index + 1.530% 6.8158% 4/17/37 (b)(d)(e) | | 6,856,000 | 6,878,947 |
| Series 2024-85A Class A1R2, CME Term SOFR 3 Month Index + 1.380% 6.6814% 7/15/37 (b)(d)(e) | | 6,356,000 | 6,365,845 |
| Eaton Vance CLO, Ltd.: | | | |
| Series 2021-2A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.713% 1/15/35 (b)(d)(e) | | 1,782,000 | 1,782,620 |
| Series 2024-1A: | | | |
Class AR2, CME Term SOFR 3 Month Index + 1.510% 6.8399% 7/15/37 (b)(d)(e) | | 5,990,000 | 6,019,525 |
Class ARR, CME Term SOFR 3 Month Index + 1.390% 6.6914% 10/15/37 (b)(d)(e) | | 6,591,000 | 6,616,059 |
Class D2, CME Term SOFR 3 Month Index + 4.500% 9.8014% 10/15/37 (b)(d)(e) | | 200,000 | 200,029 |
| Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, CME Term SOFR 3 Month Index + 1.510% 6.813% 1/15/34 (b)(d)(e) | | 330,000 | 330,040 |
| Enterprise Fleet Financing Series 2024-2: | | | |
| Class A2, 5.74% 12/20/26 (b) | | 3,415,000 | 3,446,785 |
| Class A3, 5.61% 4/20/28 (b) | | 2,333,000 | 2,389,247 |
| Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b) | | 3,235,516 | 3,295,776 |
| Finance of America HECM Buyout Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(d) | | 638,426 | 626,679 |
| Flatiron CLO Ltd.: | | | |
| Series 2021-1A: | | | |
Class A1, CME Term SOFR 3 Month Index + 1.370% 6.6511% 7/19/34 (b)(d)(e) | | 3,076,000 | 3,080,882 |
Class AR, CME Term SOFR 3 Month Index + 1.340% 6.4371% 11/16/34 (b)(d)(e) | | 958,000 | 955,635 |
| Series 2024-1A Class A1R, 0% 10/19/37 (b)(d) | | 6,387,000 | 6,387,000 |
| Flatiron CLO Ltd. / Flatiron CLO LLC Series 2024-1A Class AR, CME Term SOFR 3 Month Index + 1.380% 6.5084% 5/20/36 (b)(d)(e) | | 9,380,000 | 9,387,457 |
| Ford Credit Floorplan Master Owner Trust: | | | |
| Series 2023-1 Class A1, 4.92% 5/15/28 (b) | | 1,500,000 | 1,508,112 |
| Series 2024-1 Class A1, 5.29% 4/15/29 (b) | | 5,000,000 | 5,096,676 |
| GM Financial Automobile Leasing Trust Series 2023-2 Class A2A, 5.44% 10/20/25 | | 212,069 | 212,090 |
| Gm Financial Leasing Trust 202 Series 2023-3 Class A3, 5.38% 11/20/26 | | 772,000 | 776,134 |
| Gm Financial Revolving Receiva Series 2024-1 Class A, 4.98% 12/11/36 (b) | | 3,360,000 | 3,420,113 |
| Goldentree Loan Management U.S. CLO 21, Ltd. Series 2024-21A Class E, CME Term SOFR 3 Month Index + 5.700% 11.0251% 7/20/37 (b)(d)(e) | | 250,000 | 249,407 |
| Golub Capital Partners Clo 76 B Lt Series 2024-76A Class E, CME Term SOFR 3 Month Index + 5.750% 0% 10/25/37 (b)(d)(e)(i) | | 175,000 | 175,000 |
| Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | | 158,770 | 146,862 |
| Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | | 1,618,019 | 1,496,665 |
| HPEFS Equipment Trust Series 2024-2A Class A3, 5.36% 10/20/31 (b) | | 1,500,000 | 1,519,194 |
| Hyundai Auto Lease Securitizat Series 2024-B Class A3, 5.41% 5/17/27 (b) | | 5,200,000 | 5,271,405 |
| Invesco CLO Ltd. Series 2021-3A Class A, CME Term SOFR 3 Month Index + 1.390% 6.6736% 10/22/34 (b)(d)(e) | | 1,056,000 | 1,057,147 |
| Invesco U.S. Clo 2024-1 Ltd. Series 2024-1RA Class AR, CME Term SOFR 3 Month Index + 1.550% 6.8514% 4/15/37 (b)(d)(e) | | 4,719,000 | 4,737,291 |
| Invesco U.S. CLO Ltd. Series 2024-3A Class A, CME Term SOFR 3 Month Index + 1.510% 6.8292% 7/20/37 (b)(d)(e) | | 4,765,000 | 4,803,096 |
| KKR CLO Ltd. Series 2022-41A Class A1, CME Term SOFR 3 Month Index + 1.330% 6.6314% 4/15/35 (b)(d)(e) | | 2,473,000 | 2,474,224 |
| Kubota Credit Owner Trust Series 2024-2A Class A3, 5.26% 11/15/28 (b) | | 3,100,000 | 3,161,087 |
| Madison Park Funding Series 2024-19A Class AR3, CME Term SOFR 3 Month Index + 1.600% 6.882% 1/22/37 (b)(d)(e) | | 14,865,000 | 14,950,176 |
| Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, CME Term SOFR 3 Month Index + 1.400% 6.6811% 4/19/34 (b)(d)(e) | | 7,200,000 | 7,202,059 |
| Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, CME Term SOFR 3 Month Index + 1.360% 6.6436% 1/22/35 (b)(d)(e) | | 1,719,000 | 1,719,708 |
| Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, CME Term SOFR 3 Month Index + 1.380% 6.683% 7/15/34 (b)(d)(e) | | 2,347,000 | 2,346,979 |
| Madison Pk Funding Lxvii Ltd. / Mad Series 2024-67A Class A1, CME Term SOFR 3 Month Index + 1.510% 6.8002% 4/25/37 (b)(d)(e) | | 5,962,000 | 5,967,765 |
| Magnetite CLO LTD Series 2023-36A Class A, CME Term SOFR 3 Month Index + 1.800% 7.082% 4/22/36 (b)(d)(e) | | 1,513,000 | 1,520,771 |
| Magnetite CLO Ltd. Series 2021-27A Class AR, CME Term SOFR 3 Month Index + 1.400% 6.6836% 10/20/34 (b)(d)(e) | | 348,000 | 348,535 |
| Magnetite IX, Ltd. / Magnetite IX LLC Series 2021-30A Class A, CME Term SOFR 3 Month Index + 1.390% 6.6762% 10/25/34 (b)(d)(e) | | 2,070,000 | 2,073,351 |
| Magnetite XXI Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.280% 6.5636% 4/20/34 (b)(d)(e) | | 1,238,000 | 1,239,583 |
| Magnetite XXIII, Ltd. Series 2021-23A Class AR, CME Term SOFR 3 Month Index + 1.390% 6.6762% 1/25/35 (b)(d)(e) | | 1,275,000 | 1,276,983 |
| Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2024-29A Class AR, CME Term SOFR 3 Month Index + 1.350% 6.5917% 7/15/37 (b)(d)(e) | | 2,907,000 | 2,907,235 |
| Marlette Funding Trust 2023-3 Series 2023-3A Class A, 6.49% 9/15/33 (b) | | 349,182 | 349,483 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A3, 5.32% 1/18/28 | | 4,113,000 | 4,186,924 |
| Merchants Fleet Funding LLC: | | | |
| Series 2023-1A Class A, 7.21% 5/20/36 (b) | | 1,754,510 | 1,775,097 |
| Series 2024-1A Class A, 5.82% 4/20/37 (b) | | 3,500,000 | 3,544,874 |
| Milos CLO, Ltd. Series 2020-1A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.6136% 10/20/30 (b)(d)(e) | | 901,399 | 902,763 |
| Neuberger Berman Loan Advisers: | | | |
| Series 2024-25A Class AR2, CME Term SOFR 3 Month Index + 1.400% 6.723% 7/18/38 (b)(d)(e) | | 5,981,000 | 5,987,119 |
| Series 2024-2A Class E, CME Term SOFR 3 Month Index + 7.500% 12.8235% 4/20/38 (b)(d)(e) | | 250,000 | 251,694 |
| Oak Hill Credit Partners: | | | |
| Series 2024-13A Class AR, CME Term SOFR 3 Month Index + 1.350% 6.632% 7/20/37 (b)(d)(e) | | 10,448,000 | 10,451,542 |
| Series 2024-18A: | | | |
Class A1, 6.7917% 4/20/37 (b)(d) | | 6,763,000 | 6,782,444 |
Class A2, CME Term SOFR 3 Month Index + 1.650% 6.9417% 4/20/37 (b)(d)(e) | | 358,000 | 359,519 |
| Ocp Clo 2017-14 Ltd. Series 2024-14A Class ER, CME Term SOFR 3 Month Index + 6.550% 11.2908% 7/20/37 (b)(d)(e) | | 200,000 | 199,180 |
| Orchard Park Clo Ltd. Series 2024-1A Class E, CME Term SOFR 3 Month Index + 5.600% 0% 10/20/37 (b)(d)(e)(i) | | 107,000 | 107,000 |
| Palmer Square Clo 2024-2 Ltd. Series 2024-2A Class E, CME Term SOFR 3 Month Index + 5.700% 10.9939% 7/20/37 (b)(d)(e) | | 500,000 | 499,990 |
| Palmer Square Ln Funding 2024-3 Series 2024-3A Class D, CME Term SOFR 3 Month Index + 5.400% 10.7366% 8/8/32 (b)(d)(e) | | 250,000 | 243,807 |
| Peace Park CLO, Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.390% 6.6736% 10/20/34 (b)(d)(e) | | 1,494,000 | 1,494,789 |
| Peebles Park CLO Ltd. Series 2024-1A Class A, CME Term SOFR 3 Month Index + 1.500% 6.8043% 4/21/37 (b)(d)(e) | | 36,000,000 | 36,137,952 |
| PK ALIFT Loan Funding 3 LP Series 2024-1 Class A1, 5.842% 9/15/39 (b) | | 1,421,000 | 1,448,209 |
| Planet Fitness Master Issuer LLC: | | | |
| Series 2019-1A Class A2, 3.858% 12/5/49 (b) | | 2,255,710 | 2,101,715 |
| Series 2022-1A: | | | |
Class A2I, 3.251% 12/5/51 (b) | | 1,654,908 | 1,582,842 |
Class A2II, 4.008% 12/5/51 (b) | | 1,150,518 | 1,059,529 |
| Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b) | | 361,231 | 332,340 |
| Retained Vantage Data Ctrs Iss Series 2023-1A Class B, 5.75% 9/15/48 (b) | | 250,000 | 242,913 |
| Rockland Park CLO Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.380% 6.6636% 4/20/34 (b)(d)(e) | | 1,839,000 | 1,840,622 |
| Rr 31 Ltd. Series 2024-31A Class D, CME Term SOFR 3 Month Index + 6.000% 6% 10/15/39 (b)(d)(e)(i) | | 125,000 | 125,000 |
| RR Ltd. Series 2022-7A Class A1AB, CME Term SOFR 3 Month Index + 1.340% 6.6414% 1/15/37 (b)(d)(e) | | 3,350,000 | 3,351,404 |
| RR Ltd. / RR 28 LLC Series 2024-28RA Class A1R, CME Term SOFR 3 Month Index + 1.550% 6.8514% 4/15/37 (b)(d)(e) | | 35,400,000 | 35,460,817 |
| Rram 2022-24A Series 2023-24A Class A1AR, CME Term SOFR 3 Month Index + 1.730% 7.0314% 1/15/36 (b)(d)(e) | | 13,500,000 | 13,551,557 |
| Sapphire Aviation Finance Series 2020-1A: | | | |
| Class A, 3.228% 3/15/40 (b) | | 624,168 | 572,868 |
| Class B, 4.335% 3/15/40 (b) | | 184,322 | 145,660 |
| SBA Tower Trust: | | | |
| Series 2019, 2.836% 1/15/50 (b) | | 699,000 | 691,878 |
| 1.884% 7/15/50 (b) | | 403,000 | 385,673 |
| 2.328% 7/15/52 (b) | | 308,000 | 282,211 |
| Sbna Auto Lease Trust Series 2024-B Class A3, 5.56% 11/22/27 (b) | | 3,500,000 | 3,550,521 |
| Sfs Auto Receivables Securitization Trust Series 2024-2A Class A3, 5.33% 11/20/29 (b) | | 2,077,000 | 2,116,457 |
| Subway Funding LLC Issuer Series 2024-1A: | | | |
| Class A23, 6.505% 7/30/54 (b) | | 15,351,000 | 16,040,291 |
| Class A2I, 6.028% 7/30/54 (b) | | 19,316,000 | 19,818,282 |
| Class A2II, 6.268% 7/30/54 (b) | | 12,257,000 | 12,706,361 |
| Switch Abs Issuer LLC Series 2024-2A Class C, 10.033% 6/25/54 (b) | | 950,000 | 970,371 |
| SYMP Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.320% 6.603% 4/23/35 (b)(d)(e) | | 6,927,000 | 6,914,178 |
| Symphony Clo 43 Ltd. Series 2024-43A Class A1, CME Term SOFR 3 Month Index + 1.520% 6.8465% 4/15/37 (b)(d)(e) | | 4,217,000 | 4,235,664 |
| Symphony CLO XXI, Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.623% 7/15/32 (b)(d)(e) | | 250,000 | 250,234 |
| Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, CME Term SOFR 3 Month Index + 1.340% 6.6236% 4/20/33 (b)(d)(e) | | 1,613,553 | 1,615,167 |
| Tesla Series 2024-A Class A2A, 5.37% 6/22/26 (b) | | 1,285,954 | 1,286,548 |
| Tesla Auto Lease Trust 2023-B Series 2023-B: | | | |
| Class A2, 6.02% 9/22/25 (b) | | 2,351,037 | 2,354,639 |
| Class A3, 6.13% 9/21/26 (b) | | 2,500,000 | 2,522,076 |
| Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (b) | | 1,743,000 | 1,749,007 |
| Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(d) | | 3,575,049 | 3,289,159 |
| Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | | 676,483 | 608,835 |
| Toyota Auto Receivables Owner Trust Series 2022-C Class A3, 3.76% 4/15/27 | | 2,949,073 | 2,925,333 |
| Toyota Lease Owner Trust: | | | |
| Series 2023 A Class A3, 4.93% 4/20/26 (b) | | 1,472,000 | 1,470,047 |
| Series 2024-A Class A3, 5.25% 4/20/27 (b) | | 2,200,000 | 2,220,753 |
| Tricon Residential 2023-Sfr1 T Series 2023-SFR1 Class E, 7.977% 7/17/40 (b) | | 350,000 | 359,703 |
| Usaa Auto Owner Trust 2024-A Series 2024-A Class A3, 5.03% 3/15/29 (b) | | 6,800,000 | 6,878,428 |
| VB-S1 Issuer LLC Series 2024-1A: | | | |
| Class D, 6.644% 5/15/54 (b) | | 1,500,000 | 1,545,588 |
| Class F, 8.871% 5/15/54 (b) | | 565,000 | 585,526 |
| Vcat 2021-Npl5 LLC Series 2021-NPL5 Class A1, 4.8677% 8/25/51 (b)(d) | | 553,741 | 553,319 |
| Volkswagen Auto Lease Trust 2024- Series 2024-A Class A3, 5.21% 6/21/27 | | 2,050,000 | 2,076,886 |
| Voya Clo 2023-1 Ltd. Series 2023-1A Class A1, CME Term SOFR 3 Month Index + 1.800% 7.082% 1/20/37 (b)(d)(e) | | 4,263,000 | 4,305,140 |
| Voya Clo Ltd. Series 2024-1A Class A1, CME Term SOFR 3 Month Index + 1.520% 6.8461% 4/15/37 (b)(d)(e) | | 4,115,000 | 4,116,543 |
| Voya CLO Ltd./Voya CLO LLC: | | | |
| Series 2021-2A Class A1R, CME Term SOFR 3 Month Index + 1.420% 6.7011% 7/19/34 (b)(d)(e) | | 488,000 | 488,101 |
| Series 2021-3A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.6936% 10/20/34 (b)(d)(e) | | 16,744,000 | 16,744,921 |
| Wheels Fleet Lease Funding 1 L: | | | |
| Series 2023-2A Class A, 6.46% 8/18/38 (b) | | 3,866,599 | 3,893,104 |
| Series 2024-1A Class A1, 5.49% 2/18/39 (b) | | 2,800,000 | 2,827,938 |
| Series 2024-2A Class A1, 4.87% 6/21/39 (b) | | 6,590,000 | 6,618,023 |
| Willis Engine Structured Trust Vi Series 2023-A Class A, 8% 10/15/48 (b) | | 1,878,394 | 1,995,594 |
| World Omni Auto Receivables Trust: | | | |
| Series 2023 B Class A3, 4.66% 5/15/28 | | 1,559,000 | 1,557,629 |
| Series 2023-C Class A3, 5.15% 11/15/28 | | 949,000 | 955,454 |
| World Omni Automobile Lease Series 2023-A Class A2A, 5.47% 11/17/25 | | 541,496 | 541,606 |
| TOTAL ASSET-BACKED SECURITIES (Cost $762,895,800) | | | 767,219,155 |
| | | | |
| Collateralized Mortgage Obligations - 1.5% |
| | | Principal Amount (a) | Value ($) |
| Private Sponsor - 0.2% | | | |
| Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (b) | | 989,929 | 916,698 |
| Bravo Residential Funding Trust sequential payer Series 2023-RPL1 Class A1, 5% 5/25/63 (b) | | 2,147,944 | 2,150,395 |
| Cfmt 2024-Hb15 LLC sequential payer Series 2024-HB15 Class A, 4% 8/25/34 (b)(d) | | 1,902,000 | 1,865,672 |
| Cfmt LLC floater sequential payer Series 2024-HB13 Class A, 3% 5/25/34 (b)(d) | | 2,862,625 | 2,737,597 |
| Gs Mtg-Backed Securities Trust 2024-Rpl Series 2024-RPL2 Class A1, 3.75% 7/25/61 (b) | | 858,903 | 831,905 |
| MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (b) | | 1,747,552 | 1,640,411 |
| Mfra Trst sequential payer Series 2024-RPL1 Class A1, 4.25% 2/25/66 (b)(d) | | 1,191,034 | 1,128,103 |
| NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (b) | | 349,496 | 321,906 |
| Nymt Loan Trust 2024-Cp1 sequential payer Series 2024-CP1 Class A1, 3.75% 2/25/68 (b) | | 1,040,038 | 976,693 |
| Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b) | | 248,919 | 242,471 |
| Ocwen Loan Invest Trust Series 2024-HB1 Class A, 3% 2/25/37 (b) | | 364,254 | 353,468 |
| Prmi Securitization Trust 2024-Cm floater Series 2024-CMG1 Class A1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.300% 6.8012% 7/25/54 (b)(d)(e) | | 2,368,730 | 2,361,409 |
| Prpm 2024-Rcf3 LLC Series 2024-RCF3 Class A1, 4% 5/25/54 (b) | | 2,643,556 | 2,584,216 |
| Prpm 2024-Rpl2 LLC Series 2024-RPL2 Class A1, 3.5% 5/25/54 (b)(d) | | 3,994,156 | 3,849,308 |
| PRPM, LLC Series 2024-RPL1 Class A1, 4.2% 12/25/64 (b) | | 5,519,816 | 5,367,526 |
| RMF Buyout Issuance Trust sequential payer Series 2022-HB1 Class A, 4.272% 4/25/32 (b) | | 16,154 | 16,111 |
| Towd Point Mortgage Trust sequential payer Series 2022-K147 Class A2, 3.75% 7/25/62 (b) | | 1,306,884 | 1,238,049 |
TOTAL PRIVATE SPONSOR | | | 28,581,938 |
| U.S. Government Agency - 1.3% | | | |
| Fannie Mae: | | | |
| floater Series 2012-70 Class FB, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.560% 5.9133% 7/25/42 (d)(e) | | 3,150,036 | 3,122,856 |
| planned amortization class: | | | |
Series 2012-134 Class MX, 3.5% 5/25/42 | | 82,373 | 80,310 |
Series 2017-22 Class ED, 3.5% 6/25/44 | | 69,058 | 68,031 |
Series 2017-32 Class PA, 2.7% 5/25/47 | | 11,598,856 | 10,565,717 |
Series 2017-37 Class AB, 2.55% 9/25/46 | | 2,370,775 | 2,175,456 |
Series 2019-76 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.610% 5.9633% 12/25/49 (d)(e) | | 1,636,817 | 1,603,185 |
Series 2021-69 Class JK, 1.5% 10/25/51 | | 370,013 | 312,540 |
Series 2022-2 Class TH, 2.5% 2/25/52 | | 226,460 | 208,328 |
Series 2022-20 Class HC, 2.5% 4/25/52 | | 4,112,451 | 3,763,205 |
| sequential payer: | | | |
Series 2004-81 Class ML, 5% 11/25/24 | | 162 | 161 |
Series 2005-40 Class YG, 5% 5/25/25 | | 33,263 | 33,105 |
Series 2006-55 Class GE, 5% 6/25/26 | | 137,830 | 137,194 |
Series 2010-47 Class JB, 5% 5/25/30 | | 1,736,019 | 1,740,484 |
Series 2016-104 Class B, 4% 12/25/44 | | 153,936 | 151,049 |
Series 2016-99 Class KA, 4% 11/25/42 | | 187,081 | 184,195 |
Series 2020-43 Class MA, 2% 1/25/45 | | 1,392,952 | 1,286,099 |
Series 2020-47 Class DG, 2% 4/25/42 | | 7,760,525 | 7,305,177 |
Series 2020-49: | | | |
Class JA, 2% 8/25/44 | | 292,919 | 271,969 |
Class LA, 2% 3/25/43 | | 5,318,933 | 5,007,205 |
Series 2020-51 Class BA, 2% 6/25/46 | | 1,492,983 | 1,320,253 |
Series 2020-56 Class AH, 2% 5/25/45 | | 1,715,583 | 1,603,722 |
Series 2020-67 Class KZ, 3.25% 9/25/40 | | 1,118,913 | 1,044,915 |
Series 2020-80 Class BA, 1.5% 3/25/45 | | 770,956 | 678,874 |
Series 2021-85 Class L, 2.5% 8/25/48 | | 336,310 | 299,660 |
Series 2021-95: | | | |
Class 0, 2.5% 9/25/48 | | 1,029,186 | 919,278 |
Class BA, 2.5% 6/25/49 | | 1,564,908 | 1,390,635 |
Series 2021-96: | | | |
Class AH, 2.5% 3/25/49 | | 9,399,075 | 8,471,816 |
Class HA, 2.5% 2/25/50 | | 541,619 | 481,993 |
Series 2022-1 Class KA, 3% 5/25/48 | | 325,260 | 302,434 |
Series 2022-11 Class B, 3% 6/25/49 | | 444,960 | 415,985 |
Series 2022-13: | | | |
Class HA, 3% 8/25/46 | | 350,844 | 331,203 |
Class JA, 3% 5/25/48 | | 661,482 | 620,316 |
Class MA, 3% 5/25/44 | | 5,736,803 | 5,473,544 |
Series 2022-15 Class GC, 3% 1/25/47 | | 677,280 | 636,683 |
Series 2022-17 Class BH, 3% 5/25/47 | | 739,767 | 702,175 |
Series 2022-25 Class AB, 4% 9/25/47 | | 1,311,428 | 1,286,570 |
Series 2022-3: | | | |
Class D, 2% 2/25/48 | | 1,561,667 | 1,404,747 |
Class G, 2% 11/25/47 | | 4,995,898 | 4,434,499 |
Class N, 2% 10/25/47 | | 3,795,528 | 3,398,481 |
Series 2022-30 Class E, 4.5% 7/25/48 | | 819,007 | 808,807 |
Series 2022-35 Class CK, 4% 3/25/47 | | 2,820,153 | 2,724,568 |
Series 2022-4 Class B, 2.5% 5/25/49 | | 393,743 | 351,872 |
Series 2022-49 Class TC, 4% 12/25/48 | | 265,030 | 256,912 |
Series 2022-5: | | | |
Class 0, 2.5% 6/25/48 | | 556,709 | 505,464 |
Class BA, 2.5% 12/25/49 | | 703,918 | 615,838 |
Class DA, 2.25% 11/25/47 | | 1,646,017 | 1,485,948 |
Series 2022-69 Class AB, 4.5% 1/25/44 | | 1,451,092 | 1,427,745 |
Series 2022-7: | | | |
Class A, 3% 5/25/48 | | 463,276 | 430,785 |
Class E, 2.5% 11/25/47 | | 1,502,478 | 1,372,503 |
Series 2022-9 Class BA, 3% 5/25/48 | | 546,456 | 508,165 |
| Series 2020-39 Class MG, 1.5% 6/25/40 | | 2,293,314 | 1,937,866 |
| Series 2020-45: | | | |
Class JC, 1.5% 7/25/40 | | 2,339,177 | 1,976,606 |
Class JL, 3% 7/25/40 | | 33,900 | 31,171 |
| Series 2020-59 Class MC, 1.5% 8/25/40 | | 2,571,837 | 2,172,118 |
| Series 2021-21 Class HG, 2% 11/25/47 | | 4,075,542 | 3,633,915 |
| Series 2021-59 Class H, 2% 6/25/48 | | 353,409 | 293,779 |
| Series 2021-66: | | | |
Class DA, 2% 1/25/48 | | 378,835 | 316,376 |
Class DM, 2% 1/25/48 | | 402,593 | 336,217 |
| Series 2022-28 Class A, 2.5% 2/25/52 | | 1,232,464 | 1,163,551 |
| Series 2023-13 Class CK, 1.5% 11/25/50 | | 2,316,911 | 1,875,366 |
| Freddie Mac: | | | |
| planned amortization class: | | | |
Series 2017-4716 Class PA, 3% 7/15/44 | | 1,028,912 | 1,004,653 |
Series 2017-4744 Class JA, 3% 9/15/47 | | 162,721 | 150,530 |
Series 2021-5141 Class JM, 1.5% 4/25/51 | | 273,302 | 231,721 |
Series 2021-5148: | | | |
Class AD, 1.5% 10/25/51 | | 367,472 | 311,130 |
Class PC, 1.5% 10/25/51 | | 363,189 | 304,519 |
Series 2022-5214 Class CG, 3.5% 4/25/52 | | 644,852 | 615,968 |
Series 2022-5220 Class PK, 3.5% 1/25/51 | | 887,369 | 842,639 |
| sequential payer: | | | |
Series 2005-2974 Class CY, 5% 5/15/25 | | 55,996 | 55,804 |
Series 2014-4422 Class LA, 4.5% 3/15/43 | | 11,440 | 11,399 |
Series 2015-4516 Class A, 4% 8/15/41 | | 64,993 | 64,416 |
Series 2020-4993 Class LA, 2% 8/25/44 | | 1,322,313 | 1,228,407 |
Series 2020-5018: | | | |
Class LC, 3% 10/25/40 | | 229,082 | 211,091 |
Class LT, 3.25% 10/25/40 | | 1,148,565 | 1,081,762 |
Class LY, 3% 10/25/40 | | 174,018 | 160,310 |
Series 2020-5058 Class BE, 3% 11/25/50 | | 859,935 | 762,366 |
Series 2021-5115 Class A, 2% 3/25/40 | | 1,157,375 | 1,034,576 |
Series 2021-5139 Class JC, 2% 8/25/40 | | 1,106,726 | 978,239 |
Series 2021-5147 Class WN, 2% 1/25/40 | | 1,189,875 | 1,053,966 |
Series 2021-5169: | | | |
Class BA, 2.5% 5/25/49 | | 949,595 | 843,650 |
Class TP, 2.5% 6/25/49 | | 423,152 | 375,612 |
Series 2021-5175 Class CB, 2.5% 4/25/50 | | 1,957,864 | 1,738,706 |
Series 2021-5178: | | | |
Class CT, 2% 11/25/40 | | 1,207,962 | 1,063,500 |
Class TP, 2.5% 4/25/49 | | 794,514 | 707,369 |
Series 2021-5180 Class KA, 2.5% 10/25/47 | | 390,773 | 355,641 |
Series 2022-5189: | | | |
Class DA, 2.5% 5/25/49 | | 244,279 | 217,808 |
Class TP, 2.5% 5/25/49 | | 574,889 | 513,216 |
Series 2022-5190: | | | |
Class BA, 2.5% 11/25/47 | | 240,742 | 218,884 |
Class CA, 2.5% 5/25/49 | | 480,618 | 429,012 |
Series 2022-5191 Class CA, 2.5% 4/25/50 | | 458,724 | 404,789 |
Series 2022-5197: | | | |
Class A, 2.5% 6/25/49 | | 480,620 | 429,012 |
Class DA, 2.5% 11/25/47 | | 182,746 | 166,344 |
Series 2022-5198 Class BA, 2.5% 11/25/47 | | 760,688 | 695,593 |
Series 2022-5199 Class 0, 3% 5/25/48 | | 3,929,182 | 3,644,679 |
Series 2022-5200 Class LA, 3% 10/25/48 | | 1,251,248 | 1,162,010 |
Series 2022-5202: | | | |
Class AG, 3% 1/25/49 | | 274,255 | 254,107 |
Class BC, 3% 5/25/48 | | 984,681 | 915,688 |
Class LB, 2.5% 10/25/47 | | 195,875 | 178,430 |
Class UA, 3% 4/25/50 | | 316,934 | 292,136 |
Series 2022-5210 Class TA, 3.5% 11/25/46 | | 441,472 | 419,497 |
| Series 2020-5000 Class BA, 2% 4/25/45 | | 992,831 | 910,897 |
| Series 2020-5041: | | | |
Class LA, 1.5% 11/25/40 | | 5,375,242 | 4,529,883 |
Class LB, 3% 11/25/40 | | 389,844 | 359,488 |
| Series 2020-5046 Class PT, 1.5% 11/25/40 | | 4,083,351 | 3,440,729 |
| Series 2021-5077 Class ME, 2% 8/15/48 | | 6,750,506 | 5,804,719 |
| Series 2021-5083 Class VA, 1% 8/15/38 | | 801,593 | 757,393 |
| Series 2021-5182 Class A, 2.5% 10/25/48 | | 2,570,183 | 2,292,998 |
| Series 2022-5210 Class AB, 3% 1/25/42 | | 640,228 | 599,696 |
| Series 2022-5213 Class AH, 2.25% 4/25/37 | | 975,954 | 911,478 |
| Series 2022-5214 Class CB, 3.25% 4/25/52 | | 1,535,364 | 1,454,006 |
| Series 2022-5236 Class P, 5% 4/25/48 | | 412,973 | 415,300 |
| Series 2022-5266 Class CD, 4.5% 10/25/44 | | 919,422 | 914,589 |
| Freddie Mac Multi-family Structured pass-thru certificates: | | | |
| planned amortization class Series 2021-5165 Class PC, 1.5% 11/25/51 | | 464,748 | 394,231 |
| sequential payer: | | | |
Series 2021-5159: | | | |
Class EA, 2.5% 8/25/48 | | 417,398 | 372,075 |
Class GC, 2% 11/25/47 | | 312,847 | 278,823 |
Series 2021-5164 Class M, 2.5% 7/25/48 | | 425,429 | 379,402 |
| Prpm 2024-Rcf4 LLC Series 2024-RCF4 Class A1, 4% 7/25/54 (b) | | 866,604 | 842,031 |
TOTAL U.S. GOVERNMENT AGENCY | | | 147,246,538 |
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $170,554,422) | | | 175,828,476 |
| | | | |
| Commercial Mortgage Securities - 4.8% |
| | | Principal Amount (a) | Value ($) |
| BAMLL Commercial Mortgage Securities Trust: | | | |
| floater Series 2022-DKLX: | | | |
Class A, CME Term SOFR 1 Month Index + 1.150% 6.487% 1/15/39 (b)(d)(e) | | 2,660,000 | 2,622,207 |
Class B, CME Term SOFR 1 Month Index + 1.550% 6.887% 1/15/39 (b)(d)(e) | | 311,000 | 305,236 |
Class C, CME Term SOFR 1 Month Index + 2.150% 7.487% 1/15/39 (b)(d)(e) | | 167,000 | 163,543 |
| sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b) | | 496,000 | 461,280 |
| Series 2019-BPR Class BNM, 3.465% 11/5/32 (b) | | 111,000 | 95,738 |
| BANK: | | | |
| sequential payer: | | | |
Series 2017-BNK9 Class A4, 3.538% 11/15/54 | | 3,500,000 | 3,368,473 |
Series 2018-BN10: | | | |
| Class A5, 3.688% 2/15/61 | | 3,310,000 | 3,198,896 |
| Class ASB, 3.641% 2/15/61 | | 623,859 | 612,872 |
Series 2018-BN14: | | | |
| Class A4, 4.231% 9/15/60 | | 1,600,000 | 1,569,430 |
| Class ASB, 4.185% 9/15/60 | | 239,918 | 237,854 |
Series 2019-BN19 Class ASB, 3.071% 8/15/61 | | 1,329,991 | 1,274,520 |
Series 2019-BN20 Class ASB, 2.933% 9/15/62 | | 100,000 | 95,499 |
Series 2019-BN21 Class A5, 2.851% 10/17/52 | | 112,000 | 101,080 |
Series 2019-BN23 Class ASB, 2.846% 12/15/52 | | 300,000 | 286,515 |
Series 2022-BNK44, Class A5, 5.9361% 11/15/55 (d) | | 7,185,000 | 7,618,752 |
Series 2023-5YR1 Class A3, 6.26% 4/15/56 | | 200,000 | 208,231 |
| Series 2018-BN10 Class C, 4.163% 2/15/61 (d) | | 425,000 | 380,212 |
| Series 2020-BN30 Class MCDE, 3.0155% 12/15/53 (d) | | 5,208,000 | 3,312,655 |
| Series 2021-BN33: | | | |
Class B, 2.893% 5/15/64 | | 500,000 | 421,418 |
Class XA, 1.163% 5/15/64 (d)(n) | | 9,619,277 | 462,405 |
| Series 2023-BNK45 Class B, 6.148% 2/15/56 (d) | | 305,000 | 312,802 |
| Bank of America Commercial Mortgage Trust Series 2016-UB10 Class C, 4.9847% 7/15/49 (d) | | 1,200,000 | 1,139,503 |
| BANK Trust sequential payer Series 2017-BNK5: | | | |
| Class A4, 3.131% 6/15/60 | | 4,400,000 | 4,215,632 |
| Class A5, 3.39% 6/15/60 | | 1,700,000 | 1,637,576 |
| Class ASB, 3.179% 6/15/60 | | 1,660,766 | 1,622,488 |
| Bank5 2023-5Yr3: | | | |
| sequential payer Series 2023-5YR3 Class A3, 6.724% 9/15/56 | | 1,300,000 | 1,384,494 |
| Series 2023-5YR3 Class A/S, 7.5591% 9/15/56 (d) | | 500,000 | 536,346 |
| Bank5 2023-5Yr4 Series 2023-5YR4 Class C, 7.8581% 12/15/56 (d) | | 300,000 | 318,289 |
| BBCMS Mortgage Trust: | | | |
| sequential payer: | | | |
Series 2023-C21 Class A3, 6.5064% 9/15/56 (d) | | 1,600,000 | 1,724,620 |
Series 2023-C22 Class C, 7.3633% 11/15/56 (d) | | 784,000 | 826,275 |
Series 2024-C26 Class C, 6% 5/15/57 | | 250,000 | 249,314 |
| Series 2020-C7: | | | |
Class A/S, 2.444% 4/15/53 | | 206,000 | 174,290 |
Class B, 3.152% 4/15/53 | | 725,000 | 599,949 |
| Series 2022-C16 Class B, 4.6% 6/15/55 | | 300,000 | 274,320 |
| Series 2022-C17 Class B, 4.889% 9/15/55 | | 250,000 | 236,675 |
| Series 2023-5C23 Class B, 7.7032% 12/15/56 (d) | | 500,000 | 533,267 |
| Bbcms Mtg Trust 2024-C24 sequential payer Series 2024-C24: | | | |
| Class B, 5.718% 2/15/57 | | 140,000 | 140,152 |
| Class C, 6% 2/15/57 | | 60,000 | 59,591 |
| Bbcms Trust sequential payer Series 2024-5C27 Class C, 6.7% 7/15/57 (d) | | 750,000 | 759,219 |
| Benchmark 2023-B40 Mortgage Trust sequential payer Series 2023-B40 Class A/S, 6.5945% 12/15/56 | | 500,000 | 545,374 |
| Benchmark 2024-V5 Mortgage Trust sequential payer Series 2024-V5: | | | |
| Class B, 6.0594% 1/10/57 (d) | | 640,000 | 646,890 |
| Class C, 7.205% 1/10/57 (d) | | 133,000 | 136,029 |
| Benchmark 2024-V9 Mortgage Tru sequential payer Series 2024-V9 Class A3, 5.6019% 8/15/57 | | 2,600,000 | 2,679,460 |
| Benchmark Mortgage Trust: | | | |
| sequential payer: | | | |
Series 2018-B4 Class A5, 4.121% 7/15/51 | | 127,000 | 123,476 |
Series 2019-B10 Class ASB, 3.615% 3/15/62 | | 460,941 | 451,209 |
Series 2019-B15 Class AAB, 2.859% 12/15/72 | | 3,500,000 | 3,345,602 |
Series 2019-B9 Class AAB, 3.9325% 3/15/52 | | 870,586 | 856,500 |
Series 2021-B28 Class ASB, 1.9804% 8/15/54 | | 4,400,000 | 3,932,081 |
Series 2021-B29 Class ASB, 2.205% 9/15/54 | | 11,571,000 | 10,466,505 |
Series 2023-V3 Class A3, 6.3629% 7/15/56 | | 100,000 | 105,045 |
| Series 2020-B18 Class AGNG, 4.5348% 7/15/53 (b)(d) | | 1,000,000 | 925,364 |
| Series 2020-B21 Class A/S, 2.2543% 12/17/53 | | 540,000 | 444,487 |
| Series 2021-B27 Class XA, 1.3706% 7/15/54 (d)(n) | | 4,145,201 | 233,669 |
| Series 2021-B29 Class B, 2.4534% 9/15/54 | | 575,000 | 462,852 |
| Series 2022-B35 Class B, 4.5919% 5/15/55 (d) | | 500,000 | 422,491 |
| Series 2023-V2 Class A/S, 6.5374% 5/15/55 | | 500,000 | 518,581 |
| Series 2023-V4: | | | |
Class B, 7.709% 11/15/56 (d) | | 250,000 | 266,431 |
Class C, 7.709% 11/15/56 (d) | | 250,000 | 259,913 |
| Bfld 2024-Wrhs floater Series 2024-WRHS Class E, CME Term SOFR 1 Month Index + 3.680% 9.0258% 8/15/26 (b)(d)(e) | | 665,000 | 659,848 |
| BLP Commercial Mortgage Trust: | | | |
| floater Series 2024-IND2 Class D, CME Term SOFR 1 Month Index + 2.590% 7.9273% 3/15/41 (b)(d)(e) | | 500,000 | 495,000 |
| sequential payer Series 2024-IND2 Class A, CME Term SOFR 1 Month Index + 1.340% 6.679% 3/15/41 (b)(d)(e) | | 2,677,000 | 2,663,615 |
| BMO 2024-5C3 Mortgage Trust Series 2024-5C3: | | | |
| Class B, 6.5567% 2/15/57 (d) | | 200,000 | 206,866 |
| Class C, 6.8592% 2/15/57 (d) | | 622,000 | 638,786 |
| BMO Mortgage Trust: | | | |
| sequential payer Series 2022-C3 Class ASB, 5.5032% 9/15/54 (d) | | 2,800,000 | 2,908,571 |
| Series 2023-5C2 Class A5, 7.4855% 11/15/56 (d) | | 330,000 | 354,175 |
| Series 2023-C4 Class C, 6.0584% 2/15/56 (d) | | 710,989 | 719,187 |
| Series 2023-C7 Class B, 6.6738% 12/15/56 (d) | | 455,000 | 487,430 |
| BMP floater Series 2024-MF23: | | | |
| Class A, CME Term SOFR 1 Month Index + 1.370% 6.7088% 6/15/41 (b)(d)(e) | | 4,493,000 | 4,474,747 |
| Class B, CME Term SOFR 1 Month Index + 1.640% 6.9785% 6/15/41 (b)(d)(e) | | 2,218,000 | 2,201,377 |
| Class C, CME Term SOFR 1 Month Index + 1.840% 7.1782% 6/15/41 (b)(d)(e) | | 1,569,000 | 1,555,271 |
| BPR Trust floater Series 2022-OANA: | | | |
| Class A, CME Term SOFR 1 Month Index + 1.890% 7.2349% 4/15/37 (b)(d)(e) | | 7,887,000 | 7,896,859 |
| Class B, CME Term SOFR 1 Month Index + 2.440% 7.7839% 4/15/37 (b)(d)(e) | | 1,165,000 | 1,166,456 |
| BX Commercial Mortgage Trust: | | | |
| floater: | | | |
Series 2019-IMC: | | | |
| Class B, CME Term SOFR 1 Month Index + 1.340% 6.6833% 4/15/34 (b)(d)(e) | | 1,917,000 | 1,888,287 |
| Class C, CME Term SOFR 1 Month Index + 1.640% 6.9833% 4/15/34 (b)(d)(e) | | 210,000 | 206,068 |
| Class D, CME Term SOFR 1 Month Index + 1.940% 7.2833% 4/15/34 (b)(d)(e) | | 220,000 | 215,057 |
Series 2020-VKNG Class G, CME Term SOFR 1 Month Index + 3.360% 8.7015% 10/15/37 (b)(d)(e) | | 1,631,000 | 1,592,329 |
Series 2021-LBA: | | | |
| Class AJV, CME Term SOFR 1 Month Index + 0.910% 6.2515% 2/15/36 (b)(d)(e) | | 1,400,000 | 1,386,438 |
| Class DJV, CME Term SOFR 1 Month Index + 1.710% 7.0515% 2/15/36 (b)(d)(e) | | 1,250,000 | 1,212,109 |
| Class DV, CME Term SOFR 1 Month Index + 1.710% 7.0515% 2/15/36 (b)(d)(e) | | 988,512 | 961,356 |
| Class EJV, CME Term SOFR 1 Month Index + 2.110% 7.4515% 2/15/36 (b)(d)(e) | | 1,000,000 | 971,563 |
| Class FJV, CME Term SOFR 1 Month Index + 2.510% 7.8515% 2/15/36 (b)(d)(e) | | 100,000 | 95,983 |
| Class FV, CME Term SOFR 1 Month Index + 2.510% 7.8515% 2/15/36 (b)(d)(e) | | 310,788 | 298,303 |
Series 2021-PAC: | | | |
| Class A, CME Term SOFR 1 Month Index + 0.800% 6.1406% 10/15/36 (b)(d)(e) | | 3,274,000 | 3,242,283 |
| Class B, CME Term SOFR 1 Month Index + 1.010% 6.3503% 10/15/36 (b)(d)(e) | | 3,496,000 | 3,428,265 |
| Class C, CME Term SOFR 1 Month Index + 1.210% 6.5501% 10/15/36 (b)(d)(e) | | 5,034,000 | 4,920,735 |
| Class D, CME Term SOFR 1 Month Index + 1.410% 6.7498% 10/15/36 (b)(d)(e) | | 1,147,000 | 1,116,174 |
| Class E, CME Term SOFR 1 Month Index + 2.060% 7.399% 10/15/36 (b)(d)(e) | | 3,283,000 | 3,217,340 |
| Class G, CME Term SOFR 1 Month Index + 3.060% 8.3976% 10/15/36 (b)(d)(e) | | 667,732 | 646,370 |
Series 2021-SOAR: | | | |
| Class E, CME Term SOFR 1 Month Index + 1.910% 7.2515% 6/15/38 (b)(d)(e) | | 5,710,193 | 5,606,696 |
| Class G, CME Term SOFR 1 Month Index + 2.910% 8.2515% 6/15/38 (b)(d)(e) | | 875,262 | 856,348 |
Series 2021-VOLT: | | | |
| Class D, CME Term SOFR 1 Month Index + 1.760% 7.1014% 9/15/36 (b)(d)(e) | | 1,201,068 | 1,181,616 |
| Class F, CME Term SOFR 1 Month Index + 2.510% 7.8514% 9/15/36 (b)(d)(e) | | 1,424,000 | 1,400,889 |
| Class G, CME Term SOFR 1 Month Index + 2.960% 8.3014% 9/15/36 (b)(d)(e) | | 1,400,207 | 1,368,609 |
Series 2022-IND Class A, CME Term SOFR 1 Month Index + 1.490% 6.8279% 4/15/37 (b)(d)(e) | | 3,414,023 | 3,401,329 |
Series 2022-LBA6: | | | |
| Class E, CME Term SOFR 1 Month Index + 2.700% 8.0369% 1/15/39 (b)(d)(e) | | 1,500,000 | 1,471,264 |
| Class F, CME Term SOFR 1 Month Index + 3.350% 8.6869% 1/15/39 (b)(d)(e) | | 647,360 | 634,963 |
Series 2022-LP2: | | | |
| Class A, CME Term SOFR 1 Month Index + 1.010% 6.3498% 2/15/39 (b)(d)(e) | | 1,818,369 | 1,801,322 |
| Class B, CME Term SOFR 1 Month Index + 1.310% 6.6492% 2/15/39 (b)(d)(e) | | 966,507 | 951,405 |
| Class C, CME Term SOFR 1 Month Index + 1.560% 6.8986% 2/15/39 (b)(d)(e) | | 1,401,549 | 1,377,898 |
| Class D, CME Term SOFR 1 Month Index + 1.960% 7.2977% 2/15/39 (b)(d)(e) | | 642,313 | 630,872 |
Series 2023-VLT3 Class C, CME Term SOFR 1 Month Index + 3.430% 8.7749% 11/15/28 (b)(d)(e) | | 1,000,000 | 988,561 |
Series 2023-XL3: | | | |
| Class A, CME Term SOFR 1 Month Index + 1.760% 7.0983% 12/9/40 (b)(d)(e) | | 2,964,556 | 2,971,968 |
| Class B, CME Term SOFR 1 Month Index + 2.190% 7.5277% 12/9/40 (b)(d)(e) | | 655,488 | 655,282 |
| Class C, CME Term SOFR 1 Month Index + 2.640% 7.9771% 12/9/40 (b)(d)(e) | | 354,987 | 354,544 |
| Class D, CME Term SOFR 1 Month Index + 3.580% 8.9257% 12/9/40 (b)(d)(e) | | 2,063,879 | 2,063,231 |
Series 2024-MF: | | | |
| Class D, CME Term SOFR 1 Month Index + 2.680% 8.0267% 2/15/39 (b)(d)(e) | | 1,000,000 | 988,125 |
| Class E, CME Term SOFR 1 Month Index + 3.730% 9.0752% 2/15/39 (b)(d)(e) | | 1,000,000 | 987,814 |
Series 2024-WPT Class E, CME Term SOFR 1 Month Index + 3.580% 8.9253% 3/15/34 (b)(d)(e) | | 405,000 | 401,279 |
Series 2024-XL5 Class E, CME Term SOFR 1 Month Index + 3.680% 9.0252% 3/15/41 (b)(d)(e) | | 2,397,456 | 2,386,579 |
| floater sequential payer: | | | |
Series 2019-CALM Class A, CME Term SOFR 1 Month Index + 0.990% 6.3275% 11/15/32 (b)(d)(e) | | 420,361 | 419,967 |
Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.040% 6.3833% 4/15/34 (b)(d)(e) | | 235,490 | 233,285 |
Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.1215% 6/15/38 (b)(d)(e) | | 632,128 | 625,214 |
Series 2024-XL5 Class A, CME Term SOFR 1 Month Index + 1.390% 6.7285% 3/15/41 (b)(d)(e) | | 24,412,819 | 24,336,529 |
| Series 2019-OC11: | | | |
Class D, 4.0755% 12/9/41 (b)(d) | | 500,000 | 455,429 |
Class E, 4.0755% 12/9/41 (b)(d) | | 2,310,000 | 2,037,602 |
Class XA, 0.8735% 12/9/41 (b)(d)(n) | | 104,100,000 | 3,567,361 |
| Series 2020-VIVA Class D, 3.667% 3/11/44 (b)(d) | | 1,755,000 | 1,539,694 |
| BX Commercial Mortgage Trust 2 floater Series 2021-IRON Class D, CME Term SOFR 1 Month Index + 2.010% 7.3515% 2/15/38 (b)(d)(e) | | 650,000 | 619,224 |
| BX Commercial Mortgage Trust 2024-Xl4: | | | |
| floater: | | | |
Series 2024-XL4: | | | |
| Class B, CME Term SOFR 1 Month Index + 1.790% 7.1284% 2/15/39 (b)(d)(e) | | 1,167,174 | 1,159,879 |
| Class E, CME Term SOFR 1 Month Index + 4.180% 9.525% 2/15/39 (b)(d)(e) | | 2,462,393 | 2,451,776 |
Series 2024-XL5: | | | |
| Class B, CME Term SOFR 1 Month Index + 1.690% 7.0281% 3/15/41 (b)(d)(e) | | 2,518,288 | 2,496,270 |
| Class C, CME Term SOFR 1 Month Index + 1.940% 7.2778% 3/15/41 (b)(d)(e) | | 3,343,972 | 3,306,381 |
| floater sequential payer Series 2024-XL4 Class A, CME Term SOFR 1 Month Index + 1.440% 6.7789% 2/15/39 (b)(d)(e) | | 8,933,560 | 8,922,393 |
| BX Commercial Mtg Trust floater Series 2024-MDHS: | | | |
| Class A, 6.9782% 5/15/41 (b)(d) | | 14,113,662 | 14,087,217 |
| Class E, CME Term SOFR 1 Month Index + 3.680% 9.0252% 5/15/41 (b)(d)(e) | | 945,956 | 927,769 |
| Bx Commercial Mtg Trust 2024-King floater Series 2024-KING Class E, CME Term SOFR 1 Month Index + 3.680% 9.0248% 5/15/34 (b)(d)(e) | | 2,535,000 | 2,494,311 |
| BX Trust: | | | |
| floater: | | | |
Series 2021-ACNT Class G, CME Term SOFR 1 Month Index + 3.400% 8.7465% 11/15/38 (b)(d)(e) | | 938,732 | 919,373 |
Series 2021-MFM1: | | | |
| Class E, CME Term SOFR 1 Month Index + 2.360% 7.7015% 1/15/34 (b)(d)(e) | | 357,560 | 349,267 |
| Class F, CME Term SOFR 1 Month Index + 3.110% 8.4515% 1/15/34 (b)(d)(e) | | 138,243 | 134,749 |
| Class G, CME Term SOFR 1 Month Index + 4.010% 9.3515% 1/15/34 (b)(d)(e) | | 700,000 | 677,473 |
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.5019% 8/15/39 (b)(d)(e) | | 2,484,096 | 2,487,198 |
Series 2022-IND: | | | |
| Class B, CME Term SOFR 1 Month Index + 1.940% 7.2769% 4/15/37 (b)(d)(e) | | 892,032 | 889,817 |
| Class C, CME Term SOFR 1 Month Index + 2.290% 7.6269% 4/15/37 (b)(d)(e) | | 201,522 | 201,146 |
| Class D, CME Term SOFR 1 Month Index + 2.830% 8.1759% 4/15/37 (b)(d)(e) | | 168,923 | 168,608 |
Series 2022-VAMF Class F, CME Term SOFR 1 Month Index + 3.290% 8.6359% 1/15/39 (b)(d)(e) | | 1,400,000 | 1,377,567 |
Series 2024-CNYN: | | | |
| Class A, CME Term SOFR 1 Month Index + 1.440% 6.7788% 4/15/41 (b)(d)(e) | | 9,844,256 | 9,801,078 |
| Class B, CME Term SOFR 1 Month Index + 1.690% 7.0284% 4/15/41 (b)(d)(e) | | 1,568,672 | 1,549,554 |
| Class C, CME Term SOFR 1 Month Index + 1.940% 7.2781% 4/15/41 (b)(d)(e) | | 1,302,611 | 1,276,559 |
| Class E, CME Term SOFR 1 Month Index + 3.680% 9.0255% 4/15/41 (b)(d)(e) | | 1,978,149 | 1,946,091 |
Series 2024-VLT4: | | | |
| Class E, CME Term SOFR 1 Month Index + 2.880% 8.2263% 7/15/29 (b)(d)(e) | | 1,100,000 | 1,090,719 |
| Class F, CME Term SOFR 1 Month Index + 3.930% 9.2748% 7/15/29 (b)(d)(e) | | 2,500,000 | 2,462,527 |
| floater sequential payer Series 2021-MFM1 Class A, CME Term SOFR 1 Month Index + 0.810% 6.1515% 1/15/34 (b)(d)(e) | | 2,556,710 | 2,535,936 |
| CAMB Commercial Mortgage Trust floater Series 2019-LIFE: | | | |
| Class A, CME Term SOFR 1 Month Index + 1.360% 6.704% 12/15/37 (b)(d)(e) | | 700,000 | 699,563 |
| Class F, CME Term SOFR 1 Month Index + 2.840% 8.184% 12/15/37 (b)(d)(e) | | 380,000 | 378,088 |
| CD Mortgage Trust: | | | |
| sequential payer Series 2017-CD4 Class ASB, 3.317% 5/10/50 | | 1,196,817 | 1,174,133 |
| Series 2017-CD4 Class B, 3.947% 5/10/50 (d) | | 121,000 | 110,118 |
| CF Hippolyta Issuer LLC sequential payer Series 2021-1A Class A1, 1.53% 3/15/61 (b) | | 1,974,428 | 1,838,643 |
| CFCRE Commercial Mortgage Trust sequential payer Series 2017-C8 Class A3, 3.3048% 6/15/50 | | 2,041,770 | 1,961,248 |
| Citigroup Commercial Mortgage Trust: | | | |
| sequential payer: | | | |
Series 2016-C1 Class A4, 3.209% 5/10/49 | | 700,000 | 679,411 |
Series 2018-B2 Class A4, 4.009% 3/10/51 | | 1,100,000 | 1,069,252 |
Series 2019-C7 Class A4, 3.102% 12/15/72 | | 1,212,628 | 1,121,175 |
Series 2019-GC41 Class AAB, 2.7198% 8/10/56 | | 1,940,936 | 1,845,246 |
Series 2020-GC46 Class AAB, 2.614% 2/15/53 | | 1,100,000 | 1,038,930 |
| Series 2015-GC27 Class A5, 3.137% 2/10/48 | | 1,500,000 | 1,493,015 |
| Series 2016-P4 Class B, 3.377% 7/10/49 | | 1,000,000 | 882,789 |
| Series 2020-420K: | | | |
Class D, 3.4222% 11/10/42 (b)(d) | | 625,000 | 540,839 |
Class E, 3.4222% 11/10/42 (b)(d) | | 1,025,000 | 829,612 |
| Series 2023-PRM3 Class C, 6.5717% 7/10/28 (b)(d) | | 862,000 | 871,433 |
| COMM Mortgage Trust: | | | |
| sequential payer: | | | |
Series 2015-CR24 Class A5, 3.696% 8/10/48 | | 1,090,000 | 1,073,707 |
Series 2015-CR27 Class ASB, 3.404% 10/10/48 | | 1,044,544 | 1,033,999 |
Series 2015-DC1 Class A4, 3.078% 2/10/48 | | 1,673,083 | 1,666,956 |
Series 2015-LC21 Class ASB, 3.421% 7/10/48 | | 1,188,445 | 1,182,297 |
Series 2020-SBX Class A, 1.67% 1/10/38 (b) | | 3,174,000 | 2,744,138 |
| Series 2014-CR20 Class C, 4.5346% 11/10/47 (d) | | 235,000 | 224,007 |
| Series 2015-DC1: | | | |
Class B, 4.035% 2/10/48 (d) | | 475,000 | 449,181 |
Class C, 4.4163% 2/10/48 (d) | | 420,000 | 369,091 |
| Series 2015-LC19: | | | |
Class B, 3.829% 2/10/48 | | 110,000 | 105,192 |
Class C, 4.3787% 2/10/48 (d) | | 683,000 | 638,209 |
| Computershare Corporate Trust Series 2018-C48 Class A5, 4.302% 1/15/52 | | 215,000 | 211,315 |
| Cone Trust 2024-Dfw1 floater Series 2024-DFW1 Class E, CME Term SOFR 1 Month Index + 3.880% 9.2254% 8/15/41 (b)(d)(e) | | 435,000 | 433,736 |
| CPT Mortgage Trust sequential payer Series 2019-CPT Class E, 3.0967% 11/13/39 (b)(d) | | 100,000 | 72,850 |
| Credit Suisse Mortgage Trust sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | | 189,351 | 180,465 |
| CSAIL 2018-CX12 Commercial Mortgage Trust sequential payer Series 2018-CX12 Class A3, 3.9585% 8/15/51 | | 1,203,531 | 1,168,035 |
| CSAIL Commercial Mortgage Trust: | | | |
| sequential payer: | | | |
Series 2016-C7 Class ASB, 3.3143% 11/15/49 | | 1,153,533 | 1,140,817 |
Series 2017-CX10 Class ASB, 3.3269% 11/15/50 | | 1,033,220 | 1,014,859 |
Series 2019-C15 Class A4, 4.0529% 3/15/52 | | 8,963,536 | 8,666,104 |
| Series 2017-C8 Class C, 4.4093% 6/15/50 (d) | | 801,000 | 673,912 |
| CSMC: | | | |
| sequential payer Series 2019-UVIL Class A, 3.1595% 12/15/41 (b) | | 150,000 | 136,509 |
| Series 2019-UVIL Class E, 3.3928% 12/15/41 (b)(d) | | 945,000 | 762,839 |
| CSMC Trust Series 2017-PFHP Class D, CME Term SOFR 1 Month Index + 2.290% 7.634% 12/15/30 (b)(d)(e) | | 809,000 | 755,673 |
| DBJPM Mortgage Trust: | | | |
| sequential payer Series 2017-C6 Class ASB, 3.121% 6/10/50 | | 2,105,214 | 2,059,018 |
| Series 2020-C9 Class AM, 2.34% 8/15/53 | | 400,000 | 335,312 |
| DBJPM Trust sequential payer Series 2016-C1 Class ASB, 3.038% 5/10/49 | | 3,561,287 | 3,505,907 |
| DC Commercial Mortgage Trust Series 2023-DC Class D, 7.3785% 9/12/40 (b)(d) | | 305,000 | 306,011 |
| Dk Trust 2024-Spbx floater Series 2024-SPBX Class E, CME Term SOFR 1 Month Index + 4.000% 9.3369% 3/15/34 (b)(d)(e) | | 2,250,000 | 2,236,900 |
| DTP Commercial Mortgage Trust 2023-Ste2 sequential payer Series 2023-STE2: | | | |
| Class A, 6.038% 1/15/41 (b)(d) | | 1,071,000 | 1,095,597 |
| Class B, 5.9822% 1/15/41 (b)(d) | | 120,000 | 120,664 |
| Class C, 6.6891% 1/15/41 (b)(d) | | 500,000 | 507,480 |
| Class D, 6.9552% 1/15/41 (b)(d) | | 1,825,000 | 1,842,945 |
| Class E, 5.9685% 1/15/41 (b)(d) | | 150,000 | 141,080 |
| ELP Commercial Mortgage Trust floater Series 2021-ELP: | | | |
| Class A, CME Term SOFR 1 Month Index + 0.810% 6.1525% 11/15/38 (b)(d)(e) | | 10,063,287 | 9,931,206 |
| Class B, CME Term SOFR 1 Month Index + 1.230% 6.5717% 11/15/38 (b)(d)(e) | | 2,034,632 | 2,000,339 |
| Class F, CME Term SOFR 1 Month Index + 2.780% 8.1185% 11/15/38 (b)(d)(e) | | 399,535 | 391,644 |
| Class J, CME Term SOFR 1 Month Index + 3.720% 9.0664% 11/15/38 (b)(d)(e) | | 1,997,675 | 1,926,669 |
| Eqt Trust 2024-Extr: | | | |
| sequential payer Series 2024-EXTR Class A, 5.3308% 7/5/41 (b)(d) | | 4,768,000 | 4,855,550 |
| Series 2024-EXTR: | | | |
Class B, 1 month U.S. LIBOR + 0.000% 5.6546% 7/5/41 (b)(d)(e) | | 391,000 | 398,287 |
Class C, 6.0464% 7/5/41 (b)(d) | | 330,000 | 335,387 |
Class D, 6.6819% 7/5/41 (b)(d) | | 100,000 | 101,606 |
| Extended Stay America Trust floater Series 2021-ESH: | | | |
| Class A, CME Term SOFR 1 Month Index + 1.190% 6.5315% 7/15/38 (b)(d)(e) | | 779,964 | 776,551 |
| Class B, CME Term SOFR 1 Month Index + 1.490% 6.8315% 7/15/38 (b)(d)(e) | | 7,583,730 | 7,517,437 |
| Class C, CME Term SOFR 1 Month Index + 1.810% 7.1515% 7/15/38 (b)(d)(e) | | 5,877,166 | 5,825,835 |
| Class D, CME Term SOFR 1 Month Index + 2.360% 7.7015% 7/15/38 (b)(d)(e) | | 1,568,923 | 1,561,086 |
| Class F, CME Term SOFR 1 Month Index + 3.810% 9.1515% 7/15/38 (b)(d)(e) | | 809,651 | 809,145 |
| Freddie Mac sequential payer: | | | |
| Series 2015-K043 Class A2, 3.062% 12/25/24 | | 5,436,103 | 5,393,348 |
| Series 2015-K049 Class A2, 3.01% 7/25/25 | | 252,882 | 248,813 |
| Series 2016-K055 Class A2, 2.673% 3/25/26 | | 14,700,000 | 14,297,211 |
| Series 2017-K066 Class A2, 3.117% 6/25/27 | | 910,000 | 884,786 |
| Series 2018-K732 Class A2, 3.7% 5/25/25 | | 5,311,384 | 5,259,293 |
| Series 2019-K736 Class A2, 2.282% 7/25/26 | | 2,900,000 | 2,798,922 |
| Series 2023-K751 Class A2, 4.412% 3/25/30 | | 589,000 | 595,338 |
| Series K058 Class A2, 2.653% 8/25/26 | | 6,074,000 | 5,884,025 |
| Freddie Mac Multi-family Structured pass-thru certificates sequential payer Series 2015 K045 Class A2, 3.023% 1/25/25 | | 1,102,811 | 1,091,680 |
| FS Commercial Mortgage Trust Series 2023-4SZN Class D, 9.3827% 11/10/39 (b)(d) | | 500,000 | 523,491 |
| GS Mortgage Securities Trust: | | | |
| floater Series 2021-IP: | | | |
Class A, CME Term SOFR 1 Month Index + 1.060% 6.4015% 10/15/36 (b)(d)(e) | | 1,191,000 | 1,173,157 |
Class B, CME Term SOFR 1 Month Index + 1.260% 6.6015% 10/15/36 (b)(d)(e) | | 184,000 | 179,469 |
Class C, CME Term SOFR 1 Month Index + 1.660% 7.0015% 10/15/36 (b)(d)(e) | | 152,000 | 148,205 |
| sequential payer: | | | |
Series 2015-GC30 Class A4, 3.382% 5/10/50 | | 4,725,000 | 4,657,127 |
Series 2017-GS6 Class A2, 3.164% 5/10/50 | | 190,518 | 181,667 |
Series 2017-GS8 Class AAB, 3.313% 11/10/50 | | 1,308,278 | 1,281,020 |
Series 2018-GS9 Class A4, 3.992% 3/10/51 | | 3,400,000 | 3,280,615 |
Series 2019-GSA1 Class A4, 3.0479% 11/10/52 | | 1,400,000 | 1,297,195 |
Series 2023-SHIP Class E, 7.6814% 9/10/38 (b)(d) | | 2,250,000 | 2,253,219 |
| Series 2019-GC38 Class D, 3% 2/10/52 (b) | | 115,000 | 87,495 |
| Series 2019-GC42 Class C, 3.8256% 9/10/52 (d) | | 509,000 | 418,768 |
| Gs Mtg Securities Corp. Trust 2024-Rvr sequential payer Series 2024-RVR Class B, 5.7226% 8/10/29 (b)(d) | | 202,000 | 201,844 |
| Hilton U.S.A. Trust Series 2016-HHV: | | | |
| Class E, 4.3333% 11/5/38 (b)(d) | | 1,000,000 | 950,794 |
| Class F, 4.3333% 11/5/38 (b)(d) | | 2,204,000 | 2,080,565 |
| Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 7.8256% 8/15/39 (b)(d)(e) | | 3,384,000 | 3,387,173 |
| JPMBB Commercial Mortgage Securities Trust Series 2014-C26 Class D, 3.9904% 1/15/48 (b)(d) | | 525,000 | 412,819 |
| JPMDB Commercial Mortgage Securities Trust sequential payer Series 2016-C4: | | | |
| Class A2, 2.8822% 12/15/49 | | 848,419 | 816,308 |
| Class ASB, 2.9941% 12/15/49 | | 610,611 | 596,646 |
| JPMorgan Chase Commercial Mortgage Securities Trust: | | | |
| Series 2018-WPT: | | | |
Class AFX, 4.2475% 7/5/33 (b) | | 385,000 | 351,769 |
Class CFX, 4.9498% 7/5/33 (b) | | 50,000 | 38,629 |
Class DFX, 5.3503% 7/5/33 (b) | | 76,000 | 55,076 |
| Series 2019-OSB: | | | |
Class C, 3.749% 6/5/39 (b)(d) | | 630,000 | 558,068 |
Class E, 3.9089% 6/5/39 (b)(d) | | 629,818 | 536,091 |
| KNDR Trust floater Series 2021-KIND: | | | |
| Class B, CME Term SOFR 1 Month Index + 1.460% 6.8045% 8/15/38 (b)(d)(e) | | 173,575 | 168,178 |
| Class C, CME Term SOFR 1 Month Index + 1.860% 7.2045% 8/15/38 (b)(d)(e) | | 128,941 | 124,950 |
| Class D, CME Term SOFR 1 Month Index + 2.410% 7.7545% 8/15/38 (b)(d)(e) | | 991,855 | 949,697 |
| Ksl Commercial Mtg Trust 2023-Ht floater Series 2023-HT: | | | |
| Class A, CME Term SOFR 1 Month Index + 2.290% 7.6271% 12/15/36 (b)(d)(e) | | 5,100,000 | 5,114,344 |
| Class C, CME Term SOFR 1 Month Index + 3.430% 8.7754% 12/15/36 (b)(d)(e) | | 500,000 | 500,937 |
| LBA Trust floater Series 2024-BOLT: | | | |
| Class E, CME Term SOFR 1 Month Index + 3.680% 9.025% 6/15/26 (b)(d)(e) | | 1,000,000 | 982,705 |
| Class F, CME Term SOFR 1 Month Index + 4.430% 9.7739% 6/15/26 (b)(d)(e) | | 355,000 | 348,736 |
| Life Financial Services Trust floater Series 2022-BMR2: | | | |
| Class A1, CME Term SOFR 1 Month Index + 1.290% 6.6321% 5/15/39 (b)(d)(e) | | 7,860,000 | 7,689,694 |
| Class B, CME Term SOFR 1 Month Index + 1.790% 7.1308% 5/15/39 (b)(d)(e) | | 1,986,000 | 1,901,758 |
| Class C, CME Term SOFR 1 Month Index + 2.090% 7.43% 5/15/39 (b)(d)(e) | | 1,113,000 | 1,047,388 |
| Class D, CME Term SOFR 1 Month Index + 2.540% 7.8788% 5/15/39 (b)(d)(e) | | 1,354,000 | 1,262,093 |
| LIFE Mortgage Trust floater Series 2021-BMR: | | | |
| Class A, CME Term SOFR 1 Month Index + 0.810% 6.1515% 3/15/38 (b)(d)(e) | | 1,200,805 | 1,178,740 |
| Class B, CME Term SOFR 1 Month Index + 0.990% 6.3315% 3/15/38 (b)(d)(e) | | 289,494 | 282,461 |
| Class C, CME Term SOFR 1 Month Index + 1.210% 6.5515% 3/15/38 (b)(d)(e) | | 182,421 | 177,364 |
| Class D, CME Term SOFR 1 Month Index + 1.510% 6.8515% 3/15/38 (b)(d)(e) | | 253,803 | 246,938 |
| Class E, CME Term SOFR 1 Month Index + 1.860% 7.2015% 3/15/38 (b)(d)(e) | | 221,284 | 212,462 |
| MCR Mortgage Trust sequential payer Series 2024-TWA Class F, 10.382% 6/12/39 (b) | | 300,000 | 303,786 |
| Merit floater Series 2021-STOR: | | | |
| Class F, CME Term SOFR 1 Month Index + 2.310% 7.6515% 7/15/38 (b)(d)(e) | | 1,577,000 | 1,555,659 |
| Class G, CME Term SOFR 1 Month Index + 2.860% 8.2015% 7/15/38 (b)(d)(e) | | 1,223,000 | 1,206,446 |
| MHC Commercial Mortgage Trust floater Series 2021-MHC: | | | |
| Class F, CME Term SOFR 1 Month Index + 2.710% 8.0524% 4/15/38 (b)(d)(e) | | 916,892 | 896,294 |
| Class G, CME Term SOFR 1 Month Index + 3.310% 8.6524% 4/15/38 (b)(d)(e) | | 838,877 | 817,937 |
| MHP Commercial Mortgage Trust floater Series 2022-MHIL: | | | |
| Class E, CME Term SOFR 1 Month Index + 2.610% 7.9475% 1/15/27 (b)(d)(e) | | 911,614 | 898,655 |
| Class F, CME Term SOFR 1 Month Index + 3.250% 8.5961% 1/15/27 (b)(d)(e) | | 1,185,098 | 1,168,248 |
| Class G, CME Term SOFR 1 Month Index + 3.950% 9.2944% 1/15/27 (b)(d)(e) | | 1,041,063 | 1,027,621 |
| Morgan Stanley BAML Trust sequential payer Series 2015-C23 Class ASB, 3.398% 7/15/50 | | 735,306 | 731,295 |
| Morgan Stanley Capital sequential payer Series 2016-UB11 Class A4, 2.782% 8/15/49 | | 2,090,000 | 1,996,780 |
| Morgan Stanley Capital I Trust: | | | |
| sequential payer: | | | |
Series 2015-UBS8 Class ASB, 3.626% 12/15/48 | | 2,353,954 | 2,332,614 |
Series 2017-H1 Class A4, 3.259% 6/15/50 | | 1,500,000 | 1,448,842 |
Series 2019-L2 Class A3, 3.806% 3/15/52 | | 1,566,852 | 1,502,705 |
Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | | 1,276,000 | 1,221,952 |
Series 2024-BPR2 Class A, 7.291% 5/5/29 (b) | | 329,289 | 341,250 |
| Series 2012-C4 Class D, 5.3359% 3/15/45 (b)(d) | | 109,521 | 101,854 |
| Series 2015-MS1: | | | |
Class B, 4.1571% 5/15/48 (d) | | 850,000 | 797,030 |
Class C, 4.1571% 5/15/48 (d) | | 70,000 | 61,439 |
| Series 2017 H1 Class B, 4.075% 6/15/50 | | 250,000 | 233,582 |
| Series 2017-H1: | | | |
Class A/S, 3.773% 6/15/50 | | 1,200,000 | 1,137,139 |
Class C, 4.281% 6/15/50 | | 1,017,356 | 926,608 |
Class D, 2.546% 6/15/50 (b) | | 307,836 | 250,297 |
| Series 2017-HR2 Class D, 2.73% 12/15/50 | | 864,000 | 727,382 |
| Series 2018-H4 Class A4, 4.31% 12/15/51 | | 185,000 | 180,340 |
| Series 2019-MEAD: | | | |
Class B, 3.283% 11/10/36 (b)(d) | | 155,000 | 146,885 |
Class C, 3.283% 11/10/36 (b)(d) | | 149,000 | 138,964 |
| Series 2020-HR8: | | | |
Class A/S, 2.298% 7/15/53 | | 112,000 | 93,601 |
Class B, 2.704% 7/15/53 | | 270,000 | 222,119 |
| Series 2024-BPR2 Class X, 1.0727% 5/5/29 (b)(d)(n) | | 15,980,146 | 580,597 |
| MSWF Commercial Mortgage Trust sequential payer Series 2023-2: | | | |
| Class B, 7.1101% 12/15/56 (d) | | 64,000 | 69,404 |
| Class C, 7.2521% 12/15/56 (d) | | 53,000 | 56,181 |
| Class D, 4% 12/15/56 (b) | | 24,000 | 18,489 |
| Natixis Commercial Mortgage Securities Trust Series 2020-2PAC Class AMZ1, 3.6167% 1/15/37 (b)(d) | | 2,266,000 | 1,583,290 |
| Open Trust 2023-Air sequential payer Series 2023-AIR: | | | |
| Class A, CME Term SOFR 1 Month Index + 3.080% 8.426% 10/15/28 (b)(d)(e) | | 2,725,429 | 2,749,276 |
| Class B, CME Term SOFR 1 Month Index + 3.830% 9.1749% 10/15/28 (b)(d)(e) | | 1,641,727 | 1,647,867 |
| Class C, CME Term SOFR 1 Month Index + 5.230% 10.5728% 10/15/28 (b)(d)(e) | | 449,296 | 450,976 |
| Class D, CME Term SOFR 1 Month Index + 6.680% 12.0206% 10/15/28 (b)(d)(e) | | 314,507 | 316,075 |
| Class E, CME Term SOFR 1 Month Index + 9.420% 14.7664% 10/15/28 (b)(d)(e) | | 898,592 | 903,072 |
| OPG Trust floater Series 2021-PORT: | | | |
| Class A, CME Term SOFR 1 Month Index + 0.590% 5.9355% 10/15/36 (b)(d)(e) | | 2,637,966 | 2,594,274 |
| Class C, CME Term SOFR 1 Month Index + 0.940% 6.2835% 10/15/36 (b)(d)(e) | | 3,120,000 | 3,039,075 |
| Class F, CME Term SOFR 1 Month Index + 2.060% 7.3995% 10/15/36 (b)(d)(e) | | 390,000 | 380,385 |
| Class G, CME Term SOFR 1 Month Index + 2.510% 7.8495% 10/15/36 (b)(d)(e) | | 975,000 | 952,987 |
| SPGN Mortgage Trust floater Series 2022-TFLM: | | | |
| Class B, CME Term SOFR 1 Month Index + 2.000% 7.3369% 2/15/39 (b)(d)(e) | | 501,000 | 490,396 |
| Class C, CME Term SOFR 1 Month Index + 2.650% 7.9869% 2/15/39 (b)(d)(e) | | 261,000 | 253,688 |
| SREIT Trust floater: | | | |
| Series 2021-FLWR: | | | |
Class E, CME Term SOFR 1 Month Index + 2.030% 7.3755% 7/15/36 (b)(d)(e) | | 1,000,000 | 985,854 |
Class F, CME Term SOFR 1 Month Index + 2.780% 8.124% 7/15/36 (b)(d)(e) | | 500,000 | 492,925 |
| Series 2021-IND Class G, CME Term SOFR 1 Month Index + 3.380% 8.7173% 10/15/38 (b)(d)(e) | | 744,000 | 720,257 |
| Series 2021-MFP: | | | |
Class A, CME Term SOFR 1 Month Index + 0.840% 6.1822% 11/15/38 (b)(d)(e) | | 18,696,144 | 18,468,285 |
Class B, CME Term SOFR 1 Month Index + 1.190% 6.5312% 11/15/38 (b)(d)(e) | | 7,590,793 | 7,496,023 |
Class C, CME Term SOFR 1 Month Index + 1.440% 6.7804% 11/15/38 (b)(d)(e) | | 649,710 | 639,976 |
Class D, CME Term SOFR 1 Month Index + 1.690% 7.0296% 11/15/38 (b)(d)(e) | | 3,445,664 | 3,376,750 |
Class G, CME Term SOFR 1 Month Index + 3.080% 8.4252% 11/15/38 (b)(d)(e) | | 2,200,785 | 2,159,569 |
| STWD Trust floater sequential payer Series 2021-LIH: | | | |
| Class F, CME Term SOFR 1 Month Index + 3.660% 9.002% 11/15/36 (b)(d)(e) | | 1,523,000 | 1,494,010 |
| Class G, CME Term SOFR 1 Month Index + 4.310% 9.651% 11/15/36 (b)(d)(e) | | 252,000 | 244,976 |
| TPGI Trust floater Series 2021-DGWD: | | | |
| Class E, CME Term SOFR 1 Month Index + 2.460% 7.8045% 6/15/26 (b)(d)(e) | | 1,033,600 | 1,022,210 |
| Class F, CME Term SOFR 1 Month Index + 3.110% 8.4545% 6/15/26 (b)(d)(e) | | 800,000 | 791,208 |
| Tysn 2023-Crnr sequential payer Series 2023-CRNR Class A, 6.7991% 12/10/33 (b)(d) | | 500,000 | 525,713 |
| Ubs Commercial Mortgage Trust sequential payer Series 2017-C4 Class ASB, 3.366% 10/15/50 | | 2,242,691 | 2,197,411 |
| UBS Commercial Mortgage Trust sequential payer Series 2018-C12 Class A4, 4.0299% 8/15/51 | | 14,996,261 | 14,693,131 |
| VASA Trust floater sequential payer Series 2021-VASA Class B, CME Term SOFR 1 Month Index + 1.360% 6.7015% 7/15/39 (b)(d)(e) | | 500,000 | 418,152 |
| VLS Commercial Mortgage Trust: | | | |
| sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | | 1,569,000 | 1,282,592 |
| Series 2020-LAB Class B, 2.453% 10/10/42 (b) | | 80,000 | 65,315 |
| Wells Fargo Commercial Mortage Trust 20 floater Series 2024-MGP: | | | |
| Class A11, CME Term SOFR 1 Month Index + 1.990% 7.3407% 8/15/41 (b)(d)(e) | | 500,000 | 498,696 |
| Class A12, CME Term SOFR 1 Month Index + 1.690% 7.0412% 8/15/41 (b)(d)(e) | | 2,700,000 | 2,692,959 |
| Wells Fargo Commercial Mortgag Series 2024-1CHI Class E, 7.5743% 7/15/35 (b)(d) | | 270,000 | 270,111 |
| Wells Fargo Commercial Mortgage Trust: | | | |
| floater: | | | |
Series 2016-C35 Class A4FL, CME Term SOFR 1 Month Index + 1.160% 6.5031% 7/15/48 (b)(d)(e) | | 4,000,000 | 3,997,891 |
Series 2021-FCMT Class A, CME Term SOFR 1 Month Index + 1.310% 6.6515% 5/15/31 (b)(d)(e) | | 1,021,000 | 994,989 |
Series 2021-SAVE Class D, CME Term SOFR 1 Month Index + 2.610% 7.9515% 2/15/40 (b)(d)(e) | | 600,000 | 591,011 |
| sequential payer: | | | |
Series 2015-C26 Class A4, 3.166% 2/15/48 | | 624,000 | 618,137 |
Series 2015-C29: | | | |
| Class A4, 3.637% 6/15/48 | | 4,220,000 | 4,157,971 |
| Class ASB, 3.4% 6/15/48 | | 804,444 | 799,741 |
Series 2016-BNK1 Class ASB, 2.514% 8/15/49 | | 4,288,568 | 4,212,331 |
Series 2016-LC24 Class ASB, 2.825% 10/15/49 | | 1,222,903 | 1,200,003 |
Series 2016-LC25: | | | |
| Class A3, 3.374% 12/15/59 | | 2,133,546 | 2,078,804 |
| Class ASB, 3.486% 12/15/59 | | 3,719,069 | 3,668,483 |
Series 2017-C38 Class ASB, 3.261% 7/15/50 | | 1,007,908 | 990,076 |
Series 2017-C42 Class ASB, 3.488% 12/15/50 | | 1,100,825 | 1,082,503 |
Series 2019-C50 Class ASB, 3.635% 5/15/52 | | 187,506 | 182,530 |
| Series 2016-NXS6 Class C, 4.5379% 11/15/49 (d) | | 560,000 | 513,718 |
| Series 2019-C49 Class C, 4.866% 3/15/52 (d) | | 100,000 | 93,985 |
| Series 2021-C60 Class D, 2.5% 8/15/54 (b) | | 250,000 | 176,609 |
| Wells Fargo Commercial Mtg Trust sequential payer Series 2016-C37, Class A4, 3.525% 12/15/49 | | 3,028,194 | 2,951,208 |
| Wells Fargo Commercial Mtg Trust 2020-C sequential payer Series 2020-C55 Class ASB, 2.651% 2/15/53 | | 800,000 | 758,234 |
| WFCM Series 2022-C62 Class B, 4.4964% 4/15/55 (d) | | 886,000 | 782,203 |
| TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $553,782,903) | | | 555,087,001 |
| | | | |
| Foreign Government and Government Agency Obligations - 1.2% |
| | | Principal Amount (a) | Value ($) |
| Angola Republic: | | | |
| 8.25% 5/9/28 (b) | | 935,000 | 893,802 |
| 8.75% 4/14/32 (b) | | 500,000 | 454,065 |
| 9.375% 5/8/48 (b) | | 85,000 | 73,100 |
| 9.5% 11/12/25 (b) | | 230,000 | 234,241 |
| Arab Republic of Egypt: | | | |
| 7.5% 1/31/27 (b) | | 425,000 | 415,703 |
| 7.5% 2/16/61 (b) | | 1,140,000 | 786,956 |
| 7.6003% 3/1/29 (b) | | 810,000 | 761,906 |
| 7.625% 5/29/32 (b) | | 235,000 | 201,219 |
| 7.903% 2/21/48 (b) | | 70,000 | 51,538 |
| 8.5% 1/31/47 (b) | | 450,000 | 348,047 |
| 8.7002% 3/1/49 (b) | | 380,000 | 297,111 |
| Argentine Republic: | | | |
| 0.75% 7/9/30 (f) | | 7,349,365 | 4,178,114 |
| 1% 7/9/29 | | 150,826 | 90,722 |
| 3.5% 7/9/41 (f) | | 550,000 | 229,075 |
| 4.125% 7/9/35 (f) | | 5,406,239 | 2,397,667 |
| 5% 1/9/38 (f) | | 1,953,000 | 950,135 |
| Bahamian Republic 6% 11/21/28 (b) | | 838,000 | 774,103 |
| Bahrain Kingdom: | | | |
| 5.625% 5/18/34 (b) | | 315,000 | 295,313 |
| 7.5% 2/12/36 (b) | | 400,000 | 422,875 |
| Bank Gospodarstwa Krajowego: | | | |
| 5.375% 5/22/33 (b) | | 700,000 | 716,576 |
| 6.25% 10/31/28 (b) | | 200,000 | 213,298 |
| 6.25% 7/9/54 (b) | | 455,000 | 491,368 |
| Barbados Government 6.5% 10/1/29 (b) | | 705,000 | 675,038 |
| Bermuda Government: | | | |
| 2.375% 8/20/30 (b) | | 1,025,000 | 896,875 |
| 4.75% 2/15/29 (b) | | 200,000 | 198,776 |
| Bonos para la Reconstruccion de una Argentina Libre 0% 6/30/25 | | 495,018 | 402,281 |
| Brazilian Federative Republic: | | | |
| 3.875% 6/12/30 | | 470,000 | 431,225 |
| 6% 10/20/33 | | 400,000 | 400,520 |
| 7.125% 1/20/37 | | 900,000 | 977,517 |
| 7.125% 5/13/54 | | 700,000 | 716,814 |
| 8.25% 1/20/34 | | 325,000 | 376,643 |
| Canadian Government: | | | |
| 2.75% 6/1/33 | CAD | 3,000,000 | 2,164,301 |
| 3% 6/1/34 | CAD | 365,000 | 267,191 |
| Chilean Republic: | | | |
| 2.45% 1/31/31 | | 1,510,000 | 1,336,350 |
| 2.75% 1/31/27 | | 200,000 | 191,688 |
| 3.1% 1/22/61 | | 725,000 | 475,963 |
| 4% 1/31/52 | | 475,000 | 386,978 |
| 4.34% 3/7/42 | | 350,000 | 315,175 |
| 5.33% 1/5/54 | | 200,000 | 198,376 |
| Colombian Republic: | | | |
| 3% 1/30/30 | | 760,000 | 643,340 |
| 3.125% 4/15/31 | | 200,000 | 163,500 |
| 5% 6/15/45 | | 1,850,000 | 1,341,158 |
| 5.2% 5/15/49 | | 540,000 | 396,333 |
| 7.5% 2/2/34 | | 270,000 | 278,370 |
| 8% 4/20/33 | | 340,000 | 362,270 |
| 8% 11/14/35 | | 1,890,000 | 2,005,290 |
| 8.75% 11/14/53 | | 2,825,000 | 3,073,459 |
| Costa Rican Republic: | | | |
| 5.625% 4/30/43 (b) | | 625,000 | 578,125 |
| 7.3% 11/13/54 (b) | | 300,000 | 324,843 |
| Democratic Socialist Republic of Sri Lanka: | | | |
| 6.2% (b)(g) | | 60,000 | 31,331 |
| 6.825% (b)(g) | | 430,000 | 227,096 |
| 6.85% (b)(g) | | 625,000 | 335,156 |
| 7.55% (b)(g) | | 20,000 | 10,550 |
| 7.85% (b)(g) | | 450,000 | 239,203 |
| Dominican Republic: | | | |
| 4.5% 1/30/30 (b) | | 350,000 | 331,524 |
| 4.875% 9/23/32 (b) | | 1,621,000 | 1,525,766 |
| 5.3% 1/21/41 (b) | | 350,000 | 317,734 |
| 5.875% 1/30/60 (b) | | 1,200,000 | 1,101,600 |
| 5.95% 1/25/27 (b) | | 2,600,000 | 2,622,750 |
| 6% 7/19/28 (b) | | 2,400,000 | 2,446,512 |
| 6.6% 6/1/36 (b) | | 205,000 | 215,455 |
| 6.85% 1/27/45 (b) | | 75,000 | 78,891 |
| 6.875% 1/29/26 (b) | | 270,000 | 274,556 |
| 7.05% 2/3/31 (b) | | 150,000 | 160,575 |
| Ecuador Republic: | | | |
| 5.5% 7/31/35 (b)(f) | | 825,000 | 455,813 |
| 6.9% 7/31/30 (b) | | 805,000 | 572,758 |
| El Salvador Republic: | | | |
| 0.25% 4/17/30 (b) | | 265,000 | 6,758 |
| 7.1246% 1/20/50 (b) | | 475,000 | 329,085 |
| 7.65% 6/15/35 (b) | | 115,000 | 90,103 |
| 9.25% 4/17/30 (b) | | 265,000 | 250,479 |
| Emirate of Abu Dhabi: | | | |
| 3% 9/15/51 (b) | | 1,240,000 | 884,281 |
| 3.125% 9/30/49 (b) | | 1,145,000 | 841,575 |
| 3.875% 4/16/50 (b) | | 1,169,000 | 984,158 |
| 5.5% 4/30/54 (b) | | 360,000 | 386,325 |
| Emirate of Dubai: | | | |
| 3.9% 9/9/50 (Reg. S) | | 700,000 | 538,650 |
| 5.25% 1/30/43 (Reg. S) | | 200,000 | 198,500 |
| Export Credit Bank of Turkey 9% 1/28/27 (b) | | 300,000 | 317,250 |
| Gabonese Republic: | | | |
| 6.625% 2/6/31 (b) | | 465,000 | 355,289 |
| 6.95% 6/16/25 (b) | | 200,000 | 186,813 |
| 7% 11/24/31 (b) | | 250,000 | 190,625 |
| Georgia Republic 2.75% 4/22/26 (b) | | 535,000 | 502,733 |
| German Federal Republic: | | | |
| 2.5% 7/4/44 | EUR | 2,955,000 | 3,237,180 |
| 3.25% 7/4/42 | EUR | 4,100,000 | 4,971,563 |
| Ghana Republic: | | | |
| 7.75% (b)(g) | | 455,000 | 238,306 |
| 8.627% (b)(g) | | 270,000 | 139,894 |
| 10.75% 10/14/30 (b) | | 400,000 | 273,252 |
| Guatemalan Republic: | | | |
| 5.375% 4/24/32 (b) | | 755,000 | 742,920 |
| 6.6% 6/13/36 (b) | | 145,000 | 151,236 |
| Hungarian Republic: | | | |
| 2.125% 9/22/31 (b) | | 850,000 | 699,975 |
| 3.125% 9/21/51 (b) | | 510,000 | 337,238 |
| 5.25% 6/16/29 (b) | | 350,000 | 353,413 |
| 5.5% 6/16/34 (b) | | 315,000 | 318,839 |
| 6.75% 9/25/52 (b) | | 70,000 | 78,838 |
| Indonesian Republic: | | | |
| 3.5% 2/14/50 | | 545,000 | 425,441 |
| 4.1% 4/24/28 | | 645,000 | 639,558 |
| 4.2% 10/15/50 | | 8,500,000 | 7,450,781 |
| 4.35% 1/11/48 | | 200,000 | 180,938 |
| 5.125% 1/15/45 (b) | | 1,500,000 | 1,519,245 |
| 5.25% 1/17/42 (b) | | 564,000 | 578,453 |
| 5.95% 1/8/46 (b) | | 325,000 | 358,313 |
| 6.75% 1/15/44 (b) | | 200,000 | 241,000 |
| 7.75% 1/17/38 (b) | | 769,000 | 973,506 |
| 8.5% 10/12/35 (b) | | 950,000 | 1,235,238 |
| Islamic Republic of Pakistan: | | | |
| 6% 4/8/26 (b) | | 465,000 | 426,638 |
| 6.875% 12/5/27 (b) | | 400,000 | 347,000 |
| 7.375% 4/8/31 (b) | | 435,000 | 346,369 |
| Israeli State: | | | |
| 3.375% 1/15/50 | | 840,000 | 567,215 |
| 5.75% 3/12/54 | | 200,000 | 192,000 |
| Ivory Coast: | | | |
| 6.125% 6/15/33 (b) | | 500,000 | 457,031 |
| 6.375% 3/3/28 (b) | | 1,100,000 | 1,092,322 |
| 8.25% 1/30/37 (b) | | 650,000 | 647,563 |
| Jamaican Government 6.75% 4/28/28 | | 300,000 | 315,423 |
| Japan Government 0.005% 2/1/25 | JPY | 307,000,000 | 2,098,579 |
| Jordanian Kingdom: | | | |
| 4.95% 7/7/25 (b) | | 300,000 | 294,656 |
| 7.375% 10/10/47 (b) | | 95,000 | 86,213 |
| 7.5% 1/13/29 (b) | | 650,000 | 659,750 |
| Kingdom of Saudi Arabia: | | | |
| 2.25% 2/2/33 (b) | | 500,000 | 414,063 |
| 3.25% 10/22/30 (b) | | 2,500,000 | 2,330,600 |
| 3.45% 2/2/61 (b) | | 1,300,000 | 901,875 |
| 3.75% 1/21/55 (b) | | 615,000 | 458,752 |
| 4.5% 10/26/46 (b) | | 1,065,000 | 938,198 |
| 4.5% 4/22/60 (b) | | 1,390,000 | 1,183,672 |
| 4.625% 10/4/47 (b) | | 250,000 | 223,984 |
| 5% 1/18/53 (b) | | 200,000 | 185,500 |
| 5.75% 1/16/54 (b) | | 200,000 | 204,000 |
| Lebanese Republic 6.375% (g) | | 350,000 | 22,531 |
| Mongolia Government 7.875% 6/5/29 (b) | | 200,000 | 208,750 |
| Moroccan Kingdom 6.5% 9/8/33 (b) | | 601,000 | 641,622 |
| Panamanian Republic: | | | |
| 2.252% 9/29/32 | | 1,350,000 | 1,010,475 |
| 3.87% 7/23/60 | | 435,000 | 265,485 |
| 4.5% 5/15/47 | | 350,000 | 255,476 |
| 4.5% 4/16/50 | | 1,518,000 | 1,078,691 |
| 6.4% 2/14/35 | | 400,000 | 399,060 |
| 6.853% 3/28/54 | | 200,000 | 196,062 |
| 7.875% 3/1/57 | | 200,000 | 219,126 |
| 8% 3/1/38 | | 200,000 | 220,438 |
| Peruvian Republic: | | | |
| 2.783% 1/23/31 | | 475,000 | 419,959 |
| 3% 1/15/34 | | 475,000 | 403,156 |
| 3.3% 3/11/41 | | 275,000 | 214,844 |
| Philippine Republic: | | | |
| 2.65% 12/10/45 | | 255,000 | 174,834 |
| 2.95% 5/5/45 | | 350,000 | 253,422 |
| 3.556% 9/29/32 | | 200,000 | 185,125 |
| 5% 7/17/33 | | 200,000 | 203,813 |
| 5.5% 1/17/48 | | 500,000 | 522,500 |
| 5.6% 5/14/49 | | 270,000 | 285,356 |
| 5.95% 10/13/47 | | 200,000 | 220,875 |
| Polish Government: | | | |
| 5.5% 4/4/53 | | 586,000 | 598,576 |
| 5.5% 3/18/54 | | 280,000 | 286,530 |
| 5.75% 11/16/32 | | 235,000 | 252,237 |
| Provincia de Cordoba: | | | |
| 6.875% 12/10/25 (b) | | 170,003 | 161,690 |
| 6.99% 6/1/27 (b) | | 360,000 | 312,422 |
| Republic of Armenia 3.6% 2/2/31 (b) | | 624,000 | 524,550 |
| Republic of Benin 7.96% 2/13/38 (b) | | 760,000 | 727,463 |
| Republic of Kenya: | | | |
| 6.3% 1/23/34 (b) | | 105,000 | 80,588 |
| 7.25% 2/28/28 (b) | | 485,000 | 444,988 |
| 9.75% 2/16/31 (b) | | 200,000 | 193,750 |
| Republic of Montenegro 7.25% 3/12/31 (b) | | 340,000 | 351,156 |
| Republic of Nigeria: | | | |
| 6.125% 9/28/28 (b) | | 1,110,000 | 999,000 |
| 6.5% 11/28/27 (b) | | 305,000 | 284,031 |
| 7.143% 2/23/30 (b) | | 250,000 | 226,172 |
| 7.625% 11/21/25 (b) | | 205,000 | 205,384 |
| 7.696% 2/23/38 (b) | | 535,000 | 428,669 |
| 7.875% 2/16/32 (b) | | 450,000 | 400,500 |
| Republic of Paraguay: | | | |
| 2.739% 1/29/33 (b) | | 1,050,000 | 884,625 |
| 4.95% 4/28/31 (b) | | 200,000 | 197,625 |
| 6% 2/9/36 (b) | | 230,000 | 239,920 |
| Republic of Senegal 6.25% 5/23/33 (b) | | 280,000 | 242,988 |
| Republic of Serbia: | | | |
| 2.125% 12/1/30 (b) | | 845,000 | 696,069 |
| 6% 6/12/34 (b) | | 295,000 | 298,798 |
| 6.5% 9/26/33 (b) | | 663,000 | 691,675 |
| Republic of Uzbekistan 3.7% 11/25/30 (b) | | 300,000 | 255,188 |
| Republic of Zambia 8.97% (b)(g)(h) | | 65,000 | 49,388 |
| Romanian Republic: | | | |
| 3% 2/27/27 (b) | | 528,000 | 500,544 |
| 3% 2/14/31 (b) | | 960,000 | 825,379 |
| 3.625% 3/27/32 (b) | | 300,000 | 263,625 |
| 4% 2/14/51 (b) | | 425,000 | 303,510 |
| 7.125% 1/17/33 (b) | | 209,000 | 226,177 |
| Rwanda Republic 5.5% 8/9/31 (b) | | 677,000 | 543,927 |
| South African Republic: | | | |
| 4.85% 9/27/27 | | 185,000 | 182,554 |
| 4.85% 9/30/29 | | 425,000 | 405,569 |
| 5% 10/12/46 | | 225,000 | 169,151 |
| 5.65% 9/27/47 | | 260,000 | 209,763 |
| 5.75% 9/30/49 | | 570,000 | 458,850 |
| 5.875% 4/20/32 | | 609,000 | 592,271 |
| State of Qatar: | | | |
| 4.4% 4/16/50 (b) | | 1,130,000 | 1,039,600 |
| 4.625% 6/2/46 (b) | | 1,935,000 | 1,858,809 |
| 4.817% 3/14/49 (b) | | 750,000 | 737,109 |
| 5.103% 4/23/48 (b) | | 295,000 | 300,531 |
| Sultanate of Oman: | | | |
| 5.625% 1/17/28 (b) | | 1,290,000 | 1,317,009 |
| 6% 8/1/29 (b) | | 300,000 | 312,300 |
| 6.25% 1/25/31 (b) | | 400,000 | 425,116 |
| 6.5% 3/8/47 (b) | | 300,000 | 316,875 |
| 6.75% 1/17/48 (b) | | 1,105,000 | 1,198,580 |
| 7% 1/25/51 (b) | | 35,000 | 39,102 |
| Tajikistan Republic 7.125% 9/14/27 (b) | | 485,000 | 469,086 |
| Turkish Republic: | | | |
| 4.25% 4/14/26 | | 675,000 | 663,820 |
| 4.75% 1/26/26 | | 500,000 | 495,625 |
| 4.875% 10/9/26 | | 1,350,000 | 1,333,547 |
| 4.875% 4/16/43 | | 885,000 | 649,369 |
| 5.125% 2/17/28 | | 1,500,000 | 1,463,906 |
| 5.75% 5/11/47 | | 860,000 | 679,400 |
| 6% 1/14/41 | | 1,085,000 | 933,439 |
| 6.625% 2/17/45 | | 110,000 | 97,556 |
| 7.125% 7/17/32 | | 220,000 | 221,650 |
| 7.625% 5/15/34 | | 200,000 | 208,000 |
| 9.125% 7/13/30 | | 330,000 | 368,363 |
| 9.375% 3/14/29 | | 1,004,000 | 1,120,715 |
| 9.375% 1/19/33 | | 600,000 | 687,750 |
| 9.875% 1/15/28 | | 435,000 | 484,481 |
| Ukraine Government: | | | |
| 0% 2/1/30 (b)(o) | | 100,922 | 42,640 |
| 0% 2/1/34 (b)(o) | | 377,138 | 115,970 |
| 0% 2/1/35 (b)(o) | | 318,711 | 127,484 |
| 0% 2/1/36 (b)(o) | | 265,591 | 105,174 |
| 0% 8/1/41 (b)(d) | | 100,000 | 69,000 |
| 1.75% 2/1/29 (b)(f) | | 742,480 | 441,776 |
| 1.75% 2/1/34 (b)(f) | | 659,660 | 288,601 |
| 1.75% 2/1/35 (b)(f) | | 290,440 | 124,889 |
| 1.75% 2/1/36 (b)(f) | | 155,020 | 65,884 |
| United Mexican States: | | | |
| 2.659% 5/24/31 | | 200,000 | 169,875 |
| 3.25% 4/16/30 | | 1,750,000 | 1,588,125 |
| 3.5% 2/12/34 | | 685,000 | 577,113 |
| 3.75% 1/11/28 | | 350,000 | 338,734 |
| 3.75% 4/19/71 | | 1,050,000 | 660,516 |
| 3.771% 5/24/61 | | 280,000 | 180,163 |
| 4.875% 5/19/33 | | 200,000 | 189,750 |
| 5.75% 10/12/2110 | | 450,000 | 385,313 |
| 6.05% 1/11/40 | | 801,000 | 802,001 |
| 6.338% 5/4/53 | | 846,000 | 830,931 |
| 6.35% 2/9/35 | | 200,000 | 207,875 |
| Uruguay Republic: | | | |
| 5.1% 6/18/50 | | 1,667,000 | 1,654,498 |
| 5.75% 10/28/34 | | 295,000 | 319,522 |
| Venezuelan Republic 9.25% (g) | | 1,720,000 | 273,910 |
| TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $136,383,362) | | | 140,480,141 |
| | | | |
| Supranational Obligations - 0.0% |
| | | Principal Amount (a) | Value ($) |
European Investment Bank 3% 11/15/28 (Reg. S) (Cost $1,630,858) | EUR | 1,500,000 | 1,690,167 |
| | | | |
| Common Stocks - 0.0% |
| | | Shares | Value ($) |
| CONSUMER DISCRETIONARY - 0.0% | | | |
| Specialty Retail - 0.0% | | | |
| JOANN, Inc. (h) | | 68,801 | 158,930 |
| ENERGY - 0.0% | | | |
| Oil, Gas & Consumable Fuels - 0.0% | | | |
| California Resources Corp. warrants 10/27/24 (p) | | 225 | 3,836 |
| Mesquite Energy, Inc. (h)(p) | | 3,883 | 326,134 |
| | | | 329,970 |
| FINANCIALS - 0.0% | | | |
| Banks - 0.0% | | | |
| First Republic Bank (p) | | 3,000 | 39 |
| Financial Services - 0.0% | | | |
| Carnelian Point Holdings LP warrants (h)(p) | | 350 | 1,022 |
TOTAL FINANCIALS | | | 1,061 |
| HEALTH CARE - 0.0% | | | |
| Health Care Providers & Services - 0.0% | | | |
| Cano Health, Inc. (h) | | 35,749 | 396,456 |
| Cano Health, Inc. warrants (h)(p) | | 1,756 | 6,392 |
| | | | 402,848 |
| TOTAL COMMON STOCKS (Cost $987,103) | | | 892,809 |
| | | | |
| Bank Loan Obligations - 4.5% |
| | | Principal Amount (a) | Value ($) |
| COMMUNICATION SERVICES - 0.3% | | | |
| Diversified Telecommunication Services - 0.1% | | | |
| Altice France SA Tranche B14 1LN, term loan CME Term SOFR 3 Month Index + 5.500% 10.8014% 8/15/28 (d)(e)(q) | | 3,948,101 | 2,992,344 |
| Aventiv Technologies LLC: | | | |
| 1LN, term loan: | | | |
| CME Term SOFR 3 Month Index + 5.090% 10.6862% 7/31/25 (d)(e)(q) | | 1,004,383 | 757,305 |
| CME Term SOFR 3 Month Index + 7.500% 13.0962% 7/31/25 (d)(e)(q) | | 26,289 | 26,355 |
| Tranche FLSO 1LN, term loan CME Term SOFR 1 Month Index + 7.500% 13.0962% 7/31/25 (d)(e)(h)(q) | | 60,033 | 60,033 |
| Connect U.S. Finco LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.7467% 9/13/29 (d)(e)(q) | | 403,988 | 392,373 |
| Consolidated Communications, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8612% 10/2/27 (d)(e)(q) | | 250,000 | 238,828 |
| Frontier Communications Holdings LLC Tranche B 1LN, term loan CME Term SOFR 6 Month Index + 3.500% 8.763% 7/1/31 (d)(e)(q) | | 1,650,000 | 1,650,000 |
| Lorca Co.-Borrower LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8346% 4/17/31 (d)(e)(q) | | 334,163 | 334,998 |
| Patagonia Holdco LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.750% 10.8542% 8/1/29 (d)(e)(q) | | 566,104 | 525,650 |
| Windstream Services LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 6.250% 11.5967% 9/21/27 (d)(e)(q) | | 492,177 | 494,948 |
| Zayo Group Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3612% 3/9/27 (d)(e)(q) | | 4,500,000 | 4,146,570 |
| | | | 11,619,404 |
| Entertainment - 0.0% | | | |
| AP Core Holdings II LLC: | | | |
| Tranche B1 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 10.8612% 9/1/27 (d)(e)(q) | | 147,857 | 129,691 |
| Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 10.8612% 9/1/27 (d)(e)(q) | | 1,745,000 | 1,513,247 |
| ECL Entertainment LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.2467% 8/30/30 (d)(e)(q) | | 254,025 | 254,660 |
| Sweetwater Borrower LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6112% 8/5/28 (d)(e)(q) | | 693,442 | 693,442 |
| | | | 2,591,040 |
| Interactive Media & Services - 0.0% | | | |
| TripAdvisor, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.9967% 7/8/31 (d)(e)(q) | | 340,000 | 339,293 |
| Media - 0.2% | | | |
| Advantage Sales & Marketing, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.8325% 10/28/27 (d)(e)(q) | | 840,096 | 819,908 |
| Altice Financing SA Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.000% 10.3014% 10/31/27 (d)(e)(q) | | 847,757 | 754,504 |
| Century DE Buyer LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.2554% 10/30/30 (d)(e)(q) | | 443,888 | 444,722 |
| Charter Communication Operating LLC Tranche B2 1LN, term loan CME Term SOFR 3 Month Index + 1.750% 7.0816% 2/1/27 (d)(e)(q) | | 2,808,172 | 2,805,448 |
| Coral-U.S. Co.-Borrower LLC: | | | |
| Tranche B, term loan CME Term SOFR 1 Month Index + 2.250% 7.7014% 1/31/28 (d)(e)(q) | | 2,500,000 | 2,467,500 |
| Tranche B6 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4514% 10/15/29 (d)(e)(q) | | 2,000,000 | 1,985,620 |
| CSC Holdings LLC: | | | |
| Tranche B 5LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.9514% 4/15/27 (d)(e)(q) | | 311,735 | 262,013 |
| Tranche B6 LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8369% 1/18/28 (d)(e)(q) | | 1,223,255 | 1,165,150 |
| Diamond Sports Group LLC: | | | |
| 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 15.4423% 5/25/26 (d)(e)(q) | | 620,000 | 564,640 |
| 2LN, term loan CME Term SOFR 1 Month Index + 3.250% 0% (e)(g)(q) | | 722,700 | 9,034 |
| term loan 10% 8/2/27 (q) | | 48,576 | 61,934 |
| Dotdash Meredith, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3006% 12/1/28 (d)(e)(q) | | 3,523,981 | 3,519,576 |
| LCPR Loan Financing LLC 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.2014% 9/25/28 (d)(e)(q) | | 225,000 | 206,550 |
| Nexstar Media, Inc. Tranche B, term loan CME Term SOFR 1 Month Index + 2.500% 7.8612% 9/19/26 (d)(e)(q) | | 590,437 | 590,927 |
| Planet U.S. Buyer LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.6042% 2/10/31 (d)(e)(q) | | 565,000 | 568,108 |
| Sinclair Television Group, Inc. Tranche B4 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 9.0967% 4/21/29 (d)(e)(q) | | 132,226 | 90,046 |
| Univision Communications, Inc.: | | | |
| 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.5846% 6/24/29 (d)(e)(q) | | 590,000 | 582,259 |
| Tranche B 1LN, term loan: | | | |
| CME Term SOFR 1 Month Index + 3.250% 8.6112% 3/24/26 (d)(e)(q) | | 1,150,171 | 1,148,883 |
| CME Term SOFR 1 Month Index + 3.250% 8.6112% 1/31/29 (d)(e)(q) | | 496,193 | 480,687 |
| CME Term SOFR 1 Month Index + 3.500% 8.8612% 1/31/29 (d)(e)(q) | | 440,000 | 426,386 |
| Virgin Media Bristol LLC: | | | |
| Tranche N, term loan CME Term SOFR 1 Month Index + 2.500% 7.9514% 1/31/28 (d)(e)(q) | | 605,000 | 583,571 |
| Tranche Y 1LN, term loan CME Term SOFR 6 Month Index + 3.250% 8.6562% 3/6/31 (d)(e)(q) | | 590,000 | 564,760 |
| | | | 20,102,226 |
| Wireless Telecommunication Services - 0.0% | | | |
| Crown Subsea Communications Holding, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.2521% 1/30/31 (d)(e)(q) | | 1,290,000 | 1,297,521 |
| SBA Senior Finance II, LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.25% 1/27/31 (d)(e)(q) | | 399,000 | 399,391 |
| | | | 1,696,912 |
TOTAL COMMUNICATION SERVICES | | | 36,348,875 |
| CONSUMER DISCRETIONARY - 0.9% | | | |
| Automobile Components - 0.0% | | | |
| American Trailer World Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0967% 3/5/28 (d)(e)(q) | | 988,015 | 909,468 |
| Clarios Global LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.7467% 5/6/30 (d)(e)(q) | | 538,650 | 539,097 |
| Hertz Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.0975% 6/30/28 (d)(e)(q) | | 328,350 | 295,866 |
| Novae LLC 1LN, term loan CME Term SOFR 3 Month Index + 5.000% 10.4975% 12/22/28 (d)(e)(q) | | 2,309,112 | 2,299,021 |
| Power Stop LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 9.9072% 1/26/29 (d)(e)(q) | | 1,032,325 | 991,032 |
| Realtruck Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.8612% 1/29/28 (d)(e)(q) | | 421,823 | 415,762 |
| | | | 5,450,246 |
| Automobiles - 0.1% | | | |
| Bombardier Recreational Products, Inc.: | | | |
| Tranche B3 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.9967% 12/13/29 (d)(e)(q) | | 808,180 | 808,326 |
| Tranche B4 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.9967% 1/22/31 (d)(e)(q) | | 496,250 | 496,374 |
| CWGS Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.8905% 6/3/28 (d)(e)(q) | | 4,379,131 | 4,167,488 |
| | | | 5,472,188 |
| Broadline Retail - 0.1% | | | |
| CMG Media Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.9346% 12/17/26 (d)(e)(q) | | 2,259,121 | 1,945,306 |
| CNT Holdings I Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.7521% 11/8/27 (d)(e)(q) | | 937,655 | 939,539 |
| Great Outdoors Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1112% 3/5/28 (d)(e)(q) | | 10,534,555 | 10,530,130 |
| | | | 13,414,975 |
| Distributors - 0.0% | | | |
| Aip Rd Buyer Corp.: | | | |
| 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.4967% 12/22/28 (d)(e)(q) | | 172,790 | 173,438 |
| Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 9.7467% 12/26/28 (d)(e)(q) | | 461,518 | 463,443 |
| BCPE Empire Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.2467% 12/25/28 (d)(e)(q) | | 1,199,346 | 1,200,102 |
| Gloves Buyer, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3612% 1/6/28 (d)(e)(q) | | 199,484 | 199,111 |
| Windsor Holdings III, LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3115% 8/1/30 (d)(e)(q) | | 535,957 | 537,463 |
| | | | 2,573,557 |
| Diversified Consumer Services - 0.1% | | | |
| AI Aqua Merger Sub, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 8.8426% 7/30/28 (d)(e)(q) | | 3,700,703 | 3,704,182 |
| Fugue Finance LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.0572% 1/26/28 (d)(e)(q) | | 424,622 | 426,567 |
| KUEHG Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.8346% 6/12/30 (d)(e)(q) | | 2,032,113 | 2,040,018 |
| Learning Care Group (U.S.) No 2, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.2479% 8/11/28 (d)(e)(q) | | 312,641 | 313,658 |
| Sotheby's Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 10.063% 1/15/27 (d)(e)(q) | | 460,711 | 449,833 |
| Spin Holdco, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.6001% 3/4/28 (d)(e)(q) | | 6,212,432 | 5,258,824 |
| TKC Holdings, Inc. 1LN, term loan 13.5% 2/14/27 (d)(q) | | 467,605 | 386,943 |
| | | | 12,580,025 |
| Hotels, Restaurants & Leisure - 0.5% | | | |
| 1011778 BC ULC Tranche B5 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 6.9967% 9/23/30 (d)(e)(q) | | 2,201,904 | 2,182,990 |
| 19Th Holdings Golf LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.7003% 2/7/29 (d)(e)(q) | | 3,067,878 | 3,001,397 |
| Alterra Mountain Co. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.4967% 8/17/28 (d)(e)(q) | | 493,671 | 494,041 |
| Aramark Services, Inc. Tranche B-4 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1112% 1/15/27 (d)(e)(q) | | 500,000 | 500,000 |
| Arcis Golf LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1112% 11/24/28 (d)(e)(q) | | 277,474 | 278,051 |
| Bulldog Purchaser, Inc.: | | | |
| Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.5846% 6/30/31 (d)(e)(q) | | 390,000 | 390,780 |
| Tranche B 2LN, term loan CME Term SOFR 3 Month Index + 6.750% 12.0846% 6/14/32 (d)(e)(q) | | 120,000 | 119,000 |
| Caesars Entertainment, Inc.: | | | |
| Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.9967% 1/26/30 (d)(e)(q) | | 2,724,063 | 2,722,782 |
| Tranche B1 1LN, term loan CME Term SOFR 3 Month Index + 2.750% 7.9967% 2/6/31 (d)(e)(q) | | 1,835,400 | 1,832,335 |
| Carnival Corp. Tranche B 1LN, term loan: | | | |
| CME Term SOFR 1 Month Index + 2.750% 7.9967% 8/9/27 (d)(e)(q) | | 42,017 | 42,148 |
| CME Term SOFR 1 Month Index + 2.750% 7.9967% 10/18/28 (d)(e)(q) | | 1,844,731 | 1,846,041 |
| City Football Group Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.3924% 7/21/30 (d)(e)(q) | | 4,733,469 | 4,709,801 |
| ClubCorp Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.000% 10.5962% 9/18/26 (d)(e)(q) | | 1,523,407 | 1,524,930 |
| Dave & Buster's, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5% 6/29/29 (d)(e)(q) | | 425,738 | 424,942 |
| Delta 2 SARL Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 7.5846% 1/15/30 (d)(e)(q) | | 850,000 | 853,188 |
| Entain PLC Tranche B 1LN, term loan CME Term SOFR 6 Month Index + 2.750% 8.014% 10/31/29 (d)(e)(q) | | 1,417,632 | 1,419,404 |
| Fertitta Entertainment LLC NV Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.0869% 1/27/29 (d)(e)(q) | | 5,639,558 | 5,626,362 |
| Fitness International LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.250% 10.5053% 2/12/29 (d)(e)(q) | | 2,354,100 | 2,345,272 |
| Flutter Financing B.V. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.250% 7.5846% 11/25/30 (d)(e)(q) | | 1,403,945 | 1,403,692 |
| Four Seasons Hotels Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.2467% 11/30/29 (d)(e)(q) | | 883,557 | 885,765 |
| Golden Entertainment, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.5016% 5/26/30 (d)(e)(q) | | 1,494,900 | 1,493,031 |
| Hilton Grand Vacations Borrower LLC Tranche B 1LN, term loan: | | | |
| CME Term SOFR 1 Month Index + 2.750% 7.4967% 1/17/31 (d)(e)(q) | | 538,650 | 536,248 |
| CME Term SOFR 1 Month Index + 3.000% 7.7467% 8/2/28 (d)(e)(q) | | 1,877,076 | 1,874,429 |
| J&J Ventures Gaming LLC: | | | |
| 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3612% 4/26/28 (d)(e)(q) | | 498,718 | 498,005 |
| Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6112% 4/26/28 (d)(e)(q) | | 652,365 | 650,193 |
| Life Time, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.5137% 1/15/26 (d)(e)(q) | | 35,484 | 35,565 |
| Light & Wonder International, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.5916% 4/16/29 (d)(e)(q) | | 750,441 | 750,066 |
| Marriott Ownership Resorts, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.4967% 4/1/31 (d)(e)(q) | | 2,500,000 | 2,492,200 |
| Ontario Gaming GTA LP Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.5846% 8/1/30 (d)(e)(q) | | 502,475 | 502,294 |
| Pacific Bells LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 10.0962% 11/10/28 (d)(e)(q) | | 1,294,397 | 1,292,378 |
| PCI Gaming Authority 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.3416% 7/18/31 (d)(e)(q) | | 178,738 | 177,556 |
| Penn Entertainment, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0967% 5/3/29 (d)(e)(q) | | 197,481 | 198,058 |
| PFC Acquisition Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 6.250% 11.652% 3/1/26 (d)(e)(q) | | 997,368 | 982,408 |
| Restaurant Technologies, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.5846% 4/1/29 (d)(e)(q) | | 2,800,633 | 2,647,046 |
| Station Casinos LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.4967% 3/14/31 (d)(e)(q) | | 1,341,638 | 1,340,604 |
| Tait LLC 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 8/14/31 (e)(q)(r) | | 350,000 | 348,250 |
| United PF Holdings LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.5137% 12/30/26 (d)(e)(q) | | 1,940,920 | 1,764,296 |
| Whatabrands LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.9967% 8/3/28 (d)(e)(q) | | 1,748,368 | 1,749,032 |
| | | | 51,934,580 |
| Household Durables - 0.0% | | | |
| Mattress Firm, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.8462% 9/24/28 (d)(e)(q) | | 1,258,740 | 1,258,061 |
| Runner Buyer, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.500% 10.6717% 10/21/28 (d)(e)(q) | | 151,513 | 75,852 |
| Weber-Stephen Products LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5967% 10/30/27 (d)(e)(q) | | 180,838 | 168,631 |
| | | | 1,502,544 |
| Leisure Products - 0.0% | | | |
| Topgolf Callaway Brands Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.2467% 3/18/30 (d)(e)(q) | | 800,638 | 792,295 |
| Specialty Retail - 0.1% | | | |
| Academy Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.065% 11/6/27 (d)(e)(q) | | 106,510 | 106,156 |
| Belron Finance U.S. LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.250% 7.6292% 4/13/29 (d)(e)(q) | | 103,950 | 104,340 |
| Franchise Group, Inc. Tranche B 1LN, term loan: | | | |
| CME Term SOFR 6 Month Index + 4.750% 10.2538% 3/10/26 (d)(e)(q) | | 143,188 | 86,628 |
| CME Term SOFR 6 Month Index + 4.750% 10.3922% 3/10/26 (d)(e)(q) | | 875,491 | 525,295 |
| Johnstone Supply LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.352% 5/16/31 (d)(e)(q) | | 670,000 | 669,330 |
| Kodiak BP LLC Tranche B2 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.0846% 3/13/28 (d)(e)(q) | | 194,513 | 195,485 |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1395% 6/6/31 (d)(e)(q) | | 4,102,429 | 3,977,018 |
| LS Group OpCo Acquistion LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.2467% 4/16/31 (d)(e)(q) | | 558,182 | 557,484 |
| Michaels Companies, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.8462% 4/15/28 (d)(e)(q) | | 779,868 | 637,137 |
| RH: | | | |
| Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.8612% 10/20/28 (d)(e)(q) | | 207,632 | 190,957 |
| Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5967% 10/20/28 (d)(e)(q) | | 461,775 | 433,685 |
| RVR Dealership Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 9.0967% 2/8/28 (d)(e)(q) | | 670,131 | 597,851 |
| Staples, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.750% 11.0844% 9/10/29 (d)(e)(q) | | 2,425,000 | 2,206,750 |
| Tory Burch LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.6112% 4/16/28 (d)(e)(q) | | 630,957 | 631,746 |
| Wand NewCo 3, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5967% 1/30/31 (d)(e)(q) | | 720,000 | 720,598 |
| | | | 11,640,460 |
| Textiles, Apparel & Luxury Goods - 0.0% | | | |
| Crocs, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.5846% 2/20/29 (d)(e)(q) | | 461,250 | 462,578 |
| Fanatics Commerce Intermediate Holdco LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6112% 11/23/28 (d)(e)(q) | | 81,425 | 80,950 |
| Varsity Brands LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 7/26/31 (e)(q)(r) | | 1,410,000 | 1,403,387 |
| | | | 1,946,915 |
TOTAL CONSUMER DISCRETIONARY | | | 107,307,785 |
| CONSUMER STAPLES - 0.2% | | | |
| Beverages - 0.1% | | | |
| Naked Juice LLC: | | | |
| 1LN, term loan CME Term SOFR 3 Month Index + 3.250% 8.6846% 1/24/29 (d)(e)(q) | | 980,000 | 846,122 |
| 2LN, term loan CME Term SOFR 3 Month Index + 6.000% 11.4346% 1/24/30 (d)(e)(q) | | 1,000,000 | 735,630 |
| Triton Water Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.250% 8.8462% 3/31/28 (d)(e)(q) | | 5,682,358 | 5,678,494 |
| | | | 7,260,246 |
| Consumer Staples Distribution & Retail - 0.1% | | | |
| BJ's Wholesale Club, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.3416% 2/3/29 (d)(e)(q) | | 128,889 | 129,292 |
| Cardenas Merger Sub, LLC 1LN, term loan CME Term SOFR 3 Month Index + 6.750% 12.1846% 8/1/29 (d)(e)(q) | | 592,392 | 594,465 |
| Froneri U.S., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.5967% 2/1/27 (d)(e)(q) | | 492,308 | 492,834 |
| Northeast Grocery, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 7.500% 12.5955% 12/13/28 (d)(e)(q) | | 274,750 | 276,467 |
| Primary Products Finance LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.9709% 4/2/29 (d)(e)(q) | | 1,006,022 | 1,006,334 |
| Upfield U.S.A. Corp. Tranche B7 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.76% 1/3/28 (d)(e)(q) | | 3,007,827 | 2,999,766 |
| | | | 5,499,158 |
| Food Products - 0.0% | | | |
| Aspire Bakeries Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.528% 12/23/30 (d)(e)(q) | | 199,500 | 199,875 |
| Chobani LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.6112% 10/23/27 (d)(e)(q) | | 738,491 | 740,891 |
| Del Monte Foods Corp. Ii, Inc.: | | | |
| 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 13.4426% 8/2/28 (d)(e)(q) | | 459,718 | 436,732 |
| 2LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6919% 8/2/28 (d)(e)(q) | | 979,844 | 587,907 |
| Dm Escrow Corp. 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 15.5% 9/3/24 (d)(e)(q) | | 54,883 | 52,139 |
| Fiesta Purchaser, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.2467% 2/12/31 (d)(e)(q) | | 690,000 | 693,450 |
| Saratoga Food Specialties LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.0932% 3/1/29 (d)(e)(q) | | 245,000 | 245,461 |
| | | | 2,956,455 |
| Household Products - 0.0% | | | |
| Kronos Acquisition Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.3143% 6/27/31 (d)(e)(q) | | 974,748 | 962,154 |
| Resideo Funding, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.000% 7.3014% 5/14/31 (d)(e)(q) | | 365,000 | 365,000 |
| | | | 1,327,154 |
| Personal Care Products - 0.0% | | | |
| Conair Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1112% 5/17/28 (d)(e)(q) | | 2,486,252 | 2,299,783 |
TOTAL CONSUMER STAPLES | | | 19,342,796 |
| ENERGY - 0.1% | | | |
| Energy Equipment & Services - 0.0% | | | |
| Bison Midstream Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.2548% 2/11/30 (d)(e)(q) | | 280,547 | 282,230 |
| Waterbridge Midstream Operatin Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.0894% 6/22/29 (d)(e)(q) | | 525,000 | 521,588 |
| | | | 803,818 |
| Oil, Gas & Consumable Fuels - 0.1% | | | |
| Apro LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.075% 7/9/31 (d)(e)(q) | | 835,000 | 835,000 |
| BCP Renaissance Parent LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.250% 8.5975% 10/31/28 (d)(e)(q) | | 98,950 | 99,280 |
| BW Gas & Convenience Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8612% 3/17/28 (d)(e)(q) | | 2,291,797 | 2,297,527 |
| Delek U.S. Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8467% 11/19/29 (d)(e)(q) | | 586,643 | 586,156 |
| EG America LLC Tranche BC 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 11.0716% 2/7/28 (d)(e)(q) | | 3,884,282 | 3,871,348 |
| Epic Y-Grade Services,LP Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.500% 11.0682% 6/29/29 (d)(e)(q) | | 2,720,000 | 2,718,123 |
| GIP II Blue Holding LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.9967% 9/29/28 (d)(e)(q) | | 1,453,973 | 1,464,616 |
| GIP III Stetson I LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 8.8437% 10/31/28 (d)(e)(q) | | 426,867 | 427,669 |
| Hamilton Projs. Acquiror LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.9967% 5/22/31 (d)(e)(q) | | 340,000 | 342,428 |
| Mesquite Energy, Inc.: | | | |
| 1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (e)(g)(h)(q) | | 71,751 | 0 |
| term loan 0% (d)(g)(h)(q) | | 31,000 | 0 |
| New Fortress Energy, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.000% 10.2521% 10/30/28 (d)(e)(q) | | 1,646,725 | 1,540,149 |
| Par Petroleum LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.0643% 2/28/30 (d)(e)(q) | | 306,484 | 307,863 |
| Prairie ECI Acquiror LP Tranche 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 9.9967% 8/1/29 (d)(e)(q) | | 294,263 | 294,018 |
| TPF II Power LLC Tranche B, term loan CME Term SOFR 1 Month Index + 5.250% 10.5937% 4/3/28 (d)(e)(q) | | 249,970 | 249,925 |
| Waterbridge Ndb Operating LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.6028% 5/10/29 (d)(e)(q) | | 395,000 | 395,328 |
| | | | 15,429,430 |
TOTAL ENERGY | | | 16,233,248 |
| FINANCIALS - 0.6% | | | |
| Capital Markets - 0.1% | | | |
| Aretec Group, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.2467% 8/9/30 (d)(e)(q) | | 1,702,137 | 1,664,452 |
| AssuredPartners, Inc. Tranche B5 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.7467% 2/14/31 (d)(e)(q) | | 1,576,050 | 1,578,619 |
| Broadstreet Partners, Inc. Tranche B4 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.4967% 6/14/31 (d)(e)(q) | | 1,281,490 | 1,280,567 |
| Citadel Securities LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.4967% 7/29/30 (d)(e)(q) | | 2,207,061 | 2,210,924 |
| Cpi Holdco B LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.2467% 5/19/31 (d)(e)(q) | | 830,000 | 828,514 |
| CQP Holdco LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.5846% 12/31/30 (d)(e)(q) | | 2,223,941 | 2,229,856 |
| Fleet U.S. Bidco, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.5777% 2/10/31 (d)(e)(q) | | 388,521 | 388,521 |
| Focus Financial Partners LLC: | | | |
| Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.7467% 6/24/28 (d)(e)(q) | | 2,487,244 | 2,484,135 |
| Tranche B7 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.9967% 6/30/28 (d)(e)(q) | | 2,969,867 | 2,966,719 |
| GTCR Everest Borrower, LLC 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 6/3/31 (e)(q)(r) | | 1,130,000 | 1,122,463 |
| Hightower Holding LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.7477% 4/21/28 (d)(e)(q) | | 1,101,660 | 1,103,037 |
| Jane Street Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.9582% 1/26/28 (d)(e)(q) | | 487,474 | 487,689 |
| Ngp Xi Midstream Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.2846% 7/25/31 (d)(e)(q) | | 385,000 | 384,519 |
| | | | 18,730,015 |
| Financial Services - 0.2% | | | |
| Aal Delaware Holdco, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.7467% 7/30/31 (d)(e)(q) | | 540,000 | 541,517 |
| Boost Newco Borrower LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.7477% 8/1/31 (d)(e)(q) | | 2,100,000 | 2,101,491 |
| Clue Opco LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.7521% 12/19/30 (d)(e)(q) | | 3,114,667 | 3,057,668 |
| FinCo I LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.000% 8.2554% 6/27/29 (d)(e)(q) | | 202,950 | 203,965 |
| IVI America LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.8346% 3/10/31 (d)(e)(q) | | 225,000 | 226,640 |
| NCR Atleos Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.1021% 3/27/29 (d)(e)(q) | | 829,155 | 837,098 |
| Needle Holdings LLC Tranche EXIT 1LN, term loan CME Term SOFR 3 Month Index + 9.500% 14.8437% 4/28/28 (d)(e)(h)(q) | | 103,709 | 95,930 |
| Neon Maple U.S. Debt Mergersub I Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 7/21/31 (e)(q)(r) | | 1,670,000 | 1,663,738 |
| Nexus Buyer LLC: | | | |
| 2LN, term loan CME Term SOFR 1 Month Index + 6.250% 11.5967% 11/1/29 (d)(e)(q) | | 2,055,000 | 2,043,266 |
| Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3437% 7/18/31 (d)(e)(q) | | 4,822,520 | 4,775,308 |
| Priority Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 9.8077% 5/16/31 (d)(e)(q) | | 255,000 | 254,044 |
| Recess Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.7521% 2/14/30 (d)(e)(q) | | 628,800 | 630,271 |
| TransUnion LLC: | | | |
| Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.2467% 12/1/28 (d)(e)(q) | | 762,770 | 763,114 |
| Tranche B8 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 6.9967% 6/6/31 (d)(e)(q) | | 1,900,050 | 1,900,050 |
| UFC Holdings LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.750% 8.2908% 4/29/26 (d)(e)(q) | | 983,151 | 985,608 |
| WH Borrower LLC Tranche B 1LN, term loan: | | | |
| CME Term SOFR 3 Month Index + 5.500% 10.7858% 2/9/27 (d)(e)(q) | | 2,259,511 | 2,261,635 |
| CME Term SOFR 3 Month Index + 5.500% 10.7858% 2/15/27 (d)(e)(q) | | 731,941 | 735,601 |
| | | | 23,076,944 |
| Insurance - 0.3% | | | |
| Acrisure LLC Tranche B6 1LN, term loan CME Term SOFR 3 Month Index + 3.250% 8.5936% 11/6/30 (d)(e)(q) | | 5,827,825 | 5,780,969 |
| Alliant Holdings Intermediate LLC Tranche B6 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8115% 11/6/30 (d)(e)(q) | | 1,003,818 | 1,006,498 |
| AmWINS Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.6112% 2/19/28 (d)(e)(q) | | 1,051,467 | 1,052,781 |
| Amynta Agency Borrower, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0021% 2/28/28 (d)(e)(q) | | 441,904 | 442,063 |
| Asurion LLC: | | | |
| 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3467% 8/19/28 (d)(e)(q) | | 496,212 | 491,161 |
| Tranche B11 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5967% 8/19/28 (d)(e)(q) | | 1,252,628 | 1,244,349 |
| Tranche B4 2LN, term loan CME Term SOFR 1 Month Index + 5.250% 10.6112% 1/20/29 (d)(e)(q) | | 4,875,000 | 4,495,676 |
| Tranche B8 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6112% 12/23/26 (d)(e)(q) | | 3,971,814 | 3,952,193 |
| Tranche B9 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6112% 7/31/27 (d)(e)(q) | | 2,202,073 | 2,176,155 |
| HUB International Ltd. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.000% 8.2554% 6/20/30 (d)(e)(q) | | 3,007,676 | 3,008,939 |
| Jones DesLauriers Insurance Management, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.3969% 3/15/30 (d)(e)(q) | | 528,675 | 528,511 |
| Truist Insurance Holdings LLC: | | | |
| 2L, term loan CME Term SOFR 3 Month Index + 4.750% 10.0846% 3/8/32 (d)(e)(q) | | 1,315,000 | 1,334,488 |
| Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.250% 8.5846% 5/6/31 (d)(e)(q) | | 3,545,000 | 3,545,744 |
| USI, Inc. Tranche B 1LN, term loan: | | | |
| CME Term SOFR 3 Month Index + 2.750% 8.0846% 11/23/29 (d)(e)(q) | | 191,605 | 191,534 |
| CME Term SOFR 3 Month Index + 2.750% 8.0846% 9/27/30 (d)(e)(q) | | 1,463,956 | 1,462,917 |
| | | | 30,713,978 |
TOTAL FINANCIALS | | | 72,520,937 |
| HEALTH CARE - 0.4% | | | |
| Health Care Equipment & Supplies - 0.1% | | | |
| Avantor Funding, Inc. Tranche B6 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.3467% 11/8/27 (d)(e)(q) | | 255,488 | 256,837 |
| Embecta Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.2467% 3/31/29 (d)(e)(q) | | 265,827 | 260,601 |
| ICU Medical, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.500% 7.9846% 1/6/29 (d)(e)(q) | | 506,117 | 505,530 |
| Insulet Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.7467% 8/1/31 (d)(e)(q) | | 2,120,000 | 2,125,300 |
| Medline Borrower LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.9967% 10/23/28 (d)(e)(q) | | 2,163,867 | 2,168,108 |
| Packaging Coordinators Midco, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 3.250% 8.5846% 11/30/27 (d)(e)(q) | | 951,023 | 952,611 |
| Sotera Health Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.4967% 5/30/31 (d)(e)(q) | | 575,000 | 574,281 |
| | | | 6,843,268 |
| Health Care Providers & Services - 0.2% | | | |
| Accelerated Health Systems LLC Tranche B1 LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.7346% 2/15/29 (d)(e)(q) | | 669,879 | 531,509 |
| Cano Health, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 13.3346% 6/28/29 (d)(e)(h)(q) | | 209,670 | 209,146 |
| Charlotte Buyer, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.0767% 2/11/28 (d)(e)(q) | | 509,312 | 512,001 |
| DaVita, Inc. Tranche B1 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.2467% 5/9/31 (d)(e)(q) | | 950,000 | 949,801 |
| Gainwell Acquisition Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.4346% 10/1/27 (d)(e)(q) | | 4,582,855 | 4,145,559 |
| HAH Group Holding Co. LLC: | | | |
| 1LN, term loan: | | | |
| CME Term SOFR 1 Month Index + 5.000% 10.35% 10/29/27 (d)(e)(q) | | 39,638 | 39,572 |
| CME Term SOFR 1 Month Index + 5.000% 10.45% 10/29/27 (d)(e)(q) | | 700,394 | 699,225 |
| Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.35% 10/29/27 (d)(e)(q) | | 5,016 | 5,007 |
| Icon Luxembourg Sarl Tranche B 1LN, term loan: | | | |
| CME Term SOFR 3 Month Index + 2.000% 7.3346% 7/3/28 (d)(e)(q) | | 192,350 | 193,268 |
| CME Term SOFR 3 Month Index + 2.000% 7.3346% 7/3/28 (d)(e)(q) | | 47,924 | 48,153 |
| IVC Acquisition Ltd. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.0846% 12/6/28 (d)(e)(q) | | 661,679 | 660,303 |
| MED ParentCo LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.2467% 4/7/31 (d)(e)(q) | | 990,936 | 992,175 |
| Modivcare, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.0816% 7/1/31 (d)(e)(q) | | 545,000 | 530,694 |
| National Mentor Holdings, Inc.: | | | |
| Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1137% 3/2/28 (d)(e)(q) | | 964,716 | 929,446 |
| Tranche C 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.1846% 3/2/28 (d)(e)(q) | | 27,806 | 26,789 |
| Phoenix Guarantor, Inc. term loan CME Term SOFR 1 Month Index + 3.250% 8.4967% 2/21/31 (d)(e)(q) | | 2,538,638 | 2,540,897 |
| Phoenix Newco, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.2467% 11/15/28 (d)(e)(q) | | 1,833,438 | 1,839,544 |
| R1 RCM, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.2467% 6/21/29 (d)(e)(q) | | 363,152 | 363,515 |
| RadNet Management, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.500% 7.7792% 4/10/31 (d)(e)(q) | | 255,000 | 255,372 |
| Soliant Lower Intermediate LLC 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.9967% 7/18/31 (d)(e)(q) | | 545,000 | 545,000 |
| Surgery Center Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.0615% 12/19/30 (d)(e)(q) | | 780,927 | 781,676 |
| U.S. Anesthesia Partners, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.565% 10/1/28 (d)(e)(q) | | 846,314 | 827,974 |
| U.S. Radiology Specialists, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.0361% 12/15/27 (d)(e)(q) | | 496,183 | 496,679 |
| WCG Intermediate Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.7467% 1/8/27 (d)(e)(q) | | 806,128 | 806,966 |
| | | | 18,930,271 |
| Health Care Technology - 0.1% | | | |
| Athenahealth Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.4967% 2/15/29 (d)(e)(q) | | 5,783,184 | 5,733,622 |
| Cotiviti, Inc.: | | | |
| Tranche 1LN, term loan 7.625% 5/1/31 (q) | | 265,000 | 264,338 |
| Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.4506% 5/1/31 (d)(e)(q) | | 1,596,000 | 1,595,330 |
| Zelis Payments Buyer, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.9967% 9/28/29 (d)(e)(q) | | 832,913 | 833,521 |
| | | | 8,426,811 |
| Pharmaceuticals - 0.0% | | | |
| Chrysaor Bidco Sarl: | | | |
| Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 5/14/31 (e)(q)(r) | | 204,850 | 205,405 |
| Tranche B-DD 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 5/14/31 (e)(q)(r) | | 15,150 | 15,191 |
| Elanco Animal Health, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.0506% 8/1/27 (d)(e)(q) | | 1,946,800 | 1,944,133 |
| Endo Finance Holdings, Inc. Tranche B-EXIT 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.783% 4/23/31 (d)(e)(q) | | 840,000 | 837,900 |
| Jazz Financing Lux SARL Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.4967% 5/5/28 (d)(e)(q) | | 1,867,226 | 1,868,010 |
| Organon & Co. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.8416% 5/17/31 (d)(e)(q) | | 1,084,726 | 1,089,477 |
| | | | 5,960,116 |
TOTAL HEALTH CARE | | | 40,160,466 |
| INDUSTRIALS - 0.6% | | | |
| Aerospace & Defense - 0.1% | | | |
| Bleriot U.S. Bidco, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 10/31/30 (e)(q)(r) | | 415,000 | 416,818 |
| Ovation Parent, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.8346% 4/21/31 (d)(e)(q) | | 395,000 | 396,315 |
| TransDigm, Inc.: | | | |
| Tranche I 1LN, term loan CME Term SOFR 3 Month Index + 2.750% 8.0846% 8/24/28 (d)(e)(q) | | 840,159 | 843,419 |
| Tranche K 1LN, term loan CME Term SOFR 3 Month Index + 2.750% 8.0846% 3/22/30 (d)(e)(q) | | 1,672,011 | 1,678,231 |
| | | | 3,334,783 |
| Air Freight & Logistics - 0.0% | | | |
| Echo Global Logistics, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 9.0967% 11/23/28 (d)(e)(q) | | 1,108,930 | 1,099,050 |
| Rand Parent LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.0709% 3/18/30 (d)(e)(q) | | 768,146 | 766,902 |
| STG Logistics, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 6.000% 11.4846% 3/24/28 (d)(e)(h)(q) | | 131,963 | 64,530 |
| | | | 1,930,482 |
| Building Products - 0.1% | | | |
| Acproducts Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.8462% 5/17/28 (d)(e)(q) | | 2,405,323 | 1,805,508 |
| APi Group DE, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.2467% 1/3/29 (d)(e)(q) | | 1,060,430 | 1,062,042 |
| AZZ, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.4967% 5/11/29 (d)(e)(q) | | 387,230 | 389,650 |
| Chariot Buyer LLC Tranche B 1LN, term loan: | | | |
| CME Term SOFR 1 Month Index + 3.500% 8.5967% 10/22/28 (d)(e)(q) | | 89,541 | 89,387 |
| CME Term SOFR 1 Month Index + 3.750% 8.7467% 11/3/28 (d)(e)(q) | | 324,188 | 323,782 |
| Copeland LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.5572% 6/18/31 (d)(e)(q) | | 430,000 | 429,695 |
| Griffon Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.000% 7.3406% 1/24/29 (d)(e)(q) | | 573,750 | 572,677 |
| Hunter Douglas, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.5713% 2/25/29 (d)(e)(q) | | 5,765,079 | 5,721,841 |
| MIWD Holdco II LLC Tranche B2, term loan CME Term SOFR 1 Month Index + 3.500% 8.7467% 3/28/31 (d)(e)(q) | | 250,000 | 251,043 |
| Oscar AcquisitionCo LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.5846% 4/29/29 (d)(e)(q) | | 1,935,212 | 1,918,279 |
| | | | 12,563,904 |
| Commercial Services & Supplies - 0.3% | | | |
| ABG Intermediate Holdings 2 LLC Tranche B1 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.9967% 12/21/28 (d)(e)(q) | | 2,205,667 | 2,210,718 |
| Allied Universal Holdco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 9.0967% 5/14/28 (d)(e)(q) | | 2,959,631 | 2,940,896 |
| Amentum Government Services Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.278% 2/15/29 (d)(e)(q) | | 1,698,276 | 1,697,223 |
| Anticimex Global AB: | | | |
| Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.75% 11/16/28 (d)(e)(q) | | 408,975 | 410,766 |
| Tranche B1 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.48% 11/16/28 (d)(e)(q) | | 1,141,570 | 1,142,712 |
| APX Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0411% 7/9/28 (d)(e)(q) | | 763,915 | 764,870 |
| Archkey Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.250% 10.6112% 6/30/28 (d)(e)(q) | | 425,692 | 425,905 |
| Artera Services LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.8346% 2/10/31 (d)(e)(q) | | 688,275 | 681,179 |
| Bifm California Buyer, Inc. Tranche 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.4967% 5/31/28 (d)(e)(q) | | 463,838 | 465,289 |
| Brand Industrial Services, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.7477% 8/1/30 (d)(e)(q) | | 2,640,024 | 2,616,923 |
| Brock Holdings Iii LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 6.000% 11.3346% 5/2/30 (d)(e)(q) | | 330,000 | 331,238 |
| Clean Harbors, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1112% 10/8/28 (d)(e)(q) | | 338,265 | 339,463 |
| Congruex Group LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.750% 11.1521% 5/3/29 (d)(e)(q) | | 196,000 | 150,246 |
| Core & Main LP Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.250% 7.5894% 2/10/31 (d)(e)(q) | | 243,775 | 243,624 |
| Ensemble RCM LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.000% 8.2521% 8/1/29 (d)(e)(q) | | 557,574 | 558,773 |
| Filtration Group Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8612% 10/21/28 (d)(e)(q) | | 738,608 | 740,351 |
| HomeServe U.S.A. Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.8357% 10/21/30 (d)(e)(q) | | 538,650 | 539,259 |
| KNS Acquisitions, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 6.250% 11.6112% 4/21/27 (d)(e)(q) | | 597,272 | 360,603 |
| Madison IAQ LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 7.8892% 6/21/28 (d)(e)(q) | | 1,717,271 | 1,718,730 |
| Neptune BidCo U.S., Inc.: | | | |
| term loan CME Term SOFR 3 Month Index + 4.750% 10.154% 10/11/28 (d)(e)(q) | | 414,750 | 393,909 |
| Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.000% 10.404% 4/11/29 (d)(e)(q) | | 3,369,881 | 3,220,359 |
| Omnia Partners LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.5292% 7/25/30 (d)(e)(q) | | 1,007,888 | 1,011,042 |
| Optiv Security, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.250% 10.5292% 7/31/26 (d)(e)(q) | | 2,461,450 | 2,159,036 |
| PG Investment Co. 59 Sarl Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.8346% 3/24/31 (d)(e)(q) | | 875,000 | 877,188 |
| Pitney Bowes, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3612% 3/19/28 (d)(e)(q) | | 248,563 | 249,107 |
| Reworld Holding Corp.: | | | |
| Tranche B 1LN, term loan: | | | |
| CME Term SOFR 1 Month Index + 2.500% 7.7437% 11/30/28 (d)(e)(q) | | 214,637 | 214,703 |
| CME Term SOFR 1 Month Index + 2.750% 8.0869% 11/30/28 (d)(e)(q) | | 127,708 | 127,844 |
| Tranche C 1LN, term loan: | | | |
| CME Term SOFR 1 Month Index + 2.500% 7.5877% 11/30/28 (d)(e)(q) | | 16,448 | 16,453 |
| CME Term SOFR 1 Month Index + 2.750% 8.0869% 11/30/28 (d)(e)(q) | | 6,978 | 6,986 |
| Sabert Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4259% 12/10/26 (d)(e)(q) | | 569,911 | 572,761 |
| The GEO Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.250% 10.4967% 4/14/29 (d)(e)(q) | | 446,819 | 451,752 |
| Vestis Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.250% 7.3711% 2/24/31 (d)(e)(q) | | 685,781 | 682,352 |
| WMB Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 7.7467% 11/3/29 (d)(e)(q) | | 102,563 | 102,691 |
| | | | 28,424,951 |
| Construction & Engineering - 0.0% | | | |
| Chromalloy Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.0816% 3/21/31 (d)(e)(q) | | 360,000 | 348,300 |
| OPE USIC Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 9.0917% 5/14/28 (d)(e)(q) | | 318,363 | 289,710 |
| | | | 638,010 |
| Electrical Equipment - 0.0% | | | |
| Vertiv Group Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.2006% 3/2/27 (d)(e)(q) | | 1,959,885 | 1,964,471 |
| Ground Transportation - 0.0% | | | |
| Avis Budget Car Rental LLC: | | | |
| Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1112% 8/6/27 (d)(e)(q) | | 997,389 | 990,158 |
| Tranche C 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3467% 3/16/29 (d)(e)(q) | | 82,195 | 82,118 |
| Genesee & Wyoming, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.000% 7.3346% 4/10/31 (d)(e)(q) | | 720,000 | 719,777 |
| Uber Technologies, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.000% 8.0892% 3/3/30 (d)(e)(q) | | 887,254 | 890,484 |
| | | | 2,682,537 |
| Machinery - 0.0% | | | |
| Ali Group North America Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.3612% 7/22/29 (d)(e)(q) | | 808,810 | 811,382 |
| Chart Industries, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.500% 7.8246% 3/18/30 (d)(e)(q) | | 629,801 | 630,985 |
| CPM Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.7006% 9/28/28 (d)(e)(q) | | 140,048 | 134,489 |
| LSF11 Trinity Bidco, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8115% 6/17/30 (d)(e)(q) | | 87,826 | 87,387 |
| STS Operating, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.3467% 3/25/31 (d)(e)(q) | | 1,002,488 | 995,801 |
| TK Elevator U.S. Newco, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.5877% 4/11/30 (d)(e)(q) | | 286,393 | 287,318 |
| | | | 2,947,362 |
| Passenger Airlines - 0.0% | | | |
| AAdvantage Loyalty IP Ltd. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.2936% 4/20/28 (d)(e)(q) | | 502,500 | 519,525 |
| Air Canada Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.500% 7.8474% 3/21/31 (d)(e)(q) | | 339,150 | 338,869 |
| American Airlines, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 7.7749% 6/4/29 (d)(e)(q) | | 845,000 | 839,719 |
| SkyMiles IP Ltd. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.032% 10/20/27 (d)(e)(q) | | 143,501 | 146,496 |
| United Airlines, Inc. Tranche 1LN, term loan CME Term SOFR 3 Month Index + 2.750% 8.0334% 2/24/31 (d)(e)(q) | | 867,825 | 869,179 |
| | | | 2,713,788 |
| Professional Services - 0.1% | | | |
| Cast & Crew Payroll LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.9967% 12/30/28 (d)(e)(q) | | 922,634 | 924,414 |
| CHG Healthcare Services, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6112% 9/30/28 (d)(e)(q) | | 768,152 | 770,072 |
| CoreLogic, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8612% 6/2/28 (d)(e)(q) | | 5,427,338 | 5,352,713 |
| Dayforce, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.7467% 3/3/31 (d)(e)(q) | | 365,000 | 364,774 |
| EAB Global, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.5937% 8/16/28 (d)(e)(q) | | 590,462 | 588,248 |
| Galaxy U.S. Opco, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.0021% 4/29/29 (d)(e)(q) | | 624,345 | 512,275 |
| Maximus, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.2467% 5/30/31 (d)(e)(q) | | 295,000 | 295,646 |
| Sedgwick Claims Management Services, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.2521% 7/31/31 (d)(e)(q) | | 832,144 | 832,835 |
| | | | 9,640,977 |
| Trading Companies & Distributors - 0.0% | | | |
| DXP Enterprises, Inc. Tranche B 1LN, term loan CME Term SOFR 6 Month Index + 4.750% 10.1638% 10/6/30 (d)(e)(q) | | 198,500 | 199,409 |
| Foundation Building Materials, Inc. Tranche B2 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.286% 1/29/31 (d)(e)(q) | | 1,392,563 | 1,346,984 |
| United Rentals North America, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 6.9967% 2/14/31 (d)(e)(q) | | 428,925 | 431,070 |
| | | | 1,977,463 |
| Transportation Infrastructure - 0.0% | | | |
| AIT Worldwide Logistics Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 9.9681% 4/6/28 (d)(e)(q) | | 378,361 | 378,281 |
| ASP LS Acquisition Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 10.0962% 5/7/28 (d)(e)(q) | | 703,876 | 484,443 |
| Wwex Unified Topco Holdings LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.8462% 7/26/28 (d)(e)(q) | | 988,607 | 991,425 |
| | | | 1,854,149 |
TOTAL INDUSTRIALS | | | 70,672,877 |
| INFORMATION TECHNOLOGY - 0.9% | | | |
| Communications Equipment - 0.0% | | | |
| Anastasia Parent LLC Tranche B, term loan CME Term SOFR 3 Month Index + 3.750% 9.3462% 8/10/25 (d)(e)(q) | | 1,217,700 | 869,791 |
| Ciena Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.3357% 10/24/30 (d)(e)(q) | | 79,003 | 79,201 |
| CommScope, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6112% 4/4/26 (d)(e)(q) | | 638,121 | 605,685 |
| | | | 1,554,677 |
| Electronic Equipment, Instruments & Components - 0.1% | | | |
| Coherent Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.7467% 7/2/29 (d)(e)(q) | | 1,169,803 | 1,172,142 |
| DG Investment Intermediate Holdings, Inc. Tranche B 1LN, term loan: | | | |
| CME Term SOFR 1 Month Index + 3.750% 9.1112% 3/31/28 (d)(e)(q) | | 863,838 | 862,637 |
| CME Term SOFR 1 Month Index + 4.750% 9.9967% 3/31/28 (d)(e)(q) | | 152,287 | 152,383 |
| Go Daddy Operating Co. LLC Tranche B7 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 6.9967% 6/2/31 (d)(e)(q) | | 977,157 | 976,034 |
| Lightning Power LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.3455% 8/18/31 (d)(e)(q) | | 1,245,000 | 1,248,897 |
| | | | 4,412,093 |
| IT Services - 0.1% | | | |
| Acuris Finance U.S., Inc. 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.4846% 2/16/28 (d)(e)(q) | | 108,665 | 108,408 |
| Ahead DB Holdings LLC Tranche B3 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.7984% 2/3/31 (d)(e)(q) | | 429,700 | 430,130 |
| Amazon Holdco, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7/30/31 (e)(q)(r) | | 2,465,000 | 2,458,838 |
| Constant Contact, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.5657% 2/10/28 (d)(e)(q) | | 2,575,669 | 2,481,013 |
| Ion Trading Finance Ltd. 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.3461% 4/3/28 (d)(e)(q) | | 994,763 | 996,185 |
| Mitchell International, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.4967% 6/17/31 (d)(e)(q) | | 1,315,000 | 1,302,231 |
| Peraton Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0967% 2/1/28 (d)(e)(q) | | 4,279,738 | 4,183,444 |
| Plano Holdco, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8/4/31 (e)(q)(r) | | 425,000 | 426,063 |
| Tempo Acquisition LLC Tranche B1 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.4967% 8/31/28 (d)(e)(q) | | 244,714 | 245,292 |
| VFH Parent LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.9967% 6/23/31 (d)(e)(q) | | 1,005,000 | 1,005,000 |
| | | | 13,636,604 |
| Semiconductors & Semiconductor Equipment - 0.0% | | | |
| MKS Instruments, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.5586% 8/17/29 (d)(e)(q) | | 1,045,733 | 1,047,563 |
| Software - 0.7% | | | |
| Applied Systems, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.2856% 2/24/31 (d)(e)(q) | | 866,475 | 869,724 |
| AppLovin Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.7467% 8/19/30 (d)(e)(q) | | 1,246,403 | 1,247,574 |
| Ascend Learning LLC: | | | |
| 2LN, term loan CME Term SOFR 1 Month Index + 5.750% 11.0967% 12/10/29 (d)(e)(q) | | 2,130,000 | 2,039,475 |
| Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8467% 12/10/28 (d)(e)(q) | | 4,689,160 | 4,678,187 |
| BEP Borrower HoldCo, LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.9967% 4/14/31 (d)(e)(q) | | 685,000 | 686,713 |
| BYJU's Alpha, Inc.: | | | |
| term loan: | | | |
| CME Term SOFR 3 Month Index + 8.000% 13.3185% 4/9/26 (d)(e)(h)(q) | | 4,138 | 4,138 |
| CME Term SOFR 3 Month Index + 8.000% 13.3185% 4/9/26 (d)(e)(h)(q) | | 1,212 | 1,212 |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 8.000% 15.5% 11/24/26 (d)(e)(g)(q) | | 246,629 | 55,183 |
| Tranche DD 1 term loan CME Term SOFR 3 Month Index + 8.000% 4/3/26 (e)(h)(q)(s) | | 2,110 | 2,110 |
| Tranche DD 2 term loan CME Term SOFR 1 Month Index + 8.000% 13.3416% 4/9/26 (d)(e)(h)(q) | | 2,114 | 2,114 |
| Camelot U.S. Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.9967% 1/31/31 (d)(e)(q) | | 1,632,383 | 1,632,383 |
| Central Parent, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.250% 8.5846% 7/6/29 (d)(e)(q) | | 379,712 | 376,010 |
| Cloud Software Group, Inc. Tranche B 1LN, term loan: | | | |
| CME Term SOFR 3 Month Index + 4.000% 9.3346% 3/29/29 (d)(e)(q) | | 6,751,269 | 6,744,788 |
| CME Term SOFR 3 Month Index + 4.500% 9.8346% 3/24/31 (d)(e)(q) | | 2,000,000 | 2,007,500 |
| ConnectWise LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 9.0962% 9/30/28 (d)(e)(q) | | 1,321,481 | 1,322,313 |
| DCert Buyer, Inc.: | | | |
| 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.2467% 10/16/26 (d)(e)(q) | | 4,205,213 | 4,114,549 |
| Tranche B 2LN, term loan CME Term SOFR 1 Month Index + 7.000% 12.2467% 2/19/29 (d)(e)(q) | | 735,000 | 628,197 |
| DH Corp./Societe term loan CME Term SOFR 3 Month Index + 7.250% 12.4592% 9/13/29 (d)(e)(h)(q) | | 12,149 | 12,149 |
| Ellucian, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8467% 10/7/29 (d)(e)(q) | | 665,564 | 666,816 |
| Epicor Software Corp. 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.4967% 5/23/31 (d)(e)(q) | | 742,981 | 745,485 |
| Finastra U.S.A., Inc. term loan CME Term SOFR 1 Month Index + 7.250% 12.4592% 9/13/29 (d)(e)(h)(q) | | 520,177 | 520,177 |
| Flexera Software LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8357% 3/3/28 (d)(e)(q) | | 1,031,679 | 1,034,908 |
| Gen Digital, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 6.9967% 9/12/29 (d)(e)(q) | | 1,804,360 | 1,801,852 |
| Greeneden U.S. Holdings II LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.7467% 12/1/27 (d)(e)(q) | | 1,277,118 | 1,281,550 |
| Helios Software Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.0846% 7/15/30 (d)(e)(q) | | 2,268,326 | 2,268,326 |
| Leia Finco U.S. LLC: | | | |
| 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 7/2/31 (e)(q)(r) | | 1,740,000 | 1,722,965 |
| 2LN, term loan CME Term SOFR 1 Month Index + 5.250% 7/2/32 (e)(q)(r) | | 675,000 | 660,373 |
| McAfee Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.4506% 3/1/29 (d)(e)(q) | | 3,504,821 | 3,491,117 |
| MH Sub I LLC: | | | |
| Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.4967% 5/3/28 (d)(e)(q) | | 7,176,045 | 7,153,225 |
| Tranche B 2LN, term loan CME Term SOFR 3 Month Index + 6.250% 11.5021% 2/23/29 (d)(e)(q) | | 2,130,000 | 2,088,295 |
| Modena Buyer LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.8316% 7/1/31 (d)(e)(q) | | 2,560,000 | 2,450,125 |
| Open Text Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.4967% 1/31/30 (d)(e)(q) | | 730,601 | 733,881 |
| Polaris Newco LLC: | | | |
| 2LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.4321% 6/4/29 (d)(e)(q) | | 435,000 | 427,796 |
| Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.5137% 6/2/28 (d)(e)(q) | | 6,683,275 | 6,627,336 |
| Project Alpha Intermediate Holding, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.0021% 10/28/30 (d)(e)(q) | | 1,815,450 | 1,823,511 |
| Project Boost Purchaser LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.7861% 7/2/31 (d)(e)(q) | | 659,103 | 660,586 |
| Proofpoint, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.2467% 8/31/28 (d)(e)(q) | | 2,703,114 | 2,703,871 |
| Rackspace Finance LLC Tranche B 1LN, term loan: | | | |
| CME Term SOFR 1 Month Index + 2.750% 8.154% 5/15/28 (d)(e)(q) | | 814,006 | 400,898 |
| CME Term SOFR 1 Month Index + 6.250% 11.654% 5/15/28 (d)(e)(q) | | 189,587 | 190,820 |
| RealPage, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3612% 4/22/28 (d)(e)(q) | | 1,831,295 | 1,753,465 |
| Red Planet Borrower LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.8467% 9/30/28 (d)(e)(q) | | 539,023 | 517,462 |
| Renaissance Holdings Corp. Tranche 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.4967% 4/8/30 (d)(e)(q) | | 1,042,474 | 1,041,640 |
| Roper Industrial Products Investment Co. 1LN, term loan CME Term SOFR 3 Month Index + 3.250% 8.5846% 11/23/29 (d)(e)(q) | | 237,012 | 237,477 |
| Sovos Compliance LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8612% 8/11/28 (d)(e)(q) | | 1,790,184 | 1,790,989 |
| SS&C Technologies, Inc. Tranche B8 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.2467% 5/9/31 (d)(e)(q) | | 1,598,475 | 1,602,471 |
| UKG, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.5546% 2/10/31 (d)(e)(q) | | 3,872,629 | 3,880,877 |
| VS Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5869% 4/14/31 (d)(e)(q) | | 840,515 | 840,515 |
| Webpros Investments Sarl Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.2467% 3/19/31 (d)(e)(q) | | 194,513 | 194,635 |
| | | | 77,737,763 |
TOTAL INFORMATION TECHNOLOGY | | | 98,388,700 |
| MATERIALS - 0.4% | | | |
| Chemicals - 0.2% | | | |
| A-Gas Finco, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.250% 10.5846% 12/14/29 (d)(e)(q) | | 618,650 | 593,322 |
| American Rock Salt Co. LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.3188% 6/4/28 (d)(e)(q) | | 164,154 | 129,353 |
| ARC Falcon I, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.8467% 9/30/28 (d)(e)(q) | | 1,866,152 | 1,862,532 |
| Aruba Investment Holdings LLC: | | | |
| 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 9.9967% 11/24/27 (d)(e)(q) | | 123,125 | 122,099 |
| 2LN, term loan CME Term SOFR 1 Month Index + 7.750% 13.0967% 11/24/28 (d)(e)(q) | | 110,000 | 104,729 |
| Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4437% 11/24/27 (d)(e)(q) | | 984,810 | 974,351 |
| Avient Corp. Tranche B8 1LN, term loan CME Term SOFR 3 Month Index + 2.000% 7.3069% 8/29/29 (d)(e)(q) | | 66,193 | 66,358 |
| Axalta Coating Systems U.S. Holdings, Inc. Tranche B6 1LN, term loan CME Term SOFR 3 Month Index + 2.000% 7.3346% 12/20/29 (d)(e)(q) | | 72,524 | 72,698 |
| Bakelite U.S. Holding Ltd. 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.8346% 5/29/29 (d)(e)(q) | | 495,359 | 496,909 |
| Consolidated Energy Finance SA Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.5572% 11/15/30 (d)(e)(q) | | 1,312,710 | 1,216,449 |
| Derby Buyer LLC 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8423% 11/1/30 (d)(e)(q) | | 438,900 | 439,449 |
| Discovery Purchaser Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.370% 9.6932% 10/4/29 (d)(e)(q) | | 2,688,478 | 2,685,601 |
| Groupe Solmax, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.2375% 5/27/28 (d)(e)(q) | | 634,260 | 598,697 |
| Herens U.S. Holdco Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.920% 9.3596% 7/3/28 (d)(e)(q) | | 564,700 | 541,231 |
| Hexion Holdings Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.7711% 3/15/29 (d)(e)(q) | | 4,546,344 | 4,519,566 |
| Hexion, Inc. 2LN, term loan CME Term SOFR 1 Month Index + 7.430% 12.7842% 3/15/30 (d)(e)(q) | | 245,000 | 219,478 |
| INEOS U.S. Petrochem LLC: | | | |
| 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0967% 3/1/30 (d)(e)(q) | | 148,500 | 148,438 |
| Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5967% 4/2/29 (d)(e)(q) | | 3,305,622 | 3,309,754 |
| M2S Group Intermediate Holding Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 9.8518% 8/25/31 (d)(e)(q) | | 1,635,000 | 1,532,813 |
| Manchester Acquisition Sub LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.750% 10.9157% 12/1/26 (d)(e)(q) | | 702,772 | 653,578 |
| Nouryon U.S.A. LLC Tranche B 1LN, term loan: | | | |
| CME Term SOFR 1 Month Index + 3.500% 8.8209% 4/3/28 (d)(e)(q) | | 114,138 | 114,566 |
| CME Term SOFR 3 Month Index + 3.500% 8.6284% 4/3/28 (d)(e)(q) | | 632,033 | 633,878 |
| Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.8474% 6/23/31 (d)(e)(q) | | 2,300,615 | 2,306,045 |
| SCIH Salt Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.7554% 3/16/27 (d)(e)(q) | | 428,651 | 428,771 |
| The Chemours Co. LLC Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.7467% 8/18/28 (d)(e)(q) | | 869,028 | 866,856 |
| Touchdown Acquirer, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5602% 2/21/31 (d)(e)(q) | | 765,000 | 764,044 |
| W.R. Grace Holding LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 8.4967% 9/22/28 (d)(e)(q) | | 188,071 | 188,447 |
| | | | 25,590,012 |
| Construction Materials - 0.0% | | | |
| Janus International Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.7467% 8/5/30 (d)(e)(q) | | 158,400 | 158,104 |
| Smyrna Ready Mix Concrete LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.778% 4/2/29 (d)(e)(q) | | 245,386 | 246,919 |
| VM Consolidated, Inc. Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.9967% 3/27/28 (d)(e)(q) | | 782,101 | 786,011 |
| White Capital Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.4967% 10/19/29 (d)(e)(q) | | 543,665 | 540,012 |
| | | | 1,731,046 |
| Containers & Packaging - 0.2% | | | |
| AOT Packaging Products AcquisitionCo LLC 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6112% 3/3/28 (d)(e)(q) | | 3,477,683 | 3,465,128 |
| Berlin Packaging, LLC Tranche B7 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.9641% 6/7/31 (d)(e)(q) | | 3,474,771 | 3,471,157 |
| Berry Global, Inc. Tranche AA 1LN, term loan CME Term SOFR 3 Month Index + 1.750% 7.3162% 7/1/29 (d)(e)(q) | | 452,339 | 453,714 |
| Canister International Group, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.2467% 3/22/29 (d)(e)(q) | | 529,585 | 532,010 |
| Charter Next Generation, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.4967% 12/1/27 (d)(e)(q) | | 763,275 | 764,825 |
| Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.670% 8.4217% 4/13/29 (d)(e)(q) | | 3,638,404 | 3,631,200 |
| Graham Packaging Co., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.7467% 8/4/27 (d)(e)(q) | | 1,174,970 | 1,174,442 |
| Kloeckner Pentaplast of America, Inc. Tranche B 1LN, term loan CME Term SOFR 6 Month Index + 4.750% 9.7229% 2/9/26 (d)(e)(q) | | 449,196 | 422,887 |
| LC Ahab U.S. Bidco LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.7467% 5/1/31 (d)(e)(q) | | 340,000 | 340,850 |
| Pactiv Evergreen Group Holdings, Inc. Tranche B4 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.7467% 9/25/28 (d)(e)(q) | | 1,711,187 | 1,711,615 |
| Pregis TopCo Corp. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.2467% 8/3/26 (d)(e)(q) | | 223,828 | 223,969 |
| Reynolds Consumer Products LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.0967% 1/30/27 (d)(e)(q) | | 414,004 | 415,350 |
| SupplyOne, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.4967% 4/21/31 (d)(e)(q) | | 2,189,513 | 2,207,576 |
| | | | 18,814,723 |
| Metals & Mining - 0.0% | | | |
| Arsenal AIC Parent LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5602% 8/19/30 (d)(e)(q) | | 406,930 | 407,439 |
| Paper & Forest Products - 0.0% | | | |
| Ahlstrom-Munksjo OYJ 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.3462% 2/4/28 (d)(e)(q) | | 246,273 | 245,350 |
| Asplundh Tree Expert LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 6.9967% 5/23/31 (d)(e)(q) | | 689,310 | 690,530 |
| | | | 935,880 |
TOTAL MATERIALS | | | 47,479,100 |
| REAL ESTATE - 0.0% | | | |
| Real Estate Management & Development - 0.0% | | | |
| Cushman & Wakefield U.S. Borrower LLC Tranche B 1LN, term loan: | | | |
| CME Term SOFR 1 Month Index + 2.750% 8.1112% 8/21/25 (d)(e)(q) | | 35,482 | 35,438 |
| CME Term SOFR 1 Month Index + 3.000% 8.2467% 1/31/30 (d)(e)(q) | | 1,460,722 | 1,457,070 |
| Greystar Real Estate Partners 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0586% 8/21/30 (d)(e)(q) | | 380,488 | 380,964 |
| | | | 1,873,472 |
| UTILITIES - 0.1% | | | |
| Electric Utilities - 0.1% | | | |
| Brookfield WEC Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.9967% 1/20/31 (d)(e)(q) | | 1,969,594 | 1,970,736 |
| Generation Bridge Northeast LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.7467% 8/22/29 (d)(e)(q) | | 373,671 | 376,164 |
| PG&E Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 7.7467% 6/23/27 (d)(e)(q) | | 360,000 | 361,051 |
| Vistra Operations Co. LLC Tranche B 3LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.2467% 12/20/30 (d)(e)(q) | | 2,035,523 | 2,040,245 |
| | | | 4,748,196 |
| Independent Power and Renewable Electricity Producers - 0.0% | | | |
| Calpine Construction Finance Co. LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.2467% 7/31/30 (d)(e)(q) | | 344,075 | 343,514 |
| Enstall Group BV Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.5962% 8/27/28 (d)(e)(h)(q) | | 1,455,144 | 1,375,111 |
| Natgasoline LLC Tranche B, term loan CME Term SOFR 6 Month Index + 3.500% 9.016% 11/14/25 (d)(e)(q) | | 1,994,571 | 1,969,639 |
| Win Waste Innovations Holdings Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1112% 3/25/28 (d)(e)(q) | | 626,193 | 584,795 |
| | | | 4,273,059 |
TOTAL UTILITIES | | | 9,021,255 |
| TOTAL BANK LOAN OBLIGATIONS (Cost $522,605,852) | | | 519,349,511 |
| | | | |
| Bank Notes - 0.0% |
| | | Principal Amount (a) | Value ($) |
Discover Bank ICE IBA - USD SOFR SPREAD-ADJ + 1.730% 5.974% 8/9/28 (d)(e) (Cost $1,750,000) | | 1,750,000 | 1,797,901 |
| | | | |
| Preferred Securities - 0.3% |
| | | Principal Amount (a) | Value ($) |
| COMMUNICATION SERVICES - 0.0% | | | |
| Diversified Telecommunication Services - 0.0% | | | |
| CAS Capital No 1 Ltd. 4% (Reg. S) (d)(j) | | 400,000 | 384,446 |
| CONSUMER DISCRETIONARY - 0.0% | | | |
| Automobiles - 0.0% | | | |
| Volkswagen International Finance NV 3.875% (Reg. S) (d)(j) | EUR | 2,100,000 | 2,200,738 |
| CONSUMER STAPLES - 0.0% | | | |
| Food Products - 0.0% | | | |
| Cosan Overseas Ltd. 8.25% (j) | | 650,000 | 668,095 |
| Tobacco - 0.0% | | | |
| British American Tobacco PLC 3% (Reg. S) (d)(j) | EUR | 2,235,000 | 2,426,261 |
TOTAL CONSUMER STAPLES | | | 3,094,356 |
| ENERGY - 0.1% | | | |
| Oil, Gas & Consumable Fuels - 0.1% | | | |
| Energy Transfer LP 6.625% (d)(j) | | 390,000 | 380,491 |
| EnLink Midstream Partners LP CME Term SOFR 3 Month Index + 4.370% 9.7156% (d)(e)(j) | | 1,307,000 | 1,331,102 |
| Plains All American Pipeline LP CME Term SOFR 3 Month Index + 4.110% 9.4897% (d)(e)(j) | | 1,686,000 | 1,685,122 |
| | | | 3,396,715 |
| FINANCIALS - 0.1% | | | |
| Banks - 0.1% | | | |
| AIB Group PLC 6.25% (Reg. S) (d)(j) | EUR | 275,000 | 310,090 |
| Banco de Credito e Inversiones 8.75% (b)(d)(j) | | 300,000 | 323,087 |
| Banco del Estado de Chile 7.95% (b)(d)(j) | | 235,000 | 253,531 |
| Banco Do Brasil SA 10-Year Treasury Constant Maturity Rate + 4.390% 8.748% (b)(d)(e)(j) | | 300,000 | 313,435 |
| Banco Mercantil del Norte SA: | | | |
| 6.75% (b)(d)(j) | | 370,000 | 373,439 |
| 7.625% (b)(d)(j) | | 715,000 | 729,179 |
| Bank of America Corp.: | | | |
| 5.875% (d)(j) | | 1,235,000 | 1,259,959 |
| 6.25% (d)(j) | | 330,000 | 339,648 |
| Barclays PLC 7.125% (d)(j) | GBP | 310,000 | 413,199 |
| BBVA Bancomer SA Texas Branch: | | | |
| 5.125% 1/18/33 (b)(d) | | 500,000 | 477,040 |
| 8.45% 6/29/38 (b)(d) | | 400,000 | 435,770 |
| Citigroup, Inc. 7.125% (d)(j) | | 560,000 | 583,334 |
| Citigroup, Inc. 4.7% (d)(j) | | 510,000 | 508,500 |
| JPMorgan Chase & Co.: | | | |
| 4.6% (d)(j) | | 2,585,000 | 2,581,325 |
| 6.1% (d)(j) | | 135,000 | 138,420 |
| M&T Bank Corp.: | | | |
| 3.5% (d)(j) | | 125,000 | 110,577 |
| 5.125% (d)(j) | | 255,000 | 252,395 |
| NBK Tier 1 Ltd. 3.625% (b)(d)(j) | | 161,000 | 152,554 |
| Wells Fargo & Co. 6.85% (d)(j) | | 620,000 | 641,736 |
| | | | 10,197,218 |
| Capital Markets - 0.0% | | | |
| Credit Suisse Group AG Claim (d)(g)(j) | | 995,000 | 109,450 |
| UBS Group AG 7% (Reg. S) (d)(j) | | 200,000 | 207,618 |
| | | | 317,068 |
| Consumer Finance - 0.0% | | | |
| Ally Financial, Inc.: | | | |
| 4.7% (d)(j) | | 420,000 | 382,612 |
| 4.7% (d)(j) | | 1,410,000 | 1,176,949 |
| | | | 1,559,561 |
TOTAL FINANCIALS | | | 12,073,847 |
| INDUSTRIALS - 0.1% | | | |
| Ground Transportation - 0.0% | | | |
| Mobico Group PLC 4.25% (Reg. S) (d)(j) | GBP | 165,000 | 204,631 |
| Marine Transportation - 0.0% | | | |
| DP World Salaam 6% (Reg. S) (d)(j) | | 1,000,000 | 1,005,609 |
| Trading Companies & Distributors - 0.1% | | | |
| AerCap Holdings NV 5.875% 10/10/79 (d) | | 2,325,000 | 2,375,642 |
| Air Lease Corp. 4.125% (d)(j) | | 965,000 | 888,419 |
| Aircastle Ltd. 5.25% (b)(d)(j) | | 1,271,000 | 1,279,591 |
| | | | 4,543,652 |
TOTAL INDUSTRIALS | | | 5,753,892 |
| INFORMATION TECHNOLOGY - 0.0% | | | |
| IT Services - 0.0% | | | |
| Network i2i Ltd.: | | | |
| 3.975% (b)(d)(j) | | 400,000 | 389,160 |
| 5.65% (b)(d)(j) | | 450,000 | 458,250 |
| | | | 847,410 |
| MATERIALS - 0.0% | | | |
| Construction Materials - 0.0% | | | |
| CEMEX S.A.B. de CV: | | | |
| 5.125% (b)(d)(j) | | 1,180,000 | 1,184,606 |
| 9.125% (b)(d)(j) | | 200,000 | 221,439 |
| | | | 1,406,045 |
| REAL ESTATE - 0.0% | | | |
| Real Estate Management & Development - 0.0% | | | |
| Aroundtown SA 3.375% (Reg. S) (d)(j) | EUR | 1,100,000 | 873,645 |
| Citycon Oyj 7.875% (Reg. S) (d)(j) | EUR | 215,000 | 199,780 |
| CPI Property Group SA 3.75% (Reg. S) (d)(j) | EUR | 415,000 | 302,167 |
| Heimstaden Bostad AB 3.625% (Reg. S) (d)(j) | EUR | 875,000 | 798,523 |
| Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (d)(g)(j) | EUR | 385,000 | 150,017 |
| | | | 2,324,132 |
| UTILITIES - 0.0% | | | |
| Electric Utilities - 0.0% | | | |
| SSE PLC 3.74% (Reg. S) (d)(j) | GBP | 100,000 | 129,818 |
| TOTAL PREFERRED SECURITIES (Cost $29,521,316) | | | 31,611,399 |
| | | | |
| Money Market Funds - 7.2% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.39% (t) | | 820,447,791 | 820,611,880 |
| Fidelity Securities Lending Cash Central Fund 5.39% (t)(u) | | 13,816,661 | 13,818,043 |
| TOTAL MONEY MARKET FUNDS (Cost $834,429,923) | | | 834,429,923 |
| | | | |
| Purchased Swaptions - 0.1% |
| | Expiration Date | Notional Amount (a) | Value ($) |
| Put Options - 0.0% | | | | |
| Option on an interest rate swap with Bank of America N.A. to pay annually a fixed rate of 3.69% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring March 2034. | 3/27/29 | | 11,900,000 | 412,747 |
| Option on an interest rate swap with Bank of America N.A. to pay annually a fixed rate of 4.05% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring April 2034. | 4/23/29 | | 30,300,000 | 911,925 |
| Option on an interest rate swap with Citibank N.A. to pay annually a fixed rate of 3.755% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring March 2034. | 3/19/29 | | 6,400,000 | 216,485 |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.386% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring August 2035. | 8/18/25 | | 47,600,000 | 1,589,789 |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.455% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring August 2034. | 8/29/29 | | 27,200,000 | 1,093,340 |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.53% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring August 2034. | 8/01/29 | | 2,400,000 | 92,699 |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.865% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2035. | 5/15/25 | | 14,900,000 | 213,274 |
| Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.8225% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/24/25 | | 22,600,000 | 257,566 |
| | | | | |
| TOTAL PUT OPTIONS | | | | 4,787,825 |
| Call Options - 0.1% | | | | |
| Option on an interest rate swap with Bank of America N.A. to receive annually a fixed rate of 3.69% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring March 2034. | 3/27/29 | | 11,900,000 | 514,862 |
| Option on an interest rate swap with Bank of America N.A. to receive annually a fixed rate of 4.05% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring April 2034. | 4/23/29 | | 30,300,000 | 1,593,058 |
| Option on an interest rate swap with Citibank N.A. to receive annually a fixed rate of 3.755% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring March 2034. | 3/19/29 | | 6,400,000 | 288,198 |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive annually a fixed rate of 3.386% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring August 2035. | 8/18/25 | | 47,600,000 | 1,612,137 |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive annually a fixed rate of 3.455% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring August 2034. | 8/29/29 | | 27,200,000 | 1,045,433 |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive annually a fixed rate of 3.53% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring August 2034. | 8/01/29 | | 2,400,000 | 95,928 |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive annually a fixed rate of 3.865% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2035. | 5/15/25 | | 14,900,000 | 809,547 |
| Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.8225% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/24/25 | | 22,600,000 | 1,072,778 |
| | | | | |
| TOTAL CALL OPTIONS | | | | 7,031,941 |
TOTAL PURCHASED SWAPTIONS (Cost $12,238,456) | | | | 11,819,766 |
| TOTAL INVESTMENT IN SECURITIES - 117.0% (Cost $13,454,096,638) | 13,566,673,476 |
NET OTHER ASSETS (LIABILITIES) - (17.0)% | (1,970,313,849) |
| NET ASSETS - 100.0% | 11,596,359,627 |
| | |
| TBA Sale Commitments |
| | Principal Amount (a) | Value ($) |
| Ginnie Mae | | |
| 2% 9/1/54 | (12,250,000) | (10,313,848) |
| 3% 9/1/54 | (8,300,000) | (7,505,813) |
| 3% 9/1/54 | (16,100,000) | (14,559,468) |
| 3.5% 9/1/54 | (2,000,000) | (1,861,254) |
| 5% 9/1/54 | (18,850,000) | (18,829,915) |
| 5% 9/1/54 | (14,900,000) | (14,884,124) |
| 5% 9/1/54 | (8,300,000) | (8,291,156) |
| 5.5% 9/1/54 | (32,625,000) | (32,833,689) |
| 6% 9/1/54 | (35,700,000) | (36,217,718) |
| | | |
| TOTAL GINNIE MAE | | (145,296,985) |
| | | |
| Uniform Mortgage Backed Securities | | |
| 2% 9/1/39 | (13,600,000) | (12,298,438) |
| 2% 9/1/54 | (98,875,000) | (80,868,933) |
| 2% 9/1/54 | (4,775,000) | (3,905,428) |
| 2% 9/1/54 | (4,775,000) | (3,905,428) |
| 2% 9/1/54 | (41,200,000) | (33,697,093) |
| 2% 9/1/54 | (35,975,000) | (29,423,614) |
| 2% 9/1/54 | (105,300,000) | (86,123,880) |
| 2% 9/1/54 | (20,200,000) | (16,521,390) |
| 2% 9/1/54 | (9,400,000) | (7,688,172) |
| 2% 9/1/54 | (7,800,000) | (6,379,547) |
| 2% 9/1/54 | (14,900,000) | (12,186,570) |
| 2.5% 9/1/54 | (70,900,000) | (60,439,478) |
| 2.5% 9/1/54 | (39,000,000) | (33,245,975) |
| 2.5% 9/1/54 | (17,500,000) | (14,918,066) |
| 3% 9/1/54 | (36,300,000) | (32,183,638) |
| 3% 9/1/54 | (3,700,000) | (3,280,426) |
| 3% 9/1/54 | (7,400,000) | (6,560,852) |
| 3.5% 9/1/54 | (7,600,000) | (6,995,266) |
| 4.5% 9/1/54 | (2,300,000) | (2,238,277) |
| 5% 9/1/54 | (6,000,000) | (5,956,172) |
| 5.5% 9/1/54 | (10,800,000) | (10,873,828) |
| 5.5% 9/1/54 | (29,200,000) | (29,399,608) |
| 6% 9/1/54 | (3,300,000) | (3,360,715) |
| 6% 9/1/54 | (600,000) | (611,039) |
| 6% 9/1/54 | (200,000) | (203,680) |
| 6% 9/1/54 | (29,700,000) | (30,246,432) |
| 6.5% 9/1/54 | (22,000,000) | (22,652,265) |
| | | |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES | | (556,164,210) |
| | | |
TOTAL TBA SALE COMMITMENTS (Proceeds $696,681,587) | | (701,461,195) |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Bond Index Contracts | | | | | |
| TME 10 Year Canadian Note Contracts (Canada) | 57 | Dec 2024 | 5,204,927 | (52,958) | (52,958) |
| | | | | | |
| Treasury Contracts | | | | | |
| ASX 10 Year Treasury Bond Index Contracts (Australia) | 25 | Sep 2024 | 1,972,608 | 50,646 | 50,646 |
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 2 | Dec 2024 | 227,125 | (1,847) | (1,847) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 2,832 | Dec 2024 | 309,816,375 | (1,332,378) | (1,332,378) |
| | | | | | |
| TOTAL TREASURY CONTRACTS | | | | | (1,283,579) |
| | | | | | |
| TOTAL PURCHASED | | | | | (1,336,537) |
| | | | | | |
| Sold | | | | | |
| | | | | | |
| Bond Index Contracts | | | | | |
| ICE Long Gilt Contracts (United Kingdom) | 2 | Dec 2024 | 259,245 | 907 | 907 |
| | | | | | |
| Treasury Contracts | | | | | |
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 535 | Dec 2024 | 60,755,938 | 488,022 | 488,022 |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 42 | Dec 2024 | 8,716,969 | 11,084 | 11,084 |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 162 | Dec 2024 | 17,722,547 | 74,987 | 74,987 |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 125 | Dec 2024 | 15,390,625 | 304,445 | 304,445 |
| | | | | | |
| TOTAL TREASURY CONTRACTS | | | | | 878,538 |
| | | | | | |
| TOTAL SOLD | | | | | 879,445 |
| | | | | | |
| TOTAL FUTURES CONTRACTS | | | | | (457,092) |
| The notional amount of futures purchased as a percentage of Net Assets is 2.7% |
| The notional amount of futures sold as a percentage of Net Assets is 0.9% |
| Forward Foreign Currency Contracts |
Currency Purchased
| Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) |
| | | | | | | |
| USD | 34,848 | AUD | 52,000 | UBS AG | 10/03/24 | (374) |
| USD | 2,514,450 | CAD | 3,434,000 | Bank of America, N.A. | 10/03/24 | (36,042) |
| USD | 291,168 | EUR | 263,000 | BNP Paribas S.A. | 10/03/24 | 61 |
| USD | 100,096,649 | EUR | 90,548,000 | Bank of America, N.A. | 10/03/24 | (128,068) |
| USD | 28,833,929 | GBP | 22,254,000 | State Street Bank and Trust Co | 10/03/24 | (400,165) |
| USD | 2,103,253 | JPY | 305,650,000 | Brown Brothers Harriman & Co | 10/03/24 | 3,650 |
| | | | | | | |
| TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | | (560,938) |
| Unrealized Appreciation | | | 3,711 |
| Unrealized Depreciation | | | (564,649) |
| Credit Default Swaps |
| Underlying Reference | Rating(1) | Maturity Date | Clearinghouse / Counterparty(2) | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount(3)(4) | Value ($)(1) | Upfront Premium Received/ (Paid) ($)(5) | Unrealized Appreciation/ (Depreciation) ($) |
| Buy Protection | | | | | | | | | | |
| AXA SA | | Jun 2029 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR | 510,000 | (6,456) | 6,072 | (384) |
| AXA SA | | Jun 2029 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR | 510,000 | (6,456) | 6,072 | (384) |
| AXA SA | | Jun 2029 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR | 1,080,000 | (13,671) | 12,860 | (811) |
| Assicurazioni Generali SpA | | Jun 2029 | BNP Paribas S.A. | (1%) | Quarterly | EUR | 1,150,000 | 2,018 | (10,613) | (8,595) |
| BMW Finance NV | | Jun 2029 | BNP Paribas S.A. | (1%) | Quarterly | EUR | 450,000 | (12,839) | 11,049 | (1,790) |
| BMW Finance NV | | Jun 2029 | BNP Paribas S.A. | (1%) | Quarterly | EUR | 700,000 | (19,972) | 17,195 | (2,777) |
| BMW Finance NV | | Jun 2029 | BNP Paribas S.A. | (1%) | Quarterly | EUR | 700,000 | (19,972) | 17,191 | (2,781) |
| BMW Finance NV | | Jun 2029 | BNP Paribas S.A. | (1%) | Quarterly | EUR | 900,000 | (25,678) | 22,009 | (3,669) |
| CMBX N.A. AAA Index Series 13 | | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | | 20,000 | 66 | (318) | (252) |
| CMBX N.A. AAA Index Series 15 | | Nov 2064 | JPMorgan Securities LLC | (0.5%) | Monthly | | 2,900,000 | 30,797 | (33,237) | (2,440) |
| CMBX N.A. AAA Index Series 15 | | Nov 2064 | JPMorgan Securities LLC | (0.5%) | Monthly | | 5,770,000 | 61,276 | (68,719) | (7,443) |
| CMBX N.A. AAA Index Series 15 | | Nov 2064 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | | 10,500,000 | 111,508 | (199,997) | (88,489) |
| CMBX N.A. AAA Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | | 6,200,000 | 91,875 | (146,909) | (55,034) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 680,000 | 100,376 | (150,898) | (50,522) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 900,000 | 132,851 | (201,184) | (68,333) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 180,000 | 26,570 | (43,748) | (17,178) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 330,000 | 48,712 | (79,905) | (31,193) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 280,000 | 41,331 | (73,236) | (31,905) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 170,000 | 25,094 | (46,465) | (21,371) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 450,000 | 66,426 | (134,839) | (68,413) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 130,000 | 19,190 | (36,934) | (17,744) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 30,000 | 4,428 | (7,843) | (3,415) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 370,000 | 54,617 | (106,240) | (51,623) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 680,000 | 100,376 | (173,102) | (72,726) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 600,000 | 88,567 | (177,451) | (88,884) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 950,000 | 140,232 | (276,810) | (136,578) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 590,000 | 87,091 | (143,553) | (56,462) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 600,000 | 88,567 | (115,761) | (27,194) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | | 180,000 | 26,570 | (51,163) | (24,593) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | | 110,000 | 16,237 | (33,105) | (16,868) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 200,000 | 29,522 | (33,252) | (3,730) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 600,000 | 88,567 | (100,510) | (11,943) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 300,000 | 44,284 | (75,441) | (31,157) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 170,000 | 25,094 | (39,973) | (14,879) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 380,000 | 56,093 | (86,953) | (30,860) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 120,000 | 17,713 | (28,594) | (10,881) |
| CMBX N.A. BBB- Index Series 17 | | Dec 2056 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 900,000 | 99,049 | (145,555) | (46,506) |
| CMBX N.A. BBB- Index Series 17 | | Dec 2056 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 500,000 | 55,027 | (59,360) | (4,333) |
| CMBX N.A. BBB- Index Series 17 | | Dec 2056 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 1,300,000 | 143,071 | (167,974) | (24,903) |
| CMBX N.A. BBB- Index Series 17 | | Dec 2056 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 700,000 | 77,038 | (99,916) | (22,878) |
| CMBX N.A. BBB- Index Series 17 | | Dec 2056 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 900,000 | 99,049 | (126,173) | (27,124) |
| CMBX N.A. BBB- Index Series 17 | | Dec 2056 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 400,000 | 44,022 | (57,095) | (13,073) |
| Heidelberg Materials AG | | Jun 2029 | BNP Paribas S.A. | (5%) | Quarterly | EUR | 900,000 | (197,358) | 182,672 | (14,686) |
| Heidelberg Materials AG | | Jun 2029 | BNP Paribas S.A. | (5%) | Quarterly | EUR | 400,000 | (87,715) | 80,837 | (6,878) |
| Intesa Sanpaolo SpA | | Jun 2029 | JPMorgan Chase Bank, N.A. | (1%) | Quarterly | EUR | 1,300,000 | 18,241 | (27,853) | (9,612) |
| Societe Generale | | Jun 2029 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR | 1,400,000 | 17,055 | (9,220) | 7,835 |
| UniCredit SpA | | Jun 2029 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR | 1,150,000 | 16,003 | (24,111) | (8,108) |
| | | | | | | | | | | |
| TOTAL BUY PROTECTION | | | | | | | | 1,804,486 | (3,038,053) | (1,233,567) |
| Sell Protection | | | | | | | | | | |
| 5-Year CDX N.A. EM Series 41 | NR | Jun 2029 | ICE | 1% | Quarterly | | 5,510,000 | 27,344 | 0 | 27,344 |
| CMBX N.A. AAA Index Series 13 | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | | 20,000 | (66) | 464 | 398 |
| CMBX N.A. AAA Index Series 17 | NR | Dec 2056 | Citigroup Global Markets Ltd. | 0.5% | Monthly | | 2,600,000 | (51,874) | 64,902 | 13,028 |
| CMBX N.A. AAA Index Series 17 | NR | Dec 2056 | Citigroup Global Markets Ltd. | 0.5% | Monthly | | 9,900,000 | (197,522) | 248,708 | 51,186 |
| CMBX N.A. AAA Index Series 17 | NR | Dec 2056 | Citigroup Global Markets Ltd. | 0.5% | Monthly | | 5,950,000 | (118,713) | 135,689 | 16,976 |
| CMBX N.A. AAA Index Series 17 | NR | Dec 2056 | Citigroup Global Markets Ltd. | 0.5% | Monthly | | 1,000,000 | (19,952) | 20,913 | 961 |
| | | | | | | | | | | |
| TOTAL SELL PROTECTION | | | | | | | | (360,783) | 470,676 | 109,893 |
| TOTAL CREDIT DEFAULT SWAPS | | | | | | | | 1,443,703 | (2,567,377) | (1,123,674) |
(1)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.
(2)Swaps with Intercontinental Exchange (ICE) are centrally cleared swaps.
(3)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.
(4)Notional amount is stated in U.S. Dollars unless otherwise noted.
(5)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
| Interest Rate Swaps |
| Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount(2) | Value ($) | Upfront Premium Received/ (Paid) ($)(3) | Unrealized Appreciation/ (Depreciation) ($) |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.75% | Annual | LCH | Sep 2026 | | 66,099,000 | (775,482) | 0 | (775,482) |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.5% | Annual | LCH | Sep 2027 | | 79,071,000 | (498,525) | 0 | (498,525) |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.5% | Annual | LCH | Sep 2029 | | 27,048,000 | (546,324) | 0 | (546,324) |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.5% | Annual | LCH | Sep 2031 | | 41,038,000 | (955,890) | 0 | (955,890) |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.75% | Annual | LCH | Sep 2044 | | 23,288,000 | (405,336) | 0 | (405,336) |
| 3.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Sep 2054 | | 2,117,000 | 60,798 | 0 | 60,798 |
| TOTAL INTEREST RATE SWAPS | | | | | | | | (3,120,759) | 0 | (3,120,759) |
| | | | | | | | | | | |
(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.
(2)Notional amount is stated in U.S. Dollars unless otherwise noted.
(3)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(4)Represents floating rate.
Currency Abbreviations
| AUD | - | Australian dollar |
| CAD | - | Canadian dollar |
| EUR | - | European Monetary Unit |
| GBP | - | British pound sterling |
| JPY | - | Japanese yen |
| USD | - | U.S. dollar |
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,084,210,834 or 18.0% of net assets. |
| (c) | Security or a portion of the security is on loan at period end. |
| (d) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (e) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (f) | Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
| (g) | Non-income producing - Security is in default. |
| (i) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
| (j) | Security is perpetual in nature with no stated maturity date. |
| (k) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $6,178,163. |
| (l) | Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts, options and bi-lateral over the counter (OTC) swaps. At period end, the value of securities pledged amounted to $1,703,239. |
| (m) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $7,301,517. |
| (n) | Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
| (o) | Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
| (q) | Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
| (r) | The coupon rate will be determined upon settlement of the loan after period end. |
| (s) | Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $2,110 and $2,110, respectively. |
| (t) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (u) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 171,775,801 | 5,063,683,214 | 4,414,816,982 | 22,866,633 | (30,153) | - | 820,611,880 | 1.8% |
| Fidelity Securities Lending Cash Central Fund 5.39% | - | 29,909,117 | 16,091,074 | 26,959 | - | - | 13,818,043 | 0.1% |
| Total | 171,775,801 | 5,093,592,331 | 4,430,908,056 | 22,893,592 | (30,153) | - | 834,429,923 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Equities: | | | | |
Consumer Discretionary | 158,930 | - | - | 158,930 |
Energy | 329,970 | 3,836 | - | 326,134 |
Financials | 1,061 | 39 | - | 1,022 |
Health Care | 402,848 | - | - | 402,848 |
|
| Corporate Bonds | 3,567,960,482 | - | 3,567,960,482 | - |
|
| U.S. Government and Government Agency Obligations | 3,860,012,367 | - | 3,860,012,367 | - |
|
| U.S. Government Agency - Mortgage Securities | 3,098,494,378 | - | 3,098,494,378 | - |
|
| Asset-Backed Securities | 767,219,155 | - | 767,219,155 | - |
|
| Collateralized Mortgage Obligations | 175,828,476 | - | 175,828,476 | - |
|
| Commercial Mortgage Securities | 555,087,001 | - | 555,087,001 | - |
|
| Foreign Government and Government Agency Obligations | 140,480,141 | - | 140,430,753 | 49,388 |
|
| Supranational Obligations | 1,690,167 | - | 1,690,167 | - |
|
| Bank Loan Obligations | 519,349,511 | - | 517,002,861 | 2,346,650 |
|
| Bank Notes | 1,797,901 | - | 1,797,901 | - |
|
| Preferred Securities | 31,611,399 | - | 31,611,399 | - |
|
| Money Market Funds | 834,429,923 | 834,429,923 | - | - |
|
| Purchased Swaptions | 11,819,766 | - | 11,819,766 | - |
| Total Investments in Securities: | 13,566,673,476 | 834,433,798 | 12,728,954,706 | 3,284,972 |
Derivative Instruments: Assets | | | | |
Futures Contracts | 930,091 | 930,091 | - | - |
Forward Foreign Currency Contracts | 3,711 | - | 3,711 | - |
Swaps | 2,282,745 | - | 2,282,745 | - |
| Total Assets | 3,216,547 | 930,091 | 2,286,456 | - |
| Liabilities | | | | |
Futures Contracts | (1,387,183) | (1,387,183) | - | - |
Forward Foreign Currency Contracts | (564,649) | - | (564,649) | - |
Swaps | (3,959,801) | - | (3,959,801) | - |
| Total Liabilities | (5,911,633) | (1,387,183) | (4,524,450) | - |
| Total Derivative Instruments: | (2,695,086) | (457,092) | (2,237,994) | - |
Other Financial Instruments: | | | | |
TBA Sale Commitments | (701,461,195) | - | (701,461,195) | - |
| Total Other Financial Instruments: | (701,461,195) | - | (701,461,195) | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Credit Risk | | |
Swaps (a)(b) | 2,221,947 | (778,244) |
| Total Credit Risk | 2,221,947 | (778,244) |
| Foreign Exchange Risk | | |
Forward Foreign Currency Contracts (c) | 3,711 | (564,649) |
| Total Foreign Exchange Risk | 3,711 | (564,649) |
| Interest Rate Risk | | |
Futures Contracts (d) | 930,091 | (1,387,183) |
Purchased Swaptions (e) | 11,819,766 | 0 |
Swaps (a) | 60,798 | (3,181,557) |
| Total Interest Rate Risk | 12,810,655 | (4,568,740) |
| Total Value of Derivatives | 15,036,313 | (5,911,633) |
(a)For centrally cleared swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).
(b)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.
(c)Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.
(d)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
(e)Gross value is presented in the Statement of Assets and Liabilities in the Investments in Securities at value line-item.
Fidelity® Total Bond ETF
Financial Statements
| Statement of Assets and Liabilities |
As of August 31, 2024 |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $13,244,739) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $12,619,666,715) | $ | 12,732,243,553 | | |
Fidelity Central Funds (cost $834,429,923) | | 834,429,923 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $13,454,096,638) | | | $ | 13,566,673,476 |
| Segregated cash with brokers for derivative instruments | | | | 608,867 |
| Cash | | | | 2,590,204 |
| Foreign currency held at value (cost $2,801,834) | | | | 2,799,643 |
| Receivable for investments sold | | | | 3,457,381 |
| Receivable for TBA sale commitments | | | | 696,681,587 |
| Unrealized appreciation on forward foreign currency contracts | | | | 3,711 |
| Receivable for fund shares sold | | | | 138,649,902 |
| Dividends receivable | | | | 27,673 |
| Interest receivable | | | | 101,367,581 |
| Distributions receivable from Fidelity Central Funds | | | | 3,038,489 |
| Receivable for daily variation margin on centrally cleared swaps | | | | 449,186 |
| Bi-lateral OTC swaps, at value | | | | 2,194,603 |
| Other receivables | | | | 11 |
Total assets | | | | 14,518,542,314 |
| Liabilities | | | | |
| Payable for investments purchased | | | | |
Regular delivery | $ | 183,320,101 | | |
Delayed delivery | | 1,974,797,180 | | |
| TBA sale commitments, at value | | 701,461,195 | | |
| Unrealized depreciation on forward foreign currency contracts | | 564,649 | | |
| Distributions payable | | 43,763,604 | | |
| Bi-lateral OTC swaps, at value | | 778,244 | | |
| Accrued management fee | | 3,361,009 | | |
| Payable for daily variation margin on futures contracts | | 306,967 | | |
| Other payables and accrued expenses | | 11,695 | | |
| Collateral on securities loaned | | 13,818,043 | | |
| Total liabilities | | | | 2,922,182,687 |
| Net Assets | | | $ | 11,596,359,627 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 11,657,662,688 |
| Total accumulated earnings (loss) | | | | (61,303,061) |
| Net Assets | | | $ | 11,596,359,627 |
Net Asset Value, offering price and redemption price per share ($11,596,359,627 ÷ 251,052,000 shares) | | | $ | 46.19 |
| Statement of Operations |
| Year ended August 31, 2024 |
| Investment Income | | | | |
| Dividends: | | | | |
| Unaffiliated issuers | | | $ | 1,806,985 |
| Interest | | | | 391,164,438 |
| Income from Fidelity Central Funds (including $26,959 from security lending) | | | | 22,893,592 |
| Total income | | | | 415,865,015 |
| Expenses | | | | |
| Management fee | $ | 28,022,712 | | |
| Independent trustees' fees and expenses | | 20,763 | | |
| Legal | | 4,108 | | |
| Total expenses before reductions | | 28,047,583 | | |
| Expense reductions | | (66,261) | | |
| Total expenses after reductions | | | | 27,981,322 |
| Net Investment income (loss) | | | | 387,883,693 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (27,298,547) | | |
| Fidelity Central Funds | | (30,153) | | |
| Forward foreign currency contracts | | (1,498,827) | | |
| Foreign currency transactions | | 243,694 | | |
| Futures contracts | | (3,525,988) | | |
| Swaps | | (1,208,485) | | |
| Written options | | 1,875 | | |
| Total net realized gain (loss) | | | | (33,316,431) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 373,119,162 | | |
| Forward foreign currency contracts | | (1,230,319) | | |
| Assets and liabilities in foreign currencies | | 55,105 | | |
| Futures contracts | | 128,091 | | |
| Swaps | | (4,009,318) | | |
| TBA Sale commitments | | (3,436,463) | | |
| Total change in net unrealized appreciation (depreciation) | | | | 364,626,258 |
| Net gain (loss) | | | | 331,309,827 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 719,193,520 |
| Statement of Changes in Net Assets |
| |
| | Year ended August 31, 2024 | | Year ended August 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 387,883,693 | $ | 141,174,139 |
| Net realized gain (loss) | | (33,316,431) | | (98,278,008) |
| Change in net unrealized appreciation (depreciation) | | 364,626,258 | | (27,628,597) |
| Net increase (decrease) in net assets resulting from operations | | 719,193,520 | | 15,267,534 |
| Distributions to shareholders | | (376,570,152) | | (139,587,694) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 6,522,569,732 | | 2,617,454,518 |
| Cost of shares redeemed | | - | | (51,626,404) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | 6,522,569,732 | | 2,565,828,114 |
| Total increase (decrease) in net assets | | 6,865,193,100 | | 2,441,507,954 |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 4,731,166,527 | | 2,289,658,573 |
| End of period | $ | 11,596,359,627 | $ | 4,731,166,527 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 145,250,000 | | 57,700,000 |
| Redeemed | | - | | (1,150,000) |
| Net increase (decrease) | | 145,250,000 | | 56,550,000 |
| | | | | |
Financial Highlights
| Years ended August 31, | | 2024 | | 2023 | | 2022 | | 2021 | | 2020 |
Selected Per-Share Data | | | | | | | | | | |
| Net asset value, beginning of period | $ | 44.72 | $ | 46.49 | $ | 53.63 | $ | 54.71 | $ | 51.95 |
| Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) A,B | | 2.223 | | 1.935 | | 1.120 | | .988 | | 1.323 |
| Net realized and unrealized gain (loss) | | 1.348 | | (1.858) | | (7.137) | | .023 | | 2.812 |
| Total from investment operations | | 3.571 | | .077 | | (6.017) | | 1.011 | | 4.135 |
| Distributions from net investment income | | (2.101) | | (1.847) | | (1.123) | | (.951) C | | (1.375) |
| Distributions from net realized gain | | - | | - | | - | | (1.143) C | | - |
| Total distributions | | (2.101) | | (1.847) | | (1.123) | | (2.094) | | (1.375) |
| Net asset value, end of period | $ | 46.19 | $ | 44.72 | $ | 46.49 | $ | 53.63 | $ | 54.71 |
Total Return D,E | | | | .20% | | (11.32)% | | 1.90% | | 8.10% |
Ratios to Average Net Assets B,F,G | | | | | | | | | | |
| Expenses before reductions | | .36% | | .36% | | .36% | | .36% | | .36% |
| Expenses net of fee waivers, if any | | | | .36% | | .36% | | .36% | | .36% |
| Expenses net of all reductions | | .36% | | .36% | | .36% | | .36% | | .36% |
| Net investment income (loss) | | 4.96% | | 4.29% | | 2.24% | | 1.84% | | 2.51% |
| Supplemental Data | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 11,596,360 | $ | 4,731,167 | $ | 2,289,659 | $ | 2,048,646 | $ | 1,365,222 |
Portfolio turnover rate H,I | | | | 233% | | 48% | | 117% | | 112% |
ACalculated based on average shares outstanding during the period.
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
CThe amount shown reflects reclassifications related to book to tax differences that were made in the year shown.
DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
EBased on net asset value.
FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
HPortfolio turnover rate excludes securities received or delivered in-kind.
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Notes to Financial Statements
For the period ended August 31, 2024
1. Organization.
Fidelity Corporate Bond ETF, Fidelity Investment Grade Bond ETF, Fidelity Investment Grade Securitized ETF, Fidelity Limited Term Bond ETF, Fidelity Low Duration Bond ETF, Fidelity Low Duration Bond Factor ETF, Fidelity Tactical Bond ETF and Fidelity Total Bond ETF (the Funds) are exchange-traded funds of Fidelity Merrimack Street Trust (the Trust) and are authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
Each Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. Each Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of each Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated each Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, each Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages each Fund's fair valuation practices and maintains the fair valuation policies and procedures. Each Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
Each Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value each 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 services or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities, supranational obligations and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. Certain Funds invest a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2024 is included at the end of each Fund's Schedule of Investments.
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes and for processing shareholder transactions, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period and prior business day, respectively. The NAV per share for processing shareholder transactions is calculated as of the close of business (normally 4:00 p.m. Eastern time) of the Nasdaq Stock Market for Fidelity Low Duration Bond ETF, of the Cboe BZX Exchange, Inc. (CboeBZX) for Fidelity Low Duration Bond Factor ETF, and of the New York Stock Exchange, Archipelago Exchange (NYSE Arca) for all other funds. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Funds represent a return of capital or capital gain. The Funds determine the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in dividends. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2024, each Fund did not have any unrecognized tax benefits in the financial statements; nor is each Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. Each Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Realized gain or loss resulting from in-kind redemptions is not taxable to the Funds and is not distributed to shareholders of the Funds. Foreign taxes are provided for based on each Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, swaps, foreign currency transactions, passive foreign investment companies (PFIC), contingent interest, redemptions in-kind, partnerships, certain conversion ratio adjustments, capital loss carryforwards, and losses deferred due to wash sales, and futures transactions.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows for each Fund:
| | Tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized depreciation ($) | Net unrealized appreciation (depreciation)($) |
| Fidelity Corporate Bond ETF | 231,598,223 | 5,285,258 | (11,864,361) | (6,579,103) |
| Fidelity Investment Grade Bond ETF | 136,882,945 | 2,587,304 | (596,483) | 1,990,821 |
Fidelity Investment Grade Securitized ETF | 179,461,287 | 78,722 | (524,424) | (445,702) |
| Fidelity Limited Term Bond ETF | 148,898,008 | 1,810,880 | (2,307,450) | (496,570) |
| Fidelity Low Duration Bond ETF | 370,350,228 | 1,394,639 | (32,443) | 1,362,196 |
| Fidelity Low Duration Bond Factor ETF | 545,245,109 | 2,388,807 | (494,777) | 1,894,030 |
| Fidelity Tactical Bond ETF | 24,677,349 | 330,231 | (358,980) | (28,749) |
| Fidelity Total Bond ETF | 13,458,841,058 | 282,192,445 | (186,558,027) | 95,634,418 |
The tax-based components of distributable earnings as of period end were as follows for each Fund:
| | Undistributed ordinary income ($) | Capital loss carryforward ($) | Net unrealized appreciation (depreciation) on securities and other investments ($) |
| Fidelity Corporate Bond ETF | 42,448 | (13,404,920) | (6,579,103) |
| Fidelity Investment Grade Bond ETF | 45,667 | (706,256) | 1,990,821 |
Fidelity Investment Grade Securitized ETF | 54,717 | (651,292) | (450,195) |
| Fidelity Limited Term Bond ETF | - | (7,378,349) | (496,570) |
| Fidelity Low Duration Bond ETF | 268,185 | - | 1,362,196 |
| Fidelity Low Duration Bond Factor ETF | 87,621 | (4,463,047) | 1,894,030 |
| Fidelity Tactical Bond ETF | 38,316 | (146,142) | (28,567) |
| Fidelity Total Bond ETF | 11,693,652 | (147,917,085) | 74,920,372 |
Capital loss carryforwards are only available to offset future capital gains of the Funds to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
| | Short-term ($) | Long-term ($) | Total capital loss carryforward ($) |
| Fidelity Corporate Bond ETF | (4,959,922) | (8,444,998) | (13,404,920) |
| Fidelity Investment Grade Bond ETF | (241,199) | (465,057) | (706,256) |
Fidelity Investment Grade Securitized ETF | (606,015) | (45,277) | (651,292) |
| Fidelity Limited Term Bond ETF | (2,281,394) | (5,096,955) | (7,378,349) |
| Fidelity Low Duration Bond Factor ETF | (974,133) | (3,488,914) | (4,463,047) |
| Fidelity Tactical Bond ETF | (129,186) | (16,956) | (146,142) |
| Fidelity Total Bond ETF | (76,049,511) | (71,867,574) | (147,917,085) |
The tax character of distributions paid was as follows:
| August 31, 2024 | | |
| | Ordinary Income ($) | Total ($) |
| Fidelity Corporate Bond ETF | 8,633,650 | 8,633,650 |
| Fidelity Investment Grade Bond ETF | 2,541,750 | 2,541,750 |
Fidelity Investment Grade Securitized ETF | 119,175 | 119,175 |
| Fidelity Limited Term Bond ETF | 5,946,050 | 5,946,050 |
Fidelity Low Duration Bond ETFA | 7,080,575 | 7,080,575 |
| Fidelity Low Duration Bond Factor ETF | 21,969,275 | 21,969,275 |
| Fidelity Tactical Bond ETF | 771,900 | 771,900 |
| Fidelity Total Bond ETF | 376,570,152 | 376,570,152 |
| August 31, 2023 | | |
| | Ordinary Income ($) | Total ($) |
| Fidelity Corporate Bond ETF | 5,667,200 | 5,667,200 |
| Fidelity Investment Grade Bond ETF | 532,050 | 532,050 |
Fidelity Investment Grade Securitized ETF | 103,575 | 103,575 |
| Fidelity Limited Term Bond ETF | 6,097,800 | 6,097,800 |
| Fidelity Low Duration Bond Factor ETF | 9,884,875 | 9,884,875 |
| Fidelity Tactical Bond ETF | 408,300 | 408,300 |
| Fidelity Total Bond ETF | 139,587,694 | 139,587,694 |
A For the period February 22, 2024 (commencement of operations) through August 31, 2024.
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The value of these commitments and proceeds to be received at contractual settlement date are reflected in the Statement of Assets and Liabilities as "TBA sale commitments, at value" and "Receivable for TBA sale commitments," respectively. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, a fund realizes a gain or loss. If a fund delivers securities under the commitment, a fund realizes a gain or loss from the sale of the securities based upon the price established at the date the commitment was entered into.
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
Loans and Other Direct Debt Instruments. Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. Each Fund's investment objectives allow for various types of derivative instruments, including futures contracts, forward foreign currency contracts, swaps and options. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Derivatives were used to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund. |
| Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
| Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts, options and bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. For OTC written options with upfront premiums received, a fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
| Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
| Fidelity Investment Grade Securitized ETF | | |
| Credit Risk | | |
| Swaps | (165) | (1,214) |
| Total Credit Risk | (165) | (1,214) |
| Interest Rate Risk | | |
| Futures Contracts | (6,469) | 7,650 |
| Purchased Options | 629 | (1,781) |
| Swaps | (10,047) | 4,895 |
| Total Interest Rate Risk | (15,887) | 10,764 |
| Totals | (16,052) | 9,550 |
| Fidelity Limited Term Bond ETF | | |
| Interest Rate Risk | | |
| Futures Contracts | 386,926 | (187,939) |
| Total Interest Rate Risk | 386,926 | (187,939) |
| Totals | 386,926 | (187,939) |
| Fidelity Tactical Bond ETF | | |
| Foreign Exchange Risk | | |
| Forward Foreign Currency Contracts | 3,006 | (25,186) |
| Total Foreign Exchange Risk | 3,006 | (25,186) |
| Interest Rate Risk | | |
| Futures Contracts | 4,545 | (4,061) |
| Total Interest Rate Risk | 4,545 | (4,061) |
| Totals | 7,551 | (29,247) |
| Fidelity Total Bond ETF | | |
| Credit Risk | | |
| Swaps | (327,510) | (932,009) |
| Total Credit Risk | (327,510) | (932,009) |
| Foreign Exchange Risk | | |
| Forward Foreign Currency Contracts | (1,498,827) | (1,230,319) |
| Total Foreign Exchange Risk | (1,498,827) | (1,230,319) |
| Interest Rate Risk | | |
| Futures Contracts | (3,525,988) | 128,091 |
| Purchased Options | 156,528 | (401,220) |
| Swaps | (880,975) | (3,077,309) |
| Total Interest Rate Risk | (4,250,435) | (3,350,438) |
| Totals | (6,076,772) | (5,512,766) |
If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.
Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.
Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period unless an average contract value is presented.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. OTC options, such as swaptions, which are options where the underlying instrument is a swap, were used to manage exposure to fluctuations in interest rates.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period unless an average notional amount is presented.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in total accumulated earnings (loss) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Centrally cleared swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities. Centrally cleared swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in total accumulated earnings (loss) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
For both bi-lateral and centrally cleared swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period unless an average notional amount is presented.
Credit Default Swaps. Credit default swaps enable a fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. A fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. A fund enters into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity Corporate Bond ETF | 33,809,593 | 34,651,166 |
| Fidelity Investment Grade Bond ETF | 128,668,574 | 106,734,295 |
| Fidelity Investment Grade Securitized ETF | 87,404,182 | 26,663,986 |
| Fidelity Limited Term Bond ETF | 56,975,954 | 44,371,142 |
| Fidelity Low Duration Bond ETF | 154,443,981 | 10,337,881 |
| Fidelity Low Duration Bond Factor ETF | 375,233,646 | 109,281,383 |
| Fidelity Tactical Bond ETF | 4,587,082 | 3,666,566 |
| Fidelity Total Bond ETF | 16,711,951,223 | 14,714,483,142 |
Securities received and delivered in-kind through subscriptions and redemptions are noted in the table below.
| | In-Kind Subscriptions ($) | In-Kind Redemptions ($) |
| Fidelity Corporate Bond ETF | 48,748,922 | 3,996,433 |
| Fidelity Investment Grade Bond ETF | 37,815,449 | - |
| Fidelity Limited Term Bond ETF | 39,593 | 25,819,165 |
| Fidelity Low Duration Bond ETF | 189,928,878 | - |
| Fidelity Low Duration Bond Factor ETF | 7,141,280 | - |
| Fidelity Tactical Bond ETF | 6,933,186 | - |
| Fidelity Total Bond ETF | 4,027,908,606 | - |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) provides the Funds with investment management related services for which the Funds pay a monthly management fee that is based on an annual rate of each Fund's average net assets as noted in the table below. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain expenses such as interest expense. For Fidelity Corporate Bond ETF, Fidelity Limited Term Bond ETF and Fidelity Total Bond ETF, the management fee paid to the investment adviser is reduced by an amount equal to the fees and expenses paid by each fund to the independent Trustees.
| | Fee Rate |
| Fidelity Corporate Bond ETF | .36% |
| Fidelity Investment Grade Bond ETF | .36% |
| Fidelity Investment Grade Securitized ETF | .36% |
| Fidelity Limited Term Bond ETF | .25% |
| Fidelity Low Duration Bond ETF | .20% |
| Fidelity Low Duration Bond Factor ETF | .15% |
| Fidelity Tactical Bond ETF | .55% |
| Fidelity Total Bond ETF | .36% |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
Sub-Advisory Arrangements. Effective March 1, 2024, each Fund's sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Hong Kong) Limited, and Fidelity Management & Research (Japan) Limited were amended to provide that the investment adviser pays each sub-adviser monthly fees equal to 110% of the sub-adviser's costs for providing sub-advisory services.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income 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. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| | Total Security Lending Fees Paid to NFS ($) | Security Lending Income From Securities Loaned to NFS ($) | Value of Securities Loaned to NFS at Period End ($) |
| Fidelity Tactical Bond ETF | 2 | - | - |
| Fidelity Total Bond ETF | 2,923 | - | - |
9. Expense Reductions.
The investment adviser contractually agreed to reimburse certain Funds to the extent proxy and shareholder meeting expenses exceeded .003% of average net assets. This reimbursement will remain in place through December 31, 2024. During the period this reimbursement reduced each applicable Fund's expenses as follows:
| | Reimbursement ($) |
| Fidelity Investment Grade Bond ETF | 583 |
| Fidelity Investment Grade Securitized ETF | 8 |
| | |
Through arrangements with each applicable Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce each applicable Fund's expenses. All of the applicable expense reductions are noted in the table below.
| | Custodian credits ($) |
| Fidelity Corporate Bond ETF | 947 |
| Fidelity Investment Grade Bond ETF | 718 |
Fidelity Investment Grade Securitized ETF | 692 |
| Fidelity Limited Term Bond ETF | 2,167 |
| Fidelity Low Duration Bond ETF | 661 |
Fidelity Low Duration Bond Factor ETF | 4,819 |
| Fidelity Tactical Bond ETF | 1,509 |
| Fidelity Total Bond ETF | 66,261 |
10. Share Transactions.
Funds issue and redeem shares at NAV only with certain authorized participants in large increments known as Creation Units. Purchases of Creation Units are made by tendering a basket of designated securities and/or cash to a fund and redemption proceeds are paid with a basket of securities from a fund's portfolio with a balancing cash component to equate the market value of the basket of securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. A fund's shares are available in smaller increments to investors in the secondary market at market prices and may be subject to commissions. Authorized participants pay a transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of a fund. The transaction fee is used to offset the costs associated with the issuance and redemption of Creation Units.
To the extent the Funds permit the contribution of securities in exchange for the purchase of shares (contribution in-kind), shares may be issued in advance of receipt by the Funds of all or a portion of the applicable deposit securities. In these circumstances, the Authorized Participant provides collateral to the custodian, on behalf of the Funds, in an amount up to 115% of the daily market-to-market value of the deposit securities not yet received.
11. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
12. Credit Risk.
Each Fund invests a significant portion of its assets in structured securities of issuers backed by 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.
13. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Merrimack Street Trust and Shareholders of each of the seven funds listed in the table below
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the funds indicated in the table below (seven of the funds constituting Fidelity Merrimack Street Trust, hereafter collectively referred to as the "Funds") as of August 31, 2024, the related statements of operations and of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated in the table below (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds listed in the table below as of August 31, 2024, the results of each of their operations, the changes in each of their net assets and each of the financial highlights for each of the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.
| Fund | Statement of operations | Statement of changes in net assets | Financial highlights |
| Fidelity Corporate Bond ETF | For the year ended August 31, 2024 | For each of the two years in the period ended August 31, 2024 | For each of the five years in the period ended August 31, 2024 |
| Fidelity Investment Grade Bond ETF | For the year ended August 31, 2024 | For each of the two years in the period ended August 31, 2024 | For each of the three years in the period ended August 31, 2024 and for the period March 2, 2021 (commencement of operations) through August 31, 2021 |
| Fidelity Investment Grade Securitized ETF | For the year ended August 31, 2024 | For each of the two years in the period ended August 31, 2024 | For each of the three years in the period ended August 31, 2024 and for the period March 2, 2021 (commencement of operations) through August 31, 2021 |
| Fidelity Limited Term Bond ETF | For the year ended August 31, 2024 | For each of the two years in the period ended August 31, 2024 | For each of the five years in the period ended August 31, 2024 |
| Fidelity Low Duration Bond ETF | For the period February 22, 2024 (commencement of operations) through August 31, 2024 | For the period February 22, 2024 (commencement of operations) through August 31, 2024 | For the period February 22, 2024 (commencement of operations) through August 31, 2024 |
| Fidelity Low Duration Bond Factor ETF | For the year ended August 31, 2024 | For each of the two years in the period ended August 31, 2024 | For each of the five years in the period ended August 31, 2024 |
| Fidelity Total Bond ETF | For the year ended August 31, 2024 | For each of the two years in the period ended August 31, 2024 | For each of the five years in the period ended August 31, 2024 |
Basis for Opinions
These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2024 by correspondence with the custodian, issuers of privately offered securities, agent banks and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
October 17, 2024
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Merrimack Street Trust and the Shareholders of Fidelity Tactical Bond ETF:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity Tactical Bond ETF (the "Fund"), a fund of Fidelity Merrimack Street Trust, including the schedule of investments, as of August 31, 2024, the related statement of operations for the year then ended, the statement of changes in net assets and the financial highlights for the year then ended and for the period from January 24, 2023 (commencement of operations) through August 31, 2023, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of August 31, 2024, and the results of its operations for the year then ended, and the changes in its net assets and the financial highlights for the year then ended and for the period from January 24, 2023 (commencement of operations) through August 31, 2023, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2024, by correspondence with the custodian, brokers, and agent banks; when replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
October 17, 2024
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
Distributions
(Unaudited)The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
A percentage of the dividends distributed during the fiscal year for the following funds were derived from interest on U.S. Government securities which is generally exempt from state income tax:
| Fidelity Corporate Bond ETF | 8.93% |
| Fidelity Investment Grade Bond ETF | 44.09% |
| Fidelity Investment Grade Securitized ETF | 14.37% |
| Fidelity Limited Term Bond ETF | 9.22% |
| Fidelity Low Duration Bond ETF | 27.67% |
| Fidelity Low Duration Bond Factor ETF | 8.40% |
| Fidelity Tactical Bond ETF | 30.38% |
| Fidelity Total Bond ETF | 27.40% |
The funds hereby designate the amounts noted below as distributions paid in the calendar year 2023, as qualifying to be taxed as interest-related dividends for nonresident alien shareholders:
| Fidelity Corporate Bond ETF | $5,152,103 |
| Fidelity Investment Grade Bond ETF | $828,100 |
| Fidelity Investment Grade Securitized ETF | $112,031 |
| Fidelity Limited Term Bond ETF | $4,605,751 |
| Fidelity Low Duration Bond Factor ETF | $8,143,259 |
| Fidelity Tactical Bond ETF | $477,444 |
| Fidelity Total Bond ETF | $170,362,936 |
The funds hereby designate the amounts noted below as distributions paid during the fiscal year ended 2024 as qualifying to be taxed as section 163(j) interest dividends:
| Fidelity Corporate Bond ETF | $8,524,657 |
| Fidelity Investment Grade Bond ETF | $2,541,750 |
| Fidelity Investment Grade Securitized ETF | $118,546 |
| Fidelity Limited Term Bond ETF | $5,815,810 |
| Fidelity Low Duration Bond ETF | $7,080,575 |
| Fidelity Low Duration Bond Factor ETF | $21,325,546 |
| Fidelity Tactical Bond ETF | $745,685 |
| Fidelity Total Bond ETF | $376,570,152 |
The funds will notify shareholders in January 2025 of amounts for use in preparing 2024 income tax returns.
Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies
(Unaudited)
Note: This is not applicable for any fund included in this document.
Item 9: Proxy Disclosures for Open-End Management Investment Companies
(Unaudited)
| A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting. |
| Proposal 1 |
| To elect a Board of Trustees. |
| | # of Votes | % of Votes |
| Abigail P. Johnson |
| Affirmative | 3,379,811,029.83 | 98.18 |
| Withheld | 62,689,925.48 | 1.82 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Jennifer Toolin McAuliffe |
| Affirmative | 3,381,722,257.21 | 98.23 |
| Withheld | 60,778,698.10 | 1.77 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Christine J. Thompson |
| Affirmative | 3,382,823,976.33 | 98.27 |
| Withheld | 59,676,978.98 | 1.73 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Elizabeth S. Acton |
| Affirmative | 3,364,610,007.82 | 97.74 |
| Withheld | 77,890,947.49 | 2.26 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Laura M. Bishop |
| Affirmative | 3,383,577,873.72 | 98.29 |
| Withheld | 58,923,081.59 | 1.71 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Ann E. Dunwoody |
| Affirmative | 3,381,468,375.28 | 98.23 |
| Withheld | 61,032,580.03 | 1.77 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| John Engler |
| Affirmative | 3,381,530,803.91 | 98.23 |
| Withheld | 60,970,151.40 | 1.77 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Robert F. Gartland |
| Affirmative | 3,354,607,739.04 | 97.45 |
| Withheld | 87,893,216.27 | 2.55 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Robert W. Helm |
| Affirmative | 3,384,017,786.52 | 98.30 |
| Withheld | 58,483,168.79 | 1.70 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Arthur E. Johnson |
| Affirmative | 3,373,113,641.17 | 97.98 |
| Withheld | 69,387,314.14 | 2.02 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Michael E. Kenneally |
| Affirmative | 2,929,402,647.40 | 85.10 |
| Withheld | 513,098,307.91 | 14.90 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Mark A. Murray |
| Affirmative | 3,383,790,962.34 | 98.29 |
| Withheld | 58,709,992.97 | 1.71 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Carol J. Zierhoffer |
| Affirmative | 3,385,082,303.87 | 98.33 |
| Withheld | 57,418,651.44 | 1.67 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| | | |
| Proposal 1 reflects trust-wide proposal and voting results. |
Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies
(Unaudited)
Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment companies.
Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract
(Unaudited)
Note: This is not applicable for any fund included in this document.
1.9864852.109
FIXETF-ANN-1024
Fidelity® Sustainable Core Plus Bond ETF
Fidelity® Sustainable Low Duration Bond ETF
Annual Report
August 31, 2024
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-FIDELITY to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2024 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Funds. This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Funds nor Fidelity Distributors Corporation is a bank.
Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)
Fidelity® Sustainable Core Plus Bond ETF
Schedule of Investments August 31, 2024
Showing Percentage of Net Assets
| Corporate Bonds - 43.4% |
| | | Principal Amount (a) | Value ($) |
| Convertible Bonds - 0.2% | | | |
| COMMUNICATION SERVICES - 0.0% | | | |
| Media - 0.0% | | | |
| DISH Network Corp. 3.375% 8/15/26 | | 11,000 | 6,848 |
| CONSUMER DISCRETIONARY - 0.0% | | | |
| Specialty Retail - 0.0% | | | |
| Wayfair LLC 0.625% 10/1/25 | | 2,000 | 1,885 |
| INFORMATION TECHNOLOGY - 0.0% | | | |
| Semiconductors & Semiconductor Equipment - 0.0% | | | |
| MKS Instruments, Inc. 1.25% 6/1/30 (b) | | 1,000 | 1,030 |
| Wolfspeed, Inc. 1.875% 12/1/29 | | 7,000 | 2,668 |
| | | | 3,698 |
| REAL ESTATE - 0.1% | | | |
| Real Estate Management & Development - 0.1% | | | |
| Realogy Group LLC/Realogy Co-Issuer Corp. 0.25% 6/15/26 | | 2,000 | 1,700 |
| Redfin Corp. 0.5% 4/1/27 | | 8,000 | 5,480 |
| | | | 7,180 |
| UTILITIES - 0.1% | | | |
| Electric Utilities - 0.0% | | | |
| PG&E Corp. 4.25% 12/1/27 (b) | | 1,000 | 1,067 |
| Independent Power and Renewable Electricity Producers - 0.1% | | | |
| NextEra Energy Partners LP 2.5% 6/15/26 (b) | | 3,000 | 2,768 |
| Sunnova Energy International, Inc.: | | | |
| 0.25% 12/1/26 | | 4,000 | 3,030 |
| 2.625% 2/15/28 | | 1,000 | 646 |
| | | | 6,444 |
TOTAL UTILITIES | | | 7,511 |
| | | | |
| TOTAL CONVERTIBLE BONDS | | | 27,122 |
| Nonconvertible Bonds - 43.2% | | | |
| COMMUNICATION SERVICES - 3.6% | | | |
| Diversified Telecommunication Services - 1.5% | | | |
| Altice France SA 5.125% 7/15/29 (b) | | 13,000 | 9,070 |
| Connect Finco SARL / Connect U.S. Finco LLC 6.75% 10/1/26 (b) | | 2,000 | 1,985 |
| Frontier Communications Holdings LLC 8.75% 5/15/30 (b) | | 4,000 | 4,213 |
| IHS Holding Ltd.: | | | |
| 5.625% 11/29/26(b) | | 4,000 | 3,885 |
| 6.25% 11/29/28(b) | | 1,000 | 919 |
| Iliad Holding SAS: | | | |
| 7% 10/15/28(b) | | 1,000 | 1,015 |
| 8.5% 4/15/31(b) | | 3,000 | 3,179 |
| Level 3 Financing, Inc.: | | | |
| 3.875% 10/15/30(b) | | 1,000 | 680 |
| 4% 4/15/31(b) | | 12,000 | 8,040 |
| 11% 11/15/29(b) | | 1,333 | 1,461 |
| Liquid Telecommunications Financing PLC 5.5% 9/4/26 (b) | | 4,000 | 2,487 |
| Sitios Latinoamerica S.A.B. de CV 5.375% 4/4/32 (b) | | 2,000 | 1,898 |
| TELUS Corp. 3.4% 5/13/32 | | 45,000 | 40,471 |
| Verizon Communications, Inc. 5.05% 5/9/33 | | 95,000 | 96,697 |
| | | | 176,000 |
| Entertainment - 0.4% | | | |
| The Walt Disney Co. 2.65% 1/13/31 | | 55,000 | 49,551 |
| Media - 1.6% | | | |
| Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (b) | | 6,000 | 5,625 |
| Altice Financing SA 5.75% 8/15/29 (b) | | 7,000 | 5,392 |
| Altice France Holding SA 6% 2/15/28 (b) | | 2,000 | 644 |
| CCO Holdings LLC/CCO Holdings Capital Corp.: | | | |
| 4.25% 1/15/34(b) | | 5,000 | 4,032 |
| 4.75% 3/1/30(b) | | 3,000 | 2,735 |
| 4.75% 2/1/32(b) | | 20,000 | 17,427 |
| Clear Channel Outdoor Holdings, Inc.: | | | |
| 5.125% 8/15/27(b) | | 3,000 | 2,931 |
| 7.5% 6/1/29(b) | | 6,000 | 5,059 |
| 7.875% 4/1/30(b) | | 5,000 | 5,224 |
| 9% 9/15/28(b) | | 8,000 | 8,504 |
| CSC Holdings LLC: | | | |
| 3.375% 2/15/31(b) | | 10,000 | 6,430 |
| 4.625% 12/1/30(b) | | 6,000 | 2,346 |
| DISH DBS Corp.: | | | |
| 5.75% 12/1/28(b) | | 3,000 | 2,308 |
| 5.875% 11/15/24 | | 1,000 | 971 |
| DISH Network Corp. 11.75% 11/15/27 (b) | | 3,000 | 3,050 |
| LCPR Senior Secured Financing DAC: | | | |
| 5.125% 7/15/29(b) | | 1,000 | 808 |
| 6.75% 10/15/27(b) | | 3,000 | 2,743 |
| Outfront Media Capital LLC / Corp. 7.375% 2/15/31 (b) | | 5,000 | 5,314 |
| Univision Communications, Inc.: | | | |
| 7.375% 6/30/30(b) | | 8,000 | 7,679 |
| 8% 8/15/28(b) | | 5,000 | 5,059 |
| 8.5% 7/31/31(b) | | 10,000 | 9,980 |
| VTR Finance BV 6.375% 7/15/28 (b) | | 1,000 | 915 |
| Warnermedia Holdings, Inc.: | | | |
| 4.279% 3/15/32 | | 54,000 | 47,204 |
| 5.141% 3/15/52 | | 56,000 | 42,594 |
| Ziggo Bond Co. BV 6% 1/15/27 (b) | | 2,000 | 1,994 |
| | | | 196,968 |
| Wireless Telecommunication Services - 0.1% | | | |
| AXIAN Telecom 7.375% 2/16/27 (b) | | 2,000 | 1,996 |
| C&W Senior Finance Ltd. 6.875% 9/15/27 (b) | | 6,000 | 5,907 |
| Millicom International Cellular SA 4.5% 4/27/31 (b) | | 1,000 | 889 |
| | | | 8,792 |
TOTAL COMMUNICATION SERVICES | | | 431,311 |
| | | | |
| CONSUMER DISCRETIONARY - 3.0% | | | |
| Automobile Components - 0.0% | | | |
| ZF North America Capital, Inc.: | | | |
| 4.75% 4/29/25(b) | | 1,000 | 991 |
| 6.75% 4/23/30(b) | | 5,000 | 5,140 |
| | | | 6,131 |
| Automobiles - 0.3% | | | |
| General Motors Co. 5.4% 10/15/29 | | 20,000 | 20,472 |
| McLaren Finance PLC 7.5% 8/1/26 (b) | | 2,000 | 1,757 |
| Rivian Holdco & Rivian LLC & Rivian Automotive LLC CME Term SOFR 6 Month Index + 6.050% 11.3595% 10/15/26 (b)(c)(d) | | 9,000 | 9,001 |
| | | | 31,230 |
| Broadline Retail - 0.0% | | | |
| Kohl's Corp. 4.25% 7/17/25 | | 2,000 | 1,981 |
| Nordstrom, Inc. 4.375% 4/1/30 | | 4,000 | 3,673 |
| | | | 5,654 |
| Diversified Consumer Services - 0.1% | | | |
| Sotheby's 7.375% 10/15/27 (b) | | 5,000 | 4,775 |
| StoneMor, Inc. 8.5% 5/15/29 (b) | | 3,000 | 2,669 |
| | | | 7,444 |
| Hotels, Restaurants & Leisure - 0.3% | | | |
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc. 6.125% 6/15/29 (b) | | 5,000 | 5,106 |
| Aramark Services, Inc. 5% 2/1/28 (b) | | 2,000 | 1,962 |
| ClubCorp Holdings, Inc. 8.5% 9/15/25 (b) | | 4,000 | 3,720 |
| Hilton Domestic Operating Co., Inc. 5.875% 4/1/29 (b) | | 5,000 | 5,095 |
| Life Time, Inc. 5.75% 1/15/26 (b) | | 4,000 | 4,001 |
| MajorDrive Holdings IV LLC 6.375% 6/1/29 (b) | | 6,000 | 5,657 |
| Royal Caribbean Cruises Ltd. 6% 2/1/33 (b) | | 5,000 | 5,122 |
| Yum! Brands, Inc. 4.625% 1/31/32 | | 7,000 | 6,634 |
| | | | 37,297 |
| Household Durables - 0.1% | | | |
| Beazer Homes U.S.A., Inc. 7.5% 3/15/31 (b) | | 5,000 | 5,090 |
| Landsea Homes Corp. 8.875% 4/1/29 (b) | | 2,000 | 2,070 |
| LGI Homes, Inc. 8.75% 12/15/28 (b) | | 1,000 | 1,065 |
| Newell Brands, Inc. 6.875% 4/1/36 (e) | | 1,000 | 951 |
| TRI Pointe Homes, Inc. 5.25% 6/1/27 | | 2,000 | 1,990 |
| | | | 11,166 |
| Leisure Products - 0.0% | | | |
| Amer Sports Co. 6.75% 2/16/31 (b) | | 6,000 | 6,097 |
| Specialty Retail - 1.8% | | | |
| Carvana Co.: | | | |
| 4.875% 9/1/29(b) | | 1,000 | 841 |
| 5.625% 10/1/25(b) | | 4,000 | 3,910 |
| 12% 12/1/28 pay-in-kind(b)(c) | | 2,235 | 2,320 |
| 13% 6/1/30 pay-in-kind(b)(c) | | 1,065 | 1,137 |
| 14% 6/1/31 pay-in-kind(b)(c) | | 4,484 | 5,107 |
| Group 1 Automotive, Inc. 6.375% 1/15/30 (b) | | 5,000 | 5,087 |
| LBM Acquisition LLC 6.25% 1/15/29 (b) | | 5,000 | 4,520 |
| Lowe's Companies, Inc.: | | | |
| 3.75% 4/1/32 | | 50,000 | 46,982 |
| 4.25% 4/1/52 | | 50,000 | 41,012 |
| Michaels Companies, Inc. 5.25% 5/1/28 (b) | | 1,000 | 785 |
| Sally Holdings LLC 6.75% 3/1/32 | | 5,000 | 5,100 |
| Staples, Inc.: | | | |
| 10.75% 9/1/29(b) | | 5,000 | 4,710 |
| 12.75% 1/15/30(b) | | 3,514 | 2,716 |
| The Home Depot, Inc. 3.25% 4/15/32 | | 50,000 | 46,151 |
| TJX Companies, Inc. 3.875% 4/15/30 | | 40,000 | 39,093 |
| | | | 209,471 |
| Textiles, Apparel & Luxury Goods - 0.4% | | | |
| Crocs, Inc. 4.125% 8/15/31 (b) | | 2,000 | 1,798 |
| Tapestry, Inc. 3.05% 3/15/32 | | 55,000 | 46,044 |
| | | | 47,842 |
TOTAL CONSUMER DISCRETIONARY | | | 362,332 |
| | | | |
| CONSUMER STAPLES - 1.7% | | | |
| Beverages - 0.0% | | | |
| Triton Water Holdings, Inc. 6.25% 4/1/29 (b) | | 3,000 | 2,967 |
| Consumer Staples Distribution & Retail - 0.6% | | | |
| Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC 4.875% 2/15/30 (b) | | 4,000 | 3,909 |
| Alimentation Couche-Tard, Inc. 3.625% 5/13/51 (b) | | 55,000 | 40,535 |
| C&S Group Enterprises LLC 5% 12/15/28 (b) | | 3,000 | 2,266 |
| KeHE Distributor / Nextwave 9% 2/15/29 (b) | | 5,000 | 5,216 |
| Performance Food Group, Inc. 4.25% 8/1/29 (b) | | 3,000 | 2,831 |
| Sigma Holdco BV 7.875% 5/15/26 (b) | | 5,000 | 4,932 |
| U.S. Foods, Inc. 4.625% 6/1/30 (b) | | 4,000 | 3,829 |
| United Natural Foods, Inc. 6.75% 10/15/28 (b) | | 1,000 | 939 |
| Walgreens Boots Alliance, Inc. 8.125% 8/15/29 | | 5,000 | 5,006 |
| | | | 69,463 |
| Food Products - 1.0% | | | |
| Darling Ingredients, Inc. 6% 6/15/30 (b) | | 5,000 | 5,061 |
| General Mills, Inc. 2.25% 10/14/31 | | 115,000 | 98,563 |
| Post Holdings, Inc.: | | | |
| 4.5% 9/15/31(b) | | 5,000 | 4,653 |
| 4.625% 4/15/30(b) | | 3,000 | 2,851 |
| 6.25% 2/15/32(b) | | 5,000 | 5,128 |
| 6.375% 3/1/33(b) | | 5,000 | 5,037 |
| | | | 121,293 |
| Household Products - 0.1% | | | |
| Resideo Funding, Inc. 6.5% 7/15/32 (b) | | 5,000 | 5,090 |
TOTAL CONSUMER STAPLES | | | 198,813 |
| | | | |
| ENERGY - 1.3% | | | |
| Energy Equipment & Services - 0.3% | | | |
| Archrock Partners LP / Archrock Partners Finance Corp.: | | | |
| 6.25% 4/1/28(b) | | 6,000 | 6,025 |
| 6.625% 9/1/32(b) | | 2,000 | 2,025 |
| Oceaneering International, Inc. 6% 2/1/28 | | 6,000 | 6,078 |
| Vallourec SA 7.5% 4/15/32 (b) | | 7,000 | 7,371 |
| Viridien 8.75% 4/1/27 (b) | | 10,000 | 9,580 |
| | | | 31,079 |
| Oil, Gas & Consumable Fuels - 1.0% | | | |
| California Resources Corp.: | | | |
| 7.125% 2/1/26(b) | | 6,000 | 6,023 |
| 8.25% 6/15/29(b) | | 10,000 | 10,314 |
| Canacol Energy Ltd. 5.75% 11/24/28 (b) | | 4,000 | 2,305 |
| CNX Midstream Partners LP 4.75% 4/15/30 (b) | | 1,000 | 933 |
| CNX Resources Corp.: | | | |
| 6% 1/15/29(b) | | 2,000 | 2,006 |
| 7.25% 3/1/32(b) | | 5,000 | 5,235 |
| 7.375% 1/15/31(b) | | 5,000 | 5,225 |
| CVR Energy, Inc. 5.75% 2/15/28 (b) | | 3,000 | 2,829 |
| EG Global Finance PLC 12% 11/30/28 (b) | | 8,000 | 8,727 |
| Energean Israel Finance Ltd. 5.375% 3/30/28 (Reg. S) (b) | | 1,000 | 903 |
| Energean PLC 6.5% 4/30/27 (b) | | 5,000 | 4,936 |
| Global Partners LP/GLP Finance Corp. 6.875% 1/15/29 | | 4,000 | 4,029 |
| Golar LNG Ltd. 7% 10/20/25 (b) | | 2,000 | 1,999 |
| Gran Tierra Energy, Inc. 9.5% 10/15/29 (b) | | 2,000 | 1,944 |
| Harbour Energy PLC 5.5% 10/15/26 (b) | | 4,000 | 3,971 |
| Kosmos Energy Ltd.: | | | |
| 7.5% 3/1/28(b) | | 1,000 | 969 |
| 7.75% 5/1/27(b) | | 1,000 | 989 |
| MEG Energy Corp. 5.875% 2/1/29 (b) | | 15,000 | 14,853 |
| Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (b) | | 3,000 | 2,714 |
| New Fortress Energy, Inc.: | | | |
| 6.5% 9/30/26(b) | | 8,000 | 6,925 |
| 6.75% 9/15/25(b) | | 5,000 | 4,876 |
| Northern Oil & Gas, Inc. 8.125% 3/1/28 (b) | | 4,000 | 4,090 |
| Prairie Acquiror LP 9% 8/1/29 (b) | | 3,000 | 3,138 |
| Sunoco LP/Sunoco Finance Corp. 4.5% 5/15/29 | | 12,000 | 11,521 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 6% 9/1/31 (b) | | 7,000 | 6,634 |
| Tullow Oil PLC: | | | |
| 7% 3/1/25(b) | | 3,000 | 2,923 |
| 10.25% 5/15/26(b) | | 3,000 | 2,903 |
| | | | 123,914 |
TOTAL ENERGY | | | 154,993 |
| | | | |
| FINANCIALS - 11.5% | | | |
| Banks - 6.2% | | | |
| AIB Group PLC 2.875% 5/30/31 (Reg. S) (c) | EUR | 100,000 | 108,355 |
| Bank of America Corp.: | | | |
| 2.456% 10/22/25(c) | | 130,000 | 129,443 |
| 2.687% 4/22/32(c) | | 40,000 | 35,134 |
| 5.015% 7/22/33(c) | | 24,000 | 24,280 |
| BNP Paribas SA 0.875% 7/11/30 (Reg. S) (c) | EUR | 100,000 | 97,300 |
| Citigroup, Inc. 2.014% 1/25/26 (c) | | 130,000 | 128,217 |
| HAT Holdings I LLC/HAT Holdings II LLC 3.375% 6/15/26 (b) | | 11,000 | 10,538 |
| JPMorgan Chase & Co.: | | | |
| 2.963% 1/25/33(c) | | 40,000 | 35,420 |
| 4.912% 7/25/33(c) | | 13,000 | 13,072 |
| NatWest Group PLC 2.057% 11/9/28 (Reg. S) (c) | GBP | 100,000 | 120,172 |
| Santander Holdings U.S.A., Inc.: | | | |
| 5.807% 9/9/26(c) | | 15,000 | 15,059 |
| 6.499% 3/9/29(c) | | 10,000 | 10,426 |
| UniCredit SpA 5.861% 6/19/32 (b)(c) | | 2,000 | 1,995 |
| Western Alliance Bancorp. 3% 6/15/31 (c) | | 4,000 | 3,617 |
| | | | 733,028 |
| Capital Markets - 2.6% | | | |
| Coinbase Global, Inc. 3.625% 10/1/31 (b) | | 2,000 | 1,648 |
| Goldman Sachs Group, Inc.: | | | |
| 3.102% 2/24/33(c) | | 19,000 | 16,807 |
| 3.615% 3/15/28(c) | | 70,000 | 68,337 |
| Hightower Holding LLC 9.125% 1/31/30 (b) | | 5,000 | 5,178 |
| Morgan Stanley: | | | |
| 0.864% 10/21/25(c) | | 140,000 | 139,078 |
| 4.889% 7/20/33(c) | | 31,000 | 30,925 |
| State Street Corp. 3.031% 11/1/34 (c) | | 45,000 | 41,146 |
| VFH Parent LLC / Valor Co-Issuer, Inc. 7.5% 6/15/31 (b) | | 5,000 | 5,187 |
| | | | 308,306 |
| Consumer Finance - 0.6% | | | |
| Ally Financial, Inc.: | | | |
| 2.2% 11/2/28 | | 55,000 | 49,326 |
| 5.75% 11/20/25 | | 1,000 | 1,003 |
| Encore Capital Group, Inc. 8.5% 5/15/30 (b) | | 5,000 | 5,232 |
| OneMain Finance Corp. 3.875% 9/15/28 | | 13,000 | 11,972 |
| PRA Group, Inc. 8.875% 1/31/30 (b) | | 5,000 | 5,168 |
| SLM Corp. 4.2% 10/29/25 | | 3,000 | 2,965 |
| | | | 75,666 |
| Financial Services - 0.4% | | | |
| Block, Inc.: | | | |
| 3.5% 6/1/31 | | 12,000 | 10,832 |
| 6.5% 5/15/32(b) | | 6,000 | 6,222 |
| GGAM Finance Ltd.: | | | |
| 6.875% 4/15/29(b) | | 5,000 | 5,160 |
| 7.75% 5/15/26(b) | | 5,000 | 5,130 |
| 8% 2/15/27(b) | | 2,000 | 2,085 |
| 8% 6/15/28(b) | | 5,000 | 5,345 |
| Global Aircraft Leasing Co. Ltd. 8.75% 9/1/27 (b) | | 5,000 | 5,050 |
| Gn Bondco LLC 9.5% 10/15/31 (b) | | 3,000 | 3,054 |
| Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc. 6.75% 8/15/32 (b) | | 2,000 | 2,063 |
| | | | 44,941 |
| Insurance - 1.6% | | | |
| Equitable Financial Life Global Funding 1.3% 7/12/26 (b) | | 100,000 | 94,169 |
| Marsh & McLennan Companies, Inc. 2.375% 12/15/31 | | 110,000 | 95,014 |
| | | | 189,183 |
| Mortgage Real Estate Investment Trusts - 0.1% | | | |
| Rithm Capital Corp. 8% 4/1/29 (b) | | 5,000 | 4,976 |
| Starwood Property Trust, Inc.: | | | |
| 3.625% 7/15/26(b) | | 2,000 | 1,925 |
| 3.75% 12/31/24(b) | | 2,000 | 1,982 |
| 4.75% 3/15/25 | | 1,000 | 993 |
| 7.25% 4/1/29(b) | | 5,000 | 5,205 |
| | | | 15,081 |
TOTAL FINANCIALS | | | 1,366,205 |
| | | | |
| HEALTH CARE - 3.9% | | | |
| Biotechnology - 0.9% | | | |
| Amgen, Inc. 3% 2/22/29 | | 100,000 | 94,416 |
| Emergent BioSolutions, Inc. 3.875% 8/15/28 (b) | | 7,000 | 5,197 |
| Grifols SA % (b) | | 3,000 | 2,850 |
| | | | 102,463 |
| Health Care Equipment & Supplies - 0.1% | | | |
| AdaptHealth LLC 5.125% 3/1/30 (b) | | 8,000 | 7,315 |
| Embecta Corp. 5% 2/15/30 (b) | | 1,000 | 902 |
| | | | 8,217 |
| Health Care Providers & Services - 1.7% | | | |
| Akumin, Inc. 8% 8/1/28 (b) | | 4,000 | 3,320 |
| AMN Healthcare 4% 4/15/29 (b) | | 5,000 | 4,664 |
| CHS/Community Health Systems, Inc.: | | | |
| 4.75% 2/15/31(b) | | 18,000 | 15,353 |
| 5.25% 5/15/30(b) | | 5,000 | 4,483 |
| 6.125% 4/1/30(b) | | 1,000 | 792 |
| 6.875% 4/15/29(b) | | 8,000 | 6,884 |
| 10.875% 1/15/32(b) | | 1,000 | 1,083 |
| Cigna Group 3.4% 3/15/51 | | 55,000 | 38,985 |
| DaVita, Inc.: | | | |
| 3.75% 2/15/31(b) | | 6,000 | 5,341 |
| 6.875% 9/1/32(b) | | 5,000 | 5,115 |
| Encompass Health Corp. 4.625% 4/1/31 | | 5,000 | 4,734 |
| Humana, Inc. 3.7% 3/23/29 | | 70,000 | 67,567 |
| LifePoint Health, Inc. 10% 6/1/32 (b) | | 5,000 | 5,427 |
| ModivCare Escrow Issuer, Inc. 5% 10/1/29 (b) | | 1,000 | 715 |
| Owens & Minor, Inc. 6.625% 4/1/30 (b) | | 3,000 | 2,903 |
| Pediatrix Medical Group, Inc. 5.375% 2/15/30 (b) | | 4,000 | 3,825 |
| Prime Healthcare Services 9.375% 9/1/29 (b) | | 5,000 | 5,040 |
| Radiology Partners, Inc. 7.775% 1/31/29 pay-in-kind (b)(c) | | 3,833 | 3,684 |
| Surgery Center Holdings, Inc. 7.25% 4/15/32 (b) | | 5,000 | 5,252 |
| Tenet Healthcare Corp. 6.125% 10/1/28 | | 20,000 | 20,037 |
| U.S. Acute Care Solutions 9.75% 5/15/29 (b) | | 2,000 | 2,046 |
| | | | 207,250 |
| Health Care Technology - 0.0% | | | |
| IQVIA, Inc.: | | | |
| 5% 10/15/26(b) | | 2,000 | 1,986 |
| 5% 5/15/27(b) | | 3,000 | 2,978 |
| | | | 4,964 |
| Life Sciences Tools & Services - 0.0% | | | |
| Charles River Laboratories International, Inc. 3.75% 3/15/29 (b) | | 2,000 | 1,874 |
| Pharmaceuticals - 1.2% | | | |
| AstraZeneca Finance LLC 1.75% 5/28/28 | | 70,000 | 64,115 |
| Bristol-Myers Squibb Co. 2.95% 3/15/32 | | 25,000 | 22,460 |
| Organon & Co. / Organon Foreign Debt Co-Issuer BV 5.125% 4/30/31 (b) | | 7,000 | 6,556 |
| Zoetis, Inc. 2% 5/15/30 | | 50,000 | 43,638 |
| | | | 136,769 |
TOTAL HEALTH CARE | | | 461,537 |
| | | | |
| INDUSTRIALS - 3.1% | | | |
| Aerospace & Defense - 0.1% | | | |
| Bombardier, Inc.: | | | |
| 7% 6/1/32(b) | | 5,000 | 5,205 |
| 7.25% 7/1/31(b) | | 5,000 | 5,248 |
| Spirit Aerosystems, Inc. 9.75% 11/15/30 (b) | | 2,000 | 2,238 |
| TransDigm, Inc. 6.375% 3/1/29 (b) | | 5,000 | 5,153 |
| | | | 17,844 |
| Air Freight & Logistics - 0.1% | | | |
| Rand Parent LLC 8.5% 2/15/30 (b) | | 7,000 | 7,000 |
| Building Products - 0.7% | | | |
| Advanced Drain Systems, Inc. 6.375% 6/15/30 (b) | | 1,000 | 1,017 |
| Builders FirstSource, Inc. 6.375% 3/1/34 (b) | | 5,000 | 5,133 |
| Carrier Global Corp. 2.493% 2/15/27 | | 70,000 | 67,093 |
| Cornerstone Building Brands, Inc. 6.125% 1/15/29 (b) | | 4,000 | 3,337 |
| MasterBrand, Inc. 7% 7/15/32 (b) | | 1,000 | 1,030 |
| Oscar Acquisition Co. LLC / Oscar Finance, Inc. 9.5% 4/15/30 (b) | | 3,000 | 2,817 |
| | | | 80,427 |
| Commercial Services & Supplies - 0.3% | | | |
| APX Group, Inc.: | | | |
| 5.75% 7/15/29(b) | | 6,000 | 5,945 |
| 6.75% 2/15/27(b) | | 1,000 | 1,002 |
| Artera Services LLC 8.5% 2/15/31 (b) | | 10,000 | 10,011 |
| Brand Industrial Services, Inc. 10.375% 8/1/30 (b) | | 5,000 | 5,448 |
| Cimpress PLC 7% 6/15/26 | | 1,000 | 997 |
| Neptune BidCo U.S., Inc. 9.29% 4/15/29 (b) | | 1,000 | 999 |
| Reworld Holding Corp. 4.875% 12/1/29 (b) | | 14,000 | 12,991 |
| Williams Scotsman, Inc. 6.625% 6/15/29 (b) | | 5,000 | 5,162 |
| | | | 42,555 |
| Construction & Engineering - 0.1% | | | |
| ATP Tower Holdings LLC/Andean Tower Partners 4.05% 4/27/26 (b) | | 3,000 | 2,870 |
| Railworks Holdings LP 8.25% 11/15/28 (b) | | 5,000 | 5,108 |
| | | | 7,978 |
| Electrical Equipment - 0.1% | | | |
| Atkore, Inc. 4.25% 6/1/31 (b) | | 4,000 | 3,630 |
| Sensata Technologies BV 4% 4/15/29 (b) | | 4,000 | 3,766 |
| | | | 7,396 |
| Ground Transportation - 0.2% | | | |
| Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | | | |
| 5.375% 3/1/29(b) | | 3,000 | 2,749 |
| 5.75% 7/15/27(b) | | 8,000 | 7,817 |
| Uber Technologies, Inc. 4.5% 8/15/29 (b) | | 17,000 | 16,672 |
| | | | 27,238 |
| Industrial Conglomerates - 0.9% | | | |
| Honeywell International, Inc. 1.75% 9/1/31 | | 55,000 | 46,427 |
| Trane Technologies Financing Ltd. 3.8% 3/21/29 | | 60,000 | 58,453 |
| | | | 104,880 |
| Machinery - 0.4% | | | |
| Chart Industries, Inc. 9.5% 1/1/31 (b) | | 2,000 | 2,172 |
| Otis Worldwide Corp. 2.565% 2/15/30 | | 50,000 | 45,156 |
| TK Elevator Holdco GmbH 7.625% 7/15/28 (b) | | 2,000 | 2,003 |
| | | | 49,331 |
| Marine Transportation - 0.0% | | | |
| Seaspan Corp. 5.5% 8/1/29 (b) | | 3,000 | 2,857 |
| Passenger Airlines - 0.1% | | | |
| Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. 11% 4/15/29 (b) | | 2,650 | 2,697 |
| JetBlue Airways Corp./JetBlue Loyalty LP 9.875% 9/20/31 (b) | | 5,000 | 4,942 |
| Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd. 8% 9/20/25 (b) | | 2,000 | 1,249 |
| | | | 8,888 |
| Trading Companies & Distributors - 0.1% | | | |
| Beacon Roofing Supply, Inc. 6.5% 8/1/30 (b) | | 1,000 | 1,027 |
| FLY Leasing Ltd. 7% 10/15/24 (b) | | 1,000 | 994 |
| United Rentals North America, Inc. 6.125% 3/15/34 (b) | | 5,000 | 5,107 |
| | | | 7,128 |
TOTAL INDUSTRIALS | | | 363,522 |
| | | | |
| INFORMATION TECHNOLOGY - 2.5% | | | |
| Communications Equipment - 0.2% | | | |
| HTA Group Ltd. 7.5% 6/4/29 (b) | | 12,000 | 12,077 |
| IHS Netherlands Holdco BV 8% 9/18/27 (b) | | 3,000 | 2,991 |
| ViaSat, Inc. 5.625% 9/15/25 (b) | | 4,000 | 3,960 |
| | | | 19,028 |
| Electronic Equipment, Instruments & Components - 0.6% | | | |
| CPI CG, Inc. 10% 7/15/29 (b) | | 5,000 | 5,259 |
| Dell International LLC/EMC Corp. 6.2% 7/15/30 | | 45,000 | 48,496 |
| Insight Enterprises, Inc. 6.625% 5/15/32 (b) | | 5,000 | 5,176 |
| Lightning Power LLC 7.25% 8/15/32 (b) | | 5,000 | 5,166 |
| TTM Technologies, Inc. 4% 3/1/29 (b) | | 4,000 | 3,775 |
| | | | 67,872 |
| IT Services - 0.2% | | | |
| Ahead DB Holdings LLC 6.625% 5/1/28 (b) | | 2,000 | 1,919 |
| Amentum Escrow Corp. 7.25% 8/1/32 (b) | | 5,000 | 5,228 |
| Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.5% 3/1/29 (b) | | 12,000 | 11,158 |
| Unisys Corp. 6.875% 11/1/27 (b) | | 3,000 | 2,808 |
| Virtusa Corp. 7.125% 12/15/28 (b) | | 1,000 | 941 |
| | | | 22,054 |
| Semiconductors & Semiconductor Equipment - 0.9% | | | |
| Entegris, Inc.: | | | |
| 3.625% 5/1/29(b) | | 9,000 | 8,286 |
| 5.95% 6/15/30(b) | | 10,000 | 10,136 |
| Micron Technology, Inc. 2.703% 4/15/32 | | 55,000 | 47,120 |
| NXP BV/NXP Funding LLC/NXP U.S.A., Inc. 2.5% 5/11/31 | | 50,000 | 43,071 |
| ON Semiconductor Corp. 3.875% 9/1/28 (b) | | 1,000 | 950 |
| | | | 109,563 |
| Software - 0.5% | | | |
| Cloud Software Group, Inc.: | | | |
| 6.5% 3/31/29(b) | | 3,000 | 2,957 |
| 8.25% 6/30/32(b) | | 5,000 | 5,235 |
| 9% 9/30/29(b) | | 7,000 | 7,045 |
| Elastic NV 4.125% 7/15/29 (b) | | 9,000 | 8,385 |
| Gen Digital, Inc.: | | | |
| 5% 4/15/25(b) | | 7,000 | 6,973 |
| 7.125% 9/30/30(b) | | 3,000 | 3,134 |
| NCR Voyix Corp. 5.125% 4/15/29 (b) | | 3,000 | 2,942 |
| Open Text Corp.: | | | |
| 3.875% 2/15/28(b) | | 3,000 | 2,844 |
| 3.875% 12/1/29(b) | | 7,000 | 6,453 |
| Open Text Holdings, Inc.: | | | |
| 4.125% 2/15/30(b) | | 5,000 | 4,643 |
| 4.125% 12/1/31(b) | | 2,000 | 1,821 |
| Rackspace Finance LLC 3.5% 5/15/28 (b) | | 1,670 | 755 |
| UKG, Inc. 6.875% 2/1/31 (b) | | 5,000 | 5,172 |
| Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (b) | | 1,000 | 914 |
| | | | 59,273 |
| Technology Hardware, Storage & Peripherals - 0.1% | | | |
| Seagate HDD Cayman: | | | |
| 4.125% 1/15/31 | | 3,000 | 2,724 |
| 5.75% 12/1/34 | | 2,000 | 2,001 |
| 8.25% 12/15/29 | | 5,000 | 5,420 |
| Western Digital Corp.: | | | |
| 2.85% 2/1/29 | | 4,000 | 3,589 |
| 3.1% 2/1/32 | | 4,000 | 3,366 |
| 4.75% 2/15/26 | | 1,000 | 991 |
| | | | 18,091 |
TOTAL INFORMATION TECHNOLOGY | | | 295,881 |
| | | | |
| MATERIALS - 2.1% | | | |
| Chemicals - 1.1% | | | |
| Axalta Coating Systems LLC 3.375% 2/15/29 (b) | | 3,000 | 2,782 |
| Consolidated Energy Finance SA 12% 2/15/31 (b) | | 5,000 | 4,921 |
| Herens HoldCo Sarl 4.75% 5/15/28 (b) | | 2,000 | 1,744 |
| International Flavors & Fragrances, Inc. 2.3% 11/1/30 (b) | | 80,000 | 69,363 |
| Kobe U.S. Midco 2, Inc. 9.25% 11/1/26 pay-in-kind (b)(c) | | 3,307 | 2,712 |
| Methanex Corp.: | | | |
| 5.125% 10/15/27 | | 5,000 | 4,922 |
| 5.65% 12/1/44 | | 10,000 | 8,932 |
| NOVA Chemicals Corp.: | | | |
| 4.25% 5/15/29(b) | | 1,000 | 912 |
| 8.5% 11/15/28(b) | | 5,000 | 5,331 |
| 9% 2/15/30(b) | | 5,000 | 5,371 |
| Olin Corp. 5% 2/1/30 | | 5,000 | 4,833 |
| Olympus Water U.S. Holding Corp.: | | | |
| 6.25% 10/1/29(b) | | 9,000 | 8,453 |
| 9.75% 11/15/28(b) | | 2,000 | 2,130 |
| SCIH Salt Holdings, Inc. 6.625% 5/1/29 (b) | | 1,000 | 957 |
| The Chemours Co. LLC 4.625% 11/15/29 (b) | | 13,000 | 11,436 |
| | | | 134,799 |
| Construction Materials - 0.1% | | | |
| Eco Material Technologies, Inc. 7.875% 1/31/27 (b) | | 6,000 | 6,077 |
| Containers & Packaging - 0.4% | | | |
| Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC: | | | |
| 4% 9/1/29(b) | | 9,000 | 7,756 |
| 6% 6/15/27(b) | | 1,000 | 997 |
| Berry Global, Inc. 5.625% 7/15/27 (b) | | 10,000 | 9,985 |
| Clydesdale Acquisition Holdings, Inc.: | | | |
| 6.625% 4/15/29(b) | | 2,000 | 1,997 |
| 6.875% 1/15/30(b) | | 5,000 | 5,018 |
| 8.75% 4/15/30(b) | | 3,000 | 2,993 |
| Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26 | | 6,000 | 5,943 |
| Graphic Packaging International, Inc. 6.375% 7/15/32 (b) | | 5,000 | 5,112 |
| Owens-Brockway Glass Container, Inc. 7.375% 6/1/32 (b) | | 1,000 | 1,005 |
| Sealed Air Corp. 6.5% 7/15/32 (b) | | 5,000 | 5,115 |
| | | | 45,921 |
| Metals & Mining - 0.5% | | | |
| ATI, Inc.: | | | |
| 4.875% 10/1/29 | | 6,000 | 5,818 |
| 7.25% 8/15/30 | | 5,000 | 5,310 |
| Eldorado Gold Corp. 6.25% 9/1/29 (b) | | 6,000 | 5,926 |
| ERO Copper Corp. 6.5% 2/15/30 (b) | | 11,000 | 10,719 |
| First Quantum Minerals Ltd. 6.875% 10/15/27 (b) | | 9,000 | 8,902 |
| FMG Resources August 2006 Pty Ltd. 6.125% 4/15/32 (b) | | 10,000 | 9,987 |
| HudBay Minerals, Inc.: | | | |
| 4.5% 4/1/26(b) | | 1,000 | 986 |
| 6.125% 4/1/29(b) | | 2,000 | 2,019 |
| Mineral Resources Ltd. 8.5% 5/1/30 (b) | | 12,000 | 12,479 |
| | | | 62,146 |
| Paper & Forest Products - 0.0% | | | |
| Mercer International, Inc. 5.125% 2/1/29 | | 3,000 | 2,452 |
TOTAL MATERIALS | | | 251,395 |
| | | | |
| REAL ESTATE - 4.7% | | | |
| Equity Real Estate Investment Trusts (REITs) - 3.4% | | | |
| Alexandria Real Estate Equities, Inc. 2% 5/18/32 | | 70,000 | 56,871 |
| Boston Properties, Inc.: | | | |
| 2.45% 10/1/33 | | 75,000 | 58,369 |
| 6.75% 12/1/27 | | 8,000 | 8,362 |
| Brixmor Operating Partnership LP 5.75% 2/15/35 | | 30,000 | 31,047 |
| Corporate Office Properties LP 2% 1/15/29 | | 40,000 | 35,180 |
| Hudson Pacific Properties LP 5.95% 2/15/28 | | 54,000 | 48,232 |
| MPT Operating Partnership LP/MPT Finance Corp.: | | | |
| 4.625% 8/1/29 | | 5,000 | 3,845 |
| 5% 10/15/27 | | 9,000 | 7,639 |
| 5.25% 8/1/26 | | 4,000 | 3,763 |
| Omega Healthcare Investors, Inc. 3.25% 4/15/33 | | 2,000 | 1,692 |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co.-Issuer 7% 2/1/30 (b) | | 5,000 | 5,125 |
| Prologis LP 2.875% 11/15/29 | | 65,000 | 60,314 |
| Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC 6% 1/15/30 (b) | | 17,000 | 12,454 |
| Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC: | | | |
| 10.5% 2/15/28(b) | | 8,000 | 8,208 |
| 10.5% 2/15/28(b) | | 2,000 | 2,052 |
| VICI Properties LP 6.125% 4/1/54 | | 2,000 | 2,040 |
| WP Carey, Inc. 2.45% 2/1/32 | | 70,000 | 58,788 |
| | | | 403,981 |
| Real Estate Management & Development - 1.3% | | | |
| Anywhere Real Estate Group LLC 7% 4/15/30 (b) | | 800 | 709 |
| CBRE Group, Inc. 2.5% 4/1/31 | | 55,000 | 47,400 |
| Howard Hughes Corp. 4.375% 2/1/31 (b) | | 5,000 | 4,482 |
| Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.125% 8/1/30 (b) | | 7,000 | 6,918 |
| Vonovia SE 0.625% 3/24/31 (Reg. S) | EUR | 100,000 | 90,628 |
| | | | 150,137 |
TOTAL REAL ESTATE | | | 554,118 |
| | | | |
| UTILITIES - 5.8% | | | |
| Electric Utilities - 2.8% | | | |
| Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30 | | 75,000 | 71,380 |
| DPL, Inc.: | | | |
| 4.125% 7/1/25 | | 1,000 | 982 |
| 4.35% 4/15/29 | | 14,000 | 13,089 |
| Duke Energy Carolinas LLC 3.95% 11/15/28 | | 65,000 | 64,254 |
| NextEra Energy Partners LP 4.5% 9/15/27 (b) | | 1,000 | 966 |
| Northern States Power Co. 2.25% 4/1/31 | | 80,000 | 69,702 |
| Oncor Electric Delivery Co. LLC 4.15% 6/1/32 | | 45,000 | 43,447 |
| Wisconsin Electric Power Co. 4.75% 9/30/32 | | 65,000 | 66,027 |
| | | | 329,847 |
| Independent Power and Renewable Electricity Producers - 1.1% | | | |
| Sunnova Energy Corp. 5.875% 9/1/26 (b) | | 10,000 | 9,395 |
| TerraForm Power Operating LLC % (b) | | 4,000 | 3,777 |
| The AES Corp.: | | | |
| 1.375% 1/15/26 | | 70,000 | 66,675 |
| 2.45% 1/15/31 | | 68,000 | 57,989 |
| | | | 137,836 |
| Multi-Utilities - 1.9% | | | |
| Algonquin Power & Utilities Corp. 4.75% 1/18/82 (c) | | 5,000 | 4,643 |
| Dominion Energy, Inc. 2.25% 8/15/31 | | 80,000 | 67,977 |
| NiSource, Inc. 1.7% 2/15/31 | | 120,000 | 99,700 |
| Puget Energy, Inc. 4.224% 3/15/32 | | 60,000 | 55,328 |
| | | | 227,648 |
TOTAL UTILITIES | | | 695,331 |
| | | | |
| TOTAL NONCONVERTIBLE BONDS | | | 5,135,438 |
| TOTAL CORPORATE BONDS (Cost $5,229,841) | | | 5,162,560 |
| | | | |
| U.S. Treasury Obligations - 25.8% |
| | | Principal Amount (a) | Value ($) |
| U.S. Treasury Bonds: | | | |
| 2.25% 5/15/41 (f) | | 39,000 | 29,645 |
| 2.25% 2/15/52 | | 1,170,000 | 787,138 |
| 3.375% 8/15/42 | | 80,000 | 70,788 |
| 3.625% 2/15/53 | | 113,000 | 101,360 |
| 4.25% 2/15/54 | | 132,000 | 132,516 |
| 4.625% 5/15/54 | | 40,000 | 42,750 |
| U.S. Treasury Notes: | | | |
| 3.375% 5/15/33 | | 375,000 | 360,850 |
| 3.5% 2/15/33 | | 715,000 | 695,561 |
| 3.625% 3/31/30 | | 200,000 | 198,461 |
| 3.75% 5/31/30 | | 30,000 | 29,951 |
| 4% 1/31/29 | | 150,000 | 151,518 |
| 4% 1/31/31 | | 79,000 | 79,867 |
| 4% 2/15/34 | | 58,000 | 58,363 |
| 4.125% 8/31/30 | | 115,000 | 117,062 |
| 4.375% 11/30/30 | | 164,000 | 169,189 |
| 4.625% 5/31/31 | | 44,000 | 46,097 |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $3,303,329) | | | 3,071,116 |
| | | | |
| U.S. Government Agency - Mortgage Securities - 29.8% |
| | | Principal Amount (a) | Value ($) |
| Fannie Mae - 3.4% | | | |
| 2% 11/1/40 | | 23,461 | 20,397 |
| 2.5% 10/1/51 to 11/1/51 | | 69,847 | 59,842 |
| 3% 2/1/52 to 5/1/52 | | 82,226 | 73,273 |
| 4% 1/1/51 | | 23,030 | 22,085 |
| 5% 12/1/52 to 1/1/54 | | 107,041 | 106,331 |
| 5.5% 6/1/54 | | 49,759 | 50,150 |
| 6% 6/1/54 | | 49,568 | 50,549 |
| 6.5% 6/1/54 | | 17,351 | 17,877 |
TOTAL FANNIE MAE | | | 400,504 |
| Freddie Mac - 1.7% | | | |
| 1.5% 4/1/51 | | 45,993 | 35,982 |
| 2.5% 9/1/51 to 12/1/51 | | 75,948 | 65,069 |
| 3% 5/1/35 to 5/1/51 | | 62,090 | 57,908 |
| 4.5% 12/1/52 | | 44,267 | 43,092 |
TOTAL FREDDIE MAC | | | 202,051 |
| Ginnie Mae - 7.0% | | | |
| 2% 2/20/51 to 3/20/52 | | 144,972 | 121,990 |
| 2% 9/1/54 (g) | | 100,000 | 84,195 |
| 2.5% 8/20/51 to 5/20/52 | | 123,969 | 108,300 |
| 3% 9/1/54 (g) | | 50,000 | 45,216 |
| 3% 9/1/54 (g) | | 25,000 | 22,608 |
| 3.5% 9/1/54 (g) | | 25,000 | 23,266 |
| 3.5% 9/1/54 (g) | | 25,000 | 23,266 |
| 4.5% 4/20/53 | | 48,198 | 47,195 |
| 5% 9/1/54 (g) | | 25,000 | 24,973 |
| 5% 10/1/54 (g) | | 25,000 | 24,912 |
| 6% 9/1/54 (g) | | 200,000 | 202,900 |
| 6% 10/1/54 (g) | | 100,000 | 101,407 |
TOTAL GINNIE MAE | | | 830,228 |
| Uniform Mortgage Backed Securities - 17.7% | | | |
| 2% 9/1/39 (g) | | 50,000 | 45,215 |
| 2% 10/1/39 (g) | | 50,000 | 45,277 |
| 2% 9/1/54 (g) | | 350,000 | 286,262 |
| 2% 9/1/54 (g) | | 50,000 | 40,895 |
| 2% 9/1/54 (g) | | 50,000 | 40,895 |
| 2% 9/1/54 (g) | | 50,000 | 40,895 |
| 2% 9/1/54 (g) | | 125,000 | 102,236 |
| 2% 10/1/54 (g) | | 175,000 | 143,322 |
| 2% 10/1/54 (g) | | 200,000 | 163,797 |
| 2.5% 9/1/54 (g) | | 150,000 | 127,869 |
| 2.5% 9/1/54 (g) | | 50,000 | 42,623 |
| 2.5% 9/1/54 (g) | | 50,000 | 42,623 |
| 2.5% 10/1/54 (g) | | 200,000 | 170,695 |
| 3% 9/1/54 (g) | | 100,000 | 88,660 |
| 3% 9/1/54 (g) | | 25,000 | 22,165 |
| 3% 10/1/54 (g) | | 100,000 | 88,746 |
| 3.5% 9/1/54 (g) | | 100,000 | 92,043 |
| 4% 9/1/54 (g) | | 100,000 | 94,832 |
| 4.5% 9/1/54 (g) | | 25,000 | 24,329 |
| 5.5% 9/1/54 (g) | | 100,000 | 100,684 |
| 6% 9/1/54 (g) | | 50,000 | 50,920 |
| 6% 9/1/54 (g) | | 50,000 | 50,920 |
| 6% 9/1/54 (g) | | 25,000 | 25,460 |
| 6.5% 9/1/54 (g) | | 175,000 | 180,188 |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | | | 2,111,551 |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $3,489,056) | | | 3,544,334 |
| | | | |
| Asset-Backed Securities - 8.4% |
| | | Principal Amount (a) | Value ($) |
| Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.500% 6.782% 7/20/35 (b)(c)(d) | | 250,000 | 250,159 |
| Cedar Funding Ltd. Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.360% 6.663% 7/15/33 (b)(c)(d) | | 250,000 | 250,252 |
| CEDF Series 2021-6A Class ARR, CME Term SOFR 3 Month Index + 1.310% 6.5936% 4/20/34 (b)(c)(d) | | 100,000 | 99,978 |
| Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/49 (b) | | 47,750 | 44,490 |
| Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, CME Term SOFR 3 Month Index + 1.340% 6.6236% 4/20/33 (b)(c)(d) | | 300,196 | 300,496 |
| Verizon Master Trust Series 2021-2 Class A, 0.99% 4/20/28 | | 54,000 | 53,681 |
| TOTAL ASSET-BACKED SECURITIES (Cost $992,146) | | | 999,056 |
| | | | |
| Commercial Mortgage Securities - 1.0% |
| | | Principal Amount (a) | Value ($) |
BXHPP Trust floater Series 2021-FILM Class A, CME Term SOFR 1 Month Index + 0.760% 6.1015% 8/15/36 (b)(c)(d) (Cost $121,394) | | 125,000 | 120,286 |
| | | | |
| Foreign Government and Government Agency Obligations - 0.1% |
| | | Principal Amount (a) | Value ($) |
German Federal Republic 2.6% 8/15/34(Reg. S) (Cost $14,842) | EUR | 13,000 | 14,741 |
| | | | |
| Common Stocks - 0.1% |
| | | Shares | Value ($) |
| HEALTH CARE - 0.1% | | | |
| Health Care Providers & Services - 0.1% | | | |
| Cano Health, Inc. (h) | | 134 | 1,486 |
| Cano Health, Inc. warrants (h)(i) | | 14 | 51 |
| Centene Corp. (i) | | 15 | 1,182 |
| | | | 2,719 |
| INFORMATION TECHNOLOGY - 0.0% | | | |
| Electronic Equipment, Instruments & Components - 0.0% | | | |
| Coherent Corp. (i) | | 19 | 1,481 |
| TOTAL COMMON STOCKS (Cost $7,616) | | | 4,200 |
| | | | |
| Bank Loan Obligations - 0.5% |
| | | Principal Amount (a) | Value ($) |
| CONSUMER DISCRETIONARY - 0.2% | | | |
| Automobile Components - 0.0% | | | |
| Power Stop LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 9.9072% 1/26/29 (c)(d)(j) | | 997 | 958 |
| Diversified Consumer Services - 0.0% | | | |
| Spin Holdco, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.6001% 3/4/28 (c)(d)(j) | | 4,974 | 4,211 |
| Hotels, Restaurants & Leisure - 0.1% | | | |
| Bulldog Purchaser, Inc. Tranche B 2LN, term loan CME Term SOFR 3 Month Index + 6.750% 12.0846% 6/14/32 (c)(d)(j) | | 5,000 | 4,958 |
| United PF Holdings LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.5137% 12/30/26 (c)(d)(j) | | 4,966 | 4,514 |
| | | | 9,472 |
| Household Durables - 0.0% | | | |
| Mattress Firm, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.8462% 9/24/28 (c)(d)(j) | | 2,000 | 1,999 |
| Specialty Retail - 0.1% | | | |
| Staples, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.750% 11.0844% 9/10/29 (c)(d)(j) | | 5,000 | 4,550 |
TOTAL CONSUMER DISCRETIONARY | | | 21,190 |
| ENERGY - 0.0% | | | |
| Oil, Gas & Consumable Fuels - 0.0% | | | |
| EG America LLC Tranche BC 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 11.0716% 2/7/28 (c)(d)(j) | | 997 | 994 |
| FINANCIALS - 0.0% | | | |
| Financial Services - 0.0% | | | |
| Nexus Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3437% 7/18/31 (c)(d)(j) | | 5,000 | 4,951 |
| HEALTH CARE - 0.1% | | | |
| Health Care Providers & Services - 0.1% | | | |
| Cano Health, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 13.3346% 6/28/29 (c)(d)(h)(j) | | 784 | 782 |
| Modivcare, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.0816% 7/1/31 (c)(d)(j) | | 5,000 | 4,869 |
| | | | 5,651 |
| INDUSTRIALS - 0.0% | | | |
| Commercial Services & Supplies - 0.0% | | | |
| Brand Industrial Services, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.7477% 8/1/30 (c)(d)(j) | | 1,000 | 991 |
| INFORMATION TECHNOLOGY - 0.1% | | | |
| Software - 0.1% | | | |
| Ascend Learning LLC 2LN, term loan CME Term SOFR 1 Month Index + 5.750% 11.0967% 12/10/29 (c)(d)(j) | | 2,000 | 1,915 |
| Leia Finco U.S. LLC: | | | |
| 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 7/2/31 (d)(j)(k) | | 4,000 | 3,961 |
| 2LN, term loan CME Term SOFR 1 Month Index + 5.250% 7/2/32 (d)(j)(k) | | 5,000 | 4,892 |
| Polaris Newco LLC: | | | |
| 2LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.4321% 6/4/29 (c)(d)(j) | | 2,000 | 1,967 |
| Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.5137% 6/2/28 (c)(d)(j) | | 1,000 | 992 |
| | | | 13,727 |
| MATERIALS - 0.1% | | | |
| Chemicals - 0.1% | | | |
| American Rock Salt Co. LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.3188% 6/4/28 (c)(d)(j) | | 995 | 784 |
| Hexion, Inc. 2LN, term loan CME Term SOFR 1 Month Index + 7.430% 12.7842% 3/15/30 (c)(d)(j) | | 1,000 | 896 |
| M2S Group Intermediate Holding Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 9.8518% 8/25/31 (c)(d)(j) | | 5,000 | 4,688 |
| | | | 6,368 |
| UTILITIES - 0.0% | | | |
| Independent Power and Renewable Electricity Producers - 0.0% | | | |
| Enstall Group BV Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.5962% 8/27/28 (c)(d)(h)(j) | | 3,917 | 3,702 |
| Win Waste Innovations Holdings Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1112% 3/25/28 (c)(d)(j) | | 1,000 | 934 |
| | | | 4,636 |
| TOTAL BANK LOAN OBLIGATIONS (Cost $59,153) | | | 58,508 |
| | | | |
| Preferred Securities - 1.1% |
| | | Principal Amount (a) | Value ($) |
| COMMUNICATION SERVICES - 0.9% | | | |
| Diversified Telecommunication Services - 0.9% | | | |
| Telefonica Europe BV 2.502% (Reg. S) (c)(l) | EUR | 100,000 | 107,155 |
| ENERGY - 0.0% | | | |
| Oil, Gas & Consumable Fuels - 0.0% | | | |
| Energy Transfer LP 6.625% (c)(l) | | 1,000 | 976 |
| EnLink Midstream Partners LP CME Term SOFR 3 Month Index + 4.370% 9.7156% (c)(d)(l) | | 1,000 | 1,018 |
| | | | 1,994 |
| FINANCIALS - 0.2% | | | |
| Banks - 0.1% | | | |
| Citigroup, Inc. 7.125% (c)(l) | | 5,000 | 5,208 |
| M&T Bank Corp.: | | | |
| 3.5% (c)(l) | | 1,000 | 885 |
| 5.125% (c)(l) | | 1,000 | 990 |
| Wells Fargo & Co. 6.85% (c)(l) | | 5,000 | 5,175 |
| | | | 12,258 |
| Consumer Finance - 0.1% | | | |
| Ally Financial, Inc.: | | | |
| 4.7% (c)(l) | | 5,000 | 4,555 |
| 4.7% (c)(l) | | 1,000 | 835 |
| | | | 5,390 |
TOTAL FINANCIALS | | | 17,648 |
| INDUSTRIALS - 0.0% | | | |
| Trading Companies & Distributors - 0.0% | | | |
| AerCap Holdings NV 5.875% 10/10/79 (c) | | 3,000 | 3,065 |
| Aircastle Ltd. 5.25% (b)(c)(l) | | 1,000 | 1,007 |
| | | | 4,072 |
| TOTAL PREFERRED SECURITIES (Cost $118,870) | | | 130,869 |
| | | | |
| Money Market Funds - 11.5% |
| | | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (m) (Cost $1,368,912) | | 1,368,639 | 1,368,912 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 121.7% (Cost $14,705,159) | 14,474,582 |
NET OTHER ASSETS (LIABILITIES) - (21.7)% | (2,578,723) |
| NET ASSETS - 100.0% | 11,895,859 |
| | |
| TBA Sale Commitments |
| | Principal Amount (a) | Value ($) |
| Ginnie Mae | | |
| 5% 9/1/54 | (25,000) | (24,974) |
| 6% 9/1/54 | (100,000) | (101,450) |
| | | |
| TOTAL GINNIE MAE | | (126,424) |
| | | |
| Uniform Mortgage Backed Securities | | |
| 2% 9/1/39 | (50,000) | (45,215) |
| 2% 9/1/54 | (175,000) | (143,131) |
| 2% 9/1/54 | (125,000) | (102,236) |
| 2% 9/1/54 | (200,000) | (163,578) |
| 2.5% 9/1/54 | (200,000) | (170,492) |
| 3% 9/1/54 | (100,000) | (88,660) |
| | | |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES | | (713,312) |
| | | |
TOTAL TBA SALE COMMITMENTS (Proceeds $829,162) | | (839,736) |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Treasury Contracts | | | | | |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 1 | Dec 2024 | 207,547 | (275) | (275) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 2 | Dec 2024 | 218,797 | (941) | (941) |
| | | | | | |
| TOTAL PURCHASED | | | | | (1,216) |
| | | | | | |
| Sold | | | | | |
| | | | | | |
| Bond Index Contracts | | | | | |
| Eurex Euro-Schatz Contracts (Germany) | 1 | Dec 2024 | 117,891 | 88 | 88 |
| | | | | | |
| TOTAL FUTURES CONTRACTS | | | | | (1,128) |
| The notional amount of futures purchased as a percentage of Net Assets is 3.5% |
| The notional amount of futures sold as a percentage of Net Assets is 1.0% |
| Forward Foreign Currency Contracts |
Currency Purchased
| Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) |
| | | | | | | |
| USD | 2,220 | EUR | 2,000 | BNP Paribas S.A. | 10/03/24 | 6 |
| USD | 420,073 | EUR | 380,000 | Bank of America, N.A. | 10/03/24 | (537) |
| USD | 121,793 | GBP | 94,000 | State Street Bank and Trust Co | 10/03/24 | (1,690) |
| | | | | | | |
| TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | | (2,221) |
| Unrealized Appreciation | | | 6 |
| Unrealized Depreciation | | | (2,227) |
Currency Abbreviations
| EUR | - | European Monetary Unit |
| GBP | - | British pound sterling |
| USD | - | U.S. dollar |
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,390,881 or 20.1% of net assets. |
| (c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (d) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (e) | Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
| (f) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $19,166. |
| (g) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
| (j) | Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
| (k) | The coupon rate will be determined upon settlement of the loan after period end. |
| (l) | Security is perpetual in nature with no stated maturity date. |
| (m) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 1,117,825 | 3,037,682 | 2,786,595 | 76,648 | - | - | 1,368,912 | 0.0% |
| Total | 1,117,825 | 3,037,682 | 2,786,595 | 76,648 | - | - | 1,368,912 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Equities: | | | | |
Health Care | 2,719 | 1,182 | - | 1,537 |
Information Technology | 1,481 | 1,481 | - | - |
|
| Corporate Bonds | 5,162,560 | - | 5,162,560 | - |
|
| U.S. Government and Government Agency Obligations | 3,071,116 | - | 3,071,116 | - |
|
| U.S. Government Agency - Mortgage Securities | 3,544,334 | - | 3,544,334 | - |
|
| Asset-Backed Securities | 999,056 | - | 999,056 | - |
|
| Commercial Mortgage Securities | 120,286 | - | 120,286 | - |
|
| Foreign Government and Government Agency Obligations | 14,741 | - | 14,741 | - |
|
| Bank Loan Obligations | 58,508 | - | 54,024 | 4,484 |
|
| Preferred Securities | 130,869 | - | 130,869 | - |
|
| Money Market Funds | 1,368,912 | 1,368,912 | - | - |
| Total Investments in Securities: | 14,474,582 | 1,371,575 | 13,096,986 | 6,021 |
Derivative Instruments: Assets | | | | |
Futures Contracts | 88 | 88 | - | - |
Forward Foreign Currency Contracts | 6 | - | 6 | - |
| Total Assets | 94 | 88 | 6 | - |
| Liabilities | | | | |
Futures Contracts | (1,216) | (1,216) | - | - |
Forward Foreign Currency Contracts | (2,227) | - | (2,227) | - |
| Total Liabilities | (3,443) | (1,216) | (2,227) | - |
| Total Derivative Instruments: | (3,349) | (1,128) | (2,221) | - |
Other Financial Instruments: | | | | |
TBA Sale Commitments | (839,736) | - | (839,736) | - |
| Total Other Financial Instruments: | (839,736) | - | (839,736) | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Foreign Exchange Risk | | |
Forward Foreign Currency Contracts (a) | 6 | (2,227) |
| Total Foreign Exchange Risk | 6 | (2,227) |
| Interest Rate Risk | | |
Futures Contracts (b) | 88 | (1,216) |
| Total Interest Rate Risk | 88 | (1,216) |
| Total Value of Derivatives | 94 | (3,443) |
(a)Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.
(b)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
Fidelity® Sustainable Core Plus Bond ETF
Financial Statements
| Statement of Assets and Liabilities |
As of August 31, 2024 |
| Assets | | | | |
| Investment in securities, at value - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $13,336,247) | $ | 13,105,670 | | |
Fidelity Central Funds (cost $1,368,912) | | 1,368,912 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $14,705,159) | | | $ | 14,474,582 |
| Cash | | | | 34,628 |
| Foreign currency held at value (cost $4,999) | | | | 4,985 |
| Receivable for investments sold | | | | 25,335 |
| Receivable for TBA sale commitments | | | | 829,162 |
| Unrealized appreciation on forward foreign currency contracts | | | | 6 |
| Interest receivable | | | | 85,079 |
| Distributions receivable from Fidelity Central Funds | | | | 5,894 |
Total assets | | | | 15,459,671 |
| Liabilities | | | | |
| Payable for investments purchased | | | | |
Regular delivery | $ | 51,405 | | |
Delayed delivery | | 2,621,752 | | |
| TBA sale commitments, at value | | 839,736 | | |
| Unrealized depreciation on forward foreign currency contracts | | 2,227 | | |
| Distributions payable | | 44,500 | | |
| Accrued management fee | | 3,575 | | |
| Payable for daily variation margin on futures contracts | | 528 | | |
| Other payables and accrued expenses | | 89 | | |
| Total liabilities | | | | 3,563,812 |
| Net Assets | | | $ | 11,895,859 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 12,508,298 |
| Total accumulated earnings (loss) | | | | (612,439) |
| Net Assets | | | $ | 11,895,859 |
Net Asset Value, offering price and redemption price per share ($11,895,859 ÷ 250,000 shares) | | | $ | 47.58 |
| Statement of Operations |
| Year ended August 31, 2024 |
| Investment Income | | | | |
| Dividends | | | $ | 4,986 |
| Interest | | | | 492,778 |
| Income from Fidelity Central Funds | | | | 76,648 |
| Total income | | | | 574,412 |
| Expenses | | | | |
| Management fee | $ | 41,505 | | |
| Independent trustees' fees and expenses | | 35 | | |
| Miscellaneous | | 108 | | |
| Total expenses before reductions | | 41,648 | | |
| Expense reductions | | (1,693) | | |
| Total expenses after reductions | | | | 39,955 |
| Net Investment income (loss) | | | | 534,457 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (61,700) | | |
| Forward foreign currency contracts | | 3,923 | | |
| Foreign currency transactions | | 118 | | |
| Futures contracts | | 4,125 | | |
| Total net realized gain (loss) | | | | (53,534) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 460,705 | | |
| Forward foreign currency contracts | | (9,167) | | |
| Assets and liabilities in foreign currencies | | 105 | | |
| Futures contracts | | (2,372) | | |
| TBA Sale commitments | | (5,900) | | |
| Total change in net unrealized appreciation (depreciation) | | | | 443,371 |
| Net gain (loss) | | | | 389,837 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 924,294 |
| Statement of Changes in Net Assets |
| |
| | Year ended August 31, 2024 | | Year ended August 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 534,457 | $ | 483,688 |
| Net realized gain (loss) | | (53,534) | | (308,279) |
| Change in net unrealized appreciation (depreciation) | | 443,371 | | (191,321) |
| Net increase (decrease) in net assets resulting from operations | | 924,294 | | (15,912) |
| Distributions to shareholders | | (522,000) | | (529,500) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 1,154,763 | | - |
| Cost of shares redeemed | | (1,152,343) | | - |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | 2,420 | | - |
| Total increase (decrease) in net assets | | 404,714 | | (545,412) |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 11,491,145 | | 12,036,557 |
| End of period | $ | 11,895,859 | $ | 11,491,145 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 25,000 | | - |
| Redeemed | | (25,000) | | - |
| | | | | |
Financial Highlights
Fidelity® Sustainable Core Plus Bond ETF |
| |
| Years ended August 31, | | 2024 | | 2023 | | 2022 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 45.96 | $ | 48.15 | $ | 50.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | 2.138 | | 1.935 | | .499 |
| Net realized and unrealized gain (loss) | | 1.570 | | (2.007) | | (1.851) |
| Total from investment operations | | 3.708 | | (.072) | | (1.352) |
| Distributions from net investment income | | (2.088) | | (2.089) | | (.498) |
| Distributions from net realized gain | | - | | (.029) | | - |
| Total distributions | | (2.088) | | (2.118) | | (.498) |
| Net asset value, end of period | $ | 47.58 | $ | 45.96 | $ | 48.15 |
Total Return D,E,F | | | | (.09)% | | (2.72)% |
Ratios to Average Net Assets C,G,H | | | | | | |
| Expenses before reductions | | .36% | | .36% | | .36% I |
| Expenses net of fee waivers, if any | | | | .36% | | .36% I |
| Expenses net of all reductions | | .35% | | .35% | | .36% I |
| Net investment income (loss) | | 4.64% | | 4.14% | | 2.77% I |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 11,896 | $ | 11,491 | $ | 12,037 |
Portfolio turnover rate J | | | | 303% | | 11% K |
AFor the period April 19, 2022 (commencement of operations) through August 31, 2022.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FBased on net asset value.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
KAmount not annualized.
Fidelity® Sustainable Low Duration Bond ETF
Schedule of Investments August 31, 2024
Showing Percentage of Net Assets
| Nonconvertible Bonds - 61.3% |
| | | Principal Amount (a) | Value ($) |
| COMMUNICATION SERVICES - 3.1% | | | |
| Diversified Telecommunication Services - 0.5% | | | |
| AT&T, Inc. 5.539% 2/20/26 | | 20,000 | 20,004 |
| Media - 0.9% | | | |
| Discovery Communications LLC 4.9% 3/11/26 | | 19,000 | 18,887 |
| Warnermedia Holdings, Inc. 3.788% 3/15/25 | | 16,000 | 15,853 |
| | | | 34,740 |
| Wireless Telecommunication Services - 1.7% | | | |
| Rogers Communications, Inc. 3.625% 12/15/25 | | 12,000 | 11,815 |
| Sprint Corp. 7.625% 3/1/26 | | 9,000 | 9,279 |
| T-Mobile U.S.A., Inc.: | | | |
| 2.625% 4/15/26 | | 10,000 | 9,689 |
| 3.5% 4/15/25 | | 32,000 | 31,657 |
| | | | 62,440 |
TOTAL COMMUNICATION SERVICES | | | 117,184 |
| CONSUMER DISCRETIONARY - 6.6% | | | |
| Automobiles - 4.2% | | | |
| American Honda Finance Corp. 2.15% 9/10/24 | | 26,000 | 25,982 |
| General Motors Financial Co., Inc.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 5.9767% 10/15/24 (b)(c) | | 25,000 | 25,008 |
| 3.8% 4/7/25 | | 11,000 | 10,903 |
| 4.3% 7/13/25 | | 15,000 | 14,902 |
| 5.4% 4/6/26 | | 11,000 | 11,101 |
| Hyundai Capital America: | | | |
| 2.65% 2/10/25 (d) | | 32,000 | 31,626 |
| 5.65% 6/26/26 (d) | | 11,000 | 11,161 |
| 5.8% 6/26/25 (d) | | 15,000 | 15,085 |
| 6.25% 11/3/25 (d) | | 11,000 | 11,163 |
| | | | 156,931 |
| Leisure Products - 0.3% | | | |
| Mattel, Inc. 5.875% 12/15/27 (d) | | 11,000 | 11,118 |
| Specialty Retail - 2.1% | | | |
| AutoZone, Inc.: | | | |
| 3.25% 4/15/25 | | 8,000 | 7,902 |
| 3.625% 4/15/25 | | 36,000 | 35,663 |
| Lowe's Companies, Inc. 4% 4/15/25 | | 16,000 | 15,895 |
| Ross Stores, Inc. 4.6% 4/15/25 | | 11,000 | 10,958 |
| The Home Depot, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.330% 5.6919% 12/24/25 (b)(c) | | 9,000 | 9,009 |
| | | | 79,427 |
TOTAL CONSUMER DISCRETIONARY | | | 247,476 |
| CONSUMER STAPLES - 0.5% | | | |
| Consumer Staples Distribution & Retail - 0.5% | | | |
| 7-Eleven, Inc. 0.95% 2/10/26 (d) | | 12,000 | 11,378 |
| Dollar Tree, Inc. 4% 5/15/25 | | 10,000 | 9,919 |
| | | | 21,297 |
| ENERGY - 4.6% | | | |
| Oil, Gas & Consumable Fuels - 4.6% | | | |
| Canadian Natural Resources Ltd.: | | | |
| 2.05% 7/15/25 | | 12,000 | 11,694 |
| 3.9% 2/1/25 | | 16,000 | 15,904 |
| DCP Midstream Operating LP 5.375% 7/15/25 | | 11,000 | 10,996 |
| Enbridge, Inc. 2.5% 1/15/25 | | 20,000 | 19,790 |
| Enterprise Products Operating LP 3.75% 2/15/25 | | 16,000 | 15,903 |
| EQT Corp. 3.125% 5/15/26 (d) | | 12,000 | 11,649 |
| MPLX LP: | | | |
| 1.75% 3/1/26 | | 12,000 | 11,473 |
| 4.875% 12/1/24 | | 25,000 | 24,960 |
| 4.875% 6/1/25 | | 8,000 | 7,985 |
| Spectra Energy Partners LP 3.5% 3/15/25 | | 8,000 | 7,924 |
| Transcontinental Gas Pipe Line Co. LLC 7.85% 2/1/26 | | 11,000 | 11,375 |
| Western Midstream Operating LP: | | | |
| 3.1% 2/1/25 | | 12,000 | 11,857 |
| 4.65% 7/1/26 | | 11,000 | 10,943 |
| | | | 172,453 |
| FINANCIALS - 30.2% | | | |
| Banks - 16.2% | | | |
| Bank of America Corp.: | | | |
| 2.456% 10/22/25 (b) | | 30,000 | 29,871 |
| 3.366% 1/23/26 (b) | | 33,000 | 32,729 |
| 3.384% 4/2/26 (b) | | 20,000 | 19,781 |
| Bank of Montreal: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.460% 5.8226% 1/10/25 (b)(c) | | 20,000 | 20,012 |
| 5.2% 12/12/24 | | 5,000 | 4,998 |
| Bank of Nova Scotia 5.25% 12/6/24 | | 15,000 | 14,993 |
| Canadian Imperial Bank of Commerce: | | | |
| 1% 10/18/24 | | 20,000 | 19,893 |
| 2.25% 1/28/25 | | 33,000 | 32,616 |
| Citigroup, Inc.: | | | |
| 1.122% 1/28/27 (b) | | 12,000 | 11,396 |
| 3.106% 4/8/26 (b) | | 33,000 | 32,565 |
| 5.61% 9/29/26 (b) | | 19,000 | 19,136 |
| JPMorgan Chase & Co.: | | | |
| 2.005% 3/13/26 (b) | | 12,000 | 11,793 |
| 2.083% 4/22/26 (b) | | 16,000 | 15,696 |
| 2.301% 10/15/25 (b) | | 30,000 | 29,881 |
| 3.96% 1/29/27 (b) | | 12,000 | 11,873 |
| 4.08% 4/26/26 (b) | | 11,000 | 10,925 |
| PNC Financial Services Group, Inc.: | | | |
| 4.758% 1/26/27 (b) | | 11,000 | 10,984 |
| 5.812% 6/12/26 (b) | | 15,000 | 15,073 |
| Royal Bank of Canada: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.340% 5.6984% 10/7/24 (b)(c) | | 20,000 | 20,003 |
| 5.069% 7/23/27 (b) | | 15,000 | 15,171 |
| 5.66% 10/25/24 | | 20,000 | 20,006 |
| The Toronto-Dominion Bank: | | | |
| 1.45% 1/10/25 | | 33,000 | 32,562 |
| 4.285% 9/13/24 | | 20,000 | 19,992 |
| Truist Financial Corp.: | | | |
| 1.267% 3/2/27 (b) | | 12,000 | 11,345 |
| 4% 5/1/25 | | 32,000 | 31,759 |
| 4.26% 7/28/26 (b) | | 8,000 | 7,928 |
| 6.047% 6/8/27 (b) | | 11,000 | 11,227 |
| U.S. Bancorp 5.727% 10/21/26 (b) | | 11,000 | 11,112 |
| Wells Fargo & Co.: | | | |
| 2.164% 2/11/26 (b) | | 27,000 | 26,631 |
| 2.188% 4/30/26 (b) | | 12,000 | 11,762 |
| 3.196% 6/17/27 (b) | | 12,000 | 11,697 |
| 3.908% 4/25/26 (b) | | 32,000 | 31,724 |
| | | | 607,134 |
| Capital Markets - 6.3% | | | |
| Bank of New York Mellon Corp. 2.1% 10/24/24 | | 20,000 | 19,911 |
| Goldman Sachs Group, Inc.: | | | |
| 0.855% 2/12/26 (b) | | 16,000 | 15,680 |
| 1.093% 12/9/26 (b) | | 12,000 | 11,426 |
| 1.431% 3/9/27 (b) | | 20,000 | 18,991 |
| 3.5% 1/23/25 | | 20,000 | 19,867 |
| 5.798% 8/10/26 (b) | | 15,000 | 15,098 |
| Moody's Corp. 3.75% 3/24/25 | | 16,000 | 15,891 |
| Morgan Stanley: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.500% 5.8609% 1/22/25 (b)(c) | | 25,000 | 25,001 |
| 0.985% 12/10/26 (b) | | 16,000 | 15,216 |
| 1.593% 5/4/27 (b) | | 12,000 | 11,400 |
| 2.188% 4/28/26 (b) | | 12,000 | 11,765 |
| 4.679% 7/17/26 (b) | | 15,000 | 14,935 |
| NASDAQ, Inc. 5.65% 6/28/25 | | 2,000 | 2,009 |
| State Street Corp.: | | | |
| 2.901% 3/30/26 (b) | | 15,000 | 14,799 |
| 4.857% 1/26/26 (b) | | 15,000 | 14,974 |
| 5.751% 11/4/26 (b) | | 11,000 | 11,118 |
| | | | 238,081 |
| Consumer Finance - 3.3% | | | |
| Ally Financial, Inc.: | | | |
| 4.625% 3/30/25 | | 11,000 | 10,949 |
| 5.8% 5/1/25 | | 20,000 | 20,040 |
| American Express Co.: | | | |
| 2.25% 3/4/25 | | 10,000 | 9,862 |
| 3% 10/30/24 | | 26,000 | 25,949 |
| 6.338% 10/30/26 (b) | | 16,000 | 16,271 |
| Capital One Financial Corp.: | | | |
| 2.636% 3/3/26 (b) | | 12,000 | 11,831 |
| 4.985% 7/24/26 (b) | | 30,000 | 29,935 |
| | | | 124,837 |
| Financial Services - 1.7% | | | |
| Corebridge Financial, Inc. 3.5% 4/4/25 | | 26,000 | 25,729 |
| Corebridge Global Funding 5.75% 7/2/26 (d) | | 11,000 | 11,220 |
| The Western Union Co.: | | | |
| 1.35% 3/15/26 | | 12,000 | 11,372 |
| 2.85% 1/10/25 | | 16,000 | 15,855 |
| | | | 64,176 |
| Insurance - 2.7% | | | |
| Equitable Financial Life Global Funding: | | | |
| 1% 1/9/26 (d) | | 12,000 | 11,421 |
| 1.1% 11/12/24 (d) | | 33,000 | 32,719 |
| 1.3% 7/12/26 (d) | | 8,000 | 7,534 |
| 1.4% 7/7/25 (d) | | 12,000 | 11,654 |
| 5.5% 12/2/25 (d) | | 11,000 | 11,099 |
| Jackson National Life Global Funding 3.05% 4/29/26 (d) | | 11,000 | 10,686 |
| TIAA Asset Management Finance LLC 4.125% 11/1/24 (d) | | 15,000 | 14,963 |
| | | | 100,076 |
TOTAL FINANCIALS | | | 1,134,304 |
| HEALTH CARE - 4.6% | | | |
| Biotechnology - 0.9% | | | |
| AbbVie, Inc. 3.8% 3/15/25 | | 20,000 | 19,864 |
| Amgen, Inc. 5.25% 3/2/25 | | 15,000 | 15,005 |
| | | | 34,869 |
| Health Care Equipment & Supplies - 0.5% | | | |
| Boston Scientific Corp. 1.9% 6/1/25 | | 17,000 | 16,637 |
| Health Care Providers & Services - 3.2% | | | |
| Cigna Group: | | | |
| 1.25% 3/15/26 | | 16,000 | 15,203 |
| 5.685% 3/15/26 | | 11,000 | 10,998 |
| CVS Health Corp.: | | | |
| 2.875% 6/1/26 | | 12,000 | 11,636 |
| 4.1% 3/25/25 | | 16,000 | 15,914 |
| HCA Holdings, Inc.: | | | |
| 5.25% 4/15/25 | | 16,000 | 15,991 |
| 5.25% 6/15/26 | | 19,000 | 19,066 |
| 5.875% 2/15/26 | | 7,000 | 7,058 |
| Humana, Inc. 3.85% 10/1/24 | | 25,000 | 24,965 |
| | | | 120,831 |
TOTAL HEALTH CARE | | | 172,337 |
| INDUSTRIALS - 2.7% | | | |
| Machinery - 1.6% | | | |
| Caterpillar Financial Services Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.270% 5.6341% 9/13/24 (b)(c) | | 25,000 | 25,000 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 6.0239% 10/16/26 (b)(c) | | 20,000 | 20,097 |
| Otis Worldwide Corp. 2.056% 4/5/25 | | 17,000 | 16,700 |
| | | | 61,797 |
| Trading Companies & Distributors - 1.1% | | | |
| Air Lease Corp.: | | | |
| 2.875% 1/15/26 | | 16,000 | 15,569 |
| 3.25% 3/1/25 | | 12,000 | 11,876 |
| 3.375% 7/1/25 | | 12,000 | 11,828 |
| | | | 39,273 |
TOTAL INDUSTRIALS | | | 101,070 |
| INFORMATION TECHNOLOGY - 3.2% | | | |
| Electronic Equipment, Instruments & Components - 0.3% | | | |
| Dell International LLC/EMC Corp. 5.85% 7/15/25 | | 11,000 | 11,078 |
| Semiconductors & Semiconductor Equipment - 1.5% | | | |
| NXP BV/NXP Funding LLC 5.35% 3/1/26 | | 15,000 | 15,085 |
| NXP BV/NXP Funding LLC/NXP U.S.A., Inc.: | | | |
| 2.7% 5/1/25 | | 33,000 | 32,475 |
| 3.875% 6/18/26 | | 10,000 | 9,861 |
| | | | 57,421 |
| Software - 1.4% | | | |
| Oracle Corp. 2.95% 11/15/24 | | 16,000 | 15,917 |
| Roper Technologies, Inc. 2.35% 9/15/24 | | 25,000 | 24,966 |
| VMware, Inc. 4.5% 5/15/25 | | 11,000 | 10,956 |
| | | | 51,839 |
TOTAL INFORMATION TECHNOLOGY | | | 120,338 |
| MATERIALS - 1.3% | | | |
| Chemicals - 1.3% | | | |
| Celanese U.S. Holdings LLC: | | | |
| 1.4% 8/5/26 | | 8,000 | 7,479 |
| 6.05% 3/15/25 | | 11,000 | 11,040 |
| International Flavors & Fragrances, Inc. 1.23% 10/1/25 (d) | | 20,000 | 19,195 |
| Nutrien Ltd. 3% 4/1/25 | | 12,000 | 11,863 |
| | | | 49,577 |
| REAL ESTATE - 0.6% | | | |
| Equity Real Estate Investment Trusts (REITs) - 0.6% | | | |
| American Tower Corp.: | | | |
| 1.3% 9/15/25 | | 12,000 | 11,548 |
| 4% 6/1/25 | | 11,000 | 10,906 |
| | | | 22,454 |
| UTILITIES - 3.9% | | | |
| Electric Utilities - 0.9% | | | |
| Edison International 4.95% 4/15/25 | | 11,000 | 10,965 |
| Eversource Energy 4.75% 5/15/26 | | 11,000 | 11,004 |
| Pacific Gas & Electric Co. 3.5% 6/15/25 | | 12,000 | 11,832 |
| | | | 33,801 |
| Gas Utilities - 0.3% | | | |
| The East Ohio Gas Co. 1.3% 6/15/25 (d) | | 12,000 | 11,640 |
| Independent Power and Renewable Electricity Producers - 0.9% | | | |
| Emera U.S. Finance LP 3.55% 6/15/26 | | 12,000 | 11,685 |
| The AES Corp.: | | | |
| 1.375% 1/15/26 | | 12,000 | 11,430 |
| 3.3% 7/15/25 (d) | | 12,000 | 11,764 |
| | | | 34,879 |
| Multi-Utilities - 1.8% | | | |
| Dominion Energy, Inc.: | | | |
| 1.45% 4/15/26 | | 12,000 | 11,398 |
| 3.3% 3/15/25 | | 15,000 | 14,837 |
| NiSource, Inc. 0.95% 8/15/25 | | 12,000 | 11,554 |
| Puget Energy, Inc. 3.65% 5/15/25 | | 12,000 | 11,858 |
| Sempra 3.3% 4/1/25 | | 16,000 | 15,805 |
| | | | 65,452 |
TOTAL UTILITIES | | | 145,772 |
| TOTAL NONCONVERTIBLE BONDS (Cost $2,291,316) | | | 2,304,262 |
| | | | |
| U.S. Treasury Obligations - 25.9% |
| | | Principal Amount (a) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 4.77% to 5.31% 9/5/24 to 1/2/25 (Cost $973,855) | | 980,100 | 973,930 |
| | | | |
| Asset-Backed Securities - 8.6% |
| | | Principal Amount (a) | Value ($) |
| Ally Auto Receivables Trust Series 2024-1 Class A2, 5.32% 1/15/27 | | 10,000 | 10,000 |
| BMW Vehicle Lease Trust Series 2023-2 Class A2, 5.95% 8/25/25 | | 7,085 | 7,093 |
| BMW Vehicle Owner Trust Series 2023-A Class A2A, 5.72% 4/27/26 | | 11,149 | 11,158 |
| Bofa Auto Trust 2024-1 Series 2024-1A Class A2, 5.57% 12/15/26 (d) | | 6,000 | 6,021 |
| Capital One Prime Auto Receiva Series 2023-2 Class A2A, 5.91% 10/15/26 | | 16,711 | 16,762 |
| Capital One Prime Auto Receivables Series 2023-1 Class A2, 5.2% 5/15/26 | | 2,339 | 2,338 |
| CarMax Auto Owner Trust: | | | |
| Series 2021-1 Class A3, 0.34% 12/15/25 | | 173 | 173 |
| Series 2023 2 Class A2A, 5.5% 6/15/26 | | 3,502 | 3,503 |
| Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A2A, 6.08% 12/15/26 | | 9,882 | 9,919 |
| Carmax Auto Owner Trust 2024-3 Series 2024-3 Class A2A, 5.21% 9/15/27 | | 7,000 | 7,036 |
| Citizens Auto Receivables Trust: | | | |
| Series 2024-1 Class A2A, 5.43% 10/15/26 (d) | | 8,779 | 8,783 |
| Series 2024-2 Class A2A, 5.54% 11/16/26 (d) | | 9,000 | 9,023 |
| Dllaa 2023-1A Series 2023-1A Class A2, 5.93% 7/20/26 (d) | | 1,300 | 1,304 |
| DLLAD: | | | |
| Series 2023-1A Class A2, 5.19% 4/20/26 (d) | | 4,433 | 4,430 |
| Series 2024-1A Class A2, 5.5% 8/20/27 (d) | | 4,000 | 4,026 |
| Ford Credit Auto Owner Trust Series 2023-B Class A2A, 5.57% 6/15/26 | | 4,959 | 4,961 |
| Ford Credit Floorplan Master Owner Trust Series 2019-4 Class A, 2.44% 9/15/26 | | 25,000 | 24,978 |
| FORDO Series 2024-B Class A2A, 5.4% 4/15/27 | | 8,000 | 8,045 |
| GM Financial Consumer Automobile Series 2024-1 Class ASB, 5.12% 2/16/27 | | 6,949 | 6,949 |
| Gm Financial Consumer Automobile Re Series 2023-1 Class A2A, 5.19% 3/16/26 | | 1,248 | 1,247 |
| Gm Financial Leasing Trust 202 Series 2023-3 Class A2A, 5.58% 1/20/26 | | 10,425 | 10,431 |
| Honda Auto Receivables 2024-2 Series 2024-2 Class A2, 5.48% 11/18/26 | | 9,000 | 9,042 |
| Hyundai Auto Receivables Trust Series 2022-C, Class A2A, 5.35% 11/17/25 | | 497 | 497 |
| John Deere Owner Trust Series 2024-A Class A2A, 5.19% 2/16/27 | | 10,000 | 10,015 |
| Mercedes-Benz Auto Receivables: | | | |
| Series 2023-1 Class A2, 5.09% 1/15/26 | | 352 | 352 |
| Series 2023-2 Class A2, 5.92% 11/16/26 | | 8,365 | 8,389 |
| Nissan Auto Receivables 2023-B Series 2023-B Class A2A, 5.95% 5/15/26 | | 16,454 | 16,489 |
| Santander Drive Auto Receivabl Series 2024-3 Class A2, 5.91% 6/15/27 | | 8,000 | 8,026 |
| Sbna Auto Lease Trust Series 2024-B Class A2, 5.67% 11/20/26 (d) | | 7,000 | 7,024 |
| Sfs Auto Receivables Securitization Trust Series 2024-2A Class A2, 5.71% 10/20/27 (d) | | 10,000 | 10,041 |
| Tesla Auto Lease Trust 2023-B Series 2023-B Class A2, 6.02% 9/22/25 (d) | | 3,190 | 3,195 |
| Tesla Auto Lease Trust 23-A Series 2023-A Class A2, 5.86% 8/20/25 (d) | | 5,718 | 5,722 |
| Tesla Electric Vehicle Trust 2023-1 Series 2023-1 Class A2A, 5.54% 12/21/26 (d) | | 15,666 | 15,684 |
| Toyota Auto Receivables Series 2022-D Class A2A, 5.27% 1/15/26 | | 2,868 | 2,867 |
| Toyota Auto Receivables 2023-D Series 2023-D Class A2A, 5.8% 11/16/26 | | 8,541 | 8,565 |
| Toyota Auto Receivables Owner Trust: | | | |
| Series 2023-A Class A2, 5.05% 1/15/26 | | 2,244 | 2,243 |
| Series 2023-C Class A2A, 5.6% 8/17/26 | | 9,779 | 9,789 |
| Toyota Lease Owner Trust Series 2024-A Class A2A, 5.33% 7/20/26 (d) | | 12,218 | 12,218 |
| Usaa Auto Owner Trust 2023-A Series 2023-A Class A2, 5.83% 7/15/26 (d) | | 5,820 | 5,827 |
| World Omni Auto Receivables Trust: | | | |
| Series 2023-C Class A2A, 5.57% 12/15/26 | | 7,985 | 7,991 |
| Series 2023-D Class A2A, 5.91% 2/16/27 | | 6,087 | 6,106 |
| Series 2024-B Class A2A, 5.48% 9/15/27 | | 8,000 | 8,033 |
| World Omni Select Auto Trust 2024 Series 2024-A Class A2A, 5.37% 2/15/28 | | 8,000 | 8,029 |
| TOTAL ASSET-BACKED SECURITIES (Cost $323,134) | | | 324,324 |
| | | | |
| Commercial Mortgage Securities - 0.9% |
| | | Principal Amount (a) | Value ($) |
| BX Trust floater sequential payer Series 2021-MFM1 Class A, CME Term SOFR 1 Month Index + 0.810% 6.1515% 1/15/34 (b)(c)(d) | | 24,684 | 24,483 |
| Wells Fargo Commercial Mortgage Trust sequential payer Series 2015-C28 Class A3, 3.29% 5/15/48 | | 7,823 | 7,719 |
| TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $32,205) | | | 32,202 |
| | | | |
| Money Market Funds - 3.0% |
| | | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (e) (Cost $110,489) | | 110,467 | 110,489 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 99.7% (Cost $3,730,999) | 3,745,207 |
NET OTHER ASSETS (LIABILITIES) - 0.3% | 13,148 |
| NET ASSETS - 100.0% | 3,758,355 |
| | |
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (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 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 $374,856 or 10.0% of net assets. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 19,547 | 1,864,126 | 1,773,184 | 4,890 | - | - | 110,489 | 0.0% |
| Total | 19,547 | 1,864,126 | 1,773,184 | 4,890 | - | - | 110,489 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Corporate Bonds | 2,304,262 | - | 2,304,262 | - |
|
| U.S. Government and Government Agency Obligations | 973,930 | - | 973,930 | - |
|
| Asset-Backed Securities | 324,324 | - | 324,324 | - |
|
| Commercial Mortgage Securities | 32,202 | - | 32,202 | - |
|
| Money Market Funds | 110,489 | 110,489 | - | - |
| Total Investments in Securities: | 3,745,207 | 110,489 | 3,634,718 | - |
Fidelity® Sustainable Low Duration Bond ETF
Financial Statements
| Statement of Assets and Liabilities |
As of August 31, 2024 |
| Assets | | | | |
| Investment in securities, at value - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $3,620,510) | $ | 3,634,718 | | |
Fidelity Central Funds (cost $110,489) | | 110,489 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $3,730,999) | | | $ | 3,745,207 |
| Cash | | | | 5,833 |
| Interest receivable | | | | 23,580 |
| Distributions receivable from Fidelity Central Funds | | | | 422 |
Total assets | | | | 3,775,042 |
| Liabilities | | | | |
| Distributions payable | $ | 16,050 | | |
| Accrued management fee | | 637 | | |
| Total liabilities | | | | 16,687 |
| Net Assets | | | $ | 3,758,355 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 3,746,879 |
| Total accumulated earnings (loss) | | | | 11,476 |
| Net Assets | | | $ | 3,758,355 |
Net Asset Value, offering price and redemption price per share ($3,758,355 ÷ 75,000 shares) | | | $ | 50.11 |
| Statement of Operations |
| Year ended August 31, 2024 |
| Investment Income | | | | |
| Interest | | | $ | 232,194 |
| Income from Fidelity Central Funds | | | | 4,890 |
| Total income | | | | 237,084 |
| Expenses | | | | |
| Management fee | $ | 8,909 | | |
| Independent trustees' fees and expenses | | 15 | | |
| Proxy fee | | 1,404 | | |
| Total expenses before reductions | | 10,328 | | |
| Expense reductions | | (2,019) | | |
| Total expenses after reductions | | | | 8,309 |
| Net Investment income (loss) | | | | 228,775 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 1,410 | | |
| Redemptions in-kind | | 2,042 | | |
| Total net realized gain (loss) | | | | 3,452 |
| Change in net unrealized appreciation (depreciation) on investment securities | | | | 19,544 |
| Net gain (loss) | | | | 22,996 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 251,771 |
| Statement of Changes in Net Assets |
| |
| | Year ended August 31, 2024 | | Year ended August 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 228,775 | $ | 207,807 |
| Net realized gain (loss) | | 3,452 | | (6,692) |
| Change in net unrealized appreciation (depreciation) | | 19,544 | | 14,962 |
| Net increase (decrease) in net assets resulting from operations | | 251,771 | | 216,077 |
| Distributions to shareholders | | (231,875) | | (202,625) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | - | | 3,746,758 |
| Cost of shares redeemed | | (2,507,564) | | (2,495,186) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | (2,507,564) | | 1,251,572 |
| Total increase (decrease) in net assets | | (2,487,668) | | 1,265,024 |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 6,246,023 | | 4,980,999 |
| End of period | $ | 3,758,355 | $ | 6,246,023 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | - | | 75,000 |
| Redeemed | | (50,000) | | (50,000) |
| Net increase (decrease) | | (50,000) | | 25,000 |
| | | | | |
Financial Highlights
Fidelity® Sustainable Low Duration Bond ETF |
| |
| Years ended August 31, | | 2024 | | 2023 | | 2022 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 49.97 | $ | 49.81 | $ | 50.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | 2.578 | | 2.012 | | .278 |
| Net realized and unrealized gain (loss) | | .257 | | .080 | | (.197) |
| Total from investment operations | | 2.835 | | 2.092 | | .081 |
| Distributions from net investment income | | (2.695) | | (1.932) | | (.271) |
| Total distributions | | (2.695) | | (1.932) | | (.271) |
| Net asset value, end of period | $ | 50.11 | $ | 49.97 | $ | 49.81 |
Total Return D,E,F | | | | 4.27% | | .16% |
Ratios to Average Net Assets C,G,H | | | | | | |
| Expenses before reductions | | .23% | | .26% | | .30% I |
| Expenses net of fee waivers, if any | | | | .26% | | .30% I |
| Expenses net of all reductions | | .19% | | .25% | | .30% I |
| Net investment income (loss) | | 5.14% | | 4.03% | | 1.52% I |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 3,758 | $ | 6,246 | $ | 4,981 |
Portfolio turnover rate J | | | | 40% | | 4% L |
AFor the period April 19, 2022 (commencement of operations) through August 31, 2022.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
EBased on net asset value.
FTotal returns for periods of less than one year are not annualized.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
KPortfolio turnover rate excludes securities received or delivered in-kind.
LAmount not annualized.
Notes to Financial Statements
For the period ended August 31, 2024
1. Organization.
Fidelity Sustainable Core Plus Bond ETF and Fidelity Sustainable Low Duration Bond ETF (the Funds) are exchange-traded funds of Fidelity Merrimack Street Trust (the Trust) and are authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
Each Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. Each Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of each Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated each Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, each Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages each Fund's fair valuation practices and maintains the fair valuation policies and procedures. Each Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
Each Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value each 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 services or from brokers who make markets in such securities. Corporate bonds, bank loan obligations, foreign government and government agency obligations, preferred securities and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2024 is included at the end of each Fund's Schedule of Investments.
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes and for processing shareholder transactions, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period and prior business day, respectively. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE) business (normally 4:00 p.m. Eastern time) of the New York Stock Exchange, Archipelago Exchange (NYSE Arca). Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Funds are informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2024, each Fund did not have any unrecognized tax benefits in the financial statements; nor is each Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. Each Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on each Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to in-kind transactions, futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), contingent interest, partnerships, certain conversion ratio adjustments, capital loss carryforwards, and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows for each Fund:
| | Tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized depreciation ($) | Net unrealized appreciation (depreciation)($) |
| Fidelity Sustainable Core Plus Bond ETF | 14,706,022 | 170,041 | (428,551) | (258,510) |
Fidelity Sustainable Low Duration Bond ETF | 3,730,999 | 14,470 | (262) | 14,208 |
The tax-based components of distributable earnings as of period end were as follows for each Fund:
| | Undistributed ordinary income ($) | Capital loss carryforward ($) | Net unrealized appreciation (depreciation) on securities and other investments ($) |
| Fidelity Sustainable Core Plus Bond ETF | 2,162 | (356,195) | (258,408) |
Fidelity Sustainable Low Duration Bond ETF | 2,805 | (5,537) | 14,208 |
Capital loss carryforwards are only available to offset future capital gains of the Funds to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
| | Short-term ($) | Long-term ($) | Total capital loss carryforward ($) |
| Fidelity Sustainable Core Plus Bond ETF | (274,792) | (81,403) | (356,195) |
Fidelity Sustainable Low Duration Bond ETF | (5,537) | (-) | (5,537) |
The tax character of distributions paid was as follows:
| August 31, 2024 | |
| | Ordinary Income ($) |
| Fidelity Sustainable Core Plus Bond ETF. | 522,000 |
Fidelity Sustainable Low Duration Bond ETF | 231,875 |
August 31, 2023 | |
| | Ordinary Income ($) |
| Fidelity Sustainable Core Plus Bond ETF. | 529,500 |
Fidelity Sustainable Low Duration Bond ETF | 202,625 |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The value of these commitments and proceeds to be received at contractual settlement date are reflected in the Statement of Assets and Liabilities as "TBA sale commitments, at value" and "Receivable for TBA sale commitments," respectively. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, a fund realizes a gain or loss. If a fund delivers securities under the commitment, a fund realizes a gain or loss from the sale of the securities based upon the price established at the date the commitment was entered into.
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
Loans and Other Direct Debt Instruments. Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. Each Fund's investment objectives allow for various types of derivative instruments, including futures contracts and forward foreign currency contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Derivatives were used to increase returns, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
| Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
| Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
| Fidelity Sustainable Core Plus Bond ETF | | |
| Foreign Exchange Risk | | |
| Forward Foreign Currency Contracts | 3,923 | (9,167) |
| Total Foreign Exchange Risk | 3,923 | (9,167) |
| Interest Rate Risk | | |
| Futures Contracts | 4,125 | (2,372) |
| Total Interest Rate Risk | 4,125 | (2,372) |
| Totals | 8,048 | (11,539) |
If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.
Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.
Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period unless an average contract value is presented.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity Sustainable Core Plus Bond ETF | 27,757,042 | 27,398,454 |
| Fidelity Sustainable Low Duration Bond ETF | 1,419,351 | 1,581,695 |
Securities received and delivered in-kind through subscriptions and redemptions are noted in the table below.
| | In-Kind Subscriptions ($) | In-Kind Redemptions ($) |
| Fidelity Sustainable Low Duration Bond ETF | - | 2,164,898 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) provides the Funds with investment management related services for which the Funds pay a monthly management fee that is based on an annual rate of each Fund's average net assets as noted in the table below. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
| | Fee Rate |
| Fidelity Sustainable Core Plus Bond ETF | .36% |
| Fidelity Sustainable Low Duration Bond ETF | .20% |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
| | Purchases ($) | Sales ($) | Realized Gain (Loss)($) |
| Fidelity Sustainable Core Plus Bond ETF | - | 432 | 144 |
| Fidelity Sustainable Low Duration Bond ETF | - | - | - |
Sub-Advisory Arrangements. Effective March 1, 2024, each Fund's sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Hong Kong) Limited, and Fidelity Management & Research (Japan) Limited were amended to provide that the investment adviser pays each sub-adviser monthly fees equal to 110% of the sub-adviser's costs for providing sub-advisory services.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
8. Expense Reductions.
The investment adviser contractually agreed to reimburse certain Funds to the extent proxy and shareholder meeting expenses exceeded .003% of average net assets. This reimbursement will remain in place through December 31, 2024. During the period this reimbursement reduced each applicable Fund's expenses as follows:
| | Reimbursement ($) |
Fidelity Sustainable Low Duration Bond ETF | 1,270 |
| | |
Through arrangements with each applicable Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce each applicable Fund's expenses. All of the applicable expense reductions are noted in the table below.
| | Custodian credits ($) |
Fidelity Sustainable Core Plus Bond ETF | 1,693 |
Fidelity Sustainable Low Duration Bond ETF | 749 |
9. Share Transactions.
Funds issue and redeem shares at NAV only with certain authorized participants in large increments known as Creation Units. Purchases of Creation Units are made by tendering a basket of designated securities and/or cash to a fund and redemption proceeds are paid with a basket of securities from a fund's portfolio with a balancing cash component to equate the market value of the basket of securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. A fund's shares are available in smaller increments to investors in the secondary market at market prices and may be subject to commissions. Authorized participants pay a transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of a fund. The transaction fee is used to offset the costs associated with the issuance and redemption of Creation Units.
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Merrimack Street Trust and the Shareholders of Fidelity Sustainable Core Plus Bond ETF and Fidelity Sustainable Low Duration Bond ETF:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of Fidelity Sustainable Core Plus Bond ETF and Fidelity Sustainable Low Duration Bond ETF (the "Funds"), each a fund of Fidelity Merrimack Street Trust, including the schedules of investments, as of August 31, 2024, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the two years in the period then ended and for the period from April 19, 2022 (commencement of operations) through August 31, 2022, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2024, and the results of their operations for the year then ended, and the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the two years in the period then ended and for the period from April 19, 2022 (commencement of operations) through August 31, 2022, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2024, by correspondence with the custodian, brokers, and agent banks; when replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
October 16, 2024
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
Distributions
(Unaudited)The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
A percentage of the dividends distributed during the fiscal year for the following funds were derived from interest on U.S. Government securities which is generally exempt from state income tax:
| Fidelity Sustainable Core Plus Bond ETF | 22.75% |
| Fidelity Sustainable Low Duration Bond ETF | 27.15% |
The funds hereby designate the amounts noted below as distributions paid in the calendar year 2023 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders:
| Fidelity Sustainable Core Plus Bond ETF | $388,892 |
| Fidelity Sustainable Low Duration Bond ETF | $223,908 |
The funds hereby designate the amounts noted below as distributions paid during the fiscal year ended 2024 as qualifying to be taxed as section 163(j) interest dividends:
| Fidelity Sustainable Core Plus Bond ETF | $517,425 |
| Fidelity Sustainable Low Duration Bond ETF | $231,875 |
The funds will notify shareholders in January 2025 of amounts for use in preparing 2024 income tax returns.
Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies
(Unaudited)
Note: This is not applicable for any fund included in this document.
Item 9: Proxy Disclosures for Open-End Management Investment Companies
(Unaudited)
| A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting. |
| Proposal 1 |
| To elect a Board of Trustees. |
| | # of Votes | % of Votes |
| Abigail P. Johnson |
| Affirmative | 3,379,811,029.83 | 98.18 |
| Withheld | 62,689,925.48 | 1.82 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Jennifer Toolin McAuliffe |
| Affirmative | 3,381,722,257.21 | 98.23 |
| Withheld | 60,778,698.10 | 1.77 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Christine J. Thompson |
| Affirmative | 3,382,823,976.33 | 98.27 |
| Withheld | 59,676,978.98 | 1.73 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Elizabeth S. Acton |
| Affirmative | 3,364,610,007.82 | 97.74 |
| Withheld | 77,890,947.49 | 2.26 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Laura M. Bishop |
| Affirmative | 3,383,577,873.72 | 98.29 |
| Withheld | 58,923,081.59 | 1.71 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Ann E. Dunwoody |
| Affirmative | 3,381,468,375.28 | 98.23 |
| Withheld | 61,032,580.03 | 1.77 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| John Engler |
| Affirmative | 3,381,530,803.91 | 98.23 |
| Withheld | 60,970,151.40 | 1.77 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Robert F. Gartland |
| Affirmative | 3,354,607,739.04 | 97.45 |
| Withheld | 87,893,216.27 | 2.55 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Robert W. Helm |
| Affirmative | 3,384,017,786.52 | 98.30 |
| Withheld | 58,483,168.79 | 1.70 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Arthur E. Johnson |
| Affirmative | 3,373,113,641.17 | 97.98 |
| Withheld | 69,387,314.14 | 2.02 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Michael E. Kenneally |
| Affirmative | 2,929,402,647.40 | 85.10 |
| Withheld | 513,098,307.91 | 14.90 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Mark A. Murray |
| Affirmative | 3,383,790,962.34 | 98.29 |
| Withheld | 58,709,992.97 | 1.71 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| Carol J. Zierhoffer |
| Affirmative | 3,385,082,303.87 | 98.33 |
| Withheld | 57,418,651.44 | 1.67 |
| TOTAL | 3,442,500,955.31 | 100.00 |
| | | |
| Proposal 1 reflects trust-wide proposal and voting results. |
Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies
(Unaudited)
Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment companies.
Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract
(Unaudited)
Note: This is not applicable for any fund included in this document.
1.9904943.102
CPB-ANN-1024
Item 8.
Changes in and Disagreements with Accountants for Open-End Management Investment Companies
See Item 7.
Item 9.
Proxy Disclosures for Open-End Management Investment Companies
See Item 7.
Item 10.
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies
See Item 7.
Item 11.
Statement Regarding Basis for Approval of Investment Advisory Contract
See Item 7.
Item 12.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 13.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 14.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 15.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.
Item 16.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 17.
Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 18.
Recovery of Erroneously Awarded Compensation
(a)
Not applicable.
(b)
Not applicable.
Item 19.
Exhibits
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Merrimack Street Trust
|
By: | /s/Laura M. Del Prato |
| Laura M. Del Prato |
| President and Treasurer (Principal Executive Officer) |
|
|
Date: | October 23, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
By: | /s/Laura M. Del Prato |
| Laura M. Del Prato |
| President and Treasurer (Principal Executive Officer) |
|
|
Date: | October 23, 2024 |
|
By: | /s/John J. Burke III |
| John J. Burke III |
| Chief Financial Officer (Principal Financial Officer) |
|
|
Date: | October 23, 2024 |
