Fidelity Real Estate Index Fund NCSR Certified annual shareholder report (management investment company)

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NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended August 31, 2023	Past 1 year	Past 5 years	Past 10 years
Class A (incl. 1.50% sales charge)	0.57%	0.80%	0.89%
Class M (incl. 1.50% sales charge)	0.56%	0.79%	0.89%
Class C (incl. contingent deferred sales charge)	0.23%	0.27%	0.44%
Fidelity® Short-Term Bond Fund	2.31%	1.33%	1.19%
Class I	2.28%	1.26%	1.15%
Class Z	2.38%	1.39%	1.22%

Class A shares bear a 0.15% 12b-1 fee. The initial offering of Class A shares took place on July 12, 2016. Returns prior to July 12, 2016, are those of Fidelity® Short-Term Bond Fund, the original class of the fund, which has no 12b-1 fee. Had Class A's 12b-1 fee been reflected, returns prior to July 12, 2016, would have been lower.

Class M shares bear a 0.15% 12b-1 fee. The initial offering of Class M shares took place on July 12, 2016. Returns prior to July 12, 2016, are those of Fidelity® Short-Term Bond Fund, the original class of the fund, which has no 12b-1 fee. Had Class M's 12b-1 fee been reflected, returns prior to July 12, 2016, would have been lower.

Class C shares bear a 1.00% 12b-1 fee. The initial offering of Class C shares took place on July 12, 2016. Returns prior to July 12, 2016, are those of Fidelity® Short-Term Bond Fund, the original class of the fund, which has no 12b-1 fee. Had Class C's 12b-1 fee been reflected, returns prior to July 12, 2016, would have been lower.

The initial offering of Class I shares took place on July 12, 2016. Returns prior to July 12, 2016 are those of Fidelity® Short-Term Bond Fund, the original class of the fund.

The initial offering of Class Z shares took place on October 2, 2018. Returns between July 12, 2016 and October 2, 2018, are those of Class I. Returns prior to July 12, 2016 are those of Fidelity® Short-Term Bond Fund, the original class of the fund.

Class C shares' contingent deferred sales charges included in the past one year, past five years and past ten years total return figures are 1%, 0% and 0%, respectively.

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Short-Term Bond Fund, a class of the fund, on August 31, 2013.

The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. 1-3 Year Government/Credit Bond Index performed over the same period.

Management's Discussion of Fund Performance

Market Recap:

U.S. taxable investment-grade bonds returned -1.19% for the 12 months ending August 31, 2023, according to the Bloomberg U.S. Aggregate Bond Index. The first months of the period saw a continuation of the historic bond market downturn that began in early 2022, when the U.S. Federal Reserve began an aggressive series of interest rate hikes to combat persistent inflation. The actions helped push nominal and real U.S. bond yields to their highest levels in more than a decade. Bond prices, which move inversely to yields, fell sharply through October, and credit spreads widened, as investors demanded more yield for buying credit-sensitive assets. In November, the bond market staged a broad rally (+3.68%) when comments by Fed Chair Jerome Powell pointed to a slowdown in the size of future rate hikes. With the market anticipating the end of the hiking cycle by midyear, the index advanced 3.59% in the first four months of 2023, only to fall back in each of the four next months, as cooling but still-high inflation and a strong labor market suggested the Fed may need to keep raising rates for longer than anticipated. To date, the central bank has raised its benchmark rate 11 times, by a total of 5.25 percentage points. For the full 12 months, short-term bonds outperformed long-term issues, while lower-quality bonds bettered higher-quality debt, and risk assets like corporate bonds and asset-backed securities outpaced U.S. Treasuries. Meanwhile, U.S. mortgage-backed securities lagged in the rising-rate environment.

Comments from Co-Portfolio Managers Rob Galusza, Julian Potenza and David DeBiase:

For the fiscal year ending August 31, 2023, the fund's retail and advisor share classes posted gains ranging from 1.23% to 2.38%, net of fees, versus the 1.57% advance of the benchmark Bloomberg U.S. 1-3 Year Government/Credit Bond Index. During the 12 months, sector allocation and, to a lesser extent, security selection each contributed to performance versus the benchmark. Non-benchmark exposure to asset-backed securities, including collateralized loan obligations and car loan debt, added notable relative value. Picks among corporate bonds, especially in the banking and industrial segments, also meaningfully contributed, while an allocation to commercial mortgage-backed securities further helped. Conversely, due to the movement in interest rates this period, U.S. Treasury futures contracts detracted from the portfolio's relative result. At period end, corporates made up about 49% of fund assets, up from roughly 47% a year ago and notably overweight the benchmark average of 24%. Exposure to U.S. Treasuries stood at about 27% as of August 31, compared with an average of 67% for the benchmark index.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Investment Summary August 31, 2023 (Unaudited)

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.

Securities rated BB or below were rated investment grade at the time of acquisition.

Asset Allocation (% of Fund's net assets)

Futures - 12.7%

Geographic Diversification (% of Fund's net assets)

* Includes Short-Term investments and Net Other Assets (Liabilities).

Percentages are adjusted for the effect of derivatives, if applicable.

Schedule of Investments August 31, 2023

Showing Percentage of Net Assets

Nonconvertible Bonds - 48.5%
	Principal Amount (a) (000s)	Value ($) (000s)
COMMUNICATION SERVICES - 1.3%
Diversified Telecommunication Services - 0.7%
AT&T, Inc. 0.9% 3/25/24	10,610	10,319
NTT Finance Corp. 0.583% 3/1/24 (b)	3,469	3,380
Verizon Communications, Inc. 0.75% 3/22/24	3,860	3,755
		17,454
Media - 0.1%
Magallanes, Inc.:
3.428% 3/15/24	1,645	1,622
3.638% 3/15/25	901	872
		2,494
Wireless Telecommunication Services - 0.5%
Rogers Communications, Inc. 2.95% 3/15/25	4,725	4,510
T-Mobile U.S.A., Inc. 3.5% 4/15/25	7,030	6,796
		11,306
TOTAL COMMUNICATION SERVICES		31,254
CONSUMER DISCRETIONARY - 3.2%
Automobiles - 2.5%
American Honda Finance Corp. 4.6% 4/17/25	5,500	5,428
BMW U.S. Capital LLC 3.25% 4/1/25 (b)	8,000	7,762
Daimler Finance North America LLC:
0.75% 3/1/24 (b)	8,516	8,308
5.5% 11/27/24 (b)	5,640	5,632
General Motors Financial Co., Inc.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.200% 6.5056% 11/17/23 (c)(d)	10,000	10,013
1.05% 3/8/24	1,943	1,894
1.25% 1/8/26	6,779	6,098
5.4% 4/6/26	5,000	4,938
Volkswagen Group of America Finance LLC:
0.875% 11/22/23 (b)	8,525	8,434
3.95% 6/6/25 (b)	2,950	2,863
		61,370
Distributors - 0.2%
Genuine Parts Co. 1.75% 2/1/25	4,784	4,522
Specialty Retail - 0.5%
Advance Auto Parts, Inc. 5.9% 3/9/26	2,294	2,273
AutoZone, Inc. 5.05% 7/15/26	6,500	6,453
Lowe's Companies, Inc.:
4.4% 9/8/25	3,318	3,258
4.8% 4/1/26	1,004	992
		12,976
TOTAL CONSUMER DISCRETIONARY		78,868
CONSUMER STAPLES - 3.1%
Beverages - 0.5%
Constellation Brands, Inc. 3.6% 5/9/24	7,000	6,892
Dr. Pepper Snapple Group, Inc. 0.75% 3/15/24	5,000	4,866
		11,758
Consumer Staples Distribution & Retail - 0.6%
7-Eleven, Inc. 0.8% 2/10/24 (b)	1,912	1,869
Dollar General Corp. 4.25% 9/20/24	6,347	6,247
Mondelez International Holdings Netherlands BV 0.75% 9/24/24 (b)	7,661	7,268
		15,384
Food Products - 0.5%
JDE Peet's BV 0.8% 9/24/24 (b)	6,779	6,389
Mondelez International, Inc. 2.125% 3/17/24	7,500	7,353
		13,742
Tobacco - 1.5%
Altria Group, Inc. 2.35% 5/6/25	1,269	1,201
BAT Capital Corp. 3.222% 8/15/24	10,014	9,766
BAT International Finance PLC 1.668% 3/25/26	6,714	6,080
Imperial Tobacco Finance PLC 3.125% 7/26/24 (b)	7,381	7,184
Philip Morris International, Inc.:
2.875% 5/1/24	6,658	6,535
5% 11/17/25	5,425	5,393
		36,159
TOTAL CONSUMER STAPLES		77,043
ENERGY - 2.3%
Energy Equipment & Services - 0.0%
Baker Hughes Co. 1.231% 12/15/23	1,575	1,555
Oil, Gas & Consumable Fuels - 2.3%
Canadian Natural Resources Ltd. 2.05% 7/15/25	4,512	4,227
ConocoPhillips Co. 2.4% 3/7/25	328	314
Enbridge, Inc.:
0.55% 10/4/23	10,000	9,957
2.15% 2/16/24	1,167	1,148
2.5% 2/14/25	1,218	1,164
Energy Transfer LP 4.2% 9/15/23	1,944	1,943
Enterprise Products Operating LP 5.05% 1/10/26	4,128	4,107
Equinor ASA 1.75% 1/22/26	1,409	1,306
Kinder Morgan Energy Partners LP 3.5% 9/1/23	3,732	3,732
MPLX LP 1.75% 3/1/26	10,071	9,172
Occidental Petroleum Corp. 2.9% 8/15/24	2,755	2,678
Phillips 66 Co.:
0.9% 2/15/24	8,080	7,903
3.85% 4/9/25	8,057	7,840
The Williams Companies, Inc. 5.4% 3/2/26	1,346	1,344
		56,835
TOTAL ENERGY		58,390
FINANCIALS - 30.3%
Banks - 16.6%
Bank of America Corp.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.290% 5.08% 1/20/27 (c)(d)	6,000	5,921
0.81% 10/24/24 (c)	7,030	6,976
0.976% 4/22/25 (c)	8,000	7,728
1.843% 2/4/25 (c)	10,000	9,819
3.841% 4/25/25 (c)	7,500	7,392
4.827% 7/22/26 (c)	5,015	4,921
Bank of Montreal 4.25% 9/14/24	7,000	6,888
Bank of Nova Scotia 5.45% 6/12/25	6,560	6,522
Banque Federative du Credit Mutuel SA 4.524% 7/13/25 (b)	5,542	5,414
Barclays PLC:
1.007% 12/10/24 (c)	4,487	4,425
2.852% 5/7/26 (c)	4,878	4,610
5.304% 8/9/26 (c)	2,578	2,540
5.829% 5/9/27 (c)	6,500	6,440
BNP Paribas SA 2.219% 6/9/26 (b)(c)	7,000	6,540
BPCE SA 1.625% 1/14/25 (b)	9,500	8,967
Canadian Imperial Bank of Commerce 3.945% 8/4/25	6,059	5,872
Citigroup, Inc.:
0.981% 5/1/25 (c)	4,488	4,334
2.014% 1/25/26 (c)	8,000	7,568
3.106% 4/8/26 (c)	6,714	6,425
4.14% 5/24/25 (c)	7,000	6,906
5.61% 9/29/26 (c)	5,000	4,977
Danske Bank A/S:
3.875% 9/12/23 (b)	7,592	7,589
6.466% 1/9/26 (b)(c)	3,260	3,261
DNB Bank ASA 0.856% 9/30/25 (b)(c)	10,000	9,473
HSBC Holdings PLC:
0.976% 5/24/25 (c)	8,400	8,074
1.162% 11/22/24 (c)	8,100	8,002
1.645% 4/18/26 (c)	6,806	6,340
Huntington National Bank 5.699% 11/18/25 (c)	5,500	5,394
Intesa Sanpaolo SpA 3.25% 9/23/24 (b)	10,000	9,653
JPMorgan Chase & Co.:
0.824% 6/1/25 (c)	6,568	6,307
3.845% 6/14/25 (c)	7,500	7,365
4.851% 7/25/28 (c)	10,500	10,290
KeyBank NA 4.15% 8/8/25	2,003	1,895
KeyCorp 3.878% 5/23/25 (c)	2,344	2,237
Lloyds Banking Group PLC:
4.716% 8/11/26 (c)	7,515	7,349
5.985% 8/7/27 (c)	3,142	3,139
Mitsubishi UFJ Financial Group, Inc.:
0.848% 9/15/24 (c)	8,059	8,047
0.953% 7/19/25 (c)	7,000	6,690
0.962% 10/11/25 (c)	8,775	8,277
2.193% 2/25/25	9,124	8,655
4.788% 7/18/25 (c)	4,000	3,955
Mizuho Financial Group, Inc.:
0.849% 9/8/24 (c)	4,265	4,264
2.651% 5/22/26 (c)	6,307	5,940
Morgan Stanley Bank, West Valley City Utah 4.754% 4/21/26	4,007	3,955
National Bank of Canada 0.55% 11/15/24 (c)	3,356	3,319
NatWest Group PLC:
3.875% 9/12/23	14,202	14,197
5.847% 3/2/27 (c)	5,500	5,467
NatWest Markets PLC 0.8% 8/12/24 (b)	4,320	4,122
PNC Bank NA 2.5% 8/27/24	6,217	6,005
Rabobank Nederland New York Branch 3.875% 8/22/24	7,890	7,747
Regions Financial Corp. 2.25% 5/18/25	3,950	3,691
Royal Bank of Canada 2.55% 7/16/24	8,572	8,341
Santander Holdings U.S.A., Inc.:
3.5% 6/7/24	7,230	7,074
5.807% 9/9/26 (c)	3,956	3,919
Societe Generale:
2.226% 1/21/26 (b)(c)	10,000	9,408
2.625% 10/16/24 (b)	1,249	1,202
3.875% 3/28/24 (b)	4,871	4,802
4.351% 6/13/25 (b)	4,500	4,382
Sumitomo Mitsui Financial Group, Inc. 0.508% 1/12/24	804	789
The Toronto-Dominion Bank 2.35% 3/8/24	7,500	7,372
Truist Financial Corp.:
4.26% 7/28/26 (c)	5,500	5,313
5.9% 10/28/26 (c)	7,375	7,355
U.S. Bancorp 5.727% 10/21/26 (c)	6,750	6,748
Wells Fargo & Co. 2.164% 2/11/26 (c)	20,142	19,044
Wells Fargo Bank NA 5.55% 8/1/25	5,000	5,010
		412,643
Capital Markets - 5.2%
Credit Suisse AG 0.495% 2/2/24	8,000	7,805
Deutsche Bank AG New York Branch:
0.898% 5/28/24	2,427	2,340
0.962% 11/8/23	5,352	5,302
1.447% 4/1/25 (c)	5,743	5,563
2.129% 11/24/26 (c)	5,000	4,536
2.222% 9/18/24 (c)	20,476	20,444
Goldman Sachs Group, Inc.:
0.657% 9/10/24 (c)	10,000	9,992
1.757% 1/24/25 (c)	10,000	9,815
3% 3/15/24	3,000	2,954
5.7% 11/1/24	5,500	5,489
Intercontinental Exchange, Inc. 3.65% 5/23/25	4,172	4,044
Morgan Stanley:
0.79% 5/30/25 (c)	8,500	8,150
3.62% 4/17/25 (c)	5,750	5,662
4% 7/23/25	6,714	6,512
4.679% 7/17/26 (c)	10,823	10,597
NASDAQ, Inc. 5.65% 6/28/25	1,274	1,275
UBS AG London Branch 1.375% 1/13/25 (b)	5,623	5,296
UBS Group AG:
4.49% 8/5/25 (b)(c)	7,500	7,378
6.373% 7/15/26 (b)(c)	4,600	4,619
		127,773
Consumer Finance - 4.5%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.680% 5.8932% 9/29/23 (c)(d)	7,000	6,998
1.15% 10/29/23	7,000	6,946
1.65% 10/29/24	7,750	7,368
1.75% 1/30/26	5,724	5,179
4.875% 1/16/24	2,014	2,004
Ally Financial, Inc. 5.125% 9/30/24	6,284	6,187
American Express Co.:
2.25% 3/4/25	3,469	3,298
3.375% 5/3/24	6,000	5,903
5.389% 7/28/27 (c)	5,000	4,970
Capital One Financial Corp.:
1.343% 12/6/24 (c)	6,500	6,407
4.166% 5/9/25 (c)	10,090	9,900
4.985% 7/24/26 (c)	2,457	2,402
Hyundai Capital America:
1% 9/17/24 (b)	7,995	7,600
5.8% 6/26/25 (b)	6,500	6,508
John Deere Capital Corp.:
3.4% 6/6/25	4,589	4,448
4.75% 6/8/26	2,832	2,818
Synchrony Financial:
4.25% 8/15/24	9,435	9,190
4.375% 3/19/24	8,076	7,978
Toyota Motor Credit Corp. 5.4% 11/10/25	6,500	6,532
		112,636
Financial Services - 2.1%
AIG Global Funding 5.75% 7/2/26 (b)	5,200	5,176
Athene Global Funding:
0.95% 1/8/24 (b)	7,220	7,082
1% 4/16/24 (b)	7,000	6,758
1.716% 1/7/25 (b)	6,500	6,088
Blackstone Private Credit Fund 4.7% 3/24/25	7,096	6,897
Corebridge Financial, Inc. 3.5% 4/4/25	812	780
GA Global Funding Trust 1.25% 12/8/23 (b)	8,200	8,091
Jackson Financial, Inc. 1.125% 11/22/23	8,613	8,524
The Western Union Co. 2.85% 1/10/25	1,585	1,519
		50,915
Insurance - 1.9%
American International Group, Inc. 2.5% 6/30/25	4,476	4,237
Equitable Financial Life Global Funding:
0.5% 11/17/23 (b)	10,000	9,887
1.1% 11/12/24 (b)	8,150	7,692
Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 (b)	3,527	3,187
MassMutual Global Funding II:
4.15% 8/26/25 (b)	5,651	5,512
4.5% 4/10/26 (b)	6,700	6,580
Pacific Life Global Funding II 1.2% 6/24/25 (b)	5,535	5,124
Principal Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.6894% 4/12/24 (b)(c)(d)	3,616	3,616
Protective Life Global Funding 3.218% 3/28/25 (b)	1,703	1,636
		47,471
TOTAL FINANCIALS		751,438
HEALTH CARE - 2.1%
Biotechnology - 0.3%
Amgen, Inc. 5.25% 3/2/25	8,000	7,966
Health Care Providers & Services - 0.4%
Cigna Group 0.613% 3/15/24	1,965	1,912
CVS Health Corp. 5% 2/20/26	7,000	6,946
		8,858
Life Sciences Tools & Services - 0.6%
Revvity, Inc. 0.85% 9/15/24	8,310	7,877
Thermo Fisher Scientific, Inc. 1.215% 10/18/24	8,500	8,103
		15,980
Pharmaceuticals - 0.8%
AstraZeneca Finance LLC 0.7% 5/28/24	6,275	6,058
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b)	6,748	6,535
GSK Consumer Healthcare Capital 3.125% 3/24/25	7,390	7,108
		19,701
TOTAL HEALTH CARE		52,505
INDUSTRIALS - 3.1%
Aerospace & Defense - 0.7%
L3Harris Technologies, Inc. 5.4% 1/15/27	6,250	6,265
RTX Corp. 5% 2/27/26	3,832	3,815
The Boeing Co.:
1.95% 2/1/24	3,500	3,441
4.875% 5/1/25	4,713	4,648
		18,169
Commercial Services & Supplies - 0.4%
Republic Services, Inc. 0.875% 11/15/25	10,000	9,062
Ground Transportation - 0.5%
Canadian Pacific Railway Co. 1.35% 12/2/24	12,296	11,655
Industrial Conglomerates - 0.2%
Siemens Financieringsmaatschappij NV 0.65% 3/11/24 (b)	5,142	5,011
Machinery - 0.5%
Daimler Trucks Finance North America LLC:
1.625% 12/13/24 (b)	2,657	2,522
5.2% 1/17/25 (b)	2,880	2,860
Parker Hannifin Corp. 3.65% 6/15/24	7,000	6,879
		12,261
Passenger Airlines - 0.3%
Delta Air Lines, Inc. 2.9% 10/28/24	7,598	7,358
Trading Companies & Distributors - 0.2%
Air Lease Corp.:
0.7% 2/15/24	2,930	2,859
0.8% 8/18/24	3,717	3,535
		6,394
Transportation Infrastructure - 0.3%
Avolon Holdings Funding Ltd. 2.875% 2/15/25 (b)	7,000	6,605
TOTAL INDUSTRIALS		76,515
INFORMATION TECHNOLOGY - 1.0%
Communications Equipment - 0.2%
Bank of America NA 5.65% 8/18/25	5,000	5,017
Semiconductors & Semiconductor Equipment - 0.3%
Analog Devices, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.250% 5.4668% 10/1/24 (c)(d)	4,150	4,148
Microchip Technology, Inc. 0.983% 9/1/24	4,231	4,029
		8,177
Software - 0.5%
Oracle Corp. 5.8% 11/10/25	7,000	7,068
VMware, Inc. 1% 8/15/24	5,608	5,360
		12,428
TOTAL INFORMATION TECHNOLOGY		25,622
MATERIALS - 0.1%
Chemicals - 0.1%
Nutrien Ltd. 5.9% 11/7/24	3,720	3,719
REAL ESTATE - 0.3%
Equity Real Estate Investment Trusts (REITs) - 0.3%
American Tower Corp. 1.3% 9/15/25	2,980	2,733
Crown Castle International Corp. 1.35% 7/15/25	700	646
Welltower OP LLC 3.625% 3/15/24	3,276	3,234
		6,613
UTILITIES - 1.7%
Electric Utilities - 0.6%
FirstEnergy Corp.:
1.6% 1/15/26	747	678
2.05% 3/1/25	4,143	3,869
Florida Power & Light Co. 2.85% 4/1/25	1,893	1,821
Pennsylvania Electric Co. 5.15% 3/30/26 (b)	2,572	2,530
Southern Co. 0.6% 2/26/24	3,086	3,010
Tampa Electric Co. 3.875% 7/12/24	4,057	3,992
		15,900
Gas Utilities - 0.1%
Dominion Gas Holdings LLC 2.5% 11/15/24	1,475	1,419
Independent Power and Renewable Electricity Producers - 0.1%
Emera U.S. Finance LP 0.833% 6/15/24	3,897	3,710
Multi-Utilities - 0.9%
CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 5.9575% 5/13/24 (c)(d)	5,926	5,925
DTE Energy Co. 4.22% 11/1/24	7,490	7,346
NiSource, Inc. 0.95% 8/15/25	2,976	2,728
Sempra 3.3% 4/1/25	2,834	2,730
WEC Energy Group, Inc. 5% 9/27/25	2,638	2,613
		21,342
TOTAL UTILITIES		42,371
TOTAL NONCONVERTIBLE BONDS (Cost $1,239,128)		1,204,338

U.S. Treasury Obligations - 26.4%
	Principal Amount (a) (000s)	Value ($) (000s)
U.S. Treasury Notes:
3.875% 1/15/26	232,414	228,022
4.125% 10/31/27	210,000	208,039
4.5% 11/15/25	100,856	100,241
4.625% 3/15/26	120,000	119,911
TOTAL U.S. TREASURY OBLIGATIONS (Cost $664,791)		656,213

U.S. Government Agency - Mortgage Securities - 0.3%
	Principal Amount (a) (000s)	Value ($) (000s)
Fannie Mae - 0.3%
4.5% 3/1/39 to 9/1/49 (e)	5,729	5,542
5.5% 11/1/34	1,069	1,075
7.5% 11/1/31	0	0
TOTAL FANNIE MAE		6,617
Freddie Mac - 0.0%
8.5% 5/1/26 to 7/1/28	9	9
Ginnie Mae - 0.0%
7% to 7% 1/15/25 to 8/15/32	118	121
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $7,379)		6,747

Asset-Backed Securities - 15.3%
	Principal Amount (a) (000s)	Value ($) (000s)
Aimco:
Series 2018-BA Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6696% 1/15/32 (b)(c)(d)	8,883	8,855
Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.6672% 7/22/32 (b)(c)(d)	8,770	8,725
AIMCO CLO Ltd. Series 2022-12A Class AR, CME Term SOFR 3 Month Index + 1.170% 6.478% 1/17/32 (b)(c)(d)	5,000	4,967
American Express Credit Account Master Trust:
Series 2022-2 Class A, 3.39% 5/15/27	8,500	8,222
Series 2022-3 Class A, 3.75% 8/15/27	7,000	6,799
Series 2022-4 Class A, 4.95% 10/15/27	4,492	4,461
Series 2023-1 Class A, 4.87% 5/15/28	3,528	3,508
AmeriCredit Automobile Receivables Trust Series 2021-3 Class A3, 0.76% 8/18/26	6,394	6,201
Ares LII CLO Ltd. Series 2021-52A Class A1R, CME Term SOFR 3 Month Index + 1.310% 6.6572% 4/22/31 (b)(c)(d)	7,663	7,624
Bank of America Credit Card Master Trust:
Series 2021-A1 Class A1, 0.44% 9/15/26	4,139	4,006
Series 2022-A1 Class A1, 3.53% 11/15/27	7,895	7,648
Series 2023-A1 Class A1, 4.79% 5/15/28	2,564	2,542
BMW Vechicle Lease Trust 2023-1 Series 2023-1 Class A3, 5.16% 11/25/25	3,820	3,795
Capital One Multi-Asset Execution Trust:
Series 2022-A1 Class A1, 2.8% 3/15/27	12,000	11,529
Series 2022-A2 Class A, 3.49% 5/15/27	7,000	6,786
Series 2022-A3 Class A, 4.95% 10/15/27	5,420	5,381
CarMax Auto Owner Trust:
Series 2020-4 Class A3, 0.5% 8/15/25	1,670	1,638
Series 2021-1 Class A3, 0.34% 12/15/25	2,086	2,033
Carmax Auto Owner Trust Series 2022-4 Class A2A, 5.34% 12/15/25	3,612	3,604
Carvana Auto Receivables Trust:
Series 2021-P2 Class A3, 0.49% 3/10/26	3,364	3,287
Series 2021-P3 Class A3, 0.7% 11/10/26	5,736	5,495
Cedar Funding Ltd.:
Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6878% 10/20/32 (b)(c)(d)	2,196	2,187
Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.360% 6.6696% 7/15/33 (b)(c)(d)	9,276	9,215
Cent CLO LP Series 2021-21A Class A1R3, CME Term SOFR 3 Month Index + 1.230% 6.589% 7/27/30 (b)(c)(d)	5,597	5,572
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b)	1,028	984
Chase Issuance Trust Series 2022-A1 Class A, 3.97% 9/15/27	6,734	6,568
Chesapeake Funding II LLC Series 2023 1A Class A1, 5.65% 5/15/35 (b)	5,085	5,059
Countrywide Home Loans, Inc. Series 2004-2 Class 3A4, CME Term SOFR 1 Month Index + 0.610% 5.9294% 7/25/34 (c)(d)	123	118
Dell Equipment Finance Trust Series 2021-1 Class A3, 0.43% 5/22/26 (b)	502	500
Dell Equipment Finance Trust 2023-2 Series 2023-2 Class A3, 5.65% 1/22/29 (b)	2,027	2,033
Discover Card Execution Note Trust:
Series 2022-A1 Class A1, 1.96% 2/15/27	4,911	4,673
Series 2022-A2 Class A, 3.32% 5/15/27	7,150	6,904
Series 2022-A3 Class A3, 3.56% 7/15/27	6,653	6,439
Dllaa 2023-1A Series 2023-1A Class A3, 5.64% 2/22/28 (b)	502	504
Donlen Fleet Lease Funding Series 2021-2 Class A2, 0.56% 12/11/34 (b)	1,487	1,458
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6696% 4/15/31 (b)(c)(d)	8,070	8,021
Enterprise Fleet Financing LLC:
Series 2020-2 Class A2, 0.61% 7/20/26 (b)	1,014	1,001
Series 2021-1 Class A2, 0.44% 12/21/26 (b)	728	716
Series 2021-2 Class A2, 0.48% 5/20/27 (b)	3,197	3,096
Series 2022-3 Class A2, 4.38% 7/20/29 (b)	1,081	1,060
Series 2023-1 Class A2, 5.51% 1/22/29 (b)	4,908	4,879
Ford Credit Auto Owner Trust 2 Series 2023-B Class A3, 5.23% 5/15/28	3,944	3,942
Ford Credit Floorplan Master Owner Trust:
Series 2020-1 Class A1, 0.7% 9/15/25	12,164	12,144
Series 2023-1 Class A1, 4.92% 5/15/28 (b)	4,177	4,127
GM Financial Automobile Leasing Series 2023-2 Class A3, 5.05% 7/20/26	4,155	4,122
GM Financial Automobile Leasing Trust Series 2023-1 Class A3, 5.16% 4/20/26	4,665	4,635
GM Financial Consumer Automobile Re Series 2023 2 Class A3, 4.47% 2/16/28	1,678	1,650
GM Financial Consumer Automobile Receivables Trust Series 2022-2 Class A3, 3.1% 2/16/27	6,602	6,407
GMF Floorplan Owner Revolving Trust:
Series 2020-2 Class A, 0.69% 10/15/25 (b)	6,742	6,699
Series 2023-1 Class A1, 5.34% 6/15/28 (b)	5,812	5,805
Hyundai Auto Receivables Trust:
Series 2020-C Class A3, 0.38% 5/15/25	1,727	1,702
Series 2023 A Class A3, 4.58% 4/15/27	2,034	2,008
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, CME Term SOFR 3 Month Index + 1.260% 6.6072% 1/22/31 (b)(c)(d)	6,559	6,536
Marlette Funding Trust:
Series 2022-1A Class A, 1.36% 4/15/32 (b)	152	151
Series 2022-2A Class A, 4.25% 8/15/32 (b)	1,692	1,683
MMAF Equipment Finance LLC:
Series 2019-B Class A3, 2.01% 12/12/24 (b)	1,149	1,138
Series 2022-B Class A2, 5.57% 9/9/25 (b)	4,011	3,991
Niagara Park CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.260% 6.5696% 7/17/32 (b)(c)(d)	8,390	8,327
OneMain Direct Auto Receivables Trust Series 2021-1A Class A, 0.87% 7/14/28 (b)	8,012	7,602
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, CME Term SOFR 3 Month Index + 1.060% 6.4414% 5/20/29 (b)(c)(d)	4,383	4,364
Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME Term SOFR 3 Month Index + 1.050% 6.358% 4/15/30 (b)(c)(d)	6,299	6,250
Park Place Securities, Inc. Series 2005-WCH1 Class M4, CME Term SOFR 1 Month Index + 1.350% 6.6744% 1/25/36 (c)(d)	122	119
Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (b)(c)	4,210	3,909
Santander Consumer Auto Receivables Trust Series 2021-AA Class A3, 0.33% 10/15/25 (b)	901	895
Santander Drive Auto Receivables Trust Series 2022-5 Class A3, 4.11% 8/17/26	4,564	4,531
Santander Retail Auto Lease Trust Series 2021-A Class A3, 0.51% 7/22/24 (b)	1,354	1,346
Sfs Auto Receivables Securitiz Series 2023-1A Class A3, 5.47% 10/20/28 (b)	6,331	6,304
Sofi Consumer Loan Program Series 2023-1S Class A, 5.81% 5/15/31 (b)	2,029	2,025
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.6296% 7/15/32 (b)(c)(d)	6,342	6,305
Symphony CLO XXIII Ltd. Series 2021-23A Class AR, CME Term SOFR 3 Month Index + 1.280% 6.5896% 1/15/34 (b)(c)(d)	8,047	7,988
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.220% 6.5981% 11/18/30 (b)(c)(d)	6,936	6,910
TCI-Symphony CLO Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.190% 6.4996% 7/15/30 (b)(c)(d)	8,572	8,530
Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 Month Index + 0.970% 6.2894% 9/25/34 (c)(d)	140	134
Tesla Auto Lease Trust Series 2021-A Class A3, 0.56% 3/20/25 (b)	1,292	1,289
Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (b)	1,215	1,212
Toyota Auto Loan Extended Note Trust Series 2020-1A Class A, 1.35% 5/25/33 (b)	4,906	4,559
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, CME Term SOFR 3 Month Index + 0.820% 6.0904% 4/6/42 (b)(c)(d)(f)	261	198
Upstart Securitization Trust:
Series 2021-3 Class A, 0.83% 7/20/31 (b)	270	268
Series 2021-4 Class A, 0.84% 9/20/31 (b)	975	963
Series 2021-5 Class A, 1.31% 11/20/31 (b)	1,534	1,508
3.12% 3/20/32 (b)	2,786	2,743
VCAT Asset Securitization, LLC:
Series 2021-NPL1 Class A1, 2.2891% 12/26/50 (b)	744	720
Series 2021-NPL2 Class A1, 2.115% 3/27/51 (b)	3,866	3,682
Series 2021-NPL3 Class A1, 1.743% 5/25/51 (b)(c)	5,046	4,640
Verizon Master Trust:
Series 2021-1 Class A, 0.5% 5/20/27	6,240	6,005
Series 2021-2 Class A, 0.99% 4/20/28	8,190	7,763
Series 2022-5 Class A1A, 3.72% 7/20/27	3,412	3,384
Volkswagen Auto Loan Enhanced Series 2023-1 Class A3, 5.02% 6/20/28	2,893	2,880
Voya CLO Ltd. Series 2021-1A Class A1R, CME Term SOFR 3 Month Index + 1.210% 6.5196% 4/17/30 (b)(c)(d)	6,845	6,814
Wheels SPV LLC Series 2021-1A Class A, CME Term SOFR 1 Month Index + 0.390% 5.7085% 8/20/29 (b)(c)(d)	2,231	2,216
TOTAL ASSET-BACKED SECURITIES (Cost $388,046)		381,216

Collateralized Mortgage Obligations - 2.5%
	Principal Amount (a) (000s)	Value ($) (000s)
Private Sponsor - 2.1%
Ajax Mortgage Loan Trust sequential payer Series 2021-B Class A, 2.239% 6/25/66 (b)(c)	2,366	2,245
Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/66 (b)	4,626	3,859
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c)	692	662
Cascade Funding Mortgage Trust:
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c)	1,232	1,137
Series 2021-HB5 Class A, 0.8006% 2/25/31 (b)	819	797
Series 2021-HB6 Class A, 0.8983% 6/25/36 (b)	1,246	1,205
Series 2021-HB7 Class A, 1.1512% 10/27/31 (b)	1,610	1,532
Cfmt 2022-Ebo2 sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b)	622	611
CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b)	4,744	4,648
Csmc 2021-Rpl9 Trust sequential payer Series 2021-RPL9 Class A1, 2.4364% 2/25/61 (b)	6,638	6,228
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c)	3,706	3,490
GCAT Trust sequential payer Series 2021-NQM7 Class A1, 1.915% 8/25/66 (b)	2,455	2,138
Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 2.25% 7/25/67 (b)(c)	5,427	5,069
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b)	1,956	1,782
Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (b)	2,164	1,936
Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/29/51 (b)(c)	699	686
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b)	461	435
Preston Ridge Partners Mortgage Trust:
sequential payer Series 2021-8 Class A1, 1.743% 9/25/26 (b)(c)	4,803	4,443
Series 2021-2 Class A1, 2.115% 3/25/26 (b)	3,475	3,290
Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b)	835	735
Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c)	1,060	927
PRET LLC Series 2022-RN1 Class A1, 3.721% 7/25/51 (b)	3,438	3,256
RMF Buyout Issuance Trust sequential payer:
Series 2021-HB1 Class A, 1.2586% 11/25/31 (b)	1,482	1,415
Series 2022-HB1 Class A, 4.272% 4/25/32 (b)	704	664
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 6.546% 7/20/34 (c)(d)	1	1
TOTAL PRIVATE SPONSOR		53,191
U.S. Government Agency - 0.4%
Fannie Mae:
floater Series 2015-27 Class KF, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.410% 5.7021% 5/25/45 (c)(d)	2,425	2,352
sequential payer Series 2001-40 Class Z, 6% 8/25/31	41	41
Series 2016-27:
Class HK, 3% 1/25/41	2,701	2,510
Class KG, 3% 1/25/40	1,238	1,151
Series 2016-42 Class FL, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.460% 5.7521% 7/25/46 (c)(d)	2,745	2,716
Freddie Mac Series 3949 Class MK, 4.5% 10/15/34	281	275
TOTAL U.S. GOVERNMENT AGENCY		9,045
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $66,742)		62,236

Commercial Mortgage Securities - 5.5%
	Principal Amount (a) (000s)	Value ($) (000s)
BAMLL Commercial Mortgage Securities Trust:
floater Series 2022-DKLX Class A, CME Term SOFR 1 Month Index + 1.150% 6.461% 1/15/39 (b)(c)(d)	1,838	1,788
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b)	2,246	2,046
Benchmark Mortgage Trust sequential payer Series 2021-B31 Class A1, 1.357% 12/15/54	4,782	4,422
BLOX Trust floater sequential payer Series 2021-BLOX Class A, CME Term SOFR 1 Month Index + 0.860% 6.1755% 9/15/26 (b)(c)(d)	4,272	4,085
BPR Trust floater Series 2022-OANA Class A, CME Term SOFR 1 Month Index + 1.890% 7.2085% 4/15/37 (b)(c)(d)	6,214	6,102
BX Commercial Mortgage Trust floater:
Series 2021-PAC Class A, CME Term SOFR 1 Month Index + 0.800% 6.1136% 10/15/36 (b)(c)(d)	3,704	3,618
Series 2021-VINO Class A, CME Term SOFR 1 Month Index + 0.760% 6.0768% 5/15/38 (b)(c)(d)	2,570	2,520
Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 6.3234% 2/15/39 (b)(c)(d)	3,781	3,677
Bx Commercial Mortgage Trust 2 floater sequential payer Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.110% 6.4245% 4/15/34 (b)(c)(d)	4,300	4,283
BX Trust:
floater:
Series 2021-ACNT Class A, CME Term SOFR 1 Month Index + 0.960% 6.2745% 11/15/38 (b)(c)(d)	3,607	3,540
Series 2021-BXMF Class A, CME Term SOFR 1 Month Index + 0.750% 6.0604% 10/15/26 (b)(c)(d)	3,376	3,299
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4755% 8/15/39 (b)(c)(d)	1,533	1,533
floater sequential payer:
Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 6.345% 10/15/36 (b)(c)(d)	5,102	5,089
Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.0955% 6/15/38 (b)(c)(d)	3,373	3,307
CF Hippolyta Issuer LLC sequential payer:
Series 2020-1 Class A1, 1.69% 7/15/60 (b)	7,445	6,731
Series 2021-1A Class A1, 1.53% 3/15/61 (b)	4,350	3,821
CGDB Commercial Mortgage Trust floater Series 2019-MOB Class A, CME Term SOFR 1 Month Index + 1.060% 6.375% 11/15/36 (b)(c)(d)	1,678	1,649
Citigroup Commercial Mortgage Trust sequential payer:
Series 2014-GC21 Class AAB, 3.477% 5/10/47	274	273
Series 2016-GC36 Class AAB, 3.368% 2/10/49	1,609	1,555
COMM Mortgage Trust sequential payer:
Series 2015 LC19 Class A3, 2.922% 2/10/48	2,132	2,061
Series 2020-SBX Class A, 1.67% 1/10/38 (b)	6,921	5,991
Credit Suisse Mortgage Trust:
floater Series 2019-ICE4 Class A, CME Term SOFR 1 Month Index + 1.020% 6.338% 5/15/36 (b)(c)(d)	8,003	7,994
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b)	1,066	960
CSAIL 2018-CX12 Commercial Mortgage Trust sequential payer Series 2018-CX12 Class ASB, 4.1628% 8/15/51	3,275	3,131
CSMC Trust Series 2017-CHOP Class A, PRIME RATE - 2.300% 6.194% 7/15/32 (b)(c)(d)	3,326	3,189
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, CME Term SOFR 1 Month Index + 0.810% 6.1265% 11/15/38 (b)(c)(d)	5,020	4,913
Extended Stay America Trust floater Series 2021-ESH Class A, CME Term SOFR 1 Month Index + 1.190% 6.5045% 7/15/38 (b)(c)(d)	1,679	1,662
GS Mortgage Securities Trust:
floater Series 2021-IP Class A, CME Term SOFR 1 Month Index + 1.060% 6.3755% 10/15/36 (b)(c)(d)	2,194	2,087
Series 2011-GC5 Class A/S, 5.209% 8/10/44 (b)(c)	4,673	4,390
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2019-BKWD Class A, CME Term SOFR 1 Month Index + 1.360% 6.6755% 9/15/29 (b)(c)(d)	2,452	2,275
Series 2013-LC11 Class A/S, 3.216% 4/15/46	1,924	1,809
Life Financial Services Trust floater Series 2022-BMR2 Class A1, CME Term SOFR 1 Month Index + 1.290% 6.6057% 5/15/39 (b)(c)(d)	4,992	4,905
LIFE Mortgage Trust floater Series 2021-BMR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1245% 3/15/38 (b)(c)(d)	3,374	3,306
Merit floater Series 2021-STOR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1255% 7/15/38 (b)(c)(d)	1,937	1,899
Morgan Stanley BAML Trust sequential payer Series 2016-C28:
Class A3, 3.272% 1/15/49	1,640	1,540
Class ASB, 3.288% 1/15/49	1,341	1,297
Morgan Stanley Capital I Trust:
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b)	4,896	4,479
Series 2019-H7 Class A1, 2.327% 7/15/52	939	921
OPG Trust floater Series 2021-PORT Class A, CME Term SOFR 1 Month Index + 0.590% 5.9095% 10/15/36 (b)(c)(d)	5,513	5,371
SREIT Trust floater Series 2021-MFP Class A, CME Term SOFR 1 Month Index + 0.840% 6.1558% 11/15/38 (b)(c)(d)	3,363	3,295
Wells Fargo Commercial Mortgage Trust sequential payer:
Series 2015-LC22 Class ASB, 3.571% 9/15/58	1,988	1,931
Series 2017-RC1 Class ASB, 3.453% 1/15/60	2,690	2,574
WF-RBS Commercial Mortgage Trust sequential payer Series 2014-C20 Class ASB, 3.638% 5/15/47	251	249
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $142,056)		135,567

Money Market Funds - 0.9%
	Shares	Value ($) (000s)
Fidelity Cash Central Fund 5.43% (g) (Cost $22,073)	22,068,095	22,073

TOTAL INVESTMENT IN SECURITIES - 99.4% (Cost $2,530,215)	2,468,390
NET OTHER ASSETS (LIABILITIES) - 0.6%	14,822
NET ASSETS - 100.0%	2,483,212

Futures Contracts
	Number of contracts	Expiration Date	Notional Amount ($) (000s)	Value ($) (000s)	Unrealized Appreciation/ (Depreciation) ($) (000s)
Purchased

Treasury Contracts
CBOT 2-Year U.S. Treasury Note Contracts (United States)	1,416	Dec 2023	288,587	821	821
CBOT 5-Year U.S. Treasury Note Contracts (United States)	252	Dec 2023	26,944	187	187

TOTAL FUTURES CONTRACTS					1,008
The notional amount of futures purchased as a percentage of Net Assets is 12.7%

For the period, the average monthly notional amount at value for futures contracts in the aggregate was $250,040,000.

Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.

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 $642,942,000 or 25.9% of net assets.

(c)	Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(d)	Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(e)	Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $2,184,000.

(f)	Level 3 security

(g)

Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, 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 (Amounts in thousands)	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 5.43%	6,183	605,211	589,321	658	-	-	22,073	0.1%
Fidelity Securities Lending Cash Central Fund 5.44%	-	242,343	242,343	44	-	-	-	0.0%
Total	6,183	847,554	831,664	702	-	-	22,073

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, 2023, 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 (Amounts in thousands)	Total ($)	Level 1 ($)	Level 2 ($)	Level 3 ($)
Investments in Securities:

Corporate Bonds	1,204,338	-	1,204,338	-

U.S. Government and Government Agency Obligations	656,213	-	656,213	-

U.S. Government Agency - Mortgage Securities	6,747	-	6,747	-

Asset-Backed Securities	381,216	-	381,018	198

Collateralized Mortgage Obligations	62,236	-	62,236	-

Commercial Mortgage Securities	135,567	-	135,567	-

Money Market Funds	22,073	22,073	-	-
Total Investments in Securities:	2,468,390	22,073	2,446,119	198
Derivative Instruments:

Assets
Futures Contracts	1,008	1,008	-	-
Total Assets	1,008	1,008	-	-
Total Derivative Instruments:	1,008	1,008	-	-

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, 2023. 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
(Amounts in thousands)	Asset ($)	Liability ($)
Interest Rate Risk
Futures Contracts (a)	1,008	0
Total Interest Rate Risk	1,008	0
Total Value of Derivatives	1,008	0

(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).

Financial Statements

Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts)				August 31, 2023

Assets
Investment in securities, at value - See accompanying schedule:
Unaffiliated issuers (cost $2,508,142)	$	2,446,317
Fidelity Central Funds (cost $22,073)		22,073


Total Investment in Securities (cost $2,530,215)			$	2,468,390
Receivable for investments sold				74,546
Receivable for fund shares sold				529
Interest receivable	��			18,907
Distributions receivable from Fidelity Central Funds				77
Receivable for daily variation margin on futures contracts				104
Receivable from investment adviser for expense reductions				12
Other receivables				9
Total assets				2,562,574
Liabilities
Payable for investments purchased	$	74,313
Payable for fund shares redeemed		3,311
Distributions payable		995
Accrued management fee		416
Distribution and service plan fees payable		54
Other affiliated payables		222
Other payables and accrued expenses		51
Total Liabilities				79,362
Net Assets			$	2,483,212
Net Assets consist of:
Paid in capital			$	2,607,638
Total accumulated earnings (loss)				(124,426)
Net Assets			$	2,483,212

Net Asset Value and Maximum Offering Price
Class A :
Net Asset Value and redemption price per share ($190,153 ÷ 22,983 shares)(a)			$	8.27
Maximum offering price per share (100/98.50 of $8.27)			$	8.40
Class M :
Net Asset Value and redemption price per share ($49,950 ÷ 6,037 shares)(a)			$	8.27
Maximum offering price per share (100/98.50 of $8.27)			$	8.40
Class C :
Net Asset Value and offering price per share ($28,552 ÷ 3,466 shares)(a)			$	8.24
Short-Term Bond :
Net Asset Value, offering price and redemption price per share ($1,807,373 ÷ 218,543 shares)			$	8.27
Class I :
Net Asset Value, offering price and redemption price per share ($214,549 ÷ 25,931 shares)			$	8.27
Class Z :
Net Asset Value, offering price and redemption price per share ($192,635 ÷ 23,296 shares)			$	8.27
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

Statement of Operations
Amounts in thousands				Year ended August 31, 2023
Investment Income
Interest			$	79,333
Income from Fidelity Central Funds (including $44 from security lending)				702
Total Income				80,035
Expenses
Management fee	$	6,900
Transfer agent fees		2,863
Distribution and service plan fees		689
Fund wide operations fee		821
Independent trustees' fees and expenses		10
Miscellaneous		41
Total expenses before reductions		11,324
Expense reductions		(91)
Total expenses after reductions				11,233
Net Investment income (loss)				68,802
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment Securities:
Unaffiliated issuers		(42,270)
Futures contracts		(9,411)
Total net realized gain (loss)				(51,681)
Change in net unrealized appreciation (depreciation) on:
Investment Securities:
Unaffiliated issuers		42,029
Futures contracts		1,322
Total change in net unrealized appreciation (depreciation)				43,351
Net gain (loss)				(8,330)
Net increase (decrease) in net assets resulting from operations			$	60,472

Statement of Changes in Net Assets

Amount in thousands		Year ended August 31, 2023		Year ended August 31, 2022
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	68,802	$	26,764
Net realized gain (loss)		(51,681)		(24,983)
Change in net unrealized appreciation (depreciation)		43,351		(132,210)
Net increase (decrease) in net assets resulting from operations		60,472		(130,429)
Distributions to shareholders		(59,658)		(34,111)

Share transactions - net increase (decrease)		(312,235)		(366,829)
Total increase (decrease) in net assets		(311,421)		(531,369)

Net Assets
Beginning of period		2,794,633		3,326,002
End of period	$	2,483,212	$	2,794,633

Financial Highlights

Fidelity Advisor® Short-Term Bond Fund Class A

Years ended August 31,		2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	8.27	$	8.73	$	8.89	$	8.72	$	8.53
Income from Investment Operations
Net investment income (loss) A,B		.199		.061		.082		.153		.178
Net realized and unrealized gain (loss)		(.027)		(.441)		(.065)		.168		.171
Total from investment operations		.172		(.380)		.017		.321		.349
Distributions from net investment income		(.172)		(.054)		(.118)		(.151)		(.159)
Distributions from net realized gain		-		(.026)		(.059)		-		-
Total distributions		(.172)		(.080)		(.177)		(.151)		(.159)
Net asset value, end of period	$	8.27	$	8.27	$	8.73	$	8.89	$	8.72
Total Return C,D		2.10%		(4.38)%		.20%		3.73%		4.13%
Ratios to Average Net Assets B,E,F
Expenses before reductions		.59%		.65%		.65%		.65%		.65%
Expenses net of fee waivers, if any		.59%		.65%		.65%		.65%		.65%
Expenses net of all reductions		.59%		.65%		.65%		.65%		.65%
Net investment income (loss)		2.41%		.72%		.93%		1.75%		2.08%
Supplemental Data
Net assets, end of period (in millions)	$	190	$	225	$	234	$	222	$	175
Portfolio turnover rate G		49%		52%		64% H		67% H		46%

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.

DTotal returns do not include the effect of the sales charges.

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 Advisor® Short-Term Bond Fund Class M

Years ended August 31,		2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	8.27	$	8.73	$	8.89	$	8.72	$	8.53
Income from Investment Operations
Net investment income (loss) A,B		.198		.060		.082		.152		.177
Net realized and unrealized gain (loss)		(.027)		(.441)		(.065)		.169		.171
Total from investment operations		.171		(.381)		.017		.321		.348
Distributions from net investment income		(.171)		(.053)		(.118)		(.151)		(.158)
Distributions from net realized gain		-		(.026)		(.059)		-		-
Total distributions		(.171)		(.079)		(.177)		(.151)		(.158)
Net asset value, end of period	$	8.27	$	8.27	$	8.73	$	8.89	$	8.72
Total Return C,D		2.09%		(4.39)%		.19%		3.72%		4.12%
Ratios to Average Net Assets B,E,F
Expenses before reductions		.60%		.65%		.65%		.66%		.67%
Expenses net of fee waivers, if any		.60%		.65%		.65%		.66%		.67%
Expenses net of all reductions		.60%		.65%		.65%		.66%		.67%
Net investment income (loss)		2.40%		.71%		.93%		1.74%		2.06%
Supplemental Data
Net assets, end of period (in millions)	$	50	$	57	$	67	$	73	$	71
Portfolio turnover rate G		49%		52%		64% H		67% H		46%

ACalculated based on average shares outstanding during the period.

CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

DTotal returns do not include the effect of the sales charges.

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 Advisor® Short-Term Bond Fund Class C

Years ended August 31,		2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	8.24	$	8.72	$	8.88	$	8.72	$	8.52
Income from Investment Operations
Net investment income (loss) A,B		.127		(.012)		.007		.078		.104
Net realized and unrealized gain (loss)		(.027)		(.437)		(.058)		.158		.181
Total from investment operations		.100		(.449)		(.051)		.236		.285
Distributions from net investment income		(.100)		(.005)		(.050)		(.076)		(.085)
Distributions from net realized gain		-		(.026)		(.059)		-		-
Total distributions		(.100)		(.031)		(.109)		(.076)		(.085)
Net asset value, end of period	$	8.24	$	8.24	$	8.72	$	8.88	$	8.72
Total Return C,D		1.23%		(5.17)%		(.58)%		2.73%		3.36%
Ratios to Average Net Assets B,E,F
Expenses before reductions		1.45%		1.51%		1.51%		1.51%		1.51%
Expenses net of fee waivers, if any		1.45%		1.51%		1.51%		1.51%		1.51%
Expenses net of all reductions		1.45%		1.51%		1.51%		1.51%		1.51%
Net investment income (loss)		1.55%		(.15)%		.08%		.89%		1.20%
Supplemental Data
Net assets, end of period (in millions)	$	29	$	27	$	33	$	43	$	33
Portfolio turnover rate G		49%		52%		64% H		67% H		46%

ACalculated based on average shares outstanding during the period.

CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

DTotal returns do not include the effect of the contingent deferred sales charge.

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® Short-Term Bond Fund

Years ended August 31,		2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	8.27	$	8.73	$	8.88	$	8.72	$	8.52
Income from Investment Operations
Net investment income (loss) A,B		.215		.078		.100		.171		.195
Net realized and unrealized gain (loss)		(.027)		(.442)		(.055)		.158		.181
Total from investment operations		.188		(.364)		.045		.329		.376
Distributions from net investment income		(.188)		(.070)		(.136)		(.169)		(.176)
Distributions from net realized gain		-		(.026)		(.059)		-		-
Total distributions		(.188)		(.096)		(.195)		(.169)		(.176)
Net asset value, end of period	$	8.27	$	8.27	$	8.73	$	8.88	$	8.72
Total Return C		2.31%		(4.19)%		.51%		3.82%		4.47%
Ratios to Average Net Assets B,D,E
Expenses before reductions		.39%		.45%		.45%		.45%		.45%
Expenses net of fee waivers, if any		.39%		.45%		.45%		.45%		.45%
Expenses net of all reductions		.39%		.45%		.45%		.45%		.45%
Net investment income (loss)		2.61%		.91%		1.13%		1.95%		2.28%
Supplemental Data
Net assets, end of period (in millions)	$	1,807	$	2,086	$	2,568	$	4,420	$	5,017
Portfolio turnover rate F		49%		52%		64% G		67% G		46%

ACalculated based on average shares outstanding during the period.

CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

DFees 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.

EExpense 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.

FAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

GPortfolio turnover rate excludes securities received or delivered in-kind.

Fidelity Advisor® Short-Term Bond Fund Class I

Years ended August 31,		2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	8.27	$	8.73	$	8.89	$	8.72	$	8.53
Income from Investment Operations
Net investment income (loss) A,B		.212		.073		.095		.166		.191
Net realized and unrealized gain (loss)		(.026)		(.441)		(.065)		.168		.171
Total from investment operations		.186		(.368)		.030		.334		.362
Distributions from net investment income		(.186)		(.066)		(.131)		(.164)		(.172)
Distributions from net realized gain		-		(.026)		(.059)		-		-
Total distributions		(.186)		(.092)		(.190)		(.164)		(.172)
Net asset value, end of period	$	8.27	$	8.27	$	8.73	$	8.89	$	8.72
Total Return C		2.28%		(4.24)%		.34%		3.88%		4.29%
Ratios to Average Net Assets B,D,E
Expenses before reductions		.44%		.50%		.50%		.50%		.51%
Expenses net of fee waivers, if any		.42%		.50%		.50%		.50%		.51%
Expenses net of all reductions		.42%		.50%		.50%		.50%		.51%
Net investment income (loss)		2.57%		.86%		1.08%		1.89%		2.22%
Supplemental Data
Net assets, end of period (in millions)	$	215	$	253	$	269	$	291	$	334
Portfolio turnover rate F		49%		52%		64% G		67% G		46%

ACalculated based on average shares outstanding during the period.

CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

FAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

GPortfolio turnover rate excludes securities received or delivered in-kind.

Fidelity Advisor® Short-Term Bond Fund Class Z

Years ended August 31,		2023		2022		2021		2020		2019 A
Selected Per-Share Data
Net asset value, beginning of period	$	8.27	$	8.73	$	8.88	$	8.72	$	8.51
Income from Investment Operations
Net investment income (loss) B,C		.221		.085		.107		.178		.190
Net realized and unrealized gain (loss)		(.027)		(.441)		(.055)		.159		.189
Total from investment operations		.194		(.356)		.052		.337		.379
Distributions from net investment income		(.194)		(.078)		(.143)		(.177)		(.169)
Distributions from net realized gain		-		(.026)		(.059)		-		-
Total distributions		(.194)		(.104)		(.202)		(.177)		(.169)
Net asset value, end of period	$	8.27	$	8.27	$	8.73	$	8.88	$	8.72
Total Return D,E		2.38%		(4.10)%		.60%		3.91%		4.50%
Ratios to Average Net Assets C,F,G
Expenses before reductions		.34%		.40%		.40%		.40%		.40% H
Expenses net of fee waivers, if any		.31%		.36%		.36%		.36%		.36% H
Expenses net of all reductions		.31%		.36%		.36%		.36%		.36% H
Net investment income (loss)		2.68%		1.00%		1.22%		2.04%		2.43% H
Supplemental Data
Net assets, end of period (in millions)	$	193	$	146	$	155	$	118	$	116
Portfolio turnover rate I		49%		52%		64% J		67% J		46%

AFor the period October 2, 2018 (commencement of sale of shares) through August 31, 2019.

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.

ETotal returns for periods of less than one year are not annualized.

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.

HAnnualized.

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

JPortfolio turnover rate excludes securities received or delivered in-kind.

Notes to Financial Statements

For the period ended August 31, 2023

(Amounts in thousands except percentages)

1. Organization.

Fidelity Short-Term Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Short-Term Bond, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Class A, Class M, Class C, Class I and Class Z are Fidelity Advisor classes. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.

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.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - 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. The 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 the Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The 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 the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds 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. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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, 2023 is included at the end of the Fund's Schedule of Investments.

Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. 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 (ETFs). 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 (ETF). Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.

Fidelity Short-Term Bond Fund

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2023, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the 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. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to futures transactions, market discount, 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:

Gross unrealized appreciation	$752
Gross unrealized depreciation	(61,774)
Net unrealized appreciation (depreciation)	$(61,022)
Tax Cost	$2,529,412

The tax-based components of distributable earnings as of period end were as follows:

Undistributed ordinary income	$2,124
Capital loss carryforward	$(65,527)
Net unrealized appreciation (depreciation) on securities and other investments	$(61,022)

Capital loss carryforwards are only available to offset future capital gains of the Fund 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	$(27,378)
Long-term	$(38,149)
Total capital loss carryforward	$(65,527)

The tax character of distributions paid was as follows:

	August 31, 2023	August 31, 2022
Ordinary Income	$59,658	$24,230
Long-term Capital Gains	-	9,881
Total	$59,658	$ 34,111

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.

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures 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 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):


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.

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.

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 Short-Term Bond Fund	347,218	599,966

6. Fees and Other Transactions with Affiliates.

Effective April 1, 2023, the Fund pays a monthly management fee that is based on an annual rate of .20% of the Fund's average net assets. Under the management contract, the investment adviser pays all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as proxy and shareholder meeting expenses.

Prior to April 1, 2023, the management fee was the sum of an individual fund fee rate that was based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .10%% during the period. The group fee rate was based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreased as assets under management increased and increased as assets under management decreased.

For the reporting period, the total annual management fee rate was .26% of the Fund's average net assets.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:

	Distribution Fee	Service Fee	Total Fees	Retained by FDC
Class A	- %	.15%	$319	$27
Class M	- %	.15%	80	-A
Class C	.75%	.25%	290	57
			$689	$84

A Amount represents less than five hundred dollars.

Sales Load. FDC may receive a front-end sales charge of up to 1.50% for selling Class A and Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive a contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, .75% or .50% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.

For the period, sales charge amounts retained by FDC were as follows:

	Retained by FDC
Class A	$44
Class M	4
Class CA	1
	$49

A When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Short-Term Bond and Class Z. FIIOC receives an asset-based fee of Short-Term Bond's and Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:

	Amount	% of Class-Level Average Net Assets
Class A	$315	.15
Class M	85	.16
Class C	47	.16
Short-Term Bond	1,978	.10
Class I	358	.15
Class Z	80	.05
	$2,863

Fund Wide Operations Fee. For the period September 1, 2022 through March 31, 2023, pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser had agreed to provide for fund-level expenses (which may not include transfer agent, the compensation of the independent Trustees, interest, taxes or extraordinary expenses, as applicable) in return for a FWOE fee equal to .35% of fund-level average net assets less the total amount of the management fee. The FWOE paid by a fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. Effective April 1, 2023, the FWOE was terminated. For the period, the FWOE fees were equivalent to the following annual rate expressed as a percentage of average net assets:

Fidelity Short-Term Bond Fund

.03%

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.

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 Short-Term Bond Fund	$5	$-	$-

9. Expense Reductions.

The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through December 31, 2024. Some expenses, for example the compensation of the independent Trustees, and certain other expenses such as interest expense, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

	Expense Limitations	Reimbursement
Class I	None/.30%A	$49
Class Z	.36%/NoneA	37
		$86

A Expense limitation effective April 1, 2023.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $5. During the period, transfer agent credits reduced each class' expenses as noted in the table below.

	Amount
Class M	$-A

A Amount represents less than five hundred dollars.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

	Year ended August 31, 2023	Year ended August 31, 2022
Fidelity Short-Term Bond Fund
Distributions to shareholders
Class A	$4,386	$2,129
Class M	1,099	583
Class C	360	119
Short-Term Bond	44,751	26,668
Class I	5,263	2,734
Class Z	3,799	1,878
Total	$59,658	$34,111

11. Share Transactions.

Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:

	Shares	Shares	Dollars	Dollars
	Year ended August 31, 2023	Year ended August 31, 2022	Year ended August 31, 2023	Year ended August 31, 2022
Fidelity Short-Term Bond Fund
Class A
Shares sold	10,503	19,288	$86,499	$163,691
Reinvestment of distributions	480	234	3,959	1,991
Shares redeemed	(15,259)	(19,072)	(125,709)	(162,116)
Net increase (decrease)	(4,276)	450	$(35,251)	$3,566
Class M
Shares sold	753	1,266	$6,218	$10,745
Reinvestment of distributions	127	65	1,049	558
Shares redeemed	(1,767)	(2,054)	(14,573)	(17,437)
Net increase (decrease)	(887)	(723)	$(7,306)	$(6,134)
Class C
Shares sold	1,841	1,751	$15,068	$14,829
Reinvestment of distributions	42	13	350	115
Shares redeemed	(1,659)	(2,316)	(13,593)	(19,617)
Net increase (decrease)	224	(552)	$1,825	$(4,673)
Short-Term Bond
Shares sold	46,451	41,855	$381,360	$354,127
Reinvestment of distributions	4,364	2,640	36,001	22,511
Shares redeemed	(84,602)	(86,466)	(696,693)	(732,749)
Net increase (decrease)	(33,787)	(41,971)	$(279,332)	$(356,111)
Class I
Shares sold	17,125	17,325	$140,866	$145,973
Reinvestment of distributions	611	298	5,044	2,543
Shares redeemed	(22,379)	(17,812)	(184,522)	(150,956)
Net increase (decrease)	(4,643)	(189)	$(38,612)	$(2,440)
Class Z
Shares sold	14,415	9,084	$118,682	$76,963
Reinvestment of distributions	357	165	2,948	1,406
Shares redeemed	(9,140)	(9,349)	(75,189)	(79,406)
Net increase (decrease)	5,632	(100)	$46,441	$(1,037)

12. 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.

13. Credit Risk.

The Fund invests a significant portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

14. 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 Salem Street Trust and Shareholders of Fidelity Short-Term Bond Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Short-Term Bond Fund (one of the funds constituting Fidelity Salem Street Trust, referred to hereafter as the "Fund") as of August 31, 2023, the related statement of operations for the year ended August 31, 2023, the statement of changes in net assets for each of the two years in the period ended August 31, 2023, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of August 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended August 31, 2023 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's 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 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 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, 2023 by correspondence with the custodian 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 opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

October 13, 2023

We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

Trustees and Officers

TRUSTEES AND OFFICERS

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. As of August 31, 2023, except for Laura M. Bishop, Jonathan Chiel, Robert W. Helm, Christine J. Thompson, and Carol J. Zierhoffer each of the Trustees oversees 313 funds. As of August 31, 2023, Mr. Chiel oversees 191 funds. As of October 18, 2023, the date of their election as Trustee, Ms. Bishop, Mr. Helm, Ms. Thompson, and Ms. Zierhoffer each oversees 229 funds.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one.

Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Michael E. Kenneally serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's alternative investment, high income and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."

Interested Trustees*:

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

Mr. Chiel also serves as Trustee of other Fidelity® funds. Mr. Chiel is Executive Vice President and General Counsel for FMR LLC (diversified financial services company, 2012-present). Previously, Mr. Chiel served as general counsel (2004-2012) and senior vice president and deputy general counsel (2000-2004) for John Hancock Financial Services; a partner with Choate, Hall & Stewart (1996-2000) (law firm); and an Assistant United States Attorney for the United States Attorney's Office of the District of Massachusetts (1986-95), including Chief of the Criminal Division (1993-1995). Mr. Chiel is a director on the boards of the Boston Bar Foundation and the Maimonides School.

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL's credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and an international banker at Chemical Bank NA (now JPMorgan Chase & Co.). Ms. McAuliffe also currently serves as director or trustee of several not-for-profit entities.

Christine J. Thompson (1958)

Year of Election or Appointment: 2023

Trustee

Ms. Thompson also serves as a Trustee of other Fidelity® funds. Ms. Thompson serves as Leader of Advanced Technologies for Investment Management at Fidelity Investments (2018-present). Previously, Ms. Thompson served as Chief Investment Officer in the Bond group at Fidelity Management & Research Company (2010-2018) and held various other roles including Director of municipal bond portfolio managers and Portfolio Manager of certain Fidelity® funds.

* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.

+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).

Laura M. Bishop (1961)

Year of Election or Appointment: 2023

Trustee

Ms. Bishop also serves as Trustee or Member of the Advisory Board of other Fidelity® funds. Prior to her retirement, Ms. Bishop held a variety of positions at United Services Automobile Association (2001-2020), including Executive Vice President and Chief Financial Officer (2014-2020) and Senior Vice President and Deputy Chief Financial Officer (2012-2014). Ms. Bishop currently serves as a member of the Audit Committee and Compensation and Personnel Committee (2021-present) of the Board of Directors of Korn Ferry (global organizational consulting). Previously, Ms. Bishop served as a Member of the Advisory Board of certain Fidelity® funds (2022-2023).

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as a member of the Board, Chair of Nomination Committee and a member of the Corporate Governance Committee of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as President of First to Four LLC (leadership and mentoring services, 2012-2022), a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). General Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of the Noble Reach Foundation (formerly Logistics Management Institute) (consulting non-profit, 2012-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). Previously, General Dunwoody served as a member of the Board of Florida Institute of Technology (2015-2022) and a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-2021). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Previously, Mr. Engler served as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-2022), a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).

Robert W. Helm (1957)

Year of Election or Appointment: 2023

Trustee

Mr. Helm also serves as Trustee or Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations, including as a Trustee and member of the Executive Committee of the Baltimore Council on Foreign Affairs, a member of the Board of Directors of the St. Vincent de Paul Society of Baltimore and a member of the Life Guard Society of Mt. Vernon. Previously, Mr. Helm served as a Member of the Advisory Board of certain Fidelity® funds (2021-2023).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Chairman (2018-2021) and Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Chairman of the Independent Trustees

Mr. Kenneally also serves as Trustee of other Fidelity® funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity® funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank's institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization's equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity® funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).

Carol J. Zierhoffer (1960)

Year of Election or Appointment: 2023

Trustee

Ms. Zierhoffer also serves as Trustee or Member of the Advisory Board of other Fidelity® funds. Prior to her retirement, Ms. Zierhoffer held a variety of positions at Bechtel Corporation (engineering company, 2013-2019), including Principal Vice President and Chief Information Officer (2013-2016) and Senior Vice President and Chief Information Officer (2016-2019). Ms. Zierhoffer currently serves as a member of the Board of Directors, Audit Committee and Compensation Committee of Allscripts Healthcare Solutions, Inc. (healthcare technology, 2020-present) and as a member of the Board of Directors, Audit and Finance Committee and Nominating and Governance Committee of Atlas Air Worldwide Holdings, Inc. (aviation operating services, 2021-present). Previously, Ms. Zierhoffer served as a member of the Board of Directors and Audit Committee and as the founding Chair of the Information Technology Committee of MedAssets, Inc. (healthcare technology, 2013-2016), and as a Member of the Advisory Board of certain Fidelity® funds (2023).

Advisory Board Members and Officers:

Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.

Name, Year of Birth; Principal Occupation

Heather Bonner (1977)

Year of Election or Appointment: 2023

Assistant Treasurer

Ms. Bonner also serves as an officer of other funds. Ms. Bonner serves as Senior Vice President (2022-present), and is an employee of Fidelity Investments. Ms. Bonner serves as Assistant Treasurer of Fidelity CRET Trustee LLC (2022-present). Prior to joining Fidelity, Ms. Bonner served as Managing Director at AQR Capital Management (2013-2022) and was the Treasurer and Principal Financial Officer of the AQR Funds (2013-2022).

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity® funds (2019-2022).

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).

Margaret Carey (1973)

Year of Election or Appointment: 2023

Secretary and Chief Legal Officer (CLO)

Ms. Carey also serves as an officer of other funds and as CLO of certain other Fidelity entities. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments.

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Senior Vice President, Deputy General Counsel (2022-present) and is an employee of Fidelity Investments (2005-present).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Vice President Assistant Treasurer and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer of certain Fidelity entities.

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).

Robin Foley (1964)

Year of Election or Appointment: 2023

Vice President

Ms. Foley also serves as Vice President of other funds. Ms. Foley serves as Head of Fidelity's Fixed Income division (2023-present) and is an employee of Fidelity Investments. Previously, Ms. Foley served as Chief Investment Officer of Bonds (2017-2023).

Christopher M. Gouveia (1973)

Year of Election or Appointment: 2023

Chief Compliance Officer

Mr. Gouveia also serves as Chief Compliance Officer of other funds. Mr. Gouveia serves as Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments. Previously, Mr. Gouveia served as Chief Compliance Officer of the North Carolina Capital Management Trust (2016-2019).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of certain Fidelity entities, is an employee of Fidelity Investments, and has served in other fund officer roles.

Jim Wegmann (1979)

Year of Election or Appointment: 2021

Deputy Treasurer

Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).

Shareholder Expense Example

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2023 to August 31, 2023).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Annualized Expense Ratio- A	Beginning Account Value March 1, 2023	Ending Account Value August 31, 2023	Expenses Paid During Period- C March 1, 2023 to August 31, 2023
Fidelity® Short-Term Bond Fund
Class A	.52%
Actual		$ 1,000	$ 1,019.70	$ 2.65
Hypothetical-B		$ 1,000	$ 1,022.58	$ 2.65
Class M	.54%
Actual		$ 1,000	$ 1,019.60	$ 2.75
Hypothetical-B		$ 1,000	$ 1,022.48	$ 2.75
Class C	1.38%
Actual		$ 1,000	$ 1,016.50	$ 7.01
Hypothetical-B		$ 1,000	$ 1,018.25	$ 7.02
Fidelity® Short-Term Bond Fund	.33%
Actual		$ 1,000	$ 1,020.70	$ 1.68
Hypothetical-B		$ 1,000	$ 1,023.54	$ 1.68
Class I **	.33%
Actual		$ 1,000	$ 1,020.60	$ 1.68
Hypothetical-B		$ 1,000	$ 1,023.54	$ 1.68
Class Z	.27%
Actual		$ 1,000	$ 1,020.90	$ 1.38
Hypothetical-B		$ 1,000	$ 1,023.84	$ 1.38

A Annualized expense ratio reflects expenses net of applicable fee waivers.

B 5% return per year before expenses

C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.

** If fees and changes to the expense contract and/or expense cap, effective April 1, 2023, had been in effect during the entire current period, the restated annualized expense ratio and the expenses paid in the actual and hypothetical examples above would have been as shown in table below:

	Annualized Expense Ratio- A	Expenses Paid
Fidelity® Short-Term Bond Fund
Class I	.30%
Actual		$ 1.53
Hypothetical- B		$ 1.53

A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses

Distributions (Unaudited)

The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.

A total of 29.70% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $22,679,886 of distributions paid in the calendar year 2022 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates $59,657,557 of distributions paid during the fiscal year ended 2023 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.

Board Approval of Investment Advisory Contracts

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Short-Term Bond Fund

At its March 2023 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve an amended and restated management contract with Fidelity Management & Research Company LLC (FMR) for the fund (the Amended Contract) that will charge a flat management fee covering fund-level expenses of 20 basis points. As a result, the Amended Contract will decrease the management fee paid by the fund by approximately 10 basis points, effective April 1, 2023. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

Nature, Extent, and Quality of Services Provided. The Board previously received and considered materials relating to the nature, extent and quality of services provided by FMR to the fund, including the resources dedicated to investment management and support services, shareholder and administrative services, the benefits to shareholders of investment in a large fund family and the investment performance of the fund in connection with the annual renewal of the fund's current management contract (Current Management Contract). At its September 2022 meeting, the Board concluded that the nature, extent and quality of the services to be provided to the fund under the Current Management Contract should continue to benefit the fund's shareholders. In connection with its approval of the Amended Contract at its March 2023 meeting, the Board noted that such approval would not change the fund's portfolio managers, the investment processes, the level or nature of services provided, the resources and personnel allocated or trading and compliance operations. The Board concluded that the nature, extent, and quality of services to be provided to the fund under the Amended Contract will continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Expense Ratio. The Board considered that it received and reviewed information regarding the fund's management fee rate and total expense ratio compared to "mapped groups" of competitive funds and classes at the current management fee and expense levels in connection with the annual renewal of the Current Management Contract. Based on its review, the Board concluded at its September 2022 meeting that the fund's current management fee and the total expense ratio of each class of the fund are fair and reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

In reviewing the Amended Contract, the Board considered the fund's proposed management fee rate out of which FMR will pay all "fund-level" expenses, with certain limited exceptions, and the projected total expense ratio of each class of the fund. The Board considered that the Amended Contract will decrease the management fee paid by the fund by approximately 10 basis points, based on the average group assets for December 2022. The Board noted that the fund's proposed management fee rate is lower than the median fee rate of funds with similar Lipper investment objective categories and comparable investment mandates, regardless of whether their management fee structures are comparable. The Board also considered that the projected total net expense ratio of each class of the fund is below the median of those funds and classes used by the Board for management fee comparisons that have a similar sales load structure.

The Board also noted that, in conjunction with the approval of the lower management fee rate under the Amended Contract, FMR has contractually agreed to reimburse Class I of the fund to the extent that total operating expenses (with certain exceptions), as a percentage of its average net assets exceed 30 basis points through December 31, 2024.

Based on its review, the Board concluded that the management fee and the projected total expense ratio of each class of the fund continue to be fair and reasonable in light of the services that the fund receives and the other factors considered.

Costs of the Services and Profitability. The Board considered that it previously reviewed information regarding the revenues earned, the expenses incurred by Fidelity in providing services to the fund and the level of Fidelity's profitability. At its September 2022 meeting, the Board concluded that it was satisfied that the profitability of Fidelity in connection with the operation of the fund was not excessive. Because the Board was approving an arrangement under which the management fees were being reduced, the Board did not consider Fidelity's costs of services, revenues, or profitability to be significant factors in its decision to approve the Amended Contract.

Economies of Scale. The Board considered that it previously received and reviewed information regarding whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale and that it concluded, at its September 2022 meeting, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity. In connection with the approval of the fund's Amended Contract, the Board did not consider economies of scale because the proposed fee arrangement lowers the fund's management fee and FMR will contractually limit Class I expenses. The Board will continue to review economies of scale in connection with its consideration of future renewals of the Amended Contract.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the advisory fee structure is fair and reasonable, and that the fund's Amended Contract should be approved.

1.703606.126

STP-ANN-1023

Fidelity® U.S. Bond Index Fund

Annual Report

August 31, 2023

Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

You may also call 1-800-544-8544 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.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Performance: The Bottom Line

Average Annual Total Returns

Periods ended August 31, 2023	Past 1 year	Past 5 years	Past 10 years
Fidelity® U.S. Bond Index Fund	-1.16%	0.50%	1.47%

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® U.S. Bond Index Fund on August 31, 2013.

The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. Aggregate Bond Index performed over the same period.

Management's Discussion of Fund Performance

Market Recap:

Comments from Co-Portfolio Managers Brandon Bettencourt and Richard Munclinger:

For the fiscal year, the fund returned -1.16% versus the -1.19% return of the benchmark, the Bloomberg U.S. Aggregate Bond Index. Differences in the way fund holdings and index components were priced modestly boosted relative performance. Fund holdings are priced by a third-party pricing service and validated daily by Fidelity Management and Research's fair-value processes. Given the large number of securities in the index (roughly 13,400) 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.

Investment Summary August 31, 2023 (Unaudited)

Quality Diversification (% of Fund's net assets)

Short-Term Investments and Net Other Assets (Liabilities) - (0.1)%*

Percentages shown as 0.0% may reflect amounts less than 0.05%.

Asset Allocation (% of Fund's net assets)

Short-Term Investments and Net Other Assets (Liabilities) - (0.1)%

Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.

Schedule of Investments August 31, 2023

Showing Percentage of Net Assets

Nonconvertible Bonds - 25.9%
	Principal Amount (a) (000s)	Value ($) (000s)
COMMUNICATION SERVICES - 2.0%
Diversified Telecommunication Services - 0.6%
AT&T, Inc.:
1.65% 2/1/28	8,216	7,025
2.25% 2/1/32	13,533	10,558
2.75% 6/1/31	14,741	12,178
2.95% 7/15/26	6,356	5,931
3.3% 2/1/52	14,016	9,139
3.5% 6/1/41	7,559	5,544
3.5% 9/15/53	25,048	16,487
3.5% 2/1/61	3,800	2,434
3.55% 9/15/55	54,468	35,550
3.65% 6/1/51	11,600	7,956
3.65% 9/15/59	31,190	20,185
3.8% 2/15/27	7,149	6,801
4.35% 6/15/45	5,085	4,018
4.5% 3/9/48	6,502	5,190
4.65% 6/1/44	6,251	5,187
British Telecommunications PLC 9.625% 12/15/30	12,479	15,197
Orange SA 5.5% 2/6/44	2,383	2,326
Sprint Capital Corp. 8.75% 3/15/32	10,000	11,919
Telefonica Emisiones S.A.U.:
4.103% 3/8/27	10,645	10,132
4.895% 3/6/48	3,000	2,395
5.213% 3/8/47	5,203	4,361
5.52% 3/1/49	2,700	2,357
7.045% 6/20/36	2,065	2,200
Verizon Communications, Inc.:
1.5% 9/18/30	3,190	2,492
1.68% 10/30/30	2,665	2,083
2.355% 3/15/32	46,571	36,835
2.55% 3/21/31	41,913	34,502
2.987% 10/30/56	69,319	41,423
3.55% 3/22/51	8,661	6,070
4.125% 3/16/27	5,561	5,357
4.272% 1/15/36	19,285	17,121
4.329% 9/21/28	12,151	11,637
4.4% 11/1/34	2,999	2,717
4.75% 11/1/41	795	714
5.012% 4/15/49	913	819
5.012% 8/21/54	9,975	8,831
		375,671
Entertainment - 0.1%
The Walt Disney Co.:
2% 9/1/29	8,297	7,035
2.65% 1/13/31	12,615	10,807
2.75% 9/1/49	8,288	5,331
3.5% 5/13/40	5,423	4,348
3.6% 1/13/51	5,404	4,067
3.7% 10/15/25	5,561	5,399
3.8% 5/13/60	5,423	4,103
4.7% 3/23/50	3,867	3,530
5.4% 10/1/43	3,078	3,066
6.15% 3/1/37	3,142	3,317
6.15% 2/15/41	8,340	8,947
		59,950
Interactive Media & Services - 0.1%
Alphabet, Inc.:
0.45% 8/15/25	5,896	5,411
1.1% 8/15/30	11,696	9,373
1.998% 8/15/26	1,827	1,691
2.05% 8/15/50	11,696	7,001
Baidu, Inc. 3.425% 4/7/30	9,666	8,506
Meta Platforms, Inc.:
3.5% 8/15/27	6,820	6,500
3.85% 8/15/32	7,620	6,996
4.45% 8/15/52	12,000	10,184
4.6% 5/15/28	4,630	4,590
4.65% 8/15/62	1,800	1,531
4.95% 5/15/33	6,700	6,667
5.6% 5/15/53	6,190	6,215
		74,665
Media - 0.8%
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
2.8% 4/1/31	20,299	16,357
3.5% 6/1/41	26,758	17,734
3.7% 4/1/51	7,027	4,367
4.2% 3/15/28	8,737	8,138
4.4% 4/1/33	12,800	11,270
4.908% 7/23/25	6,338	6,224
5.05% 3/30/29	4,833	4,603
5.125% 7/1/49	9,816	7,553
5.375% 5/1/47	4,534	3,623
5.75% 4/1/48	4,154	3,500
6.384% 10/23/35	10,684	10,364
6.484% 10/23/45	3,725	3,427
Comcast Corp.:
1.5% 2/15/31	11,310	8,849
1.95% 1/15/31	2,030	1,641
2.35% 1/15/27	18,905	17,344
2.45% 8/15/52	11,310	6,619
2.65% 2/1/30	6,264	5,447
2.8% 1/15/51	6,476	4,108
2.887% 11/1/51	15,309	9,817
2.937% 11/1/56	57,662	35,882
2.987% 11/1/63	9,051	5,472
3.15% 3/1/26	3,972	3,794
3.3% 2/1/27	9,461	8,950
3.375% 8/15/25	10,882	10,511
3.4% 4/1/30	5,800	5,289
3.45% 2/1/50	5,896	4,303
3.7% 4/15/24	8,238	8,135
3.75% 4/1/40	4,644	3,820
3.969% 11/1/47	4,131	3,312
4% 3/1/48	9,532	7,670
4.15% 10/15/28	14,973	14,438
4.4% 8/15/35	7,700	7,137
Discovery Communications LLC:
3.625% 5/15/30	9,512	8,354
4% 9/15/55	9,083	5,924
4.65% 5/15/50	9,512	7,090
5.2% 9/20/47	6,673	5,402
Fox Corp.:
4.03% 1/25/24	3,734	3,704
4.709% 1/25/29	8,245	7,954
5.476% 1/25/39	3,027	2,747
5.576% 1/25/49	7,398	6,608
Magallanes, Inc.:
3.755% 3/15/27	8,767	8,223
4.279% 3/15/32	24,337	21,476
5.05% 3/15/42	8,564	7,040
5.141% 3/15/52	23,164	18,464
Paramount Global:
3.375% 2/15/28	8,381	7,440
4% 1/15/26	4,766	4,576
4.2% 6/1/29	7,143	6,393
4.375% 3/15/43	2,093	1,445
4.6% 1/15/45	5,799	4,002
4.95% 1/15/31	13,185	11,761
Time Warner Cable LLC:
4.5% 9/15/42	16,137	11,791
6.55% 5/1/37	7,500	7,126
7.3% 7/1/38	3,177	3,218
TWDC Enterprises 18 Corp.:
1.85% 7/30/26	4,059	3,718
3% 7/30/46	3,575	2,452
3.15% 9/17/25	7,522	7,222
4.125% 6/1/44	4,528	3,817
4.375% 8/16/41	5,200	4,546
		452,191
Wireless Telecommunication Services - 0.4%
America Movil S.A.B. de CV:
3.625% 4/22/29	6,667	6,099
6.125% 11/15/37	6,645	6,924
Rogers Communications, Inc.:
2.9% 11/15/26	1,986	1,831
3.625% 12/15/25	1,589	1,513
3.7% 11/15/49	4,833	3,284
3.8% 3/15/32	23,199	19,842
4.1% 10/1/23	3,833	3,827
5.45% 10/1/43	4,588	4,099
T-Mobile U.S.A., Inc.:
2.05% 2/15/28	11,928	10,414
3.3% 2/15/51	11,928	8,008
3.5% 4/15/25	10,079	9,743
3.75% 4/15/27	6,689	6,340
3.875% 4/15/30	6,689	6,105
4.375% 4/15/40	6,689	5,748
4.5% 4/15/50	11,522	9,517
4.8% 7/15/28	6,375	6,232
4.95% 3/15/28	14,700	14,495
5.05% 7/15/33	30,475	29,406
5.2% 1/15/33	7,265	7,119
5.65% 1/15/53	18,310	17,860
Vodafone Group PLC:
4.375% 5/30/28	20,333	19,962
5.125% 6/19/59	5,220	4,445
5.25% 5/30/48	18,988	17,155
		219,968
TOTAL COMMUNICATION SERVICES		1,182,445
CONSUMER DISCRETIONARY - 1.4%
Automobile Components - 0.0%
Lear Corp. 3.55% 1/15/52	2,600	1,695
Automobiles - 0.3%
American Honda Finance Corp.:
1.2% 7/8/25	9,305	8,627
2% 3/24/28	2,000	1,751
2.25% 1/12/29	1,900	1,655
2.3% 9/9/26	3,972	3,650
2.9% 2/16/24	2,000	1,973
3.55% 1/12/24	21,383	21,212
5.125% 7/7/28	4,550	4,553
Daimler Finance North America LLC 8.5% 1/18/31	2,000	2,440
General Motors Co.:
5% 10/1/28	5,463	5,302
5.15% 4/1/38	1,300	1,134
5.2% 4/1/45	3,392	2,803
5.6% 10/15/32	4,900	4,716
5.95% 4/1/49	5,027	4,508
6.6% 4/1/36	4,639	4,663
6.75% 4/1/46	5,684	5,608
6.8% 10/1/27	10,536	10,860
General Motors Financial Co., Inc.:
2.35% 1/8/31	2,000	1,553
2.4% 4/10/28	2,000	1,729
2.4% 10/15/28	1,700	1,439
3.85% 1/5/28	5,561	5,124
4% 1/15/25	4,902	4,765
4% 10/6/26	2,923	2,763
4.3% 7/13/25	9,850	9,564
4.35% 1/17/27	6,356	6,047
5.65% 1/17/29	16,996	16,706
6.4% 1/9/33	10,000	10,067
Honda Motor Co. Ltd. 2.534% 3/10/27	14,164	13,022
Toyota Motor Corp.:
0.681% 3/25/24	22,010	21,410
2.358% 7/2/24	4,930	4,800
2.362% 3/25/31	10,633	8,936
5.118% 7/13/28	2,000	2,019
		195,399
Broadline Retail - 0.3%
Alibaba Group Holding Ltd.:
2.125% 2/9/31	16,568	13,264
3.15% 2/9/51	17,076	10,325
Amazon.com, Inc.:
0.8% 6/3/25	8,758	8,133
1% 5/12/26	5,087	4,597
1.5% 6/3/30	15,466	12,573
2.1% 5/12/31	7,251	6,013
2.5% 6/3/50	5,085	3,240
2.8% 8/22/24	5,147	5,016
2.875% 5/12/41	27,600	20,704
3.1% 5/12/51	5,251	3,750
3.15% 8/22/27	8,309	7,813
3.6% 4/13/32	2,000	1,840
3.875% 8/22/37	8,728	7,855
4.05% 8/22/47	15,112	13,041
4.25% 8/22/57	7,208	6,242
4.55% 12/1/27	10,000	9,961
4.7% 12/1/32	28,300	28,124
4.8% 12/5/34	6,766	6,809
eBay, Inc.:
1.9% 3/11/25	10,000	9,472
2.6% 5/10/31	2,000	1,654
2.7% 3/11/30	2,000	1,707
5.95% 11/22/27	8,000	8,201
Kohl's Corp.:
4.25% 7/17/25	2,900	2,727
5.55% 7/17/45	1,500	950
10.75% 5/15/25	1,257	1,296
		195,307
Distributors - 0.0%
Genuine Parts Co. 2.75% 2/1/32	2,000	1,630
Diversified Consumer Services - 0.1%
American University 3.672% 4/1/49	1,903	1,480
Duke University 2.832% 10/1/55	3,714	2,450
George Washington University:
4.126% 9/15/48	5,575	4,730
4.3% 9/15/44	1,589	1,361
Ingersoll-Rand Global Holding Co. Ltd.:
3.75% 8/21/28	3,694	3,466
4.3% 2/21/48	3,948	3,239
Massachusetts Institute of Technology:
2.989% 7/1/50	3,722	2,672
3.885% 7/1/2116	2,248	1,680
3.959% 7/1/38	3,753	3,373
Northwestern University:
3.662% 12/1/57	4,398	3,424
4.643% 12/1/44	2,661	2,526
President and Fellows of Harvard College:
3.3% 7/15/56	3,852	2,777
3.619% 10/1/37	795	680
Rice University 3.774% 5/15/55	1,510	1,200
Trustees of Princeton Univ. 5.7% 3/1/39	795	855
University Notre Dame du Lac 3.438% 2/15/45	2,646	2,099
University of Chicago 3% 10/1/52	5,027	3,539
University of Southern California:
2.945% 10/1/51	9,096	6,214
5.25% 10/1/2111	1,589	1,508
		49,273
Hotels, Restaurants & Leisure - 0.2%
Expedia, Inc.:
2.95% 3/15/31	2,000	1,672
3.25% 2/15/30	6,863	5,983
4.625% 8/1/27	2,000	1,940
Marriott International, Inc. 2.85% 4/15/31	17,100	14,198
McDonald's Corp.:
3.3% 7/1/25	4,790	4,626
3.5% 7/1/27	7,617	7,230
3.6% 7/1/30	5,684	5,229
3.625% 9/1/49	9,831	7,413
3.7% 1/30/26	13,400	12,959
4.2% 4/1/50	6,666	5,535
4.45% 3/1/47	4,511	3,895
4.875% 12/9/45	4,313	3,983
6.3% 3/1/38	5,596	6,097
Metropolitan Museum of Art 3.4% 7/1/45	2,383	1,792
Starbucks Corp.:
2% 3/12/27	9,502	8,570
2.45% 6/15/26	7,944	7,414
3% 2/14/32	4,900	4,203
3.5% 11/15/50	3,287	2,384
3.8% 8/15/25	5,520	5,368
3.85% 10/1/23	1,489	1,487
4% 11/15/28	5,561	5,321
4.5% 11/15/48	3,734	3,200
		120,499
Household Durables - 0.0%
D.R. Horton, Inc. 1.3% 10/15/26	2,000	1,763
Lennar Corp. 4.75% 11/29/27	6,283	6,092
Toll Brothers Finance Corp. 4.35% 2/15/28	1,900	1,783
Whirlpool Corp. 5.5% 3/1/33	8,400	8,329
		17,967
Leisure Products - 0.0%
Hasbro, Inc.:
3.9% 11/19/29	2,000	1,814
5.1% 5/15/44	3,400	2,957
		4,771
Specialty Retail - 0.4%
Advance Auto Parts, Inc. 5.95% 3/9/28	4,420	4,371
AutoNation, Inc.:
2.4% 8/1/31	1,000	771
3.85% 3/1/32	6,090	5,156
AutoZone, Inc.:
3.25% 4/15/25	3,177	3,064
3.625% 4/15/25	9,202	8,926
3.75% 6/1/27	4,611	4,385
4% 4/15/30	9,521	8,810
Lowe's Companies, Inc.:
1.3% 4/15/28	6,380	5,396
1.7% 10/15/30	9,666	7,675
3.65% 4/5/29	10,507	9,759
3.7% 4/15/46	2,780	2,084
3.75% 4/1/32	32,063	28,728
4.05% 5/3/47	9,135	7,143
4.5% 4/15/30	9,618	9,268
4.8% 4/1/26	8,100	8,006
5.625% 4/15/53	5,000	4,856
5.75% 7/1/53	4,623	4,570
O'Reilly Automotive, Inc. 4.7% 6/15/32	8,100	7,745
The Home Depot, Inc.:
2.375% 3/15/51	13,507	8,043
2.5% 4/15/27	9,637	8,906
2.8% 9/14/27	3,972	3,691
2.95% 6/15/29	16,616	15,091
3% 4/1/26	7,967	7,615
3.125% 12/15/49	5,317	3,724
3.3% 4/15/40	6,833	5,385
3.75% 2/15/24	5,343	5,303
3.9% 12/6/28	4,575	4,397
3.9% 6/15/47	6,813	5,545
4.2% 4/1/43	1,251	1,091
4.25% 4/1/46	2,606	2,234
4.5% 12/6/48	10,434	9,324
4.875% 2/15/44	2,283	2,155
5.875% 12/16/36	13,741	14,742
		227,959
Textiles, Apparel & Luxury Goods - 0.1%
NIKE, Inc.:
2.4% 3/27/25	4,969	4,754
2.85% 3/27/30	4,775	4,263
3.25% 3/27/40	9,666	7,785
3.375% 11/1/46	3,575	2,767
3.375% 3/27/50	4,775	3,687
Tapestry, Inc. 3.05% 3/15/32	2,320	1,785
		25,041
TOTAL CONSUMER DISCRETIONARY		839,541
CONSUMER STAPLES - 1.7%
Beverages - 0.6%
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. 4.7% 2/1/36	10,000	9,571
Anheuser-Busch InBev Finance, Inc.:
4.625% 2/1/44	4,567	4,147
4.7% 2/1/36	3,868	3,702
4.9% 2/1/46	14,442	13,435
Anheuser-Busch InBev Worldwide, Inc.:
3.5% 6/1/30	5,000	4,599
4% 4/13/28	15,219	14,656
4.439% 10/6/48	5,873	5,145
4.6% 4/15/48	14,894	13,414
5.55% 1/23/49	33,724	34,544
5.8% 1/23/59 (Reg. S)	11,081	11,619
8.2% 1/15/39	3,624	4,632
Constellation Brands, Inc.:
3.5% 5/9/27	7,944	7,475
3.7% 12/6/26	5,997	5,714
4.75% 5/9/32	5,000	4,793
5.25% 11/15/48	5,751	5,373
Diageo Capital PLC:
1.375% 9/29/25	11,020	10,174
2% 4/29/30	11,793	9,839
2.125% 4/29/32	10,633	8,544
Dr. Pepper Snapple Group, Inc.:
2.25% 3/15/31	2,000	1,628
3.2% 5/1/30	2,000	1,773
3.8% 5/1/50	2,513	1,909
4.05% 4/15/32	11,200	10,266
4.417% 5/25/25	10,000	9,806
Molson Coors Beverage Co.:
3% 7/15/26	13,822	12,951
4.2% 7/15/46	10,509	8,328
PepsiCo, Inc.:
1.4% 2/25/31	12,450	9,898
1.625% 5/1/30	34,299	28,218
2.375% 10/6/26	5,362	5,025
3% 10/15/27	14,466	13,607
3.6% 8/13/42	2,383	1,973
3.875% 3/19/60	4,833	3,950
4.25% 10/22/44	4,766	4,131
4.45% 4/14/46	4,607	4,258
The Coca-Cola Co.:
1.375% 3/15/31	9,666	7,628
1.45% 6/1/27	6,650	5,938
1.65% 6/1/30	6,660	5,488
2.5% 6/1/40	6,660	4,813
2.5% 3/15/51	4,833	3,127
2.6% 6/1/50	6,660	4,431
2.75% 6/1/60	6,660	4,329
		324,851
Consumer Staples Distribution & Retail - 0.3%
Costco Wholesale Corp.:
1.375% 6/20/27	13,997	12,374
1.6% 4/20/30	2,000	1,650
1.75% 4/20/32	2,000	1,591
2.75% 5/18/24	4,766	4,669
Dollar General Corp. 5% 11/1/32	9,230	8,789
Dollar Tree, Inc.:
4% 5/15/25	6,356	6,166
4.2% 5/15/28	8,178	7,760
Kroger Co.:
1.7% 1/15/31	5,315	4,129
2.65% 10/15/26	2,264	2,094
3.5% 2/1/26	3,177	3,033
3.95% 1/15/50	2,900	2,248
5.15% 8/1/43	2,165	1,947
5.4% 1/15/49	5,171	4,932
Sysco Corp.:
3.3% 7/15/26	2,606	2,473
3.3% 2/15/50	11,213	7,686
3.75% 10/1/25	4,528	4,379
6.6% 4/1/40	7,830	8,262
Target Corp.:
3.9% 11/15/47	11,736	9,576
4% 7/1/42	5,561	4,830
4.4% 1/15/33	8,300	7,937
Walgreens Boots Alliance, Inc.:
3.2% 4/15/30	9,966	8,456
3.45% 6/1/26	3,972	3,752
4.65% 6/1/46	4,369	3,406
Walmart, Inc.:
2.95% 9/24/49	5,027	3,564
3.3% 4/22/24	15,092	14,882
3.7% 6/26/28	9,771	9,416
3.9% 4/15/28	7,300	7,077
4.05% 6/29/48	14,433	12,695
4.1% 4/15/33	7,300	6,957
4.3% 4/22/44	4,766	4,294
5.625% 4/1/40	1,589	1,714
5.625% 4/15/41	3,654	3,909
6.5% 8/15/37	6,573	7,578
		194,225
Food Products - 0.3%
Archer Daniels Midland Co. 4.5% 8/15/33	16,900	16,361
Bunge Ltd. Finance Corp. 2.75% 5/14/31	2,000	1,673
Campbell Soup Co. 4.8% 3/15/48	11,120	9,648
Conagra Brands, Inc.:
4.3% 5/1/24	7,126	7,046
4.85% 11/1/28	10,827	10,540
5.3% 11/1/38	3,936	3,636
5.4% 11/1/48	7,130	6,490
General Mills, Inc.:
2.875% 4/15/30	5,778	5,048
3% 2/1/51	4,854	3,268
4.2% 4/17/28	13,662	13,101
JBS U.S.A. Lux SA / JBS Food Co.:
3% 5/15/32	8,000	6,318
5.75% 4/1/33	19,650	18,702
Kellogg Co.:
3.25% 4/1/26	2,955	2,811
4.3% 5/15/28	4,766	4,585
Kraft Heinz Foods Co.:
3.875% 5/15/27	28,999	27,701
4.375% 6/1/46	14,500	12,004
5% 7/15/35	1,000	971
5% 6/4/42	9,800	8,953
6.875% 1/26/39	2,000	2,192
Tyson Foods, Inc.:
3.95% 8/15/24	6,017	5,910
4% 3/1/26	5,854	5,659
4.35% 3/1/29	7,149	6,765
5.1% 9/28/48	7,408	6,431
Unilever Capital Corp.:
1.375% 9/14/30	14,582	11,607
1.75% 8/12/31	2,000	1,600
2% 7/28/26	1,716	1,589
3.1% 7/30/25	2,383	2,297
		202,906
Household Products - 0.1%
Colgate-Palmolive Co.:
3.1% 8/15/25	2,000	1,928
3.25% 3/15/24	7,944	7,846
3.25% 8/15/32	2,000	1,809
Kimberly-Clark Corp.:
1.05% 9/15/27	16,774	14,484
3.1% 3/26/30	3,346	3,022
3.2% 7/30/46	1,986	1,438
3.95% 11/1/28	6,766	6,554
6.625% 8/1/37	1,200	1,378
Procter & Gamble Co.:
1% 4/23/26	9,135	8,307
1.95% 4/23/31	14,500	12,163
2.3% 2/1/32	2,000	1,709
2.85% 8/11/27	3,575	3,350
3% 3/25/30	9,868	9,017
5.55% 3/5/37	2,000	2,162
		75,167
Personal Care Products - 0.1%
Estee Lauder Companies, Inc. 1.95% 3/15/31	13,533	10,921
Kenvue, Inc.:
4.9% 3/22/33 (b)	6,173	6,139
5.05% 3/22/28 (b)	5,583	5,598
5.05% 3/22/53 (b)	6,173	6,045
		28,703
Tobacco - 0.3%
Altria Group, Inc.:
3.4% 2/4/41	10,000	6,814
3.8% 2/14/24	3,694	3,661
3.875% 9/16/46	7,944	5,470
4.25% 8/9/42	7,768	5,884
4.8% 2/14/29	10,541	10,213
5.8% 2/14/39	7,428	7,237
5.95% 2/14/49	8,261	7,692
BAT Capital Corp.:
3.222% 8/15/24	8,182	7,979
3.557% 8/15/27	16,817	15,601
3.984% 9/25/50	2,900	1,918
4.39% 8/15/37	8,622	6,828
4.54% 8/15/47	13,298	9,670
4.758% 9/6/49	9,666	7,164
6.421% 8/2/33	5,000	4,991
BAT International Finance PLC 5.931% 2/2/29	3,000	2,988
Philip Morris International, Inc.:
2.75% 2/25/26	2,979	2,811
3.6% 11/15/23	2,916	2,904
3.875% 8/21/42	3,833	2,993
4.125% 3/4/43	7,944	6,310
4.875% 2/15/28	6,100	6,021
4.875% 11/15/43	4,766	4,190
5.125% 11/17/27	8,330	8,314
5.375% 2/15/33	6,430	6,349
5.75% 11/17/32	5,880	5,964
6.375% 5/16/38	1,152	1,238
Reynolds American, Inc.:
4.45% 6/12/25	5,607	5,485
4.85% 9/15/23	1,430	1,430
5.85% 8/15/45	3,368	2,926
7.25% 6/15/37	5,735	6,028
		167,073
TOTAL CONSUMER STAPLES		992,925
ENERGY - 1.7%
Energy Equipment & Services - 0.1%
Baker Hughes Co.:
4.08% 12/15/47	19,106	15,203
5.125% 9/15/40	1,589	1,502
Halliburton Co.:
2.92% 3/1/30	7,656	6,676
3.8% 11/15/25	203	198
5% 11/15/45	5,989	5,390
7.45% 9/15/39	1,192	1,387
		30,356
Oil, Gas & Consumable Fuels - 1.6%
Apache Corp. 5.1% 9/1/40	2,383	1,981
Boardwalk Pipelines LP:
3.4% 2/15/31	2,000	1,705
4.95% 12/15/24	3,774	3,719
BP Capital Markets PLC 3.279% 9/19/27	10,121	9,531
Canadian Natural Resources Ltd.:
3.9% 2/1/25	1,489	1,447
4.95% 6/1/47	5,084	4,414
5.85% 2/1/35	9,570	9,301
6.25% 3/15/38	5,441	5,484
Cenovus Energy, Inc.:
2.65% 1/15/32	5,664	4,559
4.25% 4/15/27	7,547	7,249
5.4% 6/15/47	7,466	6,711
6.75% 11/15/39	1,589	1,648
Chevron Corp.:
1.554% 5/11/25	5,916	5,565
1.995% 5/11/27	4,949	4,487
2.236% 5/11/30	5,916	5,066
2.895% 3/3/24	18,691	18,440
2.954% 5/16/26	8,737	8,327
2.978% 5/11/40	4,949	3,667
3.078% 5/11/50	5,916	4,201
Chevron U.S.A., Inc.:
4.2% 10/15/49	3,480	2,875
4.95% 8/15/47	10,963	10,076
Columbia Pipeline Group, Inc. 4.5% 6/1/25	2,641	2,577
ConocoPhillips Co.:
5.05% 9/15/33	9,450	9,391
5.55% 3/15/54	9,450	9,473
5.95% 3/15/46	4,766	4,961
6.5% 2/1/39	5,981	6,670
DCP Midstream Operating LP:
3.25% 2/15/32	1,000	834
8.125% 8/16/30	2,000	2,269
Devon Energy Corp.:
5% 6/15/45	13,220	11,311
5.6% 7/15/41	2,283	2,120
Diamondback Energy, Inc. 6.25% 3/15/33	11,200	11,574
Eastern Gas Transmission & Storage, Inc. 3.9% 11/15/49	9,666	6,750
Enbridge, Inc.:
3.5% 6/10/24	2,244	2,203
5.5% 12/1/46	11,511	10,642
5.7% 3/8/33	10,480	10,485
Energy Transfer LP:
3.75% 5/15/30	13,291	11,871
3.9% 7/15/26	5,974	5,711
4.95% 6/15/28	7,490	7,254
5% 5/15/50	14,074	11,585
5.15% 3/15/45	6,356	5,359
5.3% 4/1/44	4,607	3,925
5.4% 10/1/47	4,369	3,763
5.8% 6/15/38	6,960	6,597
6% 6/15/48	15,589	14,410
6.25% 4/15/49	2,315	2,216
Enterprise Products Operating LP:
3.3% 2/15/53	3,026	2,069
3.7% 2/15/26	1,405	1,355
3.95% 2/15/27	20,557	19,766
4.2% 1/31/50	4,727	3,777
4.25% 2/15/48	15,839	12,909
4.8% 2/1/49	5,834	5,126
4.85% 8/15/42	1,986	1,783
4.85% 3/15/44	3,972	3,546
4.9% 5/15/46	3,400	3,021
5.35% 1/31/33	7,800	7,843
5.7% 2/15/42	1,589	1,566
7.55% 4/15/38	1,589	1,820
EOG Resources, Inc. 4.15% 1/15/26	4,448	4,355
EQT Corp. 5.7% 4/1/28	6,471	6,442
Equinor ASA:
2.375% 5/22/30	9,144	7,854
3.125% 4/6/30	7,926	7,198
3.625% 9/10/28	9,596	9,108
3.7% 3/1/24	2,899	2,874
3.7% 4/6/50	12,681	9,792
5.1% 8/17/40	1,589	1,546
Exxon Mobil Corp.:
3.043% 3/1/26	6,618	6,323
3.452% 4/15/51	3,316	2,467
3.482% 3/19/30	19,333	17,878
3.567% 3/6/45	5,282	4,122
4.227% 3/19/40	20,900	18,679
Hess Corp.:
3.5% 7/15/24	3,019	2,956
5.6% 2/15/41	2,701	2,539
5.8% 4/1/47	3,383	3,229
6% 1/15/40	2,000	1,963
7.875% 10/1/29	3,300	3,647
Kinder Morgan Energy Partners LP:
3.5% 9/1/23	1,589	1,589
4.25% 9/1/24	11,915	11,720
4.7% 11/1/42	3,019	2,461
5% 3/1/43	795	673
5.5% 3/1/44	5,558	4,958
5.625% 9/1/41	795	722
6.55% 9/15/40	2,383	2,368
Kinder Morgan, Inc.:
4.3% 3/1/28	7,919	7,549
4.8% 2/1/33	2,000	1,864
5.2% 6/1/33	5,970	5,719
5.2% 3/1/48	6,974	6,006
5.3% 12/1/34	6,792	6,460
5.55% 6/1/45	12,933	11,688
Magellan Midstream Partners LP:
4.25% 9/15/46	4,369	3,221
5% 3/1/26	2,383	2,355
Marathon Oil Corp.:
5.2% 6/1/45	3,972	3,289
6.6% 10/1/37	2,000	2,016
Marathon Petroleum Corp.:
4.5% 4/1/48	4,630	3,594
4.7% 5/1/25	17,399	17,095
6.5% 3/1/41	795	810
MPLX LP:
4.125% 3/1/27	7,506	7,187
4.7% 4/15/48	15,489	12,430
4.8% 2/15/29	7,300	7,034
5.2% 3/1/47	4,861	4,185
5.5% 2/15/49	6,892	6,141
Occidental Petroleum Corp. 6.6% 3/15/46	19,100	19,657
ONEOK, Inc.:
3.1% 3/15/30	2,000	1,717
3.4% 9/1/29	1,300	1,148
4.35% 3/15/29	2,000	1,870
4.45% 9/1/49	4,640	3,487
4.5% 3/15/50	1,100	826
4.95% 7/13/47	4,647	3,820
5.2% 7/15/48	2,399	2,052
5.65% 11/1/28	3,550	3,555
6.1% 11/15/32	8,780	8,919
6.625% 9/1/53	6,710	6,767
Ovintiv, Inc. 6.5% 2/1/38	7,055	6,930
Phillips 66 Co.:
0.9% 2/15/24	2,000	1,956
3.85% 4/9/25	2,000	1,946
3.9% 3/15/28	2,000	1,894
4.65% 11/15/34	2,000	1,877
4.875% 11/15/44	795	718
5.875% 5/1/42	7,547	7,697
Plains All American Pipeline LP/PAA Finance Corp.:
3.55% 12/15/29	1,000	879
3.6% 11/1/24	5,719	5,568
4.65% 10/15/25	9,730	9,489
4.9% 2/15/45	1,509	1,208
6.65% 1/15/37	4,220	4,278
Sabine Pass Liquefaction LLC 4.5% 5/15/30	15,000	14,116
Shell International Finance BV:
2% 11/7/24	7,830	7,529
2.375% 11/7/29	26,293	22,840
3.125% 11/7/49	11,116	7,750
3.25% 5/11/25	11,249	10,890
3.5% 11/13/23	5,561	5,538
3.875% 11/13/28	6,766	6,489
4% 5/10/46	3,177	2,612
4.375% 5/11/45	10,565	9,166
6.375% 12/15/38	5,337	5,876
Spectra Energy Partners LP:
3.375% 10/15/26	12,956	12,198
4.75% 3/15/24	3,833	3,809
Suncor Energy, Inc.:
4% 11/15/47	3,972	2,978
6.8% 5/15/38	6,708	7,006
6.85% 6/1/39	1,589	1,658
Targa Resources Corp.:
4.95% 4/15/52	6,000	4,870
6.125% 3/15/33	9,100	9,266
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:
4% 1/15/32	2,000	1,725
4.875% 2/1/31	2,000	1,837
5% 1/15/28	1,300	1,251
5.5% 3/1/30	2,000	1,917
The Williams Companies, Inc.:
3.75% 6/15/27	18,557	17,468
3.9% 1/15/25	2,800	2,731
4.55% 6/24/24	4,507	4,459
4.85% 3/1/48	6,697	5,701
5.4% 3/2/26	3,600	3,594
5.65% 3/15/33	2,610	2,625
5.75% 6/24/44	1,509	1,428
Total Capital International SA:
3.127% 5/29/50	2,832	1,958
3.455% 2/19/29	16,952	15,778
3.461% 7/12/49	5,181	3,856
3.75% 4/10/24	1,589	1,571
TransCanada PipeLines Ltd.:
4.625% 3/1/34	10,000	9,046
4.75% 5/15/38	8,334	7,290
4.875% 1/15/26	3,972	3,923
4.875% 5/15/48	3,908	3,319
5.1% 3/15/49	2,778	2,439
6.1% 6/1/40	5,321	5,360
Transcontinental Gas Pipe Line Co. LLC:
3.25% 5/15/30	4,640	4,090
3.95% 5/15/50	4,640	3,466
4.45% 8/1/42	6,157	5,122
4.6% 3/15/48	3,177	2,651
Valero Energy Corp.:
2.85% 4/15/25	13,126	12,537
4% 4/1/29	7,408	6,989
4% 6/1/52	5,100	3,738
6.625% 6/15/37	7,605	8,094
Western Gas Partners LP 4.05% 2/1/30	10,100	9,009
		982,912
TOTAL ENERGY		1,013,268
FINANCIALS - 9.0%
Banks - 4.9%
Australia and New Zealand Banking Group Ltd. 3.7% 11/16/25	5,696	5,511
Banco Bilbao Vizcaya Argentaria SA 6.138% 9/14/28 (c)	2,000	2,009
Banco Santander SA:
1.849% 3/25/26	13,000	11,741
2.749% 12/3/30	1,000	775
2.958% 3/25/31	14,400	11,841
3.225% 11/22/32 (c)	7,800	6,139
4.175% 3/24/28 (c)	6,000	5,626
5.294% 8/18/27	2,000	1,961
6.921% 8/8/33	2,600	2,599
Bank of America Corp.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 1.53% 12/6/25 (c)(d)	39,149	37,020
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.290% 5.08% 1/20/27 (c)(d)	22,900	22,599
1.658% 3/11/27 (c)	15,408	13,923
1.734% 7/22/27 (c)	19,987	17,884
2.015% 2/13/26 (c)	20,058	18,913
2.087% 6/14/29 (c)	4,543	3,876
2.299% 7/21/32 (c)	7,772	6,129
2.482% 9/21/36 (c)	2,100	1,595
2.651% 3/11/32 (c)	14,674	11,995
2.676% 6/19/41 (c)	18,560	12,780
2.687% 4/22/32 (c)	7,115	5,822
2.831% 10/24/51 (c)	7,984	5,118
2.972% 7/21/52 (c)	7,772	5,126
3.194% 7/23/30 (c)	38,178	33,517
3.248% 10/21/27	2,979	2,775
3.311% 4/22/42 (c)	15,200	11,363
3.366% 1/23/26 (c)	20,987	20,240
3.419% 12/20/28 (c)	24,064	22,067
3.593% 7/21/28 (c)	8,818	8,208
3.705% 4/24/28 (c)	6,991	6,544
3.824% 1/20/28 (c)	17,200	16,215
3.846% 3/8/37 (c)	5,703	4,832
3.97% 3/5/29 (c)	17,399	16,260
3.974% 2/7/30 (c)	11,231	10,340
4% 4/1/24	3,864	3,826
4% 1/22/25	4,766	4,643
4.083% 3/20/51 (c)	5,027	4,040
4.183% 11/25/27	12,307	11,681
4.2% 8/26/24	6,752	6,632
4.244% 4/24/38 (c)	2,000	1,743
4.25% 10/22/26	3,177	3,051
4.271% 7/23/29 (c)	14,306	13,501
4.33% 3/15/50 (c)	10,398	8,808
4.443% 1/20/48 (c)	12,114	10,339
4.45% 3/3/26	10,327	10,042
4.948% 7/22/28 (c)	5,000	4,896
5% 1/21/44	4,265	4,057
5.015% 7/22/33 (c)	8,900	8,566
5.288% 4/25/34 (c)	8,660	8,450
5.875% 2/7/42	2,610	2,703
6.11% 1/29/37	6,621	6,858
6.204% 11/10/28 (c)	7,700	7,877
7.75% 5/14/38	3,317	3,881
Bank of Montreal:
3.3% 2/5/24	12,876	12,735
3.803% 12/15/32 (c)	9,260	8,199
4.7% 9/14/27	9,700	9,459
Bank of Nova Scotia:
3.4% 2/11/24	32,120	31,764
4.5% 12/16/25	12,615	12,230
4.75% 2/2/26	3,500	3,438
4.85% 2/1/30	12,240	11,849
5.25% 6/12/28	3,450	3,420
Barclays PLC:
2.279% 11/24/27 (c)	14,500	12,877
2.852% 5/7/26 (c)	10,633	10,049
2.894% 11/24/32 (c)	15,080	11,778
3.564% 9/23/35 (c)	7,500	5,960
3.932% 5/7/25 (c)	12,593	12,409
4.337% 1/10/28	4,602	4,339
4.375% 1/12/26	4,289	4,134
4.836% 5/9/28	7,626	7,067
4.95% 1/10/47	12,837	11,080
5.25% 8/17/45	4,602	4,125
6.224% 5/9/34 (c)	6,500	6,419
7.119% 6/27/34 (c)	6,000	5,992
BB&T Corp. 3.75% 12/6/23	13,978	13,899
BPCE SA 4% 4/15/24	1,716	1,696
Canadian Imperial Bank of Commerce 3.6% 4/7/32	11,525	10,264
Citigroup, Inc.:
1.122% 1/28/27 (c)	14,113	12,648
2.561% 5/1/32 (c)	11,986	9,657
2.904% 11/3/42 (c)	9,400	6,456
3.106% 4/8/26 (c)	24,746	23,682
3.52% 10/27/28 (c)	18,312	16,900
3.668% 7/24/28 (c)	32,410	30,141
3.7% 1/12/26	10,841	10,394
3.785% 3/17/33 (c)	11,300	9,825
3.887% 1/10/28 (c)	3,575	3,377
3.98% 3/20/30 (c)	28,276	26,041
4.125% 7/25/28	17,365	16,190
4.4% 6/10/25	3,177	3,098
4.412% 3/31/31 (c)	7,733	7,180
4.45% 9/29/27	28,129	26,887
4.6% 3/9/26	4,766	4,641
4.65% 7/23/48	11,261	9,774
4.75% 5/18/46	9,151	7,675
5.3% 5/6/44	1,589	1,446
5.316% 3/26/41 (c)	3,000	2,850
5.5% 9/13/25	3,972	3,950
5.875% 1/30/42	4,328	4,391
8.125% 7/15/39	6,356	7,915
Citizens Financial Group, Inc. 2.638% 9/30/32	3,302	2,408
Comerica, Inc. 3.8% 7/22/26	2,899	2,655
Commonwealth Bank of Australia New York Branch 5.079% 1/10/25	2,900	2,891
Export-Import Bank of Korea:
0.625% 2/9/26	20,831	18,582
1.125% 12/29/26	3,300	2,877
2.375% 6/25/24	3,000	2,923
2.875% 1/21/25	6,037	5,821
Fifth Third Bancorp:
2.55% 5/5/27	11,793	10,542
4.772% 7/28/30 (c)	6,100	5,710
8.25% 3/1/38	3,651	4,122
HSBC Holdings PLC:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 2.650% 6.332% 3/9/44 (c)(d)	5,100	5,143
1.589% 5/24/27 (c)	2,000	1,777
1.645% 4/18/26 (c)	2,000	1,863
2.013% 9/22/28 (c)	38,714	33,271
2.099% 6/4/26 (c)	14,500	13,515
2.251% 11/22/27 (c)	2,000	1,783
2.804% 5/24/32 (c)	11,000	8,786
3.803% 3/11/25 (c)	25,805	25,482
3.9% 5/25/26	8,737	8,321
4.25% 3/14/24	5,200	5,144
4.25% 8/18/25	4,602	4,439
4.292% 9/12/26 (c)	38,971	37,590
4.375% 11/23/26	22,797	21,724
4.755% 6/9/28 (c)	7,000	6,714
4.762% 3/29/33 (c)	8,100	7,198
4.95% 3/31/30	11,528	11,091
5.21% 8/11/28 (c)	2,000	1,952
5.25% 3/14/44	3,946	3,467
5.887% 8/14/27 (c)	5,500	5,483
6.254% 3/9/34 (c)	16,000	16,174
6.5% 9/15/37	8,340	8,170
6.8% 6/1/38	4,833	4,850
HSBC U.S.A., Inc. 3.5% 6/23/24	5,561	5,459
Huntington Bancshares, Inc.:
4.443% 8/4/28 (c)	3,100	2,916
6.208% 8/21/29 (c)	7,490	7,539
Huntington National Bank 4.552% 5/17/28 (c)	10,000	9,469
ING Groep NV:
1.726% 4/1/27 (c)	7,323	6,585
2.727% 4/1/32 (c)	7,404	6,048
4.252% 3/28/33 (c)	7,800	7,014
Japan Bank International Cooperation:
1.25% 1/21/31	31,080	24,370
1.875% 7/21/26	3,260	2,987
2.125% 2/10/25	1,716	1,638
2.25% 11/4/26	4,486	4,130
2.375% 4/20/26	10,372	9,700
2.75% 1/21/26	2,720	2,580
2.875% 6/1/27	6,038	5,632
3.25% 7/20/28	7,150	6,690
3.375% 10/31/23	25,810	25,715
JPMorgan Chase & Co.:
0.768% 8/9/25 (c)	35,959	34,162
1.47% 9/22/27 (c)	23,779	21,004
1.953% 2/4/32 (c)	12,760	10,057
2.083% 4/22/26 (c)	29,270	27,531
2.522% 4/22/31 (c)	9,521	7,986
2.545% 11/8/32 (c)	18,588	15,016
2.95% 10/1/26	20,041	18,726
2.956% 5/13/31 (c)	9,908	8,422
3.109% 4/22/51 (c)	11,841	8,015
3.22% 3/1/25 (c)	13,853	13,661
3.3% 4/1/26	7,149	6,795
3.509% 1/23/29 (c)	25,133	23,170
3.54% 5/1/28 (c)	13,504	12,602
3.875% 9/10/24	25,995	25,486
3.882% 7/24/38 (c)	13,575	11,446
3.9% 7/15/25	17,158	16,673
3.96% 1/29/27 (c)	9,666	9,297
3.964% 11/15/48 (c)	7,466	5,927
4.005% 4/23/29 (c)	16,311	15,302
4.125% 12/15/26	4,667	4,492
4.203% 7/23/29 (c)	34,701	32,776
4.323% 4/26/28 (c)	9,454	9,091
4.452% 12/5/29 (c)	9,705	9,251
4.586% 4/26/33 (c)	9,454	8,841
4.85% 2/1/44	3,972	3,738
4.912% 7/25/33 (c)	20,900	20,100
4.95% 6/1/45	7,581	6,968
5.35% 6/1/34 (c)	15,800	15,612
5.5% 10/15/40	4,528	4,555
5.6% 7/15/41	1,192	1,208
5.625% 8/16/43	3,972	3,954
6.4% 5/15/38	10,000	11,013
KeyBank NA 3.4% 5/20/26	4,289	3,824
KeyCorp 4.789% 6/1/33 (c)	7,300	6,299
Korea Development Bank:
0.4% 6/19/24	8,700	8,354
1.625% 1/19/31	10,633	8,448
Lloyds Banking Group PLC:
3.574% 11/7/28 (c)	2,000	1,817
3.75% 3/18/28 (c)	2,000	1,861
3.87% 7/9/25 (c)	4,310	4,227
4.344% 1/9/48	11,915	8,901
4.582% 12/10/25	9,260	8,915
4.65% 3/24/26	6,831	6,595
4.716% 8/11/26 (c)	2,000	1,956
4.976% 8/11/33 (c)	2,000	1,851
5.871% 3/6/29 (c)	10,800	10,717
Mitsubishi UFJ Financial Group, Inc.:
1 year U.S. Treasury Index + 1.630% 5.441% 2/22/34 (c)(d)	6,660	6,591
1.538% 7/20/27 (c)	8,941	7,971
2.309% 7/20/32 (c)	8,700	6,890
2.801% 7/18/24	6,482	6,310
3.195% 7/18/29	11,297	9,985
3.751% 7/18/39	6,297	5,206
3.85% 3/1/26	538	517
3.961% 3/2/28	17,476	16,632
5.133% 7/20/33 (c)	6,600	6,407
5.242% 4/19/29 (c)	17,500	17,284
5.422% 2/22/29 (c)	12,500	12,447
Mizuho Financial Group, Inc.:
1.554% 7/9/27 (c)	9,183	8,153
2.226% 5/25/26 (c)	10,826	10,122
2.26% 7/9/32 (c)	9,086	7,042
2.591% 5/25/31 (c)	13,146	10,778
5.748% 7/6/34 (c)	4,000	3,961
5.778% 7/6/29 (c)	5,120	5,128
National Australia Bank Ltd. 5.132% 11/22/24	9,111	9,075
NatWest Group PLC:
3 month U.S. LIBOR + 1.750% 4.892% 5/18/29 (c)(d)	6,766	6,448
3.754% 11/1/29 (c)	10,246	9,777
3.875% 9/12/23	3,260	3,259
4.445% 5/8/30 (c)	5,748	5,274
4.8% 4/5/26	10,366	10,092
5.516% 9/30/28 (c)	9,700	9,527
5.808% 9/13/29 (c)	5,200	5,157
Oesterreichische Kontrollbank AG 0.375% 9/17/25	8,660	7,899
PNC Financial Services Group, Inc.:
1.15% 8/13/26	10,008	8,874
2.2% 11/1/24	5,355	5,139
2.6% 7/23/26	19,333	17,951
3.5% 1/23/24	13,891	13,741
3.9% 4/29/24	4,488	4,422
4.626% 6/6/33 (c)	5,000	4,527
5.354% 12/2/28 (c)	11,710	11,537
5.582% 6/12/29 (c)	9,650	9,571
5.939% 8/18/34 (c)	10,750	10,873
Rabobank Nederland:
3.75% 7/21/26	15,291	14,351
4.375% 8/4/25	5,147	4,989
5.25% 5/24/41	4,583	4,666
Rabobank Nederland New York Branch 3.375% 5/21/25	3,217	3,105
Royal Bank of Canada:
1.2% 4/27/26	23,522	21,079
2.05% 1/21/27	16,433	14,772
3.625% 5/4/27	7,900	7,448
4.65% 1/27/26	10,319	10,121
5% 5/2/33	4,070	3,938
6% 11/1/27	10,000	10,237
Santander Holdings U.S.A., Inc.:
2.49% 1/6/28 (c)	2,000	1,754
4.26% 6/9/25 (c)	10,000	9,803
4.4% 7/13/27	4,600	4,356
6.565% 6/12/29 (c)	2,900	2,887
Santander UK Group Holdings PLC:
2.469% 1/11/28 (c)	9,666	8,504
2.896% 3/15/32 (c)	1,600	1,280
6.534% 1/10/29 (c)	8,050	8,113
Sumitomo Mitsui Banking Corp. 3.4% 7/11/24	4,911	4,814
Sumitomo Mitsui Financial Group, Inc.:
1.474% 7/8/25	11,310	10,471
2.142% 9/23/30	11,020	8,714
2.174% 1/14/27	22,619	20,288
2.348% 1/15/25	7,153	6,828
2.75% 1/15/30	6,766	5,754
3.05% 1/14/42	11,600	8,515
3.936% 10/16/23	12,456	12,427
5.52% 1/13/28	13,700	13,695
5.766% 1/13/33	7,800	7,912
5.776% 7/13/33	5,600	5,682
The Toronto-Dominion Bank:
2.65% 6/12/24	18,463	18,017
3.25% 3/11/24	24,166	23,855
4.108% 6/8/27	9,800	9,359
4.693% 9/15/27	10,000	9,753
5.156% 1/10/28	22,920	22,705
Truist Financial Corp.:
1.267% 3/2/27 (c)	26,042	23,257
4.916% 7/28/33 (c)	4,850	4,323
5.122% 1/26/34 (c)	7,900	7,410
5.867% 6/8/34 (c)	3,770	3,735
U.S. Bancorp:
1.375% 7/22/30	9,666	7,329
2.677% 1/27/33 (c)	6,900	5,494
3% 7/30/29	8,603	7,371
3.1% 4/27/26	7,149	6,709
4.839% 2/1/34 (c)	12,000	11,129
5.775% 6/12/29 (c)	8,900	8,881
Wells Fargo & Co.:
2.164% 2/11/26 (c)	31,482	29,765
2.188% 4/30/26 (c)	23,344	21,953
2.406% 10/30/25 (c)	40,463	38,800
2.572% 2/11/31 (c)	18,666	15,580
3% 10/23/26	16,149	14,958
3.068% 4/30/41 (c)	14,113	10,102
3.3% 9/9/24	3,673	3,586
3.35% 3/2/33 (c)	4,543	3,826
3.526% 3/24/28 (c)	5,000	4,652
3.55% 9/29/25	3,368	3,231
3.584% 5/22/28 (c)	8,313	7,718
3.75% 1/24/24	34,064	33,792
3.9% 5/1/45	3,781	2,960
4.1% 6/3/26	2,562	2,458
4.4% 6/14/46	5,672	4,496
4.48% 1/16/24	3,030	3,012
4.54% 8/15/26 (c)	10,000	9,765
4.75% 12/7/46	12,709	10,566
4.897% 7/25/33 (c)	19,800	18,631
4.9% 11/17/45	7,663	6,579
5.013% 4/4/51 (c)	4,814	4,347
5.375% 11/2/43	5,336	4,914
5.389% 4/24/34 (c)	25,070	24,418
5.557% 7/25/34 (c)	9,000	8,882
5.574% 7/25/29 (c)	12,000	11,950
5.606% 1/15/44	9,040	8,509
Westpac Banking Corp.:
U.S. TREASURY 1 YEAR INDEX + 2.680% 5.405% 8/10/33 (c)(d)	2,000	1,881
1.953% 11/20/28	5,800	4,989
2.668% 11/15/35 (c)	2,000	1,537
2.85% 5/13/26	3,774	3,559
3.02% 11/18/36 (c)	2,000	1,532
3.3% 2/26/24	25,805	25,505
4.11% 7/24/34 (c)	11,666	10,220
4.421% 7/24/39	6,630	5,341
5.35% 10/18/24	4,800	4,791
5.457% 11/18/27	10,000	10,149
		2,946,170
Capital Markets - 1.8%
Affiliated Managers Group, Inc. 3.5% 8/1/25	3,774	3,605
Ameriprise Financial, Inc. 5.15% 5/15/33	2,900	2,837
Ares Capital Corp.:
2.15% 7/15/26	20,441	17,964
3.25% 7/15/25	5,027	4,714
Bank of New York Mellon Corp.:
1.8% 7/28/31	16,619	13,063
2.8% 5/4/26	4,472	4,200
4.414% 7/24/26 (c)	17,300	16,913
4.543% 2/1/29 (c)	7,200	6,989
Bank of New York, New York 5.224% 11/21/25 (c)	10,000	9,942
BlackRock, Inc.:
2.1% 2/25/32	11,503	9,170
3.5% 3/18/24	2,303	2,278
Brookfield Finance, Inc.:
2.724% 4/15/31	19,988	16,299
3.625% 2/15/52	1,600	1,061
Charles Schwab Corp.:
0.75% 3/18/24	22,246	21,659
2% 3/20/28	16,771	14,450
2.45% 3/3/27	19,333	17,399
2.9% 3/3/32	7,200	5,948
6.136% 8/24/34 (c)	4,350	4,424
CI Financial Corp.:
3.2% 12/17/30	2,000	1,543
4.1% 6/15/51	2,900	1,755
CME Group, Inc.:
2.65% 3/15/32	2,803	2,351
5.3% 9/15/43	4,930	4,991
Credit Suisse AG:
3.625% 9/9/24	7,884	7,669
5% 7/9/27	2,000	1,949
7.5% 2/15/28	15,400	16,470
Deutsche Bank AG:
4.1% 1/13/26	9,570	9,129
4.5% 4/1/25	2,573	2,479
Deutsche Bank AG New York Branch:
2.311% 11/16/27 (c)	4,949	4,339
3.035% 5/28/32 (c)	9,100	7,239
3.7% 5/30/24	7,785	7,632
3.729% 1/14/32 (c)	10,100	7,818
4.1% 1/13/26	17,316	16,517
Franklin Resources, Inc.:
1.6% 10/30/30	2,000	1,568
2.85% 3/30/25	3,019	2,897
GE Capital Funding LLC 4.4% 5/15/30	5,000	4,557
Goldman Sachs Group, Inc.:
0.855% 2/12/26 (c)	13,639	12,652
1.093% 12/9/26 (c)	33,156	29,761
2.383% 7/21/32 (c)	22,445	17,742
2.6% 2/7/30	9,666	8,157
2.615% 4/22/32 (c)	24,562	19,874
2.65% 10/21/32 (c)	12,566	10,084
3.102% 2/24/33 (c)	5,000	4,159
3.272% 9/29/25 (c)	4,833	4,687
3.436% 2/24/43 (c)	5,063	3,727
3.5% 1/23/25	41,477	40,165
3.625% 2/20/24	8,340	8,251
3.691% 6/5/28 (c)	14,113	13,212
3.75% 2/25/26	4,622	4,433
3.85% 7/8/24	3,019	2,970
3.85% 1/26/27	24,021	22,798
4% 3/3/24	4,833	4,785
4.017% 10/31/38 (c)	1,000	832
4.25% 10/21/25	3,972	3,854
4.411% 4/23/39 (c)	5,770	4,998
4.75% 10/21/45	12,534	11,261
5.95% 1/15/27	11,915	12,040
6.25% 2/1/41	5,900	6,233
6.75% 10/1/37	20,049	21,255
Intercontinental Exchange, Inc.:
1.85% 9/15/32	8,990	6,824
2.65% 9/15/40	10,990	7,643
3.75% 12/1/25	4,567	4,408
3.75% 9/21/28	7,411	6,994
4% 9/15/27	11,200	10,722
4.25% 9/21/48	8,390	7,062
4.6% 3/15/33	10,800	10,316
Jefferies Financial Group, Inc.:
2.625% 10/15/31	1,933	1,507
4.15% 1/23/30	11,213	10,098
Moody's Corp.:
2% 8/19/31	1,400	1,126
3.25% 1/15/28	12,663	11,809
3.75% 3/24/25	1,000	973
4.25% 8/8/32	1,000	940
4.875% 12/17/48	8,233	7,485
Morgan Stanley:
1.164% 10/21/25 (c)	23,310	21,983
1.512% 7/20/27 (c)	7,810	6,934
1.593% 5/4/27 (c)	11,397	10,225
2.188% 4/28/26 (c)	19,478	18,357
2.239% 7/21/32 (c)	21,895	17,223
2.475% 1/21/28 (c)	2,000	1,804
2.484% 9/16/36 (c)	1,600	1,207
2.511% 10/20/32 (c)	3,963	3,156
2.72% 7/22/25 (c)	15,080	14,634
3.125% 7/27/26	4,448	4,162
3.217% 4/22/42 (c)	14,442	10,637
3.591% 7/22/28 (c)	47,701	44,129
3.7% 10/23/24	4,766	4,664
3.772% 1/24/29 (c)	9,753	9,046
3.875% 4/29/24	11,662	11,518
3.875% 1/27/26	6,171	5,940
3.95% 4/23/27	27,155	25,615
3.971% 7/22/38 (c)	18,965	15,831
4.3% 1/27/45	1,589	1,350
4.375% 1/22/47	8,818	7,545
4.457% 4/22/39 (c)	6,005	5,287
5.123% 2/1/29 (c)	14,400	14,114
5.164% 4/20/29 (c)	5,750	5,640
5.25% 4/21/34 (c)	5,270	5,119
5.297% 4/20/37 (c)	9,400	8,750
5.597% 3/24/51 (c)	10,295	10,362
5.948% 1/19/38 (c)	2,720	2,645
6.296% 10/18/28 (c)	24,000	24,619
6.342% 10/18/33 (c)	8,900	9,324
6.375% 7/24/42	2,303	2,516
7.25% 4/1/32	795	904
NASDAQ, Inc.:
2.5% 12/21/40	2,000	1,313
5.35% 6/28/28	4,280	4,282
5.55% 2/15/34	3,920	3,913
5.95% 8/15/53	1,232	1,227
6.1% 6/28/63	4,600	4,539
Nomura Holdings, Inc.:
2.608% 7/14/31	1,000	786
3.103% 1/16/30	19,128	16,217
5.099% 7/3/25	2,000	1,964
5.605% 7/6/29	7,500	7,362
6.07% 7/12/28	5,700	5,722
Northern Trust Corp. 1.95% 5/1/30	17,158	14,134
S&P Global, Inc.:
2.9% 3/1/32	34,219	29,308
2.95% 1/22/27	4,833	4,527
State Street Corp.:
1.684% 11/18/27 (c)	15,869	14,242
2.65% 5/19/26	5,997	5,647
4.821% 1/26/34 (c)	5,200	4,934
UBS Group AG:
4.55% 4/17/26	8,685	8,405
4.875% 5/15/45	8,979	8,000
		1,091,417
Consumer Finance - 0.7%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
1.65% 10/29/24	18,269	17,369
2.45% 10/29/26	10,778	9,697
2.875% 8/14/24	11,390	11,043
3% 10/29/28	5,800	5,026
3.4% 10/29/33	5,896	4,674
3.65% 7/21/27	3,698	3,401
3.85% 10/29/41	5,896	4,375
3.875% 1/23/28	12,472	11,467
4.45% 10/1/25	7,824	7,575
4.875% 1/16/24	6,792	6,758
Ally Financial, Inc.:
2.2% 11/2/28	11,270	9,091
5.8% 5/1/25	14,790	14,568
6.992% 6/13/29 (c)	2,870	2,865
8% 11/1/31	2,000	2,068
American Express Co.:
2.5% 7/30/24	30,845	29,955
3.95% 8/1/25	18,100	17,562
4.05% 12/3/42	5,541	4,704
5.282% 7/27/29 (c)	12,000	11,870
Capital One Financial Corp.:
2.359% 7/29/32 (c)	3,300	2,354
3.3% 10/30/24	11,544	11,212
3.75% 7/28/26	7,746	7,243
3.75% 3/9/27	28,095	26,141
3.8% 1/31/28	10,327	9,469
3.9% 1/29/24	13,552	13,430
5.247% 7/26/30 (c)	5,600	5,327
5.817% 2/1/34 (c)	3,450	3,277
6.377% 6/8/34 (c)	3,470	3,428
Discover Financial Services 4.5% 1/30/26	14,948	14,359
GE Capital International Funding Co. 3.373% 11/15/25	22,877	21,747
John Deere Capital Corp.:
2.65% 6/24/24	8,309	8,124
2.65% 6/10/26	3,972	3,730
2.8% 9/8/27	5,561	5,144
3.45% 3/7/29	15,887	14,783
Synchrony Financial:
3.7% 8/4/26	3,752	3,415
4.375% 3/19/24	8,940	8,832
5.15% 3/19/29	21,635	19,843
Toyota Motor Credit Corp.:
1.15% 8/13/27	16,723	14,473
1.9% 1/13/27	8,796	7,958
3% 4/1/25	2,000	1,930
3.05% 3/22/27	11,570	10,858
3.35% 1/8/24	11,112	11,021
4.45% 6/29/29	2,000	1,960
		404,126
Financial Services - 0.9%
Aon Corp. / Aon Global Holdings PLC 2.6% 12/2/31	15,853	13,008
Berkshire Hathaway, Inc.:
3.125% 3/15/26	9,135	8,759
4.5% 2/11/43	1,589	1,489
Blackstone Private Credit Fund:
2.7% 1/15/25	12,663	11,982
4.7% 3/24/25	16,881	16,409
BP Capital Markets America, Inc.:
2.721% 1/12/32	28,999	24,272
3% 2/24/50	11,116	7,405
3.017% 1/16/27	7,547	7,079
3.06% 6/17/41	6,766	4,963
4.812% 2/13/33	5,950	5,759
Brixmor Operating Partnership LP:
3.9% 3/15/27	4,480	4,172
4.05% 7/1/30	4,868	4,398
4.125% 6/15/26	5,997	5,691
4.125% 5/15/29	5,363	4,878
Corebridge Financial, Inc.:
3.9% 4/5/32	4,549	3,978
4.35% 4/5/42	4,800	3,797
6.875% 12/15/52 (c)	5,300	5,153
DH Europe Finance II SARL:
2.2% 11/15/24	6,563	6,313
2.6% 11/15/29	7,675	6,766
3.4% 11/15/49	8,313	6,207
Equitable Holdings, Inc.:
4.35% 4/20/28	6,519	6,168
5% 4/20/48	2,000	1,682
5.594% 1/11/33	2,700	2,654
Fidelity National Information Services, Inc.:
1.15% 3/1/26	16,937	15,242
2.25% 3/1/31	16,065	12,968
Fiserv, Inc.:
3.5% 7/1/29	8,797	8,029
4.4% 7/1/49	14,614	11,945
Global Payments, Inc.:
1.2% 3/1/26	23,465	20,990
2.15% 1/15/27	10,000	8,912
2.9% 5/15/30	2,000	1,689
4.45% 6/1/28	2,000	1,885
5.95% 8/15/52	5,500	5,248
Jackson Financial, Inc. 5.17% 6/8/27	9,500	9,312
Japan International Cooperation Agency 1.75% 4/28/31	7,910	6,356
KfW:
0.25% 10/19/23	11,696	11,620
0.375% 7/18/25	13,678	12,568
0.625% 1/22/26	42,629	38,694
2% 5/2/25	3,038	2,890
2.5% 11/20/24	8,281	8,007
2.625% 2/28/24	16,206	15,982
2.875% 4/3/28	12,201	11,422
Landwirtschaftliche Rentenbank:
1.75% 7/27/26	6,752	6,221
2.5% 11/15/27	7,022	6,497
MasterCard, Inc.:
3.3% 3/26/27	5,744	5,468
3.35% 3/26/30	7,992	7,342
3.8% 11/21/46	3,019	2,486
3.85% 3/26/50	14,152	11,755
National Rural Utilities Cooperative Finance Corp.:
4.15% 12/15/32	14,810	13,531
5.8% 1/15/33	5,500	5,677
PayPal Holdings, Inc.:
1.65% 6/1/25	10,855	10,169
2.3% 6/1/30	12,566	10,557
4.4% 6/1/32	10,000	9,556
The Western Union Co. 2.85% 1/10/25	8,700	8,336
Visa, Inc.:
1.1% 2/15/31	16,240	12,624
1.9% 4/15/27	11,387	10,317
2.05% 4/15/30	16,761	14,223
2.7% 4/15/40	9,473	7,055
2.75% 9/15/27	9,468	8,782
3.15% 12/14/25	9,257	8,878
4.3% 12/14/45	5,275	4,769
Voya Financial, Inc.:
3.65% 6/15/26	12,542	11,845
5.7% 7/15/43	2,979	2,746
		545,575
Insurance - 0.7%
ACE INA Holdings, Inc.:
1.375% 9/15/30	21,411	16,851
3.35% 5/3/26	7,152	6,856
4.35% 11/3/45	3,177	2,777
AFLAC, Inc.:
3.6% 4/1/30	4,833	4,406
4% 10/15/46	3,003	2,340
Allstate Corp.:
3.28% 12/15/26	3,750	3,543
4.2% 12/15/46	6,005	4,743
American International Group, Inc.:
3.875% 1/15/35	2,145	1,851
3.9% 4/1/26	1,497	1,445
4.2% 4/1/28	14,734	14,065
4.375% 6/30/50	4,543	3,765
4.5% 7/16/44	7,050	5,951
4.7% 7/10/35	4,607	4,037
4.75% 4/1/48	7,808	6,864
Aon Corp. 3.75% 5/2/29	1,800	1,675
Aon PLC:
3.5% 6/14/24	6,458	6,345
4% 11/27/23	2,383	2,368
4.6% 6/14/44	1,271	1,090
4.75% 5/15/45	4,671	4,064
Arthur J. Gallagher & Co.:
3.5% 5/20/51	1,200	829
5.75% 3/2/53	4,060	3,978
Assurant, Inc. 4.9% 3/27/28	3,900	3,765
Athene Holding Ltd.:
3.5% 1/15/31	5,413	4,529
3.95% 5/25/51	2,000	1,398
4.125% 1/12/28	2,000	1,868
Baylor Scott & White Holdings:
Series 2021, 2.839% 11/15/50	14,016	9,215
3.967% 11/15/46	1,986	1,601
Berkshire Hathaway Finance Corp.:
1.45% 10/15/30	7,588	6,105
2.85% 10/15/50	10,633	7,149
2.875% 3/15/32	2,000	1,746
4.2% 8/15/48	9,429	8,210
5.75% 1/15/40	11,222	12,121
Brighthouse Financial, Inc. 4.7% 6/22/47	7,547	5,619
Brown & Brown, Inc. 4.2% 3/17/32	6,283	5,623
CNA Financial Corp. 5.5% 6/15/33	3,100	3,036
Fairfax Financial Holdings Ltd.:
4.625% 4/29/30	5,123	4,713
4.85% 4/17/28	1,700	1,637
5.625% 8/16/32	1,900	1,834
Hartford Financial Services Group, Inc.:
2.8% 8/19/29	5,649	4,944
3.6% 8/19/49	6,760	4,929
4.4% 3/15/48	7,713	6,410
Lincoln National Corp.:
3.625% 12/12/26	4,766	4,465
4.35% 3/1/48	2,417	1,755
4.375% 6/15/50	4,833	3,456
Manulife Financial Corp. 4.15% 3/4/26	9,666	9,390
Markel Group, Inc.:
3.35% 9/17/29	4,833	4,324
3.5% 11/1/27	4,000	3,733
Marsh & McLennan Companies, Inc.:
3.5% 6/3/24	1,509	1,482
3.875% 3/15/24	7,547	7,468
4.05% 10/15/23	5,382	5,371
4.2% 3/1/48	3,868	3,187
4.35% 1/30/47	2,224	1,883
4.375% 3/15/29	6,116	5,921
4.9% 3/15/49	7,388	6,775
MetLife, Inc.:
3.6% 11/13/25	9,666	9,349
4.125% 8/13/42	6,959	5,768
4.55% 3/23/30	8,990	8,740
4.6% 5/13/46	3,589	3,149
4.721% 12/15/44 (c)	3,972	3,460
5.375% 7/15/33	5,845	5,818
5.875% 2/6/41	2,059	2,115
6.375% 6/15/34	2,000	2,148
Principal Financial Group, Inc.:
4.3% 11/15/46	6,356	4,966
5.375% 3/15/33	1,200	1,189
Progressive Corp.:
2.45% 1/15/27	3,765	3,469
2.5% 3/15/27	7,346	6,757
3% 3/15/32	13,862	12,046
4.2% 3/15/48	4,398	3,688
Prudential Financial, Inc.:
3.878% 3/27/28	3,305	3,147
3.905% 12/7/47	437	339
3.935% 12/7/49	8,515	6,552
4.35% 2/25/50	9,924	8,250
4.418% 3/27/48	5,044	4,250
5.125% 3/1/52 (c)	3,335	2,979
5.7% 12/14/36	302	308
6% 9/1/52 (c)	5,360	5,120
6.75% 3/1/53 (c)	1,800	1,782
The Chubb Corp. 6.5% 5/15/38	2,788	3,104
The Travelers Companies, Inc.:
4.1% 3/4/49	4,833	4,004
4.3% 8/25/45	1,159	982
5.45% 5/25/53	2,300	2,332
6.25% 6/15/37	6,633	7,230
6.75% 6/20/36	4,500	5,109
Willis Group North America, Inc.:
4.65% 6/15/27	5,827	5,643
5.35% 5/15/33	6,000	5,792
		395,090
TOTAL FINANCIALS		5,382,378
HEALTH CARE - 2.8%
Biotechnology - 0.5%
AbbVie, Inc.:
2.6% 11/21/24	12,276	11,844
2.95% 11/21/26	8,990	8,415
3.2% 11/21/29	15,370	13,854
3.6% 5/14/25	7,149	6,933
3.8% 3/15/25	7,006	6,822
4.05% 11/21/39	8,990	7,705
4.25% 11/14/28	6,585	6,375
4.25% 11/21/49	14,886	12,536
4.3% 5/14/36	4,972	4,555
4.4% 11/6/42	3,793	3,314
4.45% 5/14/46	5,561	4,811
4.5% 5/14/35	10,000	9,408
4.55% 3/15/35	5,282	4,996
4.7% 5/14/45	10,467	9,413
4.75% 3/15/45	5,028	4,517
4.875% 11/14/48	4,630	4,274
Amgen, Inc.:
1.65% 8/15/28	15,418	13,152
1.9% 2/21/25	6,476	6,158
2.3% 2/25/31	16,400	13,544
2.6% 8/19/26	8,340	7,754
2.8% 8/15/41	15,756	10,868
3.125% 5/1/25	1,589	1,529
3.35% 2/22/32	5,640	4,923
3.375% 2/21/50	8,893	6,222
4.4% 5/1/45	7,888	6,637
4.663% 6/15/51	9,908	8,545
4.875% 3/1/53	8,280	7,348
5.15% 3/2/28	12,880	12,867
5.25% 3/2/33	8,730	8,685
5.6% 3/2/43	10,000	9,812
5.65% 3/2/53	15,743	15,607
5.75% 3/2/63	9,400	9,283
Biogen, Inc.:
2.25% 5/1/30	1,600	1,317
4.05% 9/15/25	10,000	9,698
Gilead Sciences, Inc.:
1.65% 10/1/30	11,928	9,583
2.8% 10/1/50	11,832	7,614
3.65% 3/1/26	4,909	4,723
4.15% 3/1/47	9,882	8,269
4.75% 3/1/46	8,737	7,956
Regeneron Pharmaceuticals, Inc. 1.75% 9/15/30	2,000	1,592
		313,458
Health Care Equipment & Supplies - 0.3%
Abbott Laboratories:
3.75% 11/30/26	5,539	5,368
4.75% 11/30/36	3,575	3,549
4.9% 11/30/46	8,261	8,053
Baxter International, Inc.:
1.915% 2/1/27	11,725	10,432
2.539% 2/1/32	12,914	10,366
Becton, Dickinson & Co.:
2.823% 5/20/30	6,989	6,044
3.363% 6/6/24	3,600	3,532
3.7% 6/6/27	22,048	20,905
4.685% 12/15/44	8,630	7,638
Boston Scientific Corp.:
3.45% 3/1/24	17,246	17,034
4% 3/1/29	8,579	8,096
4.7% 3/1/49	13,845	12,411
GE Healthcare Holding LLC:
5.65% 11/15/27	5,180	5,242
5.905% 11/22/32	10,170	10,430
Medtronic, Inc. 4.625% 3/15/45	10,267	9,640
Stryker Corp.:
1.95% 6/15/30	7,395	6,114
2.9% 6/15/50	7,395	4,930
Zimmer Biomet Holdings, Inc. 3.55% 4/1/25	9,040	8,744
		158,528
Health Care Providers & Services - 1.1%
Aetna, Inc.:
3.875% 8/15/47	4,157	3,119
4.125% 11/15/42	9,013	7,153
Allina Health System, Inc. 3.887% 4/15/49	5,269	4,173
Banner Health:
2.907% 1/1/42	1,305	926
2.913% 1/1/51	10,923	7,079
Baptist Healthcare System Obli 3.54% 8/15/50	10,657	7,613
Bon Secours Mercy Health, Inc. 2.095% 6/1/31	7,302	5,851
Cardinal Health, Inc. 4.368% 6/15/47	11,033	8,835
Centene Corp.:
2.5% 3/1/31	2,000	1,593
2.625% 8/1/31	14,500	11,535
3.375% 2/15/30	16,200	13,864
Children's Hospital Medical Center 4.268% 5/15/44	2,637	2,284
Children's Hospital of Philadelphia 2.704% 7/1/50	8,032	5,125
Cigna Group:
4.125% 11/15/25	7,829	7,629
4.375% 10/15/28	21,090	20,311
4.5% 2/25/26	9,262	9,074
4.8% 8/15/38	18,723	17,259
4.8% 7/15/46	6,037	5,360
4.9% 12/15/48	6,764	6,032
6.125% 11/15/41	2,383	2,458
CommonSpirit Health:
3.91% 10/1/50	12,300	9,245
4.35% 11/1/42	1,589	1,326
CVS Health Corp.:
2.7% 8/21/40	12,035	8,083
2.875% 6/1/26	5,958	5,582
3% 8/15/26	13,153	12,322
3.25% 8/15/29	13,963	12,480
3.875% 7/20/25	3,701	3,590
4.1% 3/25/25	3,272	3,201
4.3% 3/25/28	18,985	18,234
4.875% 7/20/35	2,462	2,291
5% 1/30/29	19,800	19,507
5.05% 3/25/48	21,765	19,090
5.125% 7/20/45	6,997	6,233
5.25% 2/21/33	15,400	15,060
5.3% 6/1/33	15,530	15,210
5.3% 12/5/43	3,489	3,197
5.625% 2/21/53	5,700	5,394
Elevance Health, Inc.:
2.55% 3/15/31	1,100	921
3.125% 5/15/50	6,766	4,581
3.65% 12/1/27	27,589	26,005
4.1% 5/15/32	9,100	8,385
4.375% 12/1/47	8,311	7,013
4.55% 3/1/48	3,741	3,220
4.625% 5/15/42	2,065	1,834
4.65% 1/15/43	1,589	1,412
4.75% 2/15/33	10,000	9,685
Franciscan Missionaries of Our Lady Health System, Inc. 3.914% 7/1/49	8,468	6,116
HCA Holdings, Inc.:
3.625% 3/15/32	2,000	1,720
4.125% 6/15/29	11,900	10,992
4.375% 3/15/42	10,000	8,020
5.25% 6/15/49	18,865	16,465
Humana, Inc.:
1.35% 2/3/27	10,039	8,830
2.15% 2/3/32	11,863	9,305
3.125% 8/15/29	6,457	5,740
4.95% 10/1/44	1,986	1,760
INTEGRIS Baptist Medical Center, Inc. 3.875% 8/15/50	9,083	6,641
Kaiser Foundation Hospitals:
3.266% 11/1/49	7,259	5,207
4.15% 5/1/47	5,204	4,441
4.875% 4/1/42	1,430	1,340
Memorial Sloan-Kettring Cancer Center 4.2% 7/1/55	2,383	1,964
MidMichigan Health 3.409% 6/1/50	3,730	2,565
New York & Presbyterian Hospital:
4.024% 8/1/45	2,780	2,304
4.063% 8/1/56	2,089	1,692
Novant Health, Inc. 3.168% 11/1/51	6,588	4,524
NYU Hospitals Center 4.784% 7/1/44	6,037	5,377
Orlando Health Obligated Group 3.327% 10/1/50	6,016	4,260
Partners Healthcare System, Inc. 4.117% 7/1/55	2,780	2,249
Piedmont Healthcare, Inc. 2.719% 1/1/42	1,208	802
Providence St. Joseph Health Obligated Group 2.7% 10/1/51	2,136	1,249
Sabra Health Care LP 3.2% 12/1/31	2,000	1,528
Sutter Health 3.361% 8/15/50	14,596	10,263
Trinity Health Corp. 2.632% 12/1/40	3,512	2,453
UnitedHealth Group, Inc.:
1.15% 5/15/26	3,155	2,854
1.25% 1/15/26	6,254	5,721
2% 5/15/30	2,900	2,419
2.3% 5/15/31	2,662	2,225
2.375% 8/15/24	7,834	7,609
2.9% 5/15/50	6,273	4,166
3.05% 5/15/41	16,300	12,172
3.25% 5/15/51	3,045	2,162
3.375% 4/15/27	4,289	4,067
3.7% 8/15/49	8,334	6,470
3.75% 7/15/25	2,780	2,709
3.75% 10/15/47	7,594	6,000
3.85% 6/15/28	9,222	8,840
3.875% 12/15/28	11,908	11,397
3.875% 8/15/59	9,958	7,702
4.2% 1/15/47	2,859	2,415
4.25% 1/15/29	9,500	9,215
4.375% 3/15/42	9,373	8,292
4.625% 7/15/35	7,300	7,065
4.75% 7/15/45	1,327	1,233
4.95% 5/15/62	4,700	4,342
5.05% 4/15/53	12,920	12,333
5.25% 2/15/28	8,360	8,521
5.35% 2/15/33	7,610	7,810
5.8% 3/15/36	1,000	1,060
5.875% 2/15/53	7,600	8,128
6.625% 11/15/37	2,000	2,260
6.875% 2/15/38	1,300	1,512
Universal Health Services, Inc. 2.65% 10/15/30	4,000	3,222
West Virginia University Health System Obligated Group 3.129% 6/1/50	4,940	3,135
		665,237
Life Sciences Tools & Services - 0.0%
Danaher Corp. 4.375% 9/15/45	1,883	1,658
Revvity, Inc.:
0.85% 9/15/24	4,476	4,243
2.25% 9/15/31	5,519	4,345
Thermo Fisher Scientific, Inc.:
2.6% 10/1/29	12,965	11,375
5.086% 8/10/33	2,820	2,834
5.3% 2/1/44	4,622	4,576
		29,031
Pharmaceuticals - 0.9%
AstraZeneca Finance LLC:
1.2% 5/28/26	7,201	6,501
2.25% 5/28/31	7,008	5,830
4.875% 3/3/33	4,110	4,111
AstraZeneca PLC:
4.375% 11/16/45	5,989	5,330
4.375% 8/17/48	9,825	8,796
6.45% 9/15/37	4,582	5,154
Bayer U.S. Finance II LLC:
2.85% 4/15/25 (b)	3,038	2,874
3.95% 4/15/45 (b)	1,104	790
Bristol-Myers Squibb Co.:
2.9% 7/26/24	9,043	8,837
3.2% 6/15/26	2,128	2,030
3.25% 8/1/42	2,224	1,662
3.4% 7/26/29	4,508	4,176
3.55% 3/15/42	18,866	15,013
4.125% 6/15/39	3,769	3,329
4.25% 10/26/49	9,631	8,140
4.35% 11/15/47	5,317	4,600
4.55% 2/20/48	11,255	9,975
Eli Lilly & Co.:
2.25% 5/15/50	17,138	10,578
4.875% 2/27/53	4,640	4,563
4.95% 2/27/63	3,300	3,224
GlaxoSmithKline Capital PLC 3% 6/1/24	9,260	9,088
GlaxoSmithKline Capital, Inc. 6.375% 5/15/38	5,734	6,524
GSK Consumer Healthcare Capital U.S. LLC:
3.375% 3/24/27	14,422	13,560
3.625% 3/24/32	14,451	12,837
Johnson & Johnson:
0.55% 9/1/25	6,409	5,867
1.3% 9/1/30	6,409	5,196
2.1% 9/1/40	7,409	5,074
2.45% 3/1/26	4,440	4,190
2.45% 9/1/60	7,409	4,548
3.4% 1/15/38	7,411	6,293
3.5% 1/15/48	4,766	3,884
3.625% 3/3/37	3,177	2,810
4.375% 12/5/33	2,600	2,568
4.5% 9/1/40	1,800	1,720
4.5% 12/5/43	5,262	5,056
4.85% 5/15/41	3,383	3,336
Merck & Co., Inc.:
2.35% 6/24/40	10,000	7,000
2.45% 6/24/50	4,418	2,746
2.75% 2/10/25	5,729	5,539
2.9% 3/7/24	9,121	8,997
3.6% 9/15/42	1,589	1,301
3.7% 2/10/45	5,084	4,149
3.9% 3/7/39	11,666	10,208
4.05% 5/17/28	7,500	7,320
4.5% 5/17/33	11,325	11,038
5% 5/17/53	11,000	10,744
Mylan NV 5.2% 4/15/48	2,383	1,855
Novartis Capital Corp.:
1.75% 2/14/25	7,443	7,084
2.75% 8/14/50	10,923	7,492
3% 11/20/25	8,317	7,955
3.1% 5/17/27	4,679	4,426
3.7% 9/21/42	2,244	1,851
4% 11/20/45	4,162	3,586
Pfizer Investment Enterprises:
4.45% 5/19/28	20,080	19,699
4.65% 5/19/30	9,923	9,768
4.75% 5/19/33	16,340	16,079
5.11% 5/19/43	10,390	10,113
5.3% 5/19/53	11,075	11,079
5.34% 5/19/63	17,600	17,342
Pfizer, Inc.:
2.55% 5/28/40	7,297	5,229
2.7% 5/28/50	3,596	2,439
2.95% 3/15/24	3,734	3,684
3% 12/15/26	5,321	5,035
3.2% 9/15/23	10,103	10,095
3.45% 3/15/29	6,618	6,206
3.9% 3/15/39	5,004	4,339
4% 12/15/36	9,447	8,573
4.1% 9/15/38	2,000	1,793
4.125% 12/15/46	2,613	2,261
4.2% 9/15/48	6,196	5,480
4.4% 5/15/44	3,328	3,030
7.2% 3/15/39	4,289	5,184
Royalty Pharma PLC 3.35% 9/2/51	8,800	5,459
Shire Acquisitions Investments Ireland DAC:
2.875% 9/23/23	3,003	2,997
3.2% 9/23/26	31,123	29,234
Takeda Pharmaceutical Co. Ltd. 2.05% 3/31/30	12,000	9,873
Utah Acquisition Sub, Inc.:
3.95% 6/15/26	2,248	2,125
5.25% 6/15/46	2,622	2,072
Viatris, Inc.:
1.65% 6/22/25	1,800	1,666
2.7% 6/22/30	12,760	10,363
4% 6/22/50	8,750	5,796
Wyeth LLC 5.95% 4/1/37	2,000	2,144
Zoetis, Inc.:
3.95% 9/12/47	1,589	1,265
4.7% 2/1/43	1,032	936
		532,713
TOTAL HEALTH CARE		1,698,967
INDUSTRIALS - 1.6%
Aerospace & Defense - 0.4%
General Dynamics Corp.:
3.75% 5/15/28	7,466	7,128
4.25% 4/1/50	3,867	3,404
Huntington Ingalls Industries, Inc. 4.2% 5/1/30	2,000	1,847
L3Harris Technologies, Inc.:
2.9% 12/15/29	1,000	870
3.832% 4/27/25	5,000	4,865
5.4% 7/31/33	7,000	7,012
Lockheed Martin Corp.:
3.55% 1/15/26	3,017	2,920
4.09% 9/15/52	12,077	10,147
4.95% 10/15/25	10,000	9,970
5.25% 1/15/33	10,000	10,263
5.7% 11/15/54	5,000	5,361
Northrop Grumman Corp.:
3.25% 1/15/28	6,673	6,216
3.85% 4/15/45	1,489	1,181
4.03% 10/15/47	14,958	12,310
4.75% 6/1/43	3,177	2,886
RTX Corp.:
1.9% 9/1/31	9,570	7,494
3.15% 12/15/24	7,070	6,853
3.75% 11/1/46	5,929	4,511
4.05% 5/4/47	1,851	1,496
4.125% 11/16/28	11,685	11,152
4.35% 4/15/47	5,243	4,411
4.45% 11/16/38	12,715	11,251
4.5% 6/1/42	5,863	5,113
4.625% 11/16/48	10,491	9,224
4.875% 10/15/40	795	727
5.15% 2/27/33	9,600	9,491
5.4% 5/1/35	1,800	1,796
5.7% 4/15/40	1,589	1,590
The Boeing Co.:
2.5% 3/1/25	3,654	3,473
2.7% 2/1/27	6,297	5,758
2.95% 2/1/30	8,056	6,974
3.625% 3/1/48	3,177	2,215
3.65% 3/1/47	2,192	1,534
3.75% 2/1/50	12,276	8,951
4.875% 5/1/25	13,891	13,699
5.15% 5/1/30	9,666	9,510
5.705% 5/1/40	31,541	30,664
5.805% 5/1/50	14,268	13,881
6.875% 3/15/39	2,622	2,889
		261,037
Air Freight & Logistics - 0.1%
FedEx Corp.:
2.4% 5/15/31	6,900	5,694
3.1% 8/5/29	5,027	4,503
3.9% 2/1/35	4,686	4,079
4.05% 2/15/48	2,900	2,258
4.4% 1/15/47	6,356	5,227
4.55% 4/1/46	1,192	999
4.95% 10/17/48	6,273	5,611
5.25% 5/15/50	3,383	3,147
United Parcel Service, Inc.:
2.4% 11/15/26	5,958	5,546
3.4% 11/15/46	2,104	1,575
3.625% 10/1/42	1,100	894
3.75% 11/15/47	6,842	5,534
4.25% 3/15/49	3,190	2,751
4.45% 4/1/30	4,833	4,758
5.3% 4/1/50	4,669	4,738
6.2% 1/15/38	6,986	7,809
		65,123
Building Products - 0.1%
Carrier Global Corp.:
2.242% 2/15/25	10,053	9,563
2.493% 2/15/27	7,105	6,454
2.722% 2/15/30	12,373	10,609
3.377% 4/5/40	4,959	3,727
3.577% 4/5/50	11,213	8,031
Johnson Controls International PLC/Tyco Fire & Security Finance SCA 4.9% 12/1/32	11,850	11,649
Masco Corp.:
2% 2/15/31	7,383	5,829
3.125% 2/15/51	3,735	2,294
Owens Corning 3.95% 8/15/29	5,413	5,035
		63,191
Commercial Services & Supplies - 0.1%
Republic Services, Inc.:
1.45% 2/15/31	17,786	13,765
2.9% 7/1/26	3,352	3,151
3.2% 3/15/25	8,957	8,662
3.95% 5/15/28	8,340	7,919
Waste Management, Inc. 4.15% 7/15/49	10,186	8,565
		42,062
Ground Transportation - 0.5%
Burlington Northern Santa Fe LLC:
3% 4/1/25	10,000	9,657
3.05% 2/15/51	3,499	2,393
3.25% 6/15/27	5,958	5,655
3.55% 2/15/50	4,833	3,698
3.85% 9/1/23	2,000	2,000
3.9% 8/1/46	3,686	2,950
4.05% 6/15/48	13,373	10,990
4.125% 6/15/47	2,264	1,880
4.15% 4/1/45	1,350	1,141
4.375% 9/1/42	3,575	3,140
4.45% 3/15/43	2,000	1,769
4.55% 9/1/44	2,383	2,134
4.9% 4/1/44	3,177	2,988
5.2% 4/15/54	6,300	6,199
6.15% 5/1/37	2,000	2,177
Canadian National Railway Co.:
2.45% 5/1/50	13,253	8,112
3.2% 8/2/46	2,622	1,884
3.85% 8/5/32	2,000	1,847
Canadian Pacific Railway Co.:
1.75% 12/2/26	8,990	8,079
2.05% 3/5/30	1,800	1,492
2.45% 12/2/31	20,546	18,225
3.1% 12/2/51	9,405	6,384
CSX Corp.:
3.25% 6/1/27	3,972	3,738
3.4% 8/1/24	3,673	3,597
3.8% 11/1/46	4,544	3,554
3.95% 5/1/50	2,840	2,255
4.1% 11/15/32	13,500	12,673
4.1% 3/15/44	5,382	4,475
4.5% 3/15/49	10,963	9,478
4.75% 11/15/48	4,599	4,102
Norfolk Southern Corp.:
3% 3/15/32	4,000	3,410
3.65% 8/1/25	9,532	9,210
3.8% 8/1/28	9,444	8,919
3.95% 10/1/42	1,509	1,210
4.05% 8/15/52	6,859	5,446
4.45% 3/1/33	22,050	20,904
4.65% 1/15/46	2,589	2,254
5.35% 8/1/54	3,970	3,859
Union Pacific Corp.:
2.15% 2/5/27	7,153	6,537
2.375% 5/20/31	2,000	1,679
2.4% 2/5/30	2,000	1,721
2.75% 3/1/26	5,290	5,003
2.8% 2/14/32	11,666	9,971
2.891% 4/6/36	7,292	5,759
3% 4/15/27	3,972	3,711
3.25% 2/5/50	10,720	7,747
3.35% 8/15/46	3,750	2,676
3.375% 2/14/42	4,000	3,123
3.6% 9/15/37	2,622	2,193
3.799% 10/1/51	2,224	1,757
3.839% 3/20/60	11,170	8,556
3.95% 9/10/28	2,000	1,924
4.5% 1/20/33	10,000	9,704
4.95% 5/15/53	3,730	3,582
		279,521
Industrial Conglomerates - 0.1%
3M Co.:
2% 2/14/25	5,027	4,775
2.375% 8/26/29	8,822	7,603
2.65% 4/15/25	3,613	3,447
2.875% 10/15/27	3,177	2,924
3.05% 4/15/30	2,912	2,602
3.125% 9/19/46	2,192	1,483
3.25% 8/26/49	6,797	4,708
3.7% 4/15/50	3,595	2,758
5.7% 3/15/37	1,900	2,019
General Electric Co.:
3.625% 5/1/30	9,492	8,423
6.875% 1/10/39	119	139
Honeywell International, Inc.:
1.35% 6/1/25	8,120	7,611
1.95% 6/1/30	8,796	7,328
2.5% 11/1/26	5,688	5,309
2.8% 6/1/50	8,168	5,822
3.812% 11/21/47	1,113	904
		67,855
Machinery - 0.2%
Caterpillar Financial Services Corp.:
0.45% 9/14/23	11,068	11,053
1.1% 9/14/27	11,416	9,874
2.4% 8/9/26	2,264	2,109
Caterpillar, Inc.:
3.25% 9/19/49	13,214	9,960
3.803% 8/15/42	1,986	1,683
5.3% 9/15/35	5,561	5,730
Cummins, Inc. 1.5% 9/1/30	4,833	3,880
Deere & Co.:
2.875% 9/7/49	9,579	6,937
3.9% 6/9/42	7,000	6,151
5.375% 10/16/29	795	821
Eaton Corp.:
4% 11/2/32	1,509	1,412
4.15% 11/2/42	1,509	1,310
4.7% 8/23/52	5,800	5,391
Ingersoll-Rand Luxembourg Finance SA:
3.8% 3/21/29	11,400	10,639
4.65% 11/1/44	4,766	4,079
Otis Worldwide Corp.:
2.565% 2/15/30	10,633	9,093
3.362% 2/15/50	8,091	5,819
Parker Hannifin Corp.:
3.25% 3/1/27	4,488	4,223
4% 6/14/49	4,727	3,833
4.1% 3/1/47	4,496	3,706
4.5% 9/15/29	2,000	1,933
Stanley Black & Decker, Inc.:
2.3% 2/24/25	2,000	1,904
4.25% 11/15/28	4,000	3,797
5.2% 9/1/40	7,100	6,469
		121,806
Passenger Airlines - 0.0%
American Airlines Pass Through Trust equipment trust certificate 2.875% 1/11/36	6,239	5,165
American Airlines, Inc. equipment trust certificate 3.2% 12/15/29	4,319	3,923
Southwest Airlines Co.:
2.625% 2/10/30	2,000	1,690
5.125% 6/15/27	8,833	8,728
United Airlines 2015-1 Class AA pass-thru trust 3.45% 6/1/29	372	343
United Airlines Pass-Through Trust Series 2023-1 Class A, 5.8% 7/15/37	7,800	7,773
United Airlines pass-thru trust equipment trust certificate 3.1% 1/7/30	8,499	7,756
United Airlines, Inc. equipment trust certificate Series 2012-2B 4% 4/29/26	1,968	1,920
		37,298
Professional Services - 0.0%
Leidos, Inc. 2.3% 2/15/31	1,300	1,030
Thomson Reuters Corp.:
3.35% 5/15/26	5,561	5,281
5.5% 8/15/35	2,000	1,959
		8,270
Trading Companies & Distributors - 0.1%
Air Lease Corp.:
2.2% 1/15/27	6,863	6,133
2.3% 2/1/25	5,000	4,732
3% 2/1/30	1,900	1,596
3.125% 12/1/30	9,666	8,056
3.625% 12/1/27	7,593	6,977
4.25% 2/1/24	10,455	10,373
		37,867
TOTAL INDUSTRIALS		984,030
INFORMATION TECHNOLOGY - 1.9%
Communications Equipment - 0.0%
Cisco Systems, Inc.:
2.2% 9/20/23	5,965	5,956
2.5% 9/20/26	3,972	3,720
3.5% 6/15/25	3,392	3,299
5.9% 2/15/39	9,863	10,695
		23,670
Electronic Equipment, Instruments & Components - 0.1%
Corning, Inc.:
3.9% 11/15/49	4,833	3,629
4.75% 3/15/42	3,972	3,547
Dell International LLC/EMC Corp.:
4% 7/15/24	9,135	8,995
4.9% 10/1/26	7,506	7,372
5.3% 10/1/29	19,994	19,741
6.02% 6/15/26	12,821	12,956
8.1% 7/15/36	8,303	9,539
8.35% 7/15/46	9,542	11,703
Tyco Electronics Group SA:
3.45% 8/1/24	2,899	2,840
3.7% 2/15/26	4,253	4,105
7.125% 10/1/37	1,966	2,236
Vontier Corp. 2.95% 4/1/31	3,500	2,774
		89,437
IT Services - 0.2%
CDW LLC/CDW Finance Corp. 2.67% 12/1/26	11,406	10,339
IBM Corp.:
1.95% 5/15/30	11,102	9,155
2.95% 5/15/50	11,005	7,070
3% 5/15/24	9,538	9,363
3.3% 5/15/26	9,666	9,216
3.5% 5/15/29	13,474	12,430
3.625% 2/12/24	7,944	7,870
4.25% 5/15/49	8,612	7,115
4.4% 7/27/32	8,100	7,727
4.7% 2/19/46	3,932	3,485
5.6% 11/30/39	6,500	6,546
		90,316
Semiconductors & Semiconductor Equipment - 0.6%
Analog Devices, Inc.:
2.8% 10/1/41	11,812	8,388
3.5% 12/5/26	1,700	1,628
Applied Materials, Inc. 4.35% 4/1/47	10,263	9,268
Broadcom Corp./Broadcom Cayman LP:
3.5% 1/15/28	5,561	5,128
3.875% 1/15/27	3,043	2,891
Broadcom, Inc.:
2.45% 2/15/31 (b)	28,182	22,720
2.6% 2/15/33 (b)	9,400	7,267
3.187% 11/15/36 (b)	1,000	752
3.419% 4/15/33 (b)	11,000	9,115
3.459% 9/15/26	10,027	9,499
3.469% 4/15/34 (b)	3,391	2,771
3.75% 2/15/51 (b)	17,216	12,346
4.3% 11/15/32	9,956	9,000
4.75% 4/15/29	13,584	13,100
Intel Corp.:
2% 8/12/31	7,124	5,757
2.45% 11/15/29	10,216	8,872
2.8% 8/12/41	10,000	6,940
3.05% 8/12/51	7,124	4,613
3.25% 11/15/49	8,313	5,671
3.734% 12/8/47	2,594	1,969
3.9% 3/25/30	9,048	8,459
4% 8/5/29	2,000	1,904
4.1% 5/19/46	5,561	4,548
4.1% 5/11/47	1,906	1,546
4.15% 8/5/32	2,000	1,882
4.6% 3/25/40	2,000	1,819
4.75% 3/25/50	9,512	8,357
4.875% 2/10/28	10,180	10,119
5.625% 2/10/43	5,000	4,977
5.7% 2/10/53	8,000	7,922
5.9% 2/10/63	8,900	8,946
Lam Research Corp. 2.875% 6/15/50	11,648	7,782
Marvell Technology, Inc. 2.95% 4/15/31	2,000	1,669
Micron Technology, Inc.:
2.703% 4/15/32	8,400	6,629
4.663% 2/15/30	6,573	6,161
5.375% 4/15/28	8,560	8,415
NVIDIA Corp.:
2% 6/15/31	20,182	16,720
2.85% 4/1/30	8,603	7,721
3.5% 4/1/50	4,785	3,768
NXP BV/NXP Funding LLC/NXP U.S.A., Inc.:
2.65% 2/15/32	17,641	14,068
5% 1/15/33	8,500	8,043
Qualcomm, Inc.:
1.65% 5/20/32	14,000	10,873
3.45% 5/20/25	2,000	1,943
4.3% 5/20/47	8,023	6,941
4.8% 5/20/45	2,000	1,887
5.4% 5/20/33	18,000	18,640
Texas Instruments, Inc.:
1.9% 9/15/31	2,000	1,631
3.65% 8/16/32	2,000	1,825
4.15% 5/15/48	5,526	4,788
4.6% 2/15/28	10,000	9,951
5.05% 5/18/63	7,000	6,707
		354,336
Software - 0.6%
Fortinet, Inc. 2.2% 3/15/31	2,000	1,574
Microsoft Corp.:
2.525% 6/1/50	32,153	21,255
2.675% 6/1/60	5,334	3,431
2.7% 2/12/25	13,643	13,195
2.875% 2/6/24	9,260	9,163
2.921% 3/17/52	36,922	26,182
3.041% 3/17/62	3,278	2,269
3.45% 8/8/36	2,307	2,052
3.625% 12/15/23	20,772	20,768
4.2% 11/3/35	1,700	1,641
Oracle Corp.:
1.65% 3/25/26	9,109	8,301
2.5% 4/1/25	8,564	8,154
2.65% 7/15/26	7,149	6,640
2.875% 3/25/31	11,675	9,864
2.95% 5/15/25	3,972	3,804
2.95% 4/1/30	12,477	10,815
3.25% 11/15/27	13,584	12,590
3.4% 7/8/24	3,753	3,682
3.6% 4/1/40	13,600	10,292
3.6% 4/1/50	12,383	8,559
3.85% 7/15/36	8,047	6,656
3.85% 4/1/60	14,393	9,782
3.95% 3/25/51	10,575	7,729
4% 7/15/46	7,785	5,858
4% 11/15/47	13,899	10,368
4.125% 5/15/45	2,383	1,842
4.3% 7/8/34	3,078	2,760
4.9% 2/6/33	15,000	14,329
5.375% 7/15/40	19,029	17,737
6.125% 7/8/39	1,800	1,827
6.25% 11/9/32	18,950	19,834
6.9% 11/9/52	4,900	5,337
Roper Technologies, Inc.:
1% 9/15/25	7,443	6,817
1.4% 9/15/27	7,250	6,277
1.75% 2/15/31	7,250	5,691
2% 6/30/30	14,306	11,662
3.8% 12/15/26	6,752	6,445
Salesforce, Inc.:
1.95% 7/15/31	10,300	8,393
2.7% 7/15/41	12,000	8,569
VMware, Inc.:
1.4% 8/15/26	22,344	19,813
4.65% 5/15/27	2,000	1,944
4.7% 5/15/30	2,000	1,885
		365,786
Technology Hardware, Storage & Peripherals - 0.4%
Apple, Inc.:
0.55% 8/20/25	14,113	12,964
0.7% 2/8/26	10,933	9,897
1.125% 5/11/25	10,000	9,351
1.2% 2/8/28	10,000	8,643
1.25% 8/20/30	13,098	10,537
1.7% 8/5/31	7,886	6,417
2.375% 2/8/41	13,368	9,554
2.45% 8/4/26	16,363	15,311
2.55% 8/20/60	5,162	3,246
2.65% 5/11/50	4,157	2,769
2.85% 8/5/61	7,887	5,134
2.9% 9/12/27	11,161	10,446
2.95% 9/11/49	21,247	15,158
3% 11/13/27	7,944	7,459
3.2% 5/13/25	8,332	8,082
3.2% 5/11/27	13,008	12,358
3.35% 8/8/32	7,000	6,422
3.75% 9/12/47	4,833	4,032
3.75% 11/13/47	5,541	4,611
3.85% 5/4/43	10,327	8,956
4% 5/10/28	3,300	3,225
4.25% 2/9/47	1,986	1,812
4.3% 5/10/33	3,300	3,239
4.375% 5/13/45	3,725	3,429
4.5% 2/23/36	7,355	7,352
4.65% 2/23/46	14,788	14,165
Hewlett Packard Enterprise Co.:
1.45% 4/1/24	2,000	1,949
4.45% 10/2/23	2,000	1,998
4.9% 10/15/25 (c)	7,746	7,644
6.2% 10/15/35 (c)	6,390	6,622
6.35% 10/15/45 (c)	1,493	1,531
HP, Inc.:
2.2% 6/17/25	11,261	10,609
4.2% 4/15/32	6,450	5,759
5.5% 1/15/33	2,000	1,942
6% 9/15/41	3,192	3,143
		245,766
TOTAL INFORMATION TECHNOLOGY		1,169,311
MATERIALS - 0.7%
Chemicals - 0.4%
Air Products & Chemicals, Inc.:
1.5% 10/15/25	4,785	4,438
2.05% 5/15/30	5,220	4,406
2.7% 5/15/40	4,495	3,271
2.8% 5/15/50	5,346	3,646
Celanese U.S. Holdings LLC:
6.33% 7/15/29	2,000	1,988
6.35% 11/15/28	3,640	3,649
6.379% 7/15/32	7,400	7,323
6.7% 11/15/33	3,500	3,515
CF Industries Holdings, Inc. 4.95% 6/1/43	5,900	4,987
DuPont de Nemours, Inc.:
4.725% 11/15/28	13,619	13,437
5.319% 11/15/38	8,458	8,291
Eastman Chemical Co. 4.65% 10/15/44	2,383	1,939
Ecolab, Inc.:
1.3% 1/30/31	6,356	4,948
2.7% 11/1/26	5,243	4,910
2.75% 8/18/55	8,768	5,357
Linde, Inc.:
3.2% 1/30/26	5,036	4,848
3.55% 11/7/42	1,589	1,255
LYB International Finance BV 4.875% 3/15/44	4,647	3,936
LYB International Finance II BV 3.5% 3/2/27	19,438	18,330
LYB International Finance III LLC:
3.375% 10/1/40	7,366	5,294
3.625% 4/1/51	7,366	4,965
LyondellBasell Industries NV 4.625% 2/26/55	2,970	2,331
Nutrien Ltd.:
4% 12/15/26	9,055	8,645
4.2% 4/1/29	4,109	3,865
5% 4/1/49	7,152	6,224
5.25% 1/15/45	2,780	2,498
5.625% 12/1/40	1,430	1,357
Sherwin-Williams Co.:
2.95% 8/15/29	2,000	1,762
3.45% 6/1/27	17,609	16,597
3.8% 8/15/49	2,919	2,189
4.5% 6/1/47	6,776	5,777
The Dow Chemical Co.:
2.1% 11/15/30	6,863	5,595
3.6% 11/15/50	7,056	5,042
4.375% 11/15/42	3,872	3,194
4.8% 11/30/28	6,792	6,695
4.8% 5/15/49	6,112	5,209
9.4% 5/15/39	2,383	3,150
The Mosaic Co.:
4.05% 11/15/27	4,575	4,366
4.25% 11/15/23	8,649	8,620
5.625% 11/15/43	2,979	2,753
Westlake Corp.:
0.875% 8/15/24	4,300	4,096
3.125% 8/15/51	6,500	3,993
5% 8/15/46	1,589	1,335
		220,026
Construction Materials - 0.0%
Martin Marietta Materials, Inc. 3.5% 12/15/27	2,000	1,870
Containers & Packaging - 0.0%
International Paper Co.:
4.4% 8/15/47	6,908	5,598
5.15% 5/15/46	1,438	1,281
WRKCo, Inc.:
3% 6/15/33	2,000	1,621
3.375% 9/15/27	2,000	1,845
4.2% 6/1/32	4,833	4,401
		14,746
Metals & Mining - 0.3%
ArcelorMittal SA 6.8% 11/29/32	9,000	9,246
Barrick Gold Corp. 5.25% 4/1/42	3,575	3,368
Barrick North America Finance LLC 5.75% 5/1/43	2,000	2,000
Barrick PD Australia Finance Pty Ltd. 5.95% 10/15/39	2,000	2,029
BHP Billiton Financial (U.S.A.) Ltd.:
4.75% 2/28/28	7,460	7,395
4.9% 2/28/33	8,000	7,894
5% 9/30/43	3,783	3,656
Freeport-McMoRan, Inc. 4.625% 8/1/30	32,382	29,927
Newmont Corp.:
2.25% 10/1/30	14,340	11,653
2.8% 10/1/29	2,707	2,337
5.45% 6/9/44	5,093	4,837
Nucor Corp.:
2.7% 6/1/30	3,900	3,341
2.979% 12/15/55	3,177	1,937
6.4% 12/1/37	4,833	5,233
Rio Tinto Finance (U.S.A.) Ltd.:
5.2% 11/2/40	10,343	10,158
7.125% 7/15/28	1,589	1,736
Rio Tinto Finance (U.S.A.) PLC 5.125% 3/9/53	5,600	5,417
Southern Copper Corp.:
3.875% 4/23/25	2,915	2,809
5.25% 11/8/42	4,588	4,212
7.5% 7/27/35	4,833	5,470
Vale Overseas Ltd.:
3.75% 7/8/30	19,333	16,901
6.125% 6/12/33	2,150	2,129
6.25% 8/10/26	2,417	2,458
Vale SA 5.625% 9/11/42	5,243	4,932
		151,075
Paper & Forest Products - 0.0%
Suzano Austria GmbH:
2.5% 9/15/28	11,930	10,123
6% 1/15/29	9,570	9,464
		19,587
TOTAL MATERIALS		407,304
REAL ESTATE - 0.8%
Equity Real Estate Investment Trusts (REITs) - 0.7%
Alexandria Real Estate Equities, Inc.:
2% 5/18/32	7,371	5,588
3% 5/18/51	5,582	3,371
4.85% 4/15/49	9,154	7,469
American Homes 4 Rent LP 4.25% 2/15/28	7,636	7,224
American Tower Corp.:
1.3% 9/15/25	7,221	6,623
2.1% 6/15/30	12,189	9,725
3.1% 6/15/50	4,456	2,780
3.55% 7/15/27	6,792	6,298
3.7% 10/15/49	4,833	3,366
AvalonBay Communities, Inc.:
2.05% 1/15/32	2,000	1,603
2.3% 3/1/30	4,833	4,036
5% 2/15/33	3,800	3,765
Boston Properties, Inc.:
2.55% 4/1/32	1,100	824
2.75% 10/1/26	5,561	5,014
2.9% 3/15/30	1,400	1,139
3.125% 9/1/23	1,509	1,509
3.25% 1/30/31	15,176	12,354
3.4% 6/21/29	2,300	1,967
Camden Property Trust 4.1% 10/15/28	2,000	1,902
Corporate Office Properties LP 2.75% 4/15/31	4,000	3,083
Crown Castle International Corp.:
1.35% 7/15/25	21,460	19,809
2.25% 1/15/31	5,771	4,633
3.25% 1/15/51	5,220	3,388
5.1% 5/1/33	12,860	12,375
EPR Properties:
4.5% 6/1/27	2,000	1,801
4.95% 4/15/28	4,000	3,584
ERP Operating LP:
1.85% 8/1/31	14,500	11,345
3.25% 8/1/27	10,314	9,521
Healthpeak OP, LLC:
3% 1/15/30	9,937	8,599
3.4% 2/1/25	387	374
5.25% 12/15/32	3,000	2,900
Hudson Pacific Properties LP:
3.25% 1/15/30	2,000	1,355
4.65% 4/1/29	1,700	1,295
Invitation Homes Operating Partnership LP 4.15% 4/15/32	6,186	5,506
Kilroy Realty LP:
2.5% 11/15/32	2,100	1,479
2.65% 11/15/33	1,700	1,180
Kimco Realty Op LLC:
1.9% 3/1/28	8,216	6,958
3.8% 4/1/27	3,177	2,971
4.125% 12/1/46	7,944	5,829
4.45% 9/1/47	4,114	3,240
Kite Realty Group Trust 4% 3/15/25	1,400	1,345
LXP Industrial Trust (REIT) 2.375% 10/1/31	2,417	1,828
NNN (REIT), Inc. 3% 4/15/52	6,766	4,099
Office Properties Income Trust:
2.65% 6/15/26	1,600	1,197
3.45% 10/15/31	2,000	1,017
4.5% 2/1/25	2,000	1,788
Omega Healthcare Investors, Inc.:
3.375% 2/1/31	3,093	2,498
4.5% 1/15/25	6,362	6,204
4.5% 4/1/27	7,547	7,138
Prologis LP:
1.625% 3/15/31	11,425	8,881
1.75% 2/1/31	23,383	18,446
2.125% 4/15/27	9,502	8,557
3.25% 10/1/26	3,701	3,496
4.875% 6/15/28	2,700	2,672
5.25% 6/15/53	3,300	3,147
Realty Income Corp.:
3.95% 8/15/27	6,200	5,912
4.7% 12/15/28	4,500	4,367
4.85% 3/15/30	15,000	14,523
4.9% 7/15/33	6,450	6,125
5.05% 1/13/26	4,500	4,477
Simon Property Group LP:
2.2% 2/1/31	21,169	16,865
3.25% 9/13/49	9,260	6,050
3.375% 12/1/27	17,551	16,238
Spirit Realty LP 3.4% 1/15/30	2,000	1,718
UDR, Inc. 2.1% 6/15/33	12,929	9,495
Ventas Realty LP:
3.25% 10/15/26	2,780	2,571
3.5% 2/1/25	3,177	3,056
3.85% 4/1/27	7,547	7,070
4% 3/1/28	17,202	15,980
4.125% 1/15/26	1,152	1,108
4.375% 2/1/45	2,383	1,824
4.875% 4/15/49	2,262	1,850
VICI Properties LP:
4.375% 5/15/25	2,000	1,944
4.75% 2/15/28	11,117	10,572
5.125% 5/15/32	5,838	5,411
Vornado Realty LP 3.4% 6/1/31	2,000	1,476
Welltower OP LLC:
4.95% 9/1/48	7,944	6,915
6.5% 3/15/41	1,100	1,126
Weyerhaeuser Co. 4% 4/15/30	9,183	8,391
WP Carey, Inc. 2.45% 2/1/32	2,000	1,557
		426,716
Real Estate Management & Development - 0.1%
CBRE Group, Inc. 4.875% 3/1/26	4,528	4,430
Digital Realty Trust LP:
3.7% 8/15/27	8,356	7,785
4.45% 7/15/28	2,000	1,892
Essex Portfolio LP:
1.65% 1/15/31	2,000	1,510
1.7% 3/1/28	2,000	1,695
2.55% 6/15/31	2,000	1,601
3% 1/15/30	1,477	1,258
3.375% 4/15/26	2,000	1,899
4% 3/1/29	4,833	4,466
Mid-America Apartments LP:
1.1% 9/15/26	2,000	1,768
3.95% 3/15/29	5,510	5,173
Tanger Properties LP 3.875% 7/15/27	4,925	4,397
		37,874
TOTAL REAL ESTATE		464,590
UTILITIES - 2.3%
Electric Utilities - 1.7%
AEP Texas, Inc.:
3.8% 10/1/47	3,383	2,445
4.7% 5/15/32	4,000	3,789
AEP Transmission Co. LLC:
2.75% 8/15/51	5,703	3,531
4% 12/1/46	3,000	2,458
5.4% 3/15/53	3,440	3,414
Alabama Power Co.:
1.45% 9/15/30	14,500	11,381
3.7% 12/1/47	4,679	3,513
3.75% 3/1/45	795	607
4.15% 8/15/44	3,694	2,990
4.3% 7/15/48	4,671	3,841
5.2% 6/1/41	3,058	2,774
American Electric Power Co., Inc.:
3.25% 3/1/50	2,494	1,638
4.3% 12/1/28	13,893	13,237
Appalachian Power Co.:
4.45% 6/1/45	4,766	3,871
4.5% 3/1/49	7,259	5,870
Arizona Public Service Co.:
2.95% 9/15/27	5,861	5,386
5.55% 8/1/33	8,900	8,908
6.35% 12/15/32	4,000	4,212
Baltimore Gas & Electric Co.:
2.25% 6/15/31	2,000	1,637
2.9% 6/15/50	6,360	4,077
3.5% 8/15/46	1,986	1,454
5.4% 6/1/53	2,300	2,268
CenterPoint Energy Houston Electric LLC:
3.35% 4/1/51	9,077	6,505
3.55% 8/1/42	1,509	1,155
4.25% 2/1/49	2,068	1,728
4.95% 4/1/33	4,500	4,424
Cincinnati Gas & Electric Co. 4.3% 2/1/49	21,562	17,485
Cleco Corporate Holdings LLC 3.743% 5/1/26	4,496	4,222
Commonwealth Edison Co.:
3.1% 11/1/24	7,944	7,714
3.2% 11/15/49	13,533	9,261
3.65% 6/15/46	2,272	1,709
3.7% 3/1/45	2,462	1,897
3.75% 8/15/47	4,885	3,736
4% 3/1/48	5,426	4,370
4% 3/1/49	4,762	3,798
Connecticut Light & Power Co. 5.25% 1/15/53	4,200	4,102
Dayton Power & Light Co. 3.95% 6/15/49	1,400	1,060
DTE Electric Co.:
1.9% 4/1/28	7,800	6,842
3.95% 3/1/49	2,900	2,296
5.4% 4/1/53	4,690	4,664
Duke Energy Carolinas LLC:
2.85% 3/15/32	2,417	2,040
2.95% 12/1/26	4,766	4,485
3.2% 8/15/49	6,345	4,361
3.75% 6/1/45	1,589	1,205
3.875% 3/15/46	3,097	2,384
4% 9/30/42	2,979	2,416
4.95% 1/15/33	8,000	7,880
5.4% 1/15/54	4,800	4,706
6% 1/15/38	1,800	1,870
Duke Energy Corp.:
2.45% 6/1/30	5,220	4,342
2.65% 9/1/26	10,605	9,812
3.75% 4/15/24	4,766	4,706
3.75% 9/1/46	7,253	5,308
3.95% 10/15/23	1,941	1,936
4.2% 6/15/49	7,520	5,847
4.5% 8/15/32	1,000	931
4.8% 12/15/45	2,216	1,916
5% 8/15/52	1,600	1,402
Duke Energy Florida LLC 3.4% 10/1/46	1,986	1,428
Duke Energy Progress LLC:
3.4% 4/1/32	9,666	8,498
4.15% 12/1/44	1,430	1,167
4.375% 3/30/44	1,589	1,345
5.35% 3/15/53	7,000	6,789
Edison International:
4.125% 3/15/28	2,000	1,870
5.75% 6/15/27	2,000	2,004
Entergy Corp.:
0.9% 9/15/25	13,436	12,207
2.95% 9/1/26	3,734	3,469
3.75% 6/15/50	3,287	2,316
Entergy Louisiana LLC:
2.35% 6/15/32	18,700	14,878
3.12% 9/1/27	1,600	1,481
4.2% 9/1/48	2,526	2,025
Entergy, Inc.:
3.55% 9/30/49	3,211	2,272
4% 3/30/29	14,040	13,148
5.15% 1/15/33	3,100	3,072
5.3% 9/15/33	5,730	5,718
Eversource Energy:
2.55% 3/15/31	12,735	10,464
2.9% 10/1/24	6,792	6,590
3.35% 3/15/26	5,251	4,968
3.45% 1/15/50	3,548	2,495
Exelon Corp.:
3.95% 6/15/25	15,612	15,146
4.05% 4/15/30	2,000	1,848
5.1% 6/15/45	874	796
5.3% 3/15/33	12,280	12,124
FirstEnergy Corp.:
1.6% 1/15/26	9,970	9,053
2.25% 9/1/30	10,730	8,612
3.4% 3/1/50	2,900	1,919
4.15% 7/15/27	6,752	6,369
5.1% 7/15/47	3,732	3,248
Florida Power & Light Co.:
2.45% 2/3/32	2,000	1,658
3.125% 12/1/25	4,051	3,880
3.15% 10/1/49	5,556	3,878
3.25% 6/1/24	3,753	3,688
3.8% 12/15/42	8,900	7,269
4.05% 10/1/44	4,304	3,619
4.125% 6/1/48	9,771	8,152
5.1% 4/1/33	10,000	10,000
Georgia Power Co.:
3.25% 3/30/27	6,781	6,313
4.65% 5/16/28	4,830	4,710
4.7% 5/15/32	4,000	3,819
4.95% 5/17/33	10,160	9,831
Indiana Michigan Power Co. 3.25% 5/1/51	3,867	2,629
Interstate Power and Light Co.:
2.3% 6/1/30	11,051	9,064
3.25% 12/1/24	2,000	1,942
ITC Holdings Corp. 3.35% 11/15/27	2,000	1,857
MidAmerican Energy Co. 3.15% 4/15/50	7,100	4,800
Nevada Power Co. 3.125% 8/1/50	5,300	3,364
NextEra Energy Capital Holdings, Inc.:
1.875% 1/15/27	13,726	12,268
1.9% 6/15/28	9,666	8,303
2.44% 1/15/32	13,630	10,907
2.94% 3/21/24	2,000	1,966
4.9% 2/28/28	3,500	3,439
5% 7/15/32	8,800	8,503
5.05% 2/28/33	9,100	8,807
Northern States Power Co.:
2.6% 6/1/51	10,440	6,379
2.9% 3/1/50	9,483	6,239
3.4% 8/15/42	1,589	1,208
4.125% 5/15/44	3,575	2,948
NSTAR Electric Co.:
3.2% 5/15/27	6,076	5,691
4.95% 9/15/52	3,710	3,450
Oglethorpe Power Corp.:
4.5% 4/1/47	2,500	1,985
5.05% 10/1/48	2,000	1,724
Oncor Electric Delivery Co. LLC:
0.55% 10/1/25	25,429	23,136
3.1% 9/15/49	15,204	10,325
3.8% 9/30/47	7,733	6,043
Pacific Gas & Electric Co.:
3.15% 1/1/26	11,600	10,808
3.25% 6/1/31	4,833	3,918
3.45% 7/1/25	4,833	4,588
3.5% 6/15/25	9,666	9,207
4.2% 3/1/29	1,000	899
4.2% 6/1/41	24,166	17,485
4.55% 7/1/30	30,062	27,034
4.75% 2/15/44	967	739
5.45% 6/15/27	1,100	1,075
6.7% 4/1/53	6,910	6,718
6.75% 1/15/53	6,600	6,415
PacifiCorp:
3.6% 4/1/24	3,177	3,136
4.125% 1/15/49	10,692	7,817
4.15% 2/15/50	2,900	2,127
6% 1/15/39	4,919	4,886
PG&E Wildfire Recovery:
5.081% 6/1/43	1,000	952
5.099% 6/1/54	5,100	4,922
5.212% 12/1/49	11,120	10,710
Potomac Electric Power Co. 6.5% 11/15/37	3,024	3,299
PPL Capital Funding, Inc. 3.1% 5/15/26	6,356	5,999
PPL Electric Utilities Corp.:
3% 10/1/49	10,557	7,150
4.15% 10/1/45	2,780	2,300
Progress Energy, Inc. 6% 12/1/39	4,131	4,151
Public Service Co. of Colorado:
2.9% 5/15/25	8,737	8,347
3.8% 6/15/47	3,678	2,765
4.1% 6/1/32	2,000	1,838
4.1% 6/15/48	2,000	1,563
6.25% 9/1/37	2,000	2,080
Public Service Electric & Gas Co.:
2.45% 1/15/30	8,071	6,911
3.15% 1/1/50	9,135	6,408
3.65% 9/1/42	2,244	1,768
4% 6/1/44	3,972	3,115
5.2% 8/1/33	3,300	3,331
Puget Sound Energy, Inc. 4.3% 5/20/45	5,092	4,143
Southern California Edison Co.:
2.25% 6/1/30	7,198	5,979
2.95% 2/1/51	15,950	10,129
3.7% 8/1/25	2,000	1,933
4% 4/1/47	7,944	6,156
4.125% 3/1/48	5,606	4,418
4.875% 3/1/49	8,000	6,945
5.7% 3/1/53	3,300	3,199
5.85% 11/1/27	9,900	10,134
Southern Co.:
3.25% 7/1/26	10,737	10,158
3.7% 4/30/30	10,000	9,050
4.4% 7/1/46	5,814	4,788
5.15% 10/6/25	8,000	7,958
Southwestern Electric Power Co.:
1.65% 3/15/26	10,000	9,096
5.3% 4/1/33	5,310	5,198
Tampa Electric Co.:
4.45% 6/15/49	9,306	7,657
6.15% 5/15/37	4,972	4,947
Union Electric Co.:
3.9% 9/15/42	2,940	2,308
5.45% 3/15/53	7,400	7,273
Virginia Electric & Power Co.:
3.1% 5/15/25	3,177	3,047
3.3% 12/1/49	5,800	4,019
3.45% 2/15/24	2,185	2,161
3.8% 4/1/28	11,844	11,203
3.8% 9/15/47	6,522	4,894
4.2% 5/15/45	8,383	6,734
4.45% 2/15/44	2,185	1,848
4.6% 12/1/48	5,624	4,826
6% 5/15/37	1,589	1,631
Wisconsin Electric Power Co. 4.25% 6/1/44	3,734	2,940
Xcel Energy, Inc.:
3.35% 12/1/26	2,383	2,232
4% 6/15/28	1,900	1,800
4.6% 6/1/32	11,300	10,552
		992,746
Gas Utilities - 0.1%
Atmos Energy Corp.:
1.5% 1/15/31	2,000	1,560
5.45% 10/15/32	13,820	14,139
CenterPoint Energy Resources Corp.:
4% 4/1/28	7,400	7,038
4.4% 7/1/32	2,000	1,867
5.25% 3/1/28	2,400	2,394
Dominion Gas Holdings LLC 2.5% 11/15/24	8,816	8,481
Piedmont Natural Gas Co., Inc. 3.5% 6/1/29	10,000	9,067
Southern California Gas Co.:
2.6% 6/15/26	10,509	9,803
6.35% 11/15/52	4,200	4,505
Southern Co. Gas Capital Corp. 3.95% 10/1/46	10,740	7,993
Southwest Gas Corp. 5.45% 3/23/28	6,606	6,587
Washington Gas Light Co. 3.796% 9/15/46	2,400	1,763
		75,197
Independent Power and Renewable Electricity Producers - 0.0%
Constellation Energy Generation, LLC:
3.25% 6/1/25	15,566	14,899
6.25% 10/1/39	2,000	2,025
Emera U.S. Finance LP:
3.55% 6/15/26	2,100	1,987
4.75% 6/15/46	4,138	3,239
		22,150
Multi-Utilities - 0.4%
Ameren Corp. 1.95% 3/15/27	8,995	8,086
Ameren Illinois Co.:
3.8% 5/15/28	1,500	1,429
4.5% 3/15/49	5,993	5,264
4.95% 6/1/33	4,600	4,505
Berkshire Hathaway Energy Co.:
3.25% 4/15/28	7,944	7,307
3.7% 7/15/30	7,954	7,246
3.8% 7/15/48	7,944	5,865
4.25% 10/15/50	6,859	5,356
4.5% 2/1/45	5,282	4,434
5.15% 11/15/43	6,144	5,648
CenterPoint Energy, Inc. 3.7% 9/1/49	4,833	3,446
CMS Energy Corp. 4.875% 3/1/44	3,972	3,530
Consolidated Edison Co. of New York, Inc.:
3.875% 6/15/47	2,272	1,739
4.45% 3/15/44	6,356	5,415
4.5% 5/15/58	7,530	6,134
4.65% 12/1/48	8,317	7,152
5.2% 3/1/33	30,000	29,957
5.5% 12/1/39	1,986	1,915
Consumers Energy Co.:
2.65% 8/15/52	5,707	3,540
3.5% 8/1/51	2,900	2,138
Delmarva Power & Light Co. 4% 6/1/42	3,177	2,457
Dominion Energy, Inc.:
3.375% 4/1/30	20,308	17,907
3.9% 10/1/25	10,247	9,905
4.35% 8/15/32	2,000	1,849
4.9% 8/1/41	1,589	1,394
DTE Energy Co.:
2.85% 10/1/26	4,766	4,412
3.8% 3/15/27	10,732	10,091
4.22% 11/1/24	6,090	5,973
NiSource, Inc.:
0.95% 8/15/25	10,826	9,924
1.7% 2/15/31	12,856	9,930
3.49% 5/15/27	6,076	5,699
3.95% 3/30/48	7,944	6,077
4.375% 5/15/47	3,797	3,114
4.8% 2/15/44	4,369	3,816
Public Service Enterprise Group, Inc. 2.45% 11/15/31	5,100	4,102
Puget Energy, Inc.:
3.65% 5/15/25	6,411	6,154
4.1% 6/15/30	11,406	10,202
San Diego Gas & Electric Co.:
4.5% 8/15/40	795	705
5.35% 4/1/53	1,300	1,259
Sempra:
3.25% 6/15/27	4,846	4,479
3.8% 2/1/38	6,737	5,485
4% 2/1/48	17,508	13,398
6% 10/15/39	795	795
WEC Energy Group, Inc. CME Term SOFR 3 Month Index + 2.110% 7.7387% 5/15/67 (c)(d)	3,359	2,939
		262,172
Water Utilities - 0.1%
American Water Capital Corp.:
2.8% 5/1/30	2,000	1,732
2.95% 9/1/27	4,833	4,450
3.45% 6/1/29	4,833	4,432
4.45% 6/1/32	12,000	11,388
6.593% 10/15/37	5,173	5,745
		27,747
TOTAL UTILITIES		1,380,012
TOTAL NONCONVERTIBLE BONDS (Cost $17,516,030)		15,514,771

U.S. Government and Government Agency Obligations - 43.2%
	Principal Amount (a) (000s)	Value ($) (000s)
U.S. Government Agency Obligations - 0.8%
Fannie Mae:
0.375% 8/25/25	28,421	25,984
0.5% 6/17/25	31,957	29,528
0.625% 4/22/25	33,907	31,583
0.75% 10/8/27	16,844	14,572
0.875% 8/5/30	40,385	32,033
1.625% 10/15/24	17,834	17,139
1.75% 7/2/24	22,928	22,228
1.875% 9/24/26	10,605	9,801
2.125% 4/24/26	3,177	2,979
2.625% 9/6/24	3,177	3,091
6.625% 11/15/30	9,666	11,003
Federal Home Loan Bank:
0.375% 9/4/25	7,170	6,561
0.5% 4/14/25	44,410	41,346
1.5% 8/15/24	3,935	3,793
2.5% 2/13/24	3,955	3,902
3.25% 11/16/28	19,830	18,877
5.5% 7/15/36	13,190	14,509
Freddie Mac:
0.25% 12/4/23	42,351	41,737
0.375% 7/21/25	20,972	19,267
0.375% 9/23/25	23,695	21,620
6.25% 7/15/32	6,116	6,995
6.75% 3/15/31	20,653	23,793
Tennessee Valley Authority:
0.75% 5/15/25	27,394	25,440
4.25% 9/15/65	5,896	5,102
5.25% 9/15/39	15,887	16,331
5.375% 4/1/56	4,286	4,537
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS		453,751
U.S. Treasury Obligations - 42.4%
U.S. Treasury Bonds:
1.125% 5/15/40	286,912	177,695
1.125% 8/15/40	46,741	28,697
1.25% 5/15/50	23,148	12,100
1.375% 11/15/40	168,518	107,581
1.375% 8/15/50	65,948	35,645
1.625% 11/15/50	165,229	95,575
1.75% 8/15/41	185,755	124,812
1.875% 2/15/41	60,554	42,024
1.875% 2/15/51	176,269	108,743
1.875% 11/15/51	107,574	66,099
2% 11/15/41	67,944	47,542
2% 2/15/50	17,590	11,264
2% 8/15/51	360,300	228,748
2.25% 5/15/41	172,934	127,424
2.25% 8/15/46	50,830	35,013
2.25% 8/15/49	15,290	10,401
2.25% 2/15/52	109,990	74,200
2.375% 2/15/42	48,988	36,420
2.375% 11/15/49	8,121	5,679
2.375% 5/15/51	217,870	151,428
2.5% 2/15/45	80,939	59,436
2.5% 2/15/46	111,548	81,099
2.5% 5/15/46	85,361	61,983
2.75% 11/15/42	1,066	836
2.75% 8/15/47	53,639	40,655
2.75% 11/15/47	27,659	20,943
2.875% 5/15/43	89,344	71,165
2.875% 8/15/45	92,594	72,451
2.875% 11/15/46	18,649	14,506
2.875% 5/15/52	167,800	130,261
3% 11/15/44	51,813	41,679
3% 5/15/45	119,853	96,042
3% 11/15/45	16,313	13,033
3% 2/15/47	10,813	8,596
3% 5/15/47	37,396	29,719
3% 2/15/48	36,450	28,934
3% 8/15/52	402,000	320,359
3.125% 2/15/43	23,007	19,110
3.125% 8/15/44	72,478	59,636
3.125% 5/15/48	10,277	8,347
3.25% 5/15/42	271,300	231,675
3.375% 8/15/42	273,700	237,510
3.375% 5/15/44	147,527	126,504
3.375% 11/15/48	4,631	3,936
3.625% 8/15/43	65,327	58,389
3.625% 2/15/44	41,523	37,040
3.625% 2/15/53	117,000	105,410
3.625% 5/15/53	145,500	131,223
3.75% 11/15/43	35,570	32,356
3.875% 8/15/40	17,791	16,888
3.875% 2/15/43	72,000	66,994
3.875% 5/15/43	125,100	116,318
4% 11/15/42	327,200	310,444
4% 11/15/52	340,100	328,157
4.125% 8/15/53	81,900	80,799
4.25% 5/15/39	6,384	6,402
4.25% 11/15/40	644	642
4.375% 2/15/38	20,955	21,453
4.375% 11/15/39	80	81
4.375% 5/15/40	6,355	6,432
4.375% 5/15/41	6,610	6,661
4.375% 8/15/43	61,000	60,838
4.5% 2/15/36	20,270	21,181
4.5% 5/15/38	5,410	5,601
4.5% 8/15/39	4,450	4,586
4.625% 2/15/40	8,282	8,650
4.75% 2/15/41	4,765	5,034
5.375% 2/15/31	42,474	45,754
6.25% 5/15/30	48,578	54,298
U.S. Treasury Notes:
0.25% 3/15/24	100	97
0.25% 5/31/25	51,361	47,329
0.25% 6/30/25 (e)	291,695	268,063
0.25% 7/31/25	236,802	216,924
0.25% 9/30/25	174,616	159,092
0.25% 10/31/25	181,873	165,114
0.375% 11/30/25	352,530	319,976
0.375% 12/31/25	242,294	219,541
0.375% 1/31/26	13	11
0.375% 7/31/27	251,927	215,929
0.375% 9/30/27	49,874	42,514
0.5% 11/30/23	15	15
0.5% 3/31/25	430,431	400,940
0.5% 2/28/26	136,549	123,289
0.5% 10/31/27	354,566	302,947
0.625% 10/15/24	176,807	167,891
0.625% 7/31/26	184,631	165,107
0.625% 11/30/27	37,166	31,850
0.625% 12/31/27	42,643	36,455
0.625% 5/15/30	387,412	307,342
0.625% 8/15/30	30,689	24,181
0.75% 12/31/23	71	70
0.75% 5/31/26	102,419	92,369
0.75% 8/31/26	301,288	269,735
0.875% 1/31/24	58,272	57,198
0.875% 6/30/26	74,538	67,379
0.875% 9/30/26	318,314	285,649
1% 12/15/24	90,927	86,200
1.125% 10/31/26	125,566	113,196
1.125% 2/28/27	163,063	145,789
1.125% 2/29/28	262,029	228,119
1.125% 8/31/28	64,238	55,212
1.25% 8/31/24	73,115	70,182
1.25% 11/30/26	60,243	54,409
1.25% 12/31/26	307,004	276,879
1.25% 5/31/28	78,201	68,074
1.25% 6/30/28	372,283	323,450
1.25% 8/15/31	366,124	295,645
1.375% 1/31/25	239,575	227,344
1.375% 8/31/26	46,589	42,505
1.375% 12/31/28	106,427	91,930
1.5% 9/30/24	66,647	63,991
1.5% 10/31/24	220,791	211,467
1.5% 11/30/24	94,437	90,205
1.5% 2/15/25	226,659	215,202
1.5% 8/15/26	104,698	95,967
1.5% 1/31/27	506,645	459,563
1.5% 11/30/28	41,895	36,493
1.5% 2/15/30	723,990	614,175
1.625% 2/15/26	0	0
1.625% 5/15/26	4,456	4,121
1.625% 11/30/26	45,785	41,861
1.625% 8/15/29	41,698	36,111
1.625% 5/15/31	30,670	25,690
1.75% 6/30/24	53,508	51,936
1.75% 7/31/24	100,586	97,301
1.75% 12/31/24	337,175	322,344
1.75% 3/15/25	8,800	8,368
1.75% 1/31/29	110,873	97,491
1.875% 6/30/26	21,678	20,161
1.875% 2/28/27	166,929	153,137
2% 4/30/24	46,461	45,436
2% 6/30/24	77,711	75,577
2% 2/15/25	2,888	2,762
2% 8/15/25	28,708	27,176
2% 11/15/26	37,465	34,684
2.125% 7/31/24	9,917	9,627
2.125% 9/30/24	71,372	68,969
2.125% 11/30/24	43,800	42,159
2.125% 5/15/25	46,354	44,190
2.25% 1/31/24	60,386	59,603
2.25% 10/31/24	106,387	102,771
2.25% 11/15/24	68,258	65,867
2.25% 12/31/24	32,384	31,166
2.25% 11/15/25	84,400	79,959
2.25% 2/15/27	34,601	32,175
2.25% 8/15/27	337,064	311,218
2.25% 11/15/27	240,949	221,569
2.375% 8/15/24	12,786	12,424
2.375% 5/15/29	20,544	18,608
2.5% 5/15/24	7,963	7,800
2.5% 1/31/25	27,780	26,780
2.5% 2/28/26	72,343	68,683
2.5% 3/31/27	5,000	4,685
2.625% 3/31/25	12,741	12,271
2.625% 12/31/25	106,891	101,976
2.625% 5/31/27	39,800	37,359
2.625% 2/15/29	56,726	52,223
2.625% 7/31/29	603,100	552,355
2.75% 2/28/25	16,729	16,165
2.75% 5/15/25	39,400	37,964
2.75% 6/30/25	16,411	15,788
2.75% 4/30/27	243,000	229,360
2.75% 7/31/27	362,200	340,963
2.75% 2/15/28	102,640	96,161
2.75% 5/31/29	32,300	29,837
2.75% 8/15/32	1,227,886	1,102,172
2.875% 4/30/25	53,661	51,831
2.875% 5/31/25	95,918	92,545
2.875% 6/15/25	44,500	42,923
2.875% 5/15/28	139,625	131,220
2.875% 8/15/28	150,635	141,232
2.875% 4/30/29	33,500	31,180
2.875% 5/15/32	42,500	38,624
3% 6/30/24	70,800	69,420
3% 7/15/25	461,100	445,358
3% 10/31/25	22,858	22,019
3.125% 8/15/25	250,700	242,542
3.125% 8/31/27	155,400	148,286
3.125% 11/15/28	19,870	18,814
3.125% 8/31/29	59,600	56,096
3.25% 8/31/24	42,800	41,916
3.25% 6/30/27	72,000	69,120
3.25% 6/30/29	36,500	34,615
3.375% 5/15/33	221,600	208,754
3.5% 9/15/25	178,800	174,148
3.5% 1/31/28	414,100	400,431
3.5% 4/30/28	312,800	302,327
3.5% 1/31/30	125,900	120,771
3.5% 2/15/33	341,600	325,321
3.625% 3/31/28	253,100	246,041
3.625% 5/31/28	199,900	194,418
3.625% 3/31/30	119,300	115,236
3.75% 4/15/26	177,400	173,568
3.75% 5/31/30	251,800	245,003
3.75% 6/30/30	41,700	40,573
3.875% 1/15/26	187,800	184,249
3.875% 11/30/27	166,800	163,738
3.875% 12/31/27	234,000	229,668
3.875% 9/30/29	73,200	71,733
3.875% 11/30/29	51,600	50,566
3.875% 12/31/29	36,600	35,864
3.875% 8/15/33	62,000	60,896
4% 12/15/25	333,700	328,303
4% 2/15/26	20,800	20,472
4% 2/29/28	111,400	110,029
4% 6/30/28	54,700	54,046
4% 10/31/29	138,800	136,940
4% 2/28/30	46,600	46,007
4% 7/31/30	35,300	34,881
4.125% 1/31/25	107,400	105,902
4.125% 6/15/26	66,900	66,126
4.125% 9/30/27	282,400	279,786
4.125% 10/31/27	396,200	392,501
4.125% 7/31/28 (e)	201,900	200,717
4.125% 8/31/30	71,700	71,398
4.25% 12/31/24	3,000	2,963
4.25% 5/31/25	197,600	195,184
4.25% 10/15/25	224,000	221,489
4.375% 8/31/28	155,800	156,762
4.5% 11/30/24	7,100	7,036
4.5% 11/15/25	200,500	199,278
4.625% 2/28/25	157,300	156,212
4.75% 7/31/25	74,800	74,598
TOTAL U.S. TREASURY OBLIGATIONS		25,448,819
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $28,522,957)		25,902,570

U.S. Government Agency - Mortgage Securities - 26.9%
	Principal Amount (a) (000s)	Value ($) (000s)
Fannie Mae - 11.3%
12 month U.S. LIBOR + 1.510% 4.286% 11/1/34 (c)(d)	1,424	1,435
12 month U.S. LIBOR + 1.640% 4.533% 4/1/41 (c)(d)	347	349
12 month U.S. LIBOR + 1.880% 4.478% 11/1/34 (c)(d)	110	112
1.5% 8/1/31 to 4/1/52	456,045	366,875
2% 10/1/26 to 2/1/52	2,317,651	1,896,502
2.5% 7/1/26 to 7/1/52 (f)	1,513,068	1,279,907
3% 3/1/26 to 10/1/52	1,190,202	1,052,272
3.5% 6/1/25 to 4/1/53	772,734	704,042
4% 5/1/24 to 5/1/53	693,003	647,564
4% 11/1/41	6	6
4.5% to 4.5% 9/1/23 to 3/1/53	283,558	271,700
5% 11/1/23 to 4/1/53	308,544	300,780
5.5% 12/1/23 to 8/1/53	116,707	116,069
6% to 6% 11/1/32 to 8/1/53	109,769	110,367
6.5% 7/1/24 to 7/1/53	31,845	32,421
TOTAL FANNIE MAE		6,780,401
Freddie Mac - 8.9%
12 month U.S. LIBOR + 1.940% 5.879% 9/1/37 (c)(d)	125	127
U.S. TREASURY 1 YEAR INDEX + 1.710% 3.941% 3/1/36 (c)(d)	1,094	1,091
U.S. TREASURY 1 YEAR INDEX + 2.230% 4.479% 12/1/35 (c)(d)	463	469
U.S. TREASURY 1 YEAR INDEX + 2.250% 4.457% 3/1/35 (c)(d)	232	234
1.5% 7/1/35 to 4/1/52	510,753	409,550
2% 5/1/33 to 4/1/52	1,863,699	1,510,414
2% 9/1/35	7,255	6,396
2% 10/1/35	47,255	41,657
2.5% 2/1/27 to 6/1/52	1,551,776	1,302,726
3% 10/1/26 to 3/1/53	594,034	522,314
3% 8/1/47	156	137
3.5% 9/1/25 to 3/1/53	465,098	422,721
3.5% 8/1/47	151	137
3.5% 9/1/47	98	89
3.5% 9/1/47	6,866	6,273
3.5% 10/1/48	289	262
4% 9/1/24 to 3/1/53	278,837	261,568
4.5% 6/1/25 to 4/1/53 (f)	293,634	280,268
5% 10/1/26 to 4/1/53	193,786	188,618
5.5% 4/1/27 to 8/1/53 (f)	279,674	276,667
6% 4/1/32 to 8/1/53	89,351	89,683
6.5% 8/1/36 to 8/1/53	36,451	37,020
TOTAL FREDDIE MAC		5,358,421
Freddie Mac Multi-family Structured pass-thru certificates - 0.0%
2.5% 12/1/31	38	35
2.5% 12/1/31	3	3
2.5% 1/1/32	27	25
2.5% 2/1/32	50	46
TOTAL FREDDIE MAC MULTI-FAMILY STRUCTURED PASS-THRU CERTIFICATES		109
Ginnie Mae - 5.9%
3.5% 10/15/40 to 11/20/52	493,618	453,557
4% 1/15/25 to 2/20/53	328,682	308,969
5% 1/20/39 to 7/20/53	206,359	201,523
1.5% 10/20/43 to 3/20/52	10,988	8,635
2% 10/20/50 to 8/20/52	800,501	661,890
2% 9/1/53 (g)	9,150	7,549
2% 9/1/53 (g)	12,200	10,065
2% 9/1/53 (g)	2,150	1,774
2% 9/1/53 (g)	10,950	9,034
2% 9/1/53 (g)	17,450	14,396
2% 9/1/53 (g)	15,900	13,118
2% 10/1/53 (g)	2,400	1,982
2% 10/1/53 (g)	29,150	24,074
2.5% 10/20/42 to 6/20/52	845,312	722,036
2.5% 9/1/53 (g)	11,500	9,788
2.5% 9/1/53 (g)	11,500	9,788
2.5% 9/1/53 (g)	11,900	10,129
2.5% 9/1/53 (g)	9,250	7,873
2.5% 9/1/53 (g)	6,350	5,405
2.5% 10/1/53 (g)	5,550	4,729
3% 4/15/42 to 7/20/52	650,389	576,878
3.5% 9/1/53 (g)	3,200	2,905
3.5% 9/1/53 (g)	950	863
3.5% 9/1/53 (g)	2,550	2,315
3.5% 9/1/53 (g)	1,900	1,725
3.5% 9/1/53 (g)	2,000	1,816
3.5% 9/1/53 (g)	2,000	1,816
3.5% 10/1/53 (g)	1,650	1,498
4.5% to 4.5% 3/20/33 to 7/20/53	253,550	243,093
5.5% 10/20/32 to 6/20/53	116,772	115,827
6% to 6% 5/20/34 to 12/20/52	54,410	54,648
6.5% 8/20/36 to 7/20/53	34,365	34,843
TOTAL GINNIE MAE		3,524,541
Uniform Mortgage Backed Securities - 0.8%
2% 9/1/53 (g)	57,400	45,694
2% 9/1/53 (g)	38,600	30,728
2% 9/1/53 (g)	95,800	76,263
2% 9/1/53 (g)	9,250	7,364
2% 9/1/53 (g)	47,850	38,092
2% 9/1/53 (g)	33,750	26,867
2% 9/1/53 (g)	27,600	21,971
2% 9/1/53 (g)	14,650	11,662
2% 9/1/53 (g)	10,450	8,319
2% 9/1/53 (g)	39,200	31,206
2% 10/1/53 (g)	83,500	66,566
2% 10/1/53 (g)	33,400	26,626
2% 10/1/53 (g)	33,400	26,626
2% 10/1/53 (g)	50,100	39,940
2.5% 9/1/53 (g)	9,000	7,459
2.5% 9/1/53 (g)	8,800	7,293
4.5% 9/1/53 (g)	21,300	20,198
TOTAL UNIFORM MORTGAGE BACKED SECURITIES		492,874
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $18,513,223)		16,156,346

Asset-Backed Securities - 0.3%
	Principal Amount (a) (000s)	Value ($) (000s)
Capital One Multi-Asset Execution Trust:
Series 2019-A3 Class A3, 2.06% 8/15/28	8,197	7,525
1.39% 7/15/30	13,710	11,611
Capital One Prime Auto Receivables Series 2023-1 Class A3, 4.87% 2/15/28	5,000	4,952
CarMax Auto Owner Trust:
Series 2021-1 Class A3, 0.34% 12/15/25	11,646	11,352
Series 2022-3 Class A2A, 3.97% 4/15/27	25,810	25,207
Carmax Auto Owner Trust Series 2023 2 Class A3, 5.05% 1/18/28	20,000	19,856
Citibank Credit Card Issuance Trust:
Series 2007-A3 Class A3, 6.15% 6/15/39	4,935	5,312
Series 2013-A9 Class A9, 3.72% 9/8/25	3,713	3,711
Series 2018-A7 Class A7, 3.96% 10/13/30	12,808	12,246
Discover Card Execution Note Trust Series 2017-A4 Class A4, 2.53% 10/15/26	1,544	1,513
Ford Credit Auto Owner Trust Series 2023-A Class A3, 4.65% 2/15/28	13,597	13,393
GM Financial Consumer Automobile Re Series 2023 2 Class A3, 4.47% 2/16/28	20,000	19,662
GM Financial Consumer Automobile Receivables Trust Series 2021-1 Class A3, 0.35% 10/16/25	7,485	7,307
Hyundai Auto Receivables Trust:
Series 2022-C Class A3, 5.39% 6/15/27	11,952	11,930
Series 2023 A Class A3, 4.58% 4/15/27	20,000	19,746
3.72% 11/16/26	17,422	16,995
TOTAL ASSET-BACKED SECURITIES (Cost $199,230)		192,318

Commercial Mortgage Securities - 1.7%
	Principal Amount (a) (000s)	Value ($) (000s)
BANK sequential payer:
Series 2017-BNK4 Class ASB, 3.419% 5/15/50	13,316	12,720
Series 2020-BN25 Class A5, 2.649% 1/15/63	13,398	11,285
Series 2020-BN28 Class A4, 1.844% 3/15/63	33,272	26,264
Series 2021-BN35 Class A5, 2.285% 6/15/64	16,433	13,095
Series 2022-BNK39 Class A4, 2.928% 2/15/55	6,000	4,983
Series 2022-BNK41 Class A4, 3.7901% 4/15/65 (c)	27,916	24,770
Series 2023-BNK45 Class A5, 5.203% 2/15/56 (c)	5,000	4,899
BBCMS Mortgage Trust sequential payer:
Series 2021-C11 Class A5, 2.322% 9/15/54	20,928	16,722
Series 2021-C9 Class A5, 2.299% 2/15/54	7,000	5,653
Benchmark 2023-B39 C Mtg Trust sequential payer Series 2023-B39 Class A5, 5.7536% 7/15/56	3,500	3,573
Benchmark Mortgage Trust:
sequential payer:
Series 2020-B19 Class A5, 1.85% 9/15/53	13,581	10,366
Series 2021-B24 Class A5, 2.5843% 3/15/54	20,299	16,083
Series 2019-B12 Class A5, 3.1156% 8/15/52	21,039	18,335
Series 2019-B9 Class A5, 4.0156% 3/15/52	18,628	16,874
BMO Mortgage Trust sequential payer Series 2022-C1 Class A5, 3.374% 2/15/55	9,440	8,106
Citigroup Commercial Mortgage Trust sequential payer:
Series 2014-GC25 Class A4, 3.635% 10/10/47	23,932	23,126
Series 2015-GC29 Class A4, 3.192% 4/10/48	9,038	8,596
Series 2015-P1 Class A5, 3.717% 9/15/48	4,659	4,448
Series 2016-C1 Class A4, 3.209% 5/10/49	14,743	13,747
Series 2016-P4 Class A4, 2.902% 7/10/49	17,079	15,658
COMM Mortgage Trust Series 2015-CR22 Class A5, 3.309% 3/10/48	15,430	14,737
CSAIL Commercial Mortgage Trust sequential payer:
Series 2015-C3 Class A4, 3.7182% 8/15/48	9,981	9,514
Series 2019-C17:
Class A4, 2.7628% 9/15/52	14,978	12,665
Class A5, 3.0161% 9/15/52	14,978	12,887
Freddie Mac:
sequential payer:
Series 2016-K057 Class A2, 2.57% 7/25/26	12,674	11,869
Series 2020-K104 Class A2, 2.253% 1/25/30	59,506	51,381
Series 2020-K116 Class A2, 1.378% 7/25/30	50,584	40,534
Series 2020-K117 Class A2, 1.406% 8/25/30	25,809	20,658
Series 2020-K118 Class A2, 1.493% 9/25/30	12,257	9,853
Series 2020-K121 Class A2, 1.547% 10/25/30	17,206	13,834
Series 2021-K125 Class A2, 1.846% 1/25/31	6,670	5,452
Series 2021-K126 Class A2, 2.074% 1/25/31	9,492	7,891
Series 2021-K130 Class A2, 1.723% 6/25/31	8,168	6,558
Series 2021-K136 Class A2, 2.127% 11/25/31	22,339	18,304
Series 2022-151 Class A2:
3.78% 11/25/32	30,500	28,165
3.8% 10/25/32	4,000	3,703
Series 2022-K145 Class A2, 2.58% 5/25/32	6,900	5,810
Series 2023-154 Class A2, 4.35% 1/25/33	15,000	14,477
Series 2023-157 Class A2, 4.2% 5/25/33	10,300	9,823
Series 2023-K-153 Class A2, 3.82% 12/25/32	15,000	13,891
Series 2023-K751 Class A2, 4.412% 3/25/30	12,675	12,364
Series K080 Class A2, 3.926% 7/25/28	13,178	12,668
Series 2017-K064 Class A2, 3.224% 3/25/27	13,702	12,940
Series 2017-K068 Class A2, 3.244% 8/25/27	18,911	17,771
Series 2017-K727 Class A2, 2.946% 7/25/24	18,041	17,647
Series 2018-K730 Class A2, 3.59% 1/25/25	29,360	28,612
Series 2019-K094 Class A2, 2.903% 6/25/29	40,856	37,035
Series 2019-K1510 Class A2, 3.718% 1/25/31	11,797	10,952
Series 2021-K123 Class A2, 1.621% 12/25/30	22,648	18,259
Series K036 Class A2, 3.527% 10/25/23	3,312	3,298
Series K046 Class A2, 3.205% 3/25/25	26,452	25,566
Series K047 Class A2, 3.329% 5/25/25	3,066	2,965
Series K053 Class A2, 2.995% 12/25/25	5,649	5,387
Series K056 Class A2, 2.525% 5/25/26	16,483	15,444
Series K062 Class A1, 3.032% 9/25/26	6,352	6,148
Series K079 Class A2, 3.926% 6/25/28	6,181	5,941
GS Mortgage Securities Trust sequential payer:
Series 2014-GC26 Class A4, 3.364% 11/10/47	11,402	11,057
Series 2020-GC45 Class A5, 2.9106% 2/13/53	36,094	31,044
JPMBB Commercial Mortgage Securities Trust sequential payer:
Series 2014-C21 Class A5, 3.7748% 8/15/47	26,809	26,185
Series 2014-C23 Class A5, 3.9342% 9/15/47	7,586	7,368
Series 2014-C24 Class A5, 3.6385% 11/15/47	20,704	19,916
Series 2015-C29 Class A4, 3.6108% 5/15/48	7,149	6,779
Morgan Stanley BAML Trust Series 2015-C20 Class A4, 3.249% 2/15/48	11,696	11,211
Morgan Stanley Capital I Trust sequential payer Series 2020-L4 Class A3, 2.698% 2/15/53	14,132	11,845
Wells Fargo Commercial Mortgage Trust:
sequential payer:
Series 2019-C52 Class A5, 2.892% 8/15/52	25,720	22,115
Series 2019-C54 Class A4, 3.146% 12/15/52	1,837	1,593
Series 2018-C48 Class A5, 4.302% 1/15/52	15,529	14,554
Wells Fargo Commercial Mtg Trust 2020-C sequential payer Series 2020-C55 Class A5, 2.725% 2/15/53	12,719	10,752
WF-RBS Commercial Mortgage Trust Series 2014-C25 Class A5, 3.631% 11/15/47	11,478	11,054
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $1,123,411)		989,779

Municipal Securities - 0.4%
	Principal Amount (a) (000s)	Value ($) (000s)
American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50	7,725	10,263
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev.:
Series 2009 F2, 6.263% 4/1/49	3,750	4,301
Series 2010 S1, 7.043% 4/1/50	5,635	6,961
California Gen. Oblig.:
Series 2009, 7.55% 4/1/39	19,660	24,258
Series 2010, 7.6% 11/1/40	10,305	12,813
Series 2018, 3.5% 4/1/28	10,235	9,680
California State Univ. Rev. Series 2021 B, 2.719% 11/1/52	6,750	4,519
Chicago O'Hare Int'l. Arpt. Rev. Series 2010 B, 6.395% 1/1/40	7,250	8,096
Commonwealth Fing. Auth. Rev. Series 2016 A, 4.144% 6/1/38	6,095	5,452
Dallas Area Rapid Transit Sales Tax Rev. Series 2021 A, 2.613% 12/1/48	12,565	8,487
Dallas Fort Worth Int'l. Arpt. Rev.:
Series 2019 A, 3.144% 11/1/45	1,850	1,389
Series 2021 C, 2.843% 11/1/46	11,600	8,296
Series 2022 A, 4.507% 11/1/51	4,485	4,016
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 B:
2.746% 6/1/34	5,025	4,051
3.293% 6/1/42	2,435	1,796
Idaho Energy Resources Auth. Series 2021, 2.861% 9/1/46	2,955	2,074
Illinois Gen. Oblig. Series 2003, 5.1% 6/1/33	21,745	21,099
Kansas St Dev. Fin. Auth. Rev. Series 2015 H, 4.927% 4/15/45	6,035	5,810
Los Angeles Cmnty. College District Series 2008 E, 6.75% 8/1/49	7,505	9,126
Los Angeles Dept. Arpt. Rev. Series 2009 C, 6.582% 5/15/39	3,630	3,951
Massachusetts Gen. Oblig. Series F, 3.277% 6/1/46	3,750	2,930
Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev. Series 2021 C, 2.823% 8/1/41	4,445	3,370
Michigan Strategic Fund Ltd. Oblig. Rev. Series 2021 A, 3.225% 9/1/47	6,815	5,066
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured)	967	1,035
New Jersey Tpk. Auth. Tpk. Rev. Series 2009 E, 7.414% 1/1/40	3,734	4,576
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2010 DD, 5.952% 6/15/42	7,170	7,825
New York City Transitional Fin. Auth. Rev. Series 2011 A, 5.508% 8/1/37	8,520	8,719
New York Metropolitan Trans. Auth. Rev. Series 2010 A, 6.668% 11/15/39	4,895	5,281
New York State Dorm. Auth. Series 2021 C, 2.202% 3/15/34	16,190	12,743
Port Auth. of New York & New Jersey:
Series 180, 4.96% 8/1/46	4,115	3,919
Series 2010 164, 5.647% 11/1/40	4,135	4,326
Series 225, 3.175% 7/15/60	18,365	12,055
Port of Morrow Transmission Facilities Rev. (Bonneville Coorporation Proj.) Series 2016 1, 2.987% 9/1/36	4,495	3,652
San Francisco Pub. Utils. Commission Wtr. Rev. Series 2010 E, 6% 11/1/40	5,015	5,271
South Carolina Pub. Svc. Auth. Rev. Series 2013 C, 5.784% 12/1/41	8,986	9,148
Univ. of California Regents Med. Ctr. Pool Rev. Series N:
3.006% 5/15/50	10,465	7,123
3.256% 5/15/60	10,635	7,163
Univ. of California Revs.:
Series 2009 R, 5.77% 5/15/43	795	835
Series 2015 AP, 3.931% 5/15/45	2,970	2,674
Univ. of Virginia Gen. Rev.:
(Multi-Year Cap. Proj. Fing. Prog.) Series 2017 C, 4.179% 9/1/2117	3,775	2,918
Series 2021 B, 2.584% 11/1/51	1,885	1,233
TOTAL MUNICIPAL SECURITIES (Cost $323,061)		268,300

Foreign Government and Government Agency Obligations - 1.2%
	Principal Amount (a) (000s)	Value ($) (000s)
Alberta Province:
1% 5/20/25	28,032	26,129
3.3% 3/15/28	7,930	7,499
British Columbia Province:
2.25% 6/2/26	18,944	17,730
4.2% 7/6/33	7,700	7,503
Chilean Republic:
2.55% 7/27/33	24,746	19,854
3.125% 1/21/26	1,000	955
3.24% 2/6/28	9,215	8,597
3.625% 10/30/42	10,385	8,046
3.86% 6/21/47	4,931	3,884
4.95% 1/5/36	9,000	8,669
5.33% 1/5/54	8,800	8,479
Export Development Canada 2.625% 2/21/24	9,260	9,141
Hungarian Republic:
5.75% 11/22/23	2,498	2,494
7.625% 3/29/41	5,792	6,394
Indonesian Republic:
2.85% 2/14/30	27,839	24,418
3.4% 9/18/29	12,400	11,239
3.5% 2/14/50	21,266	15,685
5.35% 2/11/49	13,600	13,320
Israeli State:
3.25% 1/17/28	11,430	10,617
3.375% 1/15/50	23,561	16,645
Italian Republic:
2.375% 10/17/24	5,000	4,803
2.875% 10/17/29	21,266	18,493
3.875% 5/6/51	3,300	2,308
4% 10/17/49	9,200	6,744
Jordanian Kingdom 3% 6/30/25	2,059	1,963
Manitoba Province 3.05% 5/14/24	1,192	1,174
Ontario Province:
0.625% 1/21/26	2,030	1,836
1.125% 10/7/30	19,052	15,109
2.3% 6/15/26	11,337	10,615
2.5% 4/27/26	3,972	3,743
3.05% 1/29/24	9,260	9,171
Panamanian Republic:
3.16% 1/23/30	14,972	13,030
3.75% 3/16/25	3,260	3,159
4.3% 4/29/53	4,663	3,354
4.5% 4/16/50	10,235	7,638
4.5% 4/1/56	15,853	11,459
6.4% 2/14/35	16,340	16,760
Peruvian Republic:
1.862% 12/1/32	19,951	15,048
2.392% 1/23/26	3,867	3,625
2.78% 12/1/60	3,287	1,925
2.844% 6/20/30	12,979	11,241
3.55% 3/10/51	14,983	10,769
4.125% 8/25/27	11,485	11,101
6.55% 3/14/37	2,443	2,658
7.35% 7/21/25	3,867	4,007
Philippine Republic:
1.648% 6/10/31	14,500	11,394
2.65% 12/10/45	18,269	11,827
3% 2/1/28	15,092	13,886
3.95% 1/20/40	12,692	10,695
5.17% 10/13/27	6,800	6,829
6.375% 10/23/34	25,842	28,284
Polish Government:
3.25% 4/6/26	5,243	5,010
5.5% 4/4/53	8,010	7,781
Quebec Province:
1.5% 2/11/25	22,909	21,698
2.5% 4/20/26	9,329	8,795
2.75% 4/12/27	10,154	9,503
2.875% 10/16/24	1,648	1,601
4.5% 9/8/33	7,800	7,770
United Mexican States:
3.25% 4/16/30	10,605	9,389
3.5% 2/12/34	32,290	26,770
4.28% 8/14/41	34,799	28,062
4.35% 1/15/47	11,447	8,897
4.5% 1/31/50	7,346	5,834
4.6% 1/23/46	4,766	3,845
4.6% 2/10/48	13,941	11,177
4.75% 3/8/44	15,804	13,255
5.55% 1/21/45	3,111	2,893
6.05% 1/11/40	3,812	3,803
6.35% 2/9/35	18,700	19,346
Uruguay Republic:
4.125% 11/20/45	3,773	3,331
4.375% 10/27/27	967	963
4.375% 1/23/31	12,587	12,384
4.975% 4/20/55	16,419	15,504
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $856,877)		729,557

Supranational Obligations - 0.8%
	Principal Amount (a) (000s)	Value ($) (000s)
African Development Bank 0.875% 7/22/26	12,141	10,895
Asian Development Bank:
0.375% 9/3/25	31,972	29,234
0.5% 2/4/26	17,689	15,987
0.75% 10/8/30	15,466	12,104
1.5% 10/18/24	17,883	17,141
2% 4/24/26	5,004	4,671
2.5% 11/2/27	5,321	4,934
2.625% 1/30/24	11,946	11,807
2.625% 1/12/27	5,164	4,856
2.75% 1/19/28	29,894	27,914
European Investment Bank:
0.75% 9/23/30	22,088	17,408
0.875% 5/17/30	5,299	4,254
1.25% 2/14/31	9,586	7,774
1.875% 2/10/25	2,383	2,275
2.25% 6/24/24	17,965	17,509
2.375% 5/24/27	3,177	2,948
2.5% 10/15/24	4,548	4,408
3.125% 12/14/23	10,963	10,891
3.25% 1/29/24	1,589	1,575
Inter-American Development Bank:
0.625% 7/15/25	17,588	16,240
0.875% 4/20/26	40,212	36,442
1.75% 3/14/25	14,635	13,908
2% 6/2/26	3,177	2,957
2.125% 1/15/25	1,454	1,395
2.25% 6/18/29	15,187	13,542
2.375% 7/7/27	5,346	4,956
3% 10/4/23	2,840	2,834
4.375% 1/24/44	6,926	6,607
International Bank for Reconstruction & Development:
0.375% 7/28/25	20,783	19,075
0.5% 10/28/25	26,222	23,920
0.75% 8/26/30	13,146	10,325
0.875% 5/14/30	16,078	12,851
1.25% 2/10/31	14,403	11,627
1.5% 8/28/24	15,743	15,161
1.625% 1/15/25	14,127	13,464
1.875% 10/27/26	3,781	3,481
2.5% 3/19/24	3,019	2,970
2.5% 11/25/24	4,528	4,378
2.5% 7/29/25	3,010	2,877
2.5% 3/29/32	28,960	25,396
4% 7/25/30	26,650	26,071
International Finance Corp. 0.75% 8/27/30	8,767	6,883
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $538,759)		485,945

Bank Notes - 0.1%
	Principal Amount (a) (000s)	Value ($) (000s)
Bank of America NA 6% 10/15/36	4,075	4,279
Citibank NA 3.65% 1/23/24	19,859	19,706
Citizens Bank NA:
2.25% 4/28/25	10,391	9,641
3.75% 2/18/26	10,723	9,980
Discover Bank 3.45% 7/27/26	10,127	9,273
KeyBank NA:
3.9% 4/13/29	1,400	1,150
4.9% 8/8/32	2,000	1,648
Truist Bank:
2.636% 9/17/29 (c)	9,000	8,373
3.3% 5/15/26	6,037	5,609
3.8% 10/30/26	2,573	2,377
Wells Fargo Bank NA 5.45% 8/7/26	5,000	5,016
TOTAL BANK NOTES (Cost $81,025)		77,052

Money Market Funds - 0.8%
	Shares	Value ($) (000s)
Fidelity Cash Central Fund 5.43% (h)	113,077,178	113,100
Fidelity Securities Lending Cash Central Fund 5.44% (h)(i)	379,109,150	379,147
TOTAL MONEY MARKET FUNDS (Cost $492,247)		492,247

TOTAL INVESTMENT IN SECURITIES - 101.3% (Cost $68,166,820)	60,808,885
NET OTHER ASSETS (LIABILITIES) - (1.3)%	(794,825)
NET ASSETS - 100.0%	60,014,060

TBA Sale Commitments
	Principal Amount (a) (000s)	Value ($) (000s)
Ginnie Mae
2% 9/1/53	(2,400)	(1,980)
2% 9/1/53	(29,150)	(24,049)
2.5% 9/1/53	(5,550)	(4,724)
3.5% 9/1/53	(1,650)	(1,498)

TOTAL GINNIE MAE		(32,251)

Uniform Mortgage Backed Securities
2% 9/1/53	(83,500)	(66,471)
2% 9/1/53	(33,400)	(26,589)
2% 9/1/53	(33,400)	(26,589)
2% 9/1/53	(39,200)	(31,206)
2% 9/1/53	(50,100)	(39,881)
3.5% 9/1/53	(42,100)	(37,619)
4% 9/1/53	(13,950)	(12,878)
5.5% 9/1/53	(8,150)	(8,051)

TOTAL UNIFORM MORTGAGE BACKED SECURITIES		(249,284)

TOTAL TBA SALE COMMITMENTS (Proceeds $278,132)		(281,535)

Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.

Legend

(a)	Amount is stated in United States dollars unless otherwise noted.

(b)

(c)	Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(d)	Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(e)	Security or a portion of the security is on loan at period end.

(f)	Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $5,898,000.

(g)	Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(h)

(i)	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 (Amounts in thousands)	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 5.43%	292,425	7,634,719	7,814,044	8,376	-	-	113,100	0.3%
Fidelity Securities Lending Cash Central Fund 5.44%	343,250	7,156,993	7,121,096	1,034	-	-	379,147	1.4%
Total	635,675	14,791,712	14,935,140	9,410	-	-	492,247

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

Investment Valuation

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total ($)	Level 1 ($)	Level 2 ($)	Level 3 ($)
Investments in Securities:

Corporate Bonds	15,514,771	-	15,514,771	-

U.S. Government and Government Agency Obligations	25,902,570	-	25,902,570	-

U.S. Government Agency - Mortgage Securities	16,156,346	-	16,156,346	-

Asset-Backed Securities	192,318	-	192,318	-

Commercial Mortgage Securities	989,779	-	989,779	-

Municipal Securities	268,300	-	268,300	-

Foreign Government and Government Agency Obligations	729,557	-	729,557	-

Supranational Obligations	485,945	-	485,945	-

Bank Notes	77,052	-	77,052	-

Money Market Funds	492,247	492,247	-	-
Total Investments in Securities:	60,808,885	492,247	60,316,638	-
Other Financial Instruments:

TBA Sale Commitments	(281,535)	-	(281,535)	-
Total Other Financial Instruments:	(281,535)	-	(281,535)	-

Financial Statements

Statement of Assets and Liabilities
Amounts in thousands (except per-share amount)				August 31, 2023

Assets
Investment in securities, at value (including securities loaned of $371,335) - See accompanying schedule:
Unaffiliated issuers (cost $67,674,573)	$	60,316,638
Fidelity Central Funds (cost $492,247)		492,247


Total Investment in Securities (cost $68,166,820)			$	60,808,885
Receivable for investments sold				401,053
Receivable for TBA sale commitments				278,132
Receivable for fund shares sold				53,564
Interest receivable				361,486
Distributions receivable from Fidelity Central Funds				681
Other receivables				574
Total assets				61,904,375
Liabilities
Payable for investments purchased
Regular delivery	$	485,527
Delayed delivery		638,802
TBA sale commitments, at value		281,535
Payable for fund shares redeemed		93,618
Distributions payable		9,870
Accrued management fee		1,243
Other payables and accrued expenses		573
Collateral on securities loaned		379,147
Total Liabilities				1,890,315
Net Assets			$	60,014,060
Net Assets consist of:
Paid in capital			$	68,144,438
Total accumulated earnings (loss)				(8,130,378)
Net Assets			$	60,014,060
Net Asset Value, offering price and redemption price per share ($60,014,060 ÷ 5,920,311 shares)			$	10.14

Statement of Operations
Amounts in thousands				Year ended August 31, 2023
Investment Income
Interest			$	1,713,457
Income from Fidelity Central Funds (including $1,034 from security lending)				9,410
Total Income				1,722,867
Expenses
Management fee	$	14,195
Independent trustees' fees and expenses		205
Total expenses before reductions		14,400
Expense reductions		(16)
Total expenses after reductions				14,384
Net Investment income (loss)				1,708,483
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment Securities:
Unaffiliated issuers		(504,134)
Total net realized gain (loss)				(504,134)
Change in net unrealized appreciation (depreciation) on:
Investment Securities:
Unaffiliated issuers		(1,867,602)
TBA Sale commitments		(6,851)
Total change in net unrealized appreciation (depreciation)				(1,874,453)
Net gain (loss)				(2,378,587)
Net increase (decrease) in net assets resulting from operations			$	(670,104)

Statement of Changes in Net Assets

Amount in thousands		Year ended August 31, 2023		Year ended August 31, 2022
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	1,708,483	$	1,185,438
Net realized gain (loss)		(504,134)		(472,301)
Change in net unrealized appreciation (depreciation)		(1,874,453)		(7,735,016)
Net increase (decrease) in net assets resulting from operations		(670,104)		(7,021,879)
Distributions to shareholders		(1,612,062)		(1,305,021)

Share transactions
Proceeds from sales of shares		20,874,738		25,027,315
Reinvestment of distributions		1,509,540		1,228,470
Cost of shares redeemed		(15,664,583)		(22,196,653)

Net increase (decrease) in net assets resulting from share transactions		6,719,695		4,059,132
Total increase (decrease) in net assets		4,437,529		(4,267,768)

Net Assets
Beginning of period		55,576,531		59,844,299
End of period	$	60,014,060	$	55,576,531

Other Information
Shares
Sold		2,035,365		2,219,444
Issued in reinvestment of distributions		147,271		107,973
Redeemed		(1,527,862)		(1,966,022)
Net increase (decrease)		654,774		361,395

Financial Highlights

Fidelity® U.S. Bond Index Fund

Years ended August 31,		2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	10.55	$	12.20	$	12.57	$	12.08	$	11.26
Income from Investment Operations
Net investment income (loss) A,B		.304		.236		.222		.291		.328
Net realized and unrealized gain (loss)		(.427)		(1.626)		(.245)		.481		.813
Total from investment operations		(.123)		(1.390)		(.023)		.772		1.141
Distributions from net investment income		(.287)		(.230)		(.224)		(.282)		(.321)
Distributions from net realized gain		-		(.030)		(.123)		-		-
Total distributions		(.287)		(.260)		(.347)		(.282)		(.321)
Net asset value, end of period	$	10.14	$	10.55	$	12.20	$	12.57	$	12.08
Total Return C		(1.16)%		(11.52)%		(.17)%		6.48%		10.33%
Ratios to Average Net Assets B,D,E
Expenses before reductions		.02%		.02% F		.03%		.03%		.03%
Expenses net of fee waivers, if any		.02%		.02% F		.03%		.03%		.03%
Expenses net of all reductions		.02%		.02% F		.02%		.03%		.03%
Net investment income (loss)		2.97%		2.08%		1.81%		2.38%		2.87%
Supplemental Data
Net assets, end of period (in millions)	$	60,014	$	55,577	$	59,844	$	55,526	$	44,339
Portfolio turnover rate G		34%		50% H		76%		59% H		35% H

ACalculated based on average shares outstanding during the period.

CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

FThe size and fluctuation of net assets and expense amounts may cause ratios to differ from contractual rates.

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.

Notes to Financial Statements

For the period ended August 31, 2023

(Amounts in thousands except percentages)

1. Organization.

Fidelity U.S. Bond Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

2. Investments in Fidelity Central Funds.

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.

3. Significant Accounting Policies.

The 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 the Fund's investments by major category are as follows:

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.

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.

Fidelity U.S. Bond Index Fund

$573

Book-tax differences are primarily due to market discount, 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:

Gross unrealized appreciation	$46,387
Gross unrealized depreciation	(7,306,343)
Net unrealized appreciation (depreciation)	$(7,259,956)
Tax Cost	$68,065,438

The tax-based components of distributable earnings as of period end were as follows:

Capital loss carryforward	$(841,332)
Net unrealized appreciation (depreciation) on securities and other investments	$(7,259,956)

Short-term	$(433,529)
Long-term	(407,803)
Total capital loss carryforward	$(841,332)

The tax character of distributions paid was as follows:

	August 31, 2023	August 31, 2022
Ordinary Income	$1,612,062	$1,157,261
Long-term Capital Gains	-	147,760
Total	$1,612,062	$1,305,021

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 proceeds and value of these commitments are reflected in the Statement of Assets and Liabilities as "Receivable for TBA sale commitments" and "TBA sale commitments, at value," respectively.

4. 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 U.S. Bond Index Fund	11,232,078	9,194,231

5. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is based on an annual rate of .025% of the Fund's average net assets. The management fee is reduced by an amount equal to the fees and expenses paid by the Fund to the independent Trustees. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense.

Under the expense contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees, as necessary so that the total expenses do not exceed .025% of average net assets. This expense contract will remain in place through October 31, 2024.

Prior Fiscal Year Affiliated Redemptions In-Kind. Shares that were redeemed in-kind for investments, including accrued interest and cash, if any, are shown in the table below; along with realized gain or loss on investments delivered through in-kind redemptions. The amount of the in-kind redemptions is included in share transactions in the accompanying Statement of Changes in Net Assets. There was no gain or loss for federal income tax purposes.

	Shares	Total net realized gain or loss ($)	Total Proceeds ($)
Fidelity U.S. Bond Index Fund	170,078	(109,302)	1,852,154

Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:

	Amount ($)
Fidelity U.S. Bond Index Fund	33

6. Committed Line of Credit.

7. Security Lending.

	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 U.S. Bond Index Fund	$114	$-	$-

8. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $16.

9. Other.

10. Risk and Uncertainties.

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity U.S. Bond Index Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity U.S. Bond Index Fund (one of the funds constituting Fidelity Salem Street Trust, referred to hereafter as the "Fund") as of August 31, 2023, the related statement of operations for the year ended August 31, 2023, the statement of changes in net assets for each of the two years in the period ended August 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended August 31, 2023 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of August 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended August 31, 2023 and the financial highlights for each of the five years in the period ended August 31, 2023 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

October 11, 2023

We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

Trustees and Officers

TRUSTEES AND OFFICERS

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Christine J. Thompson (1958)

Year of Election or Appointment: 2023

Trustee

* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Laura M. Bishop (1961)

Year of Election or Appointment: 2023

Trustee

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Robert W. Helm (1957)

Year of Election or Appointment: 2023

Trustee

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Chairman of the Independent Trustees

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Carol J. Zierhoffer (1960)

Year of Election or Appointment: 2023

Trustee

Advisory Board Members and Officers:

Name, Year of Birth; Principal Occupation

Heather Bonner (1977)

Year of Election or Appointment: 2023

Assistant Treasurer

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

Margaret Carey (1973)

Year of Election or Appointment: 2023

Secretary and Chief Legal Officer (CLO)

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

Robin Foley (1964)

Year of Election or Appointment: 2023

Vice President

Christopher M. Gouveia (1973)

Year of Election or Appointment: 2023

Chief Compliance Officer

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Jim Wegmann (1979)

Year of Election or Appointment: 2021

Deputy Treasurer

Shareholder Expense Example

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2023 to August 31, 2023).

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Expense Ratio- A	Beginning Account Value March 1, 2023	Ending Account Value August 31, 2023	Expenses Paid During Period- C March 1, 2023 to August 31, 2023

Fidelity® U.S. Bond Index Fund	.02%
Actual		$ 1,000	$ 1,009.70	$ .10
Hypothetical-B		$ 1,000	$ 1,025.10	$ .10

A Annualized expense ratio reflects expenses net of applicable fee waivers.

B 5% return per year before expenses

Distributions (Unaudited)

The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.

A total of 35.51% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $1,248,150,774 of distributions paid in the calendar year 2022 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates $1,592,669,343 of distributions paid during the fiscal year ended 2023 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.

1.925929.112

UII-UDV-ANN-1023

Fidelity® Sustainable Core Plus Bond Fund

Annual Report

August 31, 2023

Includes Fidelity and Fidelity Advisor share classes

Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

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.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Performance: The Bottom Line

Average Annual Total Returns

Periods ended August 31, 2023	Past 1 year	Life of Fund A
Class A (incl. 4.00% sales charge)	-4.67%	-6.31%
Class M (incl. 4.00% sales charge)	-4.65%	-6.30%
Class C (incl. contingent deferred sales charge)	-2.37%	-4.20%
Fidelity® Sustainable Core Plus Bond Fund	-0.47%	-3.29%
Class I	-0.43%	-3.25%
Class Z	-0.38%	-3.21%

A From April 13, 2022

Class C shares' contingent deferred sales charges included in the past one year and life of fund total return figures are 1% and 0%, respectively.

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity® Sustainable Core Plus Bond Fund, a class of the fund, on April 13, 2022, when the fund started.

The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. Aggregate Bond Index performed over the same period.

Management's Discussion of Fund Performance

Market Recap:

Comments from Co-Lead Portfolio Managers Celso Muñoz and Ford O'Neil:

For the fiscal year ending August 31, 2023, the fund's retail and advisor share classes (excluding sales charges, if applicable) posted returns ranging roughly from 0% to -1%, net of fees, versus -1.19% for the benchmark, the Bloomberg U.S. Aggregate Bond Index. Exposure to the high-yield and global bonds segments, both of which bested the benchmark, boosted the fund's relative performance. An overweight to corporate credit, another outperforming segment, helped as well, as did an underweight to mortgage-backed securities, a segment which trailed the benchmark. Duration positioning also added notable value. The fund had a shorter duration (less interest rate sensitivity), which was beneficial given the steep rise in rates the past 12 months. An overweight in asset-backed securities, including collateralized loan obligations and loans backed by airline leases, provided another performance advantage. In contrast, an underweight in the industrials segment detracted from the fund's performance versus the benchmark. Holdings in real estate investment trusts, including Hudson Pacific Properties, also crimped the relative result.

Note to shareholders: 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.

Investment Summary August 31, 2023 (Unaudited)

Quality Diversification (% of Fund's net assets)

Asset Allocation (% of Fund's net assets)

Futures - 1.2%

Forward foreign currency contracts - (3.3)%

Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.

Geographic Diversification (% of Fund's net assets)

* Includes Short-Term investments and Net Other Assets (Liabilities).

Percentages are adjusted for the effect of derivatives, if applicable.

Schedule of Investments August 31, 2023

Showing Percentage of Net Assets

Corporate Bonds - 36.5%
		Principal Amount (a)	Value ($)
Convertible Bonds - 0.1%
COMMUNICATION SERVICES - 0.1%
Media - 0.1%
DISH Network Corp.:
2.375% 3/15/24		5,000	4,725
3.375% 8/15/26		32,000	19,360
			24,085
CONSUMER DISCRETIONARY - 0.0%
Specialty Retail - 0.0%
Wayfair LLC 0.625% 10/1/25		3,000	2,603

INFORMATION TECHNOLOGY - 0.0%
Software - 0.0%
MicroStrategy, Inc. 0% 2/15/27		5,000	3,444

REAL ESTATE - 0.0%
Real Estate Management & Development - 0.0%
Redfin Corp. 0.5% 4/1/27		16,000	10,160

TOTAL CONVERTIBLE BONDS			40,292
Nonconvertible Bonds - 36.4%
COMMUNICATION SERVICES - 3.0%
Diversified Telecommunication Services - 1.2%
Altice France SA 5.125% 7/15/29 (b)		10,000	7,069
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b)		10,000	9,200
Frontier Communications Holdings LLC 8.75% 5/15/30 (b)		10,000	9,719
Level 3 Financing, Inc. 3.75% 7/15/29 (b)		26,000	15,509
TELUS Corp. 3.4% 5/13/32		130,000	109,463
Verizon Communications, Inc. 5.05% 5/9/33		250,000	242,580
Virgin Media Finance PLC 5% 7/15/30 (b)		8,000	6,490
Zayo Group Holdings, Inc. 6.125% 3/1/28 (b)		4,000	2,600
			402,630
Entertainment - 0.4%
The Walt Disney Co. 2.65% 1/13/31		140,000	119,937

Media - 1.1%
Altice Financing SA 5.75% 8/15/29 (b)		29,000	22,973
Altice France Holding SA 6% 2/15/28 (b)		12,000	5,250
CCO Holdings LLC/CCO Holdings Capital Corp.:
4.25% 1/15/34(b)		25,000	19,145
4.75% 3/1/30(b)		6,000	5,159
4.75% 2/1/32(b)		22,000	18,205
Clear Channel Outdoor Holdings, Inc.:
5.125% 8/15/27(b)		2,000	1,791
7.5% 6/1/29(b)		2,000	1,491
9% 9/15/28(b)		5,000	5,025
DIRECTV Financing LLC / DIRECTV Financing Co-Obligor, Inc. 5.875% 8/15/27 (b)		10,000	8,862
DISH DBS Corp. 5.75% 12/1/28 (b)		2,000	1,553
DISH Network Corp. 11.75% 11/15/27 (b)		6,000	6,088
Magallanes, Inc.:
4.279% 3/15/32		135,000	119,129
5.141% 3/15/52		141,000	112,392
Mcgraw-Hill Education, Inc. 8% 8/1/29 (b)		7,000	6,232
Univision Communications, Inc.:
5.125% 2/15/25(b)		12,000	11,835
7.375% 6/30/30(b)		7,000	6,775
8% 8/15/28(b)		5,000	4,997
			356,902
Wireless Telecommunication Services - 0.3%
Millicom International Cellular SA 4.5% 4/27/31 (b)		13,000	10,209
Rogers Communications, Inc.:
3.2% 3/15/27		60,000	55,465
4.55% 3/15/52		70,000	54,240
			119,914
TOTAL COMMUNICATION SERVICES			999,383

CONSUMER DISCRETIONARY - 3.2%
Automobile Components - 0.1%
Hertz Corp. 4.625% 12/1/26 (b)		12,000	10,865
Macquarie AirFinance Holdings 8.375% 5/1/28 (b)		5,000	5,105
Patrick Industries, Inc. 4.75% 5/1/29 (b)		12,000	10,260
PECF USS Intermediate Holding III Corp. 8% 11/15/29 (b)		3,000	1,913
			28,143
Automobiles - 0.2%
General Motors Co. 5.4% 10/15/29		40,000	38,671
Rivian Holdco & Rivian LLC & Rivian Automotive LLC 6 month U.S. LIBOR + 5.620% 10.9311% 10/15/26 (b)(c)(d)		18,000	17,940
			56,611
Broadline Retail - 0.0%
Macy's Retail Holdings LLC 5.875% 4/1/29 (b)		4,000	3,616
Nordstrom, Inc. 4.375% 4/1/30		8,000	6,392
			10,008
Diversified Consumer Services - 0.1%
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (b)		11,000	10,662
Sotheby's 7.375% 10/15/27 (b)		10,000	9,104
StoneMor, Inc. 8.5% 5/15/29 (b)		6,000	5,007
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (b)		22,000	20,403
			45,176
Hotels, Restaurants & Leisure - 0.5%
1011778 BC Unlimited Liability Co./New Red Finance, Inc. 4% 10/15/30 (b)		5,000	4,236
Aramark Services, Inc.:
5% 4/1/25(b)		10,000	9,878
5% 2/1/28(b)		5,000	4,665
Carnival Corp.:
5.75% 3/1/27(b)		2,000	1,879
6% 5/1/29(b)		35,000	31,679
Constellation Merger Sub, Inc. 8.5% 9/15/25 (b)		8,000	6,680
Hilton Domestic Operating Co., Inc. 3.625% 2/15/32 (b)		26,000	21,744
Life Time, Inc. 8% 4/15/26 (b)		22,000	21,835
MajorDrive Holdings IV LLC 6.375% 6/1/29 (b)		12,000	9,889
Royal Caribbean Cruises Ltd.:
5.375% 7/15/27(b)		10,000	9,410
5.5% 4/1/28(b)		24,000	22,460
Viking Cruises Ltd. 9.125% 7/15/31 (b)		5,000	5,166
Yum! Brands, Inc. 4.625% 1/31/32		14,000	12,527
			162,048
Household Durables - 0.3%
Tempur Sealy International, Inc. 4% 4/15/29 (b)		11,000	9,449
The Berkeley Group PLC 2.5% 8/11/31 (Reg. S)	GBP	100,000	84,970
TRI Pointe Homes, Inc. 5.25% 6/1/27		4,000	3,815
			98,234
Specialty Retail - 1.6%
At Home Group, Inc. 4.875% 7/15/28 (b)		8,000	3,847
Bath & Body Works, Inc.:
6.75% 7/1/36		9,000	8,308
6.95% 3/1/33		8,000	7,477
Carvana Co.:
4.875% 9/1/29(b)		15,000	8,952
9% 12/1/28 pay-in-kind(b)		2,000	1,720
9% 6/1/30 pay-in-kind(b)		3,000	2,580
9% 6/1/31 pay-in-kind(b)		4,000	3,440
LBM Acquisition LLC 6.25% 1/15/29 (b)		10,000	8,726
Lowe's Companies, Inc.:
3.75% 4/1/32		130,000	116,476
4.25% 4/1/52		130,000	102,841
Michaels Companies, Inc. 5.25% 5/1/28 (b)		24,000	20,010
The Home Depot, Inc. 3.25% 4/15/32		130,000	115,514
TJX Companies, Inc. 3.875% 4/15/30		120,000	113,198
Upbound Group, Inc. 6.375% 2/15/29 (b)		14,000	12,719
Victoria's Secret & Co. 4.625% 7/15/29 (b)		3,000	2,172
			527,980
Textiles, Apparel & Luxury Goods - 0.4%
Crocs, Inc. 4.125% 8/15/31 (b)		18,000	14,265
Tapestry, Inc. 3.05% 3/15/32		140,000	107,697
			121,962
TOTAL CONSUMER DISCRETIONARY			1,050,162

CONSUMER STAPLES - 1.2%
Beverages - 0.0%
Triton Water Holdings, Inc. 6.25% 4/1/29 (b)		12,000	10,201

Consumer Staples Distribution & Retail - 0.4%
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:
3.25% 3/15/26(b)		12,000	11,154
4.875% 2/15/30(b)		6,000	5,505
Alimentation Couche-Tard, Inc. 3.625% 5/13/51 (b)		150,000	98,791
Performance Food Group, Inc. 4.25% 8/1/29 (b)		6,000	5,280
U.S. Foods, Inc. 4.625% 6/1/30 (b)		8,000	7,111
			127,841
Food Products - 0.8%
Darling Ingredients, Inc. 6% 6/15/30 (b)		5,000	4,887
General Mills, Inc. 2.25% 10/14/31		290,000	234,306
Post Holdings, Inc.:
4.5% 9/15/31(b)		10,000	8,615
4.625% 4/15/30(b)		6,000	5,316
TreeHouse Foods, Inc. 4% 9/1/28		8,000	6,847
			259,971
TOTAL CONSUMER STAPLES			398,013

ENERGY - 1.1%
Energy Equipment & Services - 0.2%
Archrock Partners LP / Archrock Partners Finance Corp. 6.25% 4/1/28 (b)		12,000	11,456
CGG SA 8.75% 4/1/27 (b)		18,000	15,491
Oceaneering International, Inc. 6% 2/1/28		12,000	11,281
Transocean Titan Finance Ltd. 8.375% 2/1/28 (b)		2,000	2,055
Transocean, Inc.:
8% 2/1/27(b)		12,000	11,706
8.75% 2/15/30(b)		4,750	4,859
			56,848
Oil, Gas & Consumable Fuels - 0.9%
California Resources Corp. 7.125% 2/1/26 (b)		26,000	26,067
Centennial Resource Production LLC 5.875% 7/1/29 (b)		10,000	9,600
CNX Resources Corp.:
6% 1/15/29(b)		4,000	3,809
7.375% 1/15/31(b)		5,000	4,991
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 6% 2/1/29 (b)		25,000	24,543
CVR Energy, Inc. 5.75% 2/15/28 (b)		6,000	5,462
EG Global Finance PLC 6.75% 2/7/25 (b)		25,000	24,633
Energean PLC 6.5% 4/30/27 (b)		10,000	9,121
Global Partners LP/GLP Finance Corp. 6.875% 1/15/29		9,000	8,505
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (b)		10,000	9,381
Howard Midstream Energy Partners LLC 8.875% 7/15/28 (b)		5,000	5,178
MEG Energy Corp. 5.875% 2/1/29 (b)		30,000	28,660
Murphy Oil Corp. 6.375% 7/15/28		8,000	7,995
Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (b)		5,000	4,206
New Fortress Energy, Inc. 6.5% 9/30/26 (b)		49,000	45,547
Northern Oil & Gas, Inc. 8.125% 3/1/28 (b)		8,000	8,019
Parkland Corp. 4.625% 5/1/30 (b)		12,000	10,579
SM Energy Co. 6.5% 7/15/28		8,000	7,820
Southwestern Energy Co. 5.375% 3/15/30		6,000	5,617
Sunoco LP/Sunoco Finance Corp. 4.5% 5/15/29		24,000	21,704
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.:
6% 3/1/27(b)		5,000	4,791
7.5% 10/1/25(b)		10,000	10,061
Teine Energy Ltd. 6.875% 4/15/29 (b)		18,000	16,695
			302,984
TOTAL ENERGY			359,832

FINANCIALS - 10.3%
Banks - 6.0%
AIB Group PLC 2.875% 5/30/31 (Reg. S) (c)	EUR	100,000	100,369
Banco Bilbao Vizcaya Argentaria SA 1% 1/16/30 (Reg. S) (c)	EUR	100,000	101,770
Bank of America Corp.:
2.456% 10/22/25(c)		260,000	249,914
2.687% 4/22/32(c)		70,000	57,275
5.015% 7/22/33(c)		168,000	161,693
6.204% 11/10/28(c)		50,000	51,149
Citigroup, Inc.:
2.014% 1/25/26(c)		260,000	245,966
4.91% 5/24/33(c)		90,000	85,552
ING Groep NV 1.4% 7/1/26 (b)(c)		200,000	183,905
JPMorgan Chase & Co.:
0.768% 8/9/25(c)		260,000	247,008
2.963% 1/25/33(c)		70,000	58,158
4.586% 4/26/33(c)		142,000	132,791
4.912% 7/25/33(c)		28,000	26,929
KBC Group NV 0.5% 12/3/29 (c)	EUR	100,000	101,575
NatWest Group PLC 2.057% 11/9/28 (Reg. S) (c)	GBP	100,000	106,390
Santander Holdings U.S.A., Inc.:
5.807% 9/9/26(c)		35,000	34,674
6.499% 3/9/29(c)		27,000	26,845
Western Alliance Bancorp. 3% 6/15/31 (c)		4,000	3,163
			1,975,126
Capital Markets - 2.1%
Coinbase Global, Inc. 3.625% 10/1/31 (b)		5,000	3,366
Goldman Sachs Group, Inc.:
3.102% 2/24/33(c)		109,000	90,660
3.615% 3/15/28(c)		130,000	121,553
Hightower Holding LLC 6.75% 4/15/29 (b)		5,000	4,352
Morgan Stanley:
0.864% 10/21/25(c)		270,000	254,069
2.943% 1/21/33(c)		70,000	57,339
4.889% 7/20/33(c)		68,000	64,416
State Street Corp. 3.031% 11/1/34 (c)		130,000	111,746
			707,501
Consumer Finance - 0.5%
Ally Financial, Inc. 2.2% 11/2/28		140,000	112,938
Ford Motor Credit Co. LLC 4.687% 6/9/25		5,000	4,813
OneMain Finance Corp.:
3.5% 1/15/27		6,000	5,222
3.875% 9/15/28		26,000	21,320
9% 1/15/29		5,000	5,069
			149,362
Financial Services - 0.1%
Block, Inc. 3.5% 6/1/31		35,000	28,699
GGAM Finance Ltd.:
7.75% 5/15/26(b)		5,000	5,000
8% 6/15/28(b)		5,000	5,071
			38,770
Insurance - 1.6%
AIA Group Ltd. 3.375% 4/7/30 (b)		200,000	179,974
Equitable Financial Life Global Funding 1.3% 7/12/26 (b)		200,000	175,276
Marsh & McLennan Companies, Inc. 2.375% 12/15/31		210,000	170,726
			525,976
Mortgage Real Estate Investment Trusts - 0.0%
Rithm Capital Corp. 6.25% 10/15/25 (b)		3,000	2,828

TOTAL FINANCIALS			3,399,563

HEALTH CARE - 2.9%
Biotechnology - 0.7%
Amgen, Inc. 3% 2/22/29		260,000	235,095
Emergent BioSolutions, Inc. 3.875% 8/15/28 (b)		10,000	4,800
			239,895
Health Care Providers & Services - 1.2%
Akumin Escrow, Inc. 7.5% 8/1/28 (b)		8,000	5,300
Cano Health, Inc. 6.25% 10/1/28 (b)		15,000	5,100
Cigna Group 3.4% 3/15/51		150,000	104,957
Community Health Systems, Inc.:
4.75% 2/15/31(b)		34,000	25,330
5.25% 5/15/30(b)		15,000	11,829
6.875% 4/15/29(b)		10,000	6,133
8% 3/15/26(b)		5,000	4,881
DaVita HealthCare Partners, Inc. 3.75% 2/15/31 (b)		16,000	12,741
Encompass Health Corp. 4.625% 4/1/31		10,000	8,769
Horizon Pharma U.S.A., Inc. 5.5% 8/1/27 (b)		8,000	8,171
Humana, Inc. 3.7% 3/23/29		130,000	120,360
Owens & Minor, Inc. 6.625% 4/1/30 (b)		6,000	5,458
Pediatrix Medical Group, Inc. 5.375% 2/15/30 (b)		30,000	27,359
RegionalCare Hospital Partners Holdings, Inc.:
5.375% 1/15/29(b)		12,000	8,296
9.875% 8/15/30(b)		5,000	4,938
RP Escrow Issuer LLC 5.25% 12/15/25 (b)		5,000	3,851
Tenet Healthcare Corp. 6.125% 10/1/28		45,000	43,341
			406,814
Health Care Technology - 0.0%
Athenahealth Group, Inc. 6.5% 2/15/30 (b)		10,000	8,685

Life Sciences Tools & Services - 0.0%
Charles River Laboratories International, Inc. 3.75% 3/15/29 (b)		3,000	2,648

Pharmaceuticals - 1.0%
AstraZeneca Finance LLC 1.75% 5/28/28		140,000	121,494
Bristol-Myers Squibb Co. 2.95% 3/15/32		70,000	60,673
Jazz Securities DAC 4.375% 1/15/29 (b)		6,000	5,376
Organon & Co. / Organon Foreign Debt Co-Issuer BV 5.125% 4/30/31 (b)		10,000	8,520
Zoetis, Inc. 2% 5/15/30		140,000	115,247
			311,310
TOTAL HEALTH CARE			969,352

INDUSTRIALS - 2.6%
Aerospace & Defense - 0.1%
Bombardier, Inc. 6% 2/15/28 (b)		27,000	25,235
TransDigm, Inc. 4.875% 5/1/29		6,000	5,399
			30,634
Air Freight & Logistics - 0.1%
Aercap Global Aviation Trust 6.5% 6/15/45 (b)(c)		11,000	10,847
Rand Parent LLC 8.5% 2/15/30 (b)		10,000	9,520
			20,367
Building Products - 0.4%
Advanced Drain Systems, Inc. 6.375% 6/15/30 (b)		5,000	4,925
Carrier Global Corp. 2.493% 2/15/27		130,000	118,097
Cornerstone Building Brands, Inc. 6.125% 1/15/29 (b)		8,000	6,495
Oscar Acquisition Co. LLC / Oscar Finance, Inc. 9.5% 4/15/30 (b)		2,000	1,872
			131,389
Commercial Services & Supplies - 0.3%
APX Group, Inc. 5.75% 7/15/29 (b)		12,000	10,338
Brand Energy & Infrastructure Services, Inc. 10.375% 8/1/30 (b)		10,000	10,313
Covanta Holding Corp. 4.875% 12/1/29 (b)		28,000	24,080
Madison IAQ LLC 5.875% 6/30/29 (b)		10,000	8,420
Neptune BidCo U.S., Inc. 9.29% 4/15/29 (b)		5,000	4,669
Stericycle, Inc.:
3.875% 1/15/29(b)		24,000	20,896
5.375% 7/15/24(b)		16,000	15,944
			94,660
Construction & Engineering - 0.1%
AECOM 5.125% 3/15/27		12,000	11,513
Railworks Holdings LP 8.25% 11/15/28 (b)		10,000	9,550
			21,063
Electrical Equipment - 0.1%
Atkore, Inc. 4.25% 6/1/31 (b)		8,000	6,880
GrafTech Global Enterprises, Inc. 9.875% 12/15/28 (b)		5,000	4,875
Sensata Technologies BV:
4% 4/15/29(b)		8,000	7,025
5% 10/1/25(b)		10,000	9,746
			28,526
Ground Transportation - 0.2%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.:
5.375% 3/1/29(b)		5,000	4,590
5.75% 7/15/27(b)		8,000	7,638
Uber Technologies, Inc.:
4.5% 8/15/29(b)		65,000	59,515
8% 11/1/26(b)		2,000	2,036
			73,779
Industrial Conglomerates - 0.5%
Honeywell International, Inc. 1.75% 9/1/31		140,000	111,317
Trane Technologies Financing Ltd. 5.25% 3/3/33		50,000	49,946
			161,263
Machinery - 0.8%
Chart Industries, Inc. 9.5% 1/1/31 (b)		5,000	5,384
Ingersoll-Rand Luxembourg Finance SA 3.8% 3/21/29		130,000	121,318
Otis Worldwide Corp. 2.565% 2/15/30		140,000	119,724
Vertical Holdco GmbH 7.625% 7/15/28 (b)		7,000	6,487
			252,913
Marine Transportation - 0.0%
Seaspan Corp. 5.5% 8/1/29 (b)		10,000	7,773

Professional Services - 0.0%
Dun & Bradstreet Corp. 5% 12/15/29 (b)		3,000	2,692

Trading Companies & Distributors - 0.0%
Beacon Roofing Supply, Inc. 6.5% 8/1/30 (b)		5,000	4,939
Fortress Transportation & Infrastructure Investors LLC 5.5% 5/1/28 (b)		12,000	11,147
			16,086
TOTAL INDUSTRIALS			841,145

INFORMATION TECHNOLOGY - 1.8%
Communications Equipment - 0.1%
CommScope, Inc. 4.75% 9/1/29 (b)		16,000	11,890
HTA Group Ltd. 7% 12/18/25 (b)		11,000	10,395
IHS Netherlands Holdco BV 8% 9/18/27 (b)		5,000	4,468
			26,753
Electronic Equipment, Instruments & Components - 0.4%
Coherent Corp. 5% 12/15/29 (b)		5,000	4,441
Dell International LLC/EMC Corp. 6.2% 7/15/30		110,000	113,202
TTM Technologies, Inc. 4% 3/1/29 (b)		8,000	6,949
			124,592
IT Services - 0.1%
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.5% 3/1/29 (b)		28,000	24,067
Rackspace Hosting, Inc. 3.5% 2/15/28 (b)		4,000	1,899
Virtusa Corp. 7.125% 12/15/28 (b)		12,000	9,825
			35,791
Semiconductors & Semiconductor Equipment - 0.8%
Entegris Escrow Corp. 5.95% 6/15/30 (b)		20,000	19,152
Entegris, Inc. 3.625% 5/1/29 (b)		23,000	19,768
Micron Technology, Inc. 2.703% 4/15/32		140,000	110,484
NXP BV/NXP Funding LLC/NXP U.S.A., Inc. 2.5% 5/11/31		140,000	112,678
ON Semiconductor Corp. 3.875% 9/1/28 (b)		2,000	1,780
			263,862
Software - 0.3%
Black Knight InfoServ LLC 3.625% 9/1/28 (b)		8,000	7,360
Cloud Software Group, Inc. 9% 9/30/29 (b)		5,000	4,469
Elastic NV 4.125% 7/15/29 (b)		13,000	11,175
Gen Digital, Inc.:
5% 4/15/25(b)		14,000	13,724
7.125% 9/30/30(b)		10,000	10,067
MicroStrategy, Inc. 6.125% 6/15/28 (b)		4,000	3,581
NCR Corp.:
5.125% 4/15/29(b)		6,000	5,457
6.125% 9/1/29(b)		15,000	15,449
Open Text Corp.:
3.875% 2/15/28(b)		10,000	8,899
3.875% 12/1/29(b)		14,000	11,872
Open Text Holdings, Inc.:
4.125% 2/15/30(b)		5,000	4,309
4.125% 12/1/31(b)		6,000	4,980
			101,342
Technology Hardware, Storage & Peripherals - 0.1%
Seagate HDD Cayman:
4.125% 1/15/31		6,000	4,901
4.75% 1/1/25		10,000	9,795
5.75% 12/1/34		4,000	3,543
8.25% 12/15/29(b)		5,000	5,245
			23,484
TOTAL INFORMATION TECHNOLOGY			575,824

MATERIALS - 1.5%
Chemicals - 0.7%
Axalta Coating Systems LLC 3.375% 2/15/29 (b)		6,000	5,089
International Flavors & Fragrances, Inc. 2.3% 11/1/30 (b)		150,000	116,385
Kobe U.S. Midco 2, Inc. 9.25% 11/1/26 pay-in-kind (b)(c)		5,000	3,650
Methanex Corp.:
5.125% 10/15/27		10,000	9,380
5.65% 12/1/44		30,000	24,537
NOVA Chemicals Corp.:
4.25% 5/15/29(b)		2,000	1,622
4.875% 6/1/24(b)		10,000	9,836
5.25% 6/1/27(b)		10,000	8,891
Nufarm Australia Ltd. 5% 1/27/30 (b)		10,000	8,895
Olympus Water U.S. Holding Corp.:
6.25% 10/1/29(b)		18,000	14,491
9.75% 11/15/28(b)		4,000	4,029
SCIH Salt Holdings, Inc. 6.625% 5/1/29 (b)		2,000	1,765
The Chemours Co. LLC 4.625% 11/15/29 (b)		43,000	35,748
			244,318
Construction Materials - 0.0%
Eco Material Technologies, Inc. 7.875% 1/31/27 (b)		7,000	6,825
VM Consolidated, Inc. 5.5% 4/15/29 (b)		3,000	2,734
			9,559
Containers & Packaging - 0.3%
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:
5.25% 8/15/27(b)		11,000	9,358
5.25% 8/15/27(b)		11,000	9,358
Ball Corp. 6% 6/15/29		5,000	4,926
Berry Global, Inc. 5.625% 7/15/27 (b)		30,000	29,407
Clydesdale Acquisition Holdings, Inc. 6.625% 4/15/29 (b)		10,000	9,516
Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26		10,000	9,643
Graphic Packaging International, Inc. 4.75% 7/15/27 (b)		6,000	5,699
OI European Group BV 4.75% 2/15/30 (b)		6,000	5,469
			83,376
Metals & Mining - 0.4%
ATI, Inc.:
4.875% 10/1/29		12,000	10,834
7.25% 8/15/30		5,000	5,051
Coeur d'Alene Mines Corp. 5.125% 2/15/29 (b)		6,000	5,259
Constellium NV 3.75% 4/15/29 (b)		6,000	5,155
Eldorado Gold Corp. 6.25% 9/1/29 (b)		10,000	8,524
ERO Copper Corp. 6.5% 2/15/30 (b)		22,000	19,108
First Quantum Minerals Ltd. 6.875% 10/15/27 (b)		10,000	9,663
FMG Resources Pty Ltd. 6.125% 4/15/32 (b)		20,000	18,610
HudBay Minerals, Inc. 6.125% 4/1/29 (b)		5,000	4,701
IAMGOLD Corp. 5.75% 10/15/28 (b)		6,000	4,603
Infrabuild Australia Pty Ltd. 12% 10/1/24 (b)		4,000	3,883
Mineral Resources Ltd. 8.5% 5/1/30 (b)		24,000	24,086
			119,477
Paper & Forest Products - 0.1%
Domtar Corp. 6.75% 10/1/28 (b)		8,000	6,920
LABL, Inc. 10.5% 7/15/27 (b)		5,000	4,786
Mercer International, Inc. 5.125% 2/1/29		20,000	16,361
			28,067
TOTAL MATERIALS			484,797

REAL ESTATE - 3.7%
Equity Real Estate Investment Trusts (REITs) - 3.0%
Alexandria Real Estate Equities, Inc. 2% 5/18/32		220,000	166,796
Boston Properties, Inc.:
2.45% 10/1/33		220,000	155,743
6.75% 12/1/27		19,000	19,405
Corporate Office Properties LP 2% 1/15/29		150,000	118,117
Hudson Pacific Properties LP 5.95% 2/15/28		122,000	103,165
MPT Operating Partnership LP/MPT Finance Corp.:
4.625% 8/1/29		10,000	7,222
5% 10/15/27		48,000	37,919
Omega Healthcare Investors, Inc. 3.25% 4/15/33		4,000	2,985
Prologis LP 2.875% 11/15/29		200,000	175,175
SBA Communications Corp. 3.125% 2/1/29		2,000	1,712
Uniti Group LP / Uniti Group Finance, Inc. 10.5% 2/15/28 (b)		11,000	10,974
Uniti Group, Inc. 6% 1/15/30 (b)		34,000	22,459
WP Carey, Inc. 2.45% 2/1/32		220,000	171,316
			992,988
Real Estate Management & Development - 0.7%
Anywhere Real Estate Group LLC 7% 4/15/30 (b)		2,400	2,163
CBRE Group, Inc. 2.5% 4/1/31		140,000	112,441
Greystar Real Estate Partners 7.75% 9/1/30 (b)		5,000	5,050
Howard Hughes Corp. 4.375% 2/1/31 (b)		15,000	11,954
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.125% 8/1/30 (b)		14,000	12,840
Vonovia SE 0.625% 3/24/31 (Reg. S)	EUR	100,000	78,375
			222,823
TOTAL REAL ESTATE			1,215,811

UTILITIES - 5.1%
Electric Utilities - 1.9%
DPL, Inc. 4.35% 4/15/29		10,000	8,613
Duke Energy Carolinas LLC 3.95% 11/15/28		170,000	161,884
Northern States Power Co. 2.25% 4/1/31		210,000	173,762
Oncor Electric Delivery Co. LLC 4.15% 6/1/32		130,000	121,107
PG&E Corp.:
5% 7/1/28		14,000	12,879
5.25% 7/1/30		7,000	6,219
Wisconsin Electric Power Co. 4.75% 9/30/32		160,000	156,313
			640,777
Independent Power and Renewable Electricity Producers - 1.1%
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (b)		34,000	30,318
Sunnova Energy Corp. 5.875% 9/1/26 (b)		20,000	17,599
TerraForm Power Operating LLC 4.75% 1/15/30 (b)		8,000	6,856
The AES Corp.:
1.375% 1/15/26		140,000	125,921
2.45% 1/15/31		228,000	181,039
			361,733
Multi-Utilities - 2.1%
Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30		190,000	171,326
Dominion Energy, Inc. 2.25% 8/15/31		220,000	175,233
NiSource, Inc. 1.7% 2/15/31		230,000	177,644
Puget Energy, Inc. 4.224% 3/15/32		190,000	167,419
			691,622
TOTAL UTILITIES			1,694,132

TOTAL NONCONVERTIBLE BONDS			11,988,014
TOTAL CORPORATE BONDS (Cost $13,006,868)			12,028,306

U.S. Treasury Obligations - 38.3%
	Principal Amount (a)	Value ($)
U.S. Treasury Bonds:
2.25% 5/15/41	54,000	39,789
2.25% 2/15/52	2,500,000	1,686,513
2.875% 5/15/52	250,000	194,072
3.25% 5/15/42	200,000	170,789
3.375% 8/15/42	700,000	607,441
3.625% 2/15/53	70,000	63,066
4% 11/15/42	100,000	94,879
4.125% 8/15/53	100,000	98,656
U.S. Treasury Notes:
2.5% 4/30/24	500,000	490,566
2.5% 5/31/24	500,000	489,258
2.5% 3/31/27	200,000	187,406
2.625% 7/31/29	200,000	183,172
3.375% 5/15/33	1,525,000	1,436,598
3.5% 1/31/28	300,000	290,098
3.5% 1/31/30	430,000	412,481
3.5% 2/15/33	1,035,000	985,676
3.625% 3/31/30	420,000	405,694
3.75% 5/31/30	720,000	700,566
3.875% 11/30/27	100,000	98,164
3.875% 12/31/27	450,000	441,668
4% 6/30/28	1,550,000	1,531,473
4% 10/31/29	25,000	24,665
4% 2/28/30	400,000	394,906
4% 7/31/30	420,000	415,013
4.125% 10/31/27	600,000	594,398
4.125% 11/15/32	600,000	599,719
TOTAL U.S. TREASURY OBLIGATIONS (Cost $13,542,969)		12,636,726

U.S. Government Agency - Mortgage Securities - 17.5%
	Principal Amount (a)	Value ($)
Fannie Mae - 2.5%
2% 10/1/35 to 2/1/37	189,765	166,735
2.5% 7/1/51 to 1/1/52	241,260	200,687
3% 10/1/51 to 5/1/52	333,290	288,293
4% 4/1/52	46,961	43,730
4.5% 7/1/52	47,635	45,732
5% 11/1/52 to 12/1/52	95,958	93,503
TOTAL FANNIE MAE		838,680
Freddie Mac - 3.3%
1.5% 4/1/51	121,830	91,957
2% 7/1/35 to 11/1/51	441,026	360,150
2.5% 7/1/36 to 8/1/52	313,058	265,276
3% 5/1/35	140,059	129,969
4% 10/1/52	46,364	43,247
4.5% 10/1/52 to 11/1/52	168,860	160,171
5% 12/1/52	48,079	46,933
TOTAL FREDDIE MAC		1,097,703
Ginnie Mae - 3.7%
2% 1/20/51 to 2/20/51	70,317	58,204
2% 9/1/53 (e)	100,000	82,500
2% 9/1/53 (e)	100,000	82,500
2% 9/1/53 (e)	50,000	41,250
2% 9/1/53 (e)	50,000	41,250
2% 9/1/53 (e)	25,000	20,625
2% 10/1/53 (e)	150,000	123,879
2.5% 9/1/53 (e)	50,000	42,559
2.5% 9/1/53 (e)	50,000	42,559
2.5% 9/1/53 (e)	50,000	42,559
2.5% 9/1/53 (e)	50,000	42,559
2.5% 9/1/53 (e)	50,000	42,559
2.5% 10/1/53 (e)	50,000	42,600
3% 9/1/53 (e)	50,000	43,965
3% 9/1/53 (e)	100,000	87,929
3% 9/1/53 (e)	50,000	43,965
3% 10/1/53 (e)	50,000	43,994
3.5% 9/1/53 (e)	25,000	22,699
3.5% 9/1/53 (e)	25,000	22,699
3.5% 9/1/53 (e)	50,000	45,398
4% 9/1/53 (e)	50,000	46,594
4% 9/1/53 (e)	50,000	46,594
5% 9/1/53 (e)	50,000	48,655
5.5% 9/1/53 (e)	50,000	49,508
TOTAL GINNIE MAE		1,207,603
Uniform Mortgage Backed Securities - 8.0%
2% 9/1/38 (e)	100,000	87,703
2% 9/1/53 (e)	50,000	39,803
2% 9/1/53 (e)	50,000	39,803
2% 9/1/53 (e)	25,000	19,902
2% 9/1/53 (e)	150,000	119,410
2% 9/1/53 (e)	150,000	119,410
2% 9/1/53 (e)	100,000	79,606
2% 9/1/53 (e)	250,000	199,016
2% 9/1/53 (e)	50,000	39,803
2% 9/1/53 (e)	125,000	99,508
2% 9/1/53 (e)	100,000	79,606
2% 10/1/53 (e)	200,000	159,439
2% 10/1/53 (e)	100,000	79,720
2% 10/1/53 (e)	100,000	79,720
2% 10/1/53 (e)	150,000	119,580
2.5% 9/1/53 (e)	50,000	41,439
2.5% 9/1/53 (e)	100,000	82,879
2.5% 9/1/53 (e)	150,000	124,318
2.5% 9/1/53 (e)	100,000	82,879
2.5% 9/1/53 (e)	100,000	82,879
3% 9/1/53 (e)	100,000	86,152
3% 9/1/53 (e)	175,000	150,767
3% 9/1/53 (e)	25,000	21,538
3.5% 9/1/53 (e)	200,000	178,711
4% 9/1/53 (e)	100,000	92,313
4% 9/1/53 (e)	50,000	46,156
4% 9/1/53 (e)	50,000	46,156
4.5% 9/1/53 (e)	50,000	47,414
5% 9/1/53 (e)	50,000	48,482
5.5% 9/1/53 (e)	50,000	49,391
5.5% 9/1/53 (e)	50,000	49,391
5.5% 9/1/53 (e)	50,000	49,391
TOTAL UNIFORM MORTGAGE BACKED SECURITIES		2,642,285
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $5,876,891)		5,786,271

Asset-Backed Securities - 6.1%
	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% 6.8261% 7/20/35 (b)(c)(d)	250,000	247,275
Ares LIX CLO Ltd. Series 2021-59A Class A, CME Term SOFR 3 Month Index + 1.290% 6.6428% 4/25/34 (b)(c)(d)	250,000	246,776
CEDF Series 2021-6A Class ARR, CME Term SOFR 3 Month Index + 1.310% 6.6378% 4/20/34 (b)(c)(d)	200,000	196,889
Dryden CLO, Ltd. Series 2021-76A Class A1R, CME Term SOFR 3 Month Index + 1.410% 6.7378% 10/20/34 (b)(c)(d)	320,000	317,569
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6696% 4/15/31 (b)(c)(d)	250,000	248,494
Planet Fitness Master Issuer LLC Series 2022-1A Class A2I, 3.251% 12/5/51 (b)	98,750	88,621
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, CME Term SOFR 3 Month Index + 1.340% 6.6678% 4/20/33 (b)(c)(d)	570,000	566,548
Verizon Master Trust Series 2021-2 Class A, 0.99% 4/20/28	109,000	103,313
TOTAL ASSET-BACKED SECURITIES (Cost $2,021,321)		2,015,485

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% 6.0745% 8/15/36 (b)(c)(d)	250,000	235,283
District of Columbia Commercial Mtg Trust 2023-District of Columbia sequential payer Series 2023-DC Class A, 6.3143% 9/10/40 (b)	100,000	101,112
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $344,847)		336,395

Foreign Government and Government Agency Obligations - 0.6%
		Principal Amount (a)	Value ($)
German Federal Republic 4.75% 7/4/34	EUR	64,000	84,096
United Kingdom, Great Britain and Northern Ireland:
1% 4/22/24(Reg. S)	GBP	3,000	3,704
1.75% 9/7/37 (Reg. S)	GBP	23,000	20,805
2.25% 9/7/23	GBP	25,000	31,651
4.25% 6/7/32 (f)	GBP	41,000	51,871
4.5% 9/7/34	GBP	16,000	20,443
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $203,992)			212,570

Common Stocks - 0.1%
	Shares	Value ($)
CONSUMER DISCRETIONARY - 0.0%
Automobile Components - 0.0%
Aptiv PLC (g)	25	2,536
ENERGY - 0.0%
Oil, Gas & Consumable Fuels - 0.0%
New Fortress Energy, Inc.	114	3,539
HEALTH CARE - 0.0%
Health Care Providers & Services - 0.0%
Centene Corp. (g)	58	3,576
INDUSTRIALS - 0.0%
Electrical Equipment - 0.0%
Regal Rexnord Corp.	20	3,244
INFORMATION TECHNOLOGY - 0.1%
Electronic Equipment, Instruments & Components - 0.1%
Coherent Corp. (g)	105	3,951
TOTAL COMMON STOCKS (Cost $18,087)		16,846

Bank Loan Obligations - 0.1%
	Principal Amount (a)	Value ($)
CONSUMER DISCRETIONARY - 0.0%
Hotels, Restaurants & Leisure - 0.0%
ClubCorp Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 8.2879% 9/18/24 (c)(d)(h)	6,981	6,881
INDUSTRIALS - 0.0%
Commercial Services & Supplies - 0.0%
Neptune BidCo U.S., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.3985% 4/11/29 (c)(d)(h)	4,988	4,537
INFORMATION TECHNOLOGY - 0.1%
Software - 0.1%
Ascend Learning LLC 2LN, term loan CME Term SOFR 1 Month Index + 5.750% 11.1811% 12/10/29 (c)(d)(h)	3,000	2,559
Finastra U.S.A., Inc. Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 12.981% 6/13/25 (c)(d)(h)	6,000	5,991
Ultimate Software Group, Inc.:
1LN, term loan 1 month U.S. LIBOR + 3.250% 8.6184% 5/3/26 (c)(d)(h)	5,985	5,978
2LN, term loan CME Term SOFR 3 Month Index + 5.250% 10.6184% 5/3/27 (c)(d)(h)	2,000	1,986
		16,514
TOTAL BANK LOAN OBLIGATIONS (Cost $26,681)		27,932

Preferred Securities - 1.0%
		Principal Amount (a)	Value ($)
COMMUNICATION SERVICES - 0.3%
Diversified Telecommunication Services - 0.3%
Telefonica Europe BV 2.502% (Reg. S) (c)(i)	EUR	100,000	95,359
CONSUMER STAPLES - 0.3%
Food Products - 0.3%
Danone SA 1% (Reg. S) (c)(i)	EUR	100,000	95,381
FINANCIALS - 0.1%
Consumer Finance - 0.1%
Ally Financial, Inc. 4.7% (c)(i)		15,000	10,569
INDUSTRIALS - 0.0%
Trading Companies & Distributors - 0.0%
AerCap Holdings NV 5.875% 10/10/79 (c)		10,000	9,886
UTILITIES - 0.3%
Electric Utilities - 0.3%
TenneT Holding BV 2.995% (Reg. S) (c)(i)	EUR	100,000	107,773
TOTAL PREFERRED SECURITIES (Cost $340,022)			318,968

Money Market Funds - 9.9%
	Shares	Value ($)
Fidelity Cash Central Fund 5.43% (j) (Cost $3,268,690)	3,268,037	3,268,690

TOTAL INVESTMENT IN SECURITIES - 111.1% (Cost $38,650,368)	36,648,189
NET OTHER ASSETS (LIABILITIES) - (11.1)%	(3,649,718)
NET ASSETS - 100.0%	32,998,471

TBA Sale Commitments
	Principal Amount (a)	Value ($)
Ginnie Mae
2% 9/1/53	(150,000)	(123,749)
2.5% 9/1/53	(50,000)	(42,559)
3% 9/1/53	(50,000)	(43,965)

TOTAL GINNIE MAE		(210,273)

Uniform Mortgage Backed Securities
2% 9/1/38	(100,000)	(87,703)
2% 9/1/53	(200,000)	(159,213)
2% 9/1/53	(100,000)	(79,606)
2% 9/1/53	(100,000)	(79,606)
2% 9/1/53	(150,000)	(119,410)
2% 9/1/53	(150,000)	(119,410)

TOTAL UNIFORM MORTGAGE BACKED SECURITIES		(644,948)

TOTAL TBA SALE COMMITMENTS (Proceeds $846,291)		(855,221)

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 2023	203,805	592	592
CBOT 5-Year U.S. Treasury Note Contracts (United States)	1	Dec 2023	106,922	741	741
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States)	2	Dec 2023	232,219	2,824	2,824

TOTAL PURCHASED					4,157

Sold

Bond Index Contracts
ICE Long Gilt Contracts (United Kingdom)	1	Dec 2023	121,068	(2,421)	(2,421)

TOTAL FUTURES CONTRACTS					1,736
The notional amount of futures purchased as a percentage of Net Assets is 1.6%
The notional amount of futures sold as a percentage of Net Assets is 0.4%

For the period, the average monthly notional amount at value for futures contracts in the aggregate was $672,254.

Forward Foreign Currency Contracts
Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation/ (Depreciation) ($)

EUR	9,761	USD	10,587	Citibank, N. A.	9/05/23	(3)
EUR	3,000	USD	3,285	BNP Paribas S.A.	9/15/23	(30)
EUR	2,000	USD	2,177	BNP Paribas S.A.	9/15/23	(7)
EUR	1,000	USD	1,090	Brown Brothers Harriman & Co	9/15/23	(5)
EUR	2,000	USD	2,188	Canadian Imperial Bk. of Comm.	9/15/23	(18)
GBP	1,500	USD	1,900	BNP Paribas S.A.	9/15/23	0
GBP	2,000	USD	2,545	Brown Brothers Harriman & Co	9/15/23	(11)
GBP	2,000	USD	2,537	JPMorgan Chase Bank, N.A.	9/15/23	(4)
USD	10,987	EUR	10,000	BNP Paribas S.A.	9/15/23	139
USD	762,991	EUR	694,000	Bank of America, N.A.	9/15/23	10,089
USD	2,189	EUR	2,000	Bank of America, N.A.	9/15/23	20
USD	7,596	EUR	7,000	Citibank, N. A.	9/15/23	2
USD	2,210	EUR	2,000	JPMorgan Chase Bank, N.A.	9/15/23	41
USD	2,190	EUR	2,000	JPMorgan Chase Bank, N.A.	9/15/23	20
USD	345,022	GBP	269,000	BNP Paribas S.A.	9/15/23	4,237
USD	2,550	GBP	2,000	BNP Paribas S.A.	9/15/23	16
USD	3,933	GBP	3,000	Bank of America, N.A.	9/15/23	132

TOTAL FORWARD FOREIGN CURRENCY CONTRACTS						14,618
Unrealized Appreciation						14,696
Unrealized Depreciation						(78)

For the period, the average contract value for forward foreign currency contracts was $1,134,521. Contract value represents contract amount in United States dollars plus or minus unrealized appreciation or depreciation, respectively.

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)

(c)	Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(d)	Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(e)	Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(f)	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 $25,305.

(g)	Non-income producing

(h)	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.

(i)	Security is perpetual in nature with no stated maturity date.

(j)

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 5.43%	3,745,873	10,967,040	11,444,223	186,446	-	-	3,268,690	0.0%
Total	3,745,873	10,967,040	11,444,223	186,446	-	-	3,268,690

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

Investment Valuation

Valuation Inputs at Reporting Date:
Description	Total ($)	Level 1 ($)	Level 2 ($)	Level 3 ($)
Investments in Securities:

Equities:
Consumer Discretionary	2,536	2,536	-	-
Energy	3,539	3,539	-	-
Health Care	3,576	3,576	-	-
Industrials	3,244	3,244	-	-
Information Technology	3,951	3,951	-	-

Corporate Bonds	12,028,306	-	12,028,306	-

U.S. Government and Government Agency Obligations	12,636,726	-	12,636,726	-

U.S. Government Agency - Mortgage Securities	5,786,271	-	5,786,271	-

Asset-Backed Securities	2,015,485	-	2,015,485	-

Commercial Mortgage Securities	336,395	-	336,395	-

Foreign Government and Government Agency Obligations	212,570	-	212,570	-

Bank Loan Obligations	27,932	-	27,932	-

Preferred Securities	318,968	-	318,968	-

Money Market Funds	3,268,690	3,268,690	-	-
Total Investments in Securities:	36,648,189	3,285,536	33,362,653	-
Derivative Instruments:

Assets
Futures Contracts	4,157	4,157	-	-
Forward Foreign Currency Contracts	14,696	14,696	-	-
Total Assets	18,853	18,853	-	-

Liabilities
Futures Contracts	(2,421)	(2,421)	-	-
Forward Foreign Currency Contracts	(78)	(78)	-	-
Total Liabilities	(2,499)	(2,499)	-	-
Total Derivative Instruments:	16,354	16,354	-	-
Other Financial Instruments:

TBA Sale Commitments	(855,221)	-	(855,221)	-
Total Other Financial Instruments:	(855,221)	-	(855,221)	-

Value of Derivative Instruments

Primary Risk Exposure / Derivative Type	Value
	Asset ($)	Liability ($)
Foreign Exchange Risk
Forward Foreign Currency Contracts (a)	14,696	(78)
Total Foreign Exchange Risk	14,696	(78)
Interest Rate Risk
Futures Contracts (b)	4,157	(2,421)
Total Interest Rate Risk	4,157	(2,421)
Total Value of Derivatives	18,853	(2,499)

(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).

Financial Statements

Statement of Assets and Liabilities
				August 31, 2023

Assets
Investment in securities, at value - See accompanying schedule:
Unaffiliated issuers (cost $35,381,678)	$	33,379,499
Fidelity Central Funds (cost $3,268,690)		3,268,690


Total Investment in Securities (cost $38,650,368)			$	36,648,189
Cash				5,031
Foreign currency held at value (cost $18,427)				18,312
Receivable for TBA sale commitments				846,291
Unrealized appreciation on forward foreign currency contracts				14,696
Receivable for fund shares sold				12,533
Dividends receivable				10
Interest receivable				243,659
Distributions receivable from Fidelity Central Funds				14,907
Receivable from investment adviser for expense reductions				77
Total assets				37,803,705
Liabilities
Payable for investments purchased
Regular delivery	$	117,001
Delayed delivery		3,811,786
TBA sale commitments, at value		855,221
Unrealized depreciation on forward foreign currency contracts		78
Distributions payable		7,368
Accrued management fee		9,506
Distribution and service plan fees payable		1,265
Payable for daily variation margin on futures contracts		494
Other affiliated payables		2,429
Other payables and accrued expenses		86
Total Liabilities				4,805,234
Net Assets			$	32,998,471
Net Assets consist of:
Paid in capital			$	35,524,622
Total accumulated earnings (loss)				(2,526,151)
Net Assets			$	32,998,471

Net Asset Value and Maximum Offering Price
Class A :
Net Asset Value and redemption price per share ($1,278,712 ÷ 140,398 shares)(a)			$	9.11
Maximum offering price per share (100/96.00 of $9.11)			$	9.49
Class M :
Net Asset Value and redemption price per share ($1,016,234 ÷ 111,580 shares)(a)			$	9.11
Maximum offering price per share (100/96.00 of $9.11)			$	9.49
Class C :
Net Asset Value and offering price per share ($955,808 ÷ 104,956 shares)(a)			$	9.11
Fidelity Sustainable Core Plus Bond Fund :
Net Asset Value, offering price and redemption price per share ($25,949,676 ÷ 2,849,144 shares)			$	9.11
Class I :
Net Asset Value, offering price and redemption price per share ($956,602 ÷ 105,030 shares)			$	9.11
Class Z :
Net Asset Value, offering price and redemption price per share ($2,841,439 ÷ 311,970 shares)			$	9.11
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

Statement of Operations
				Year ended August 31, 2023
Investment Income
Dividends			$	15,085
Interest				1,087,621
Income from Fidelity Central Funds				186,446
Total Income				1,289,152
Expenses
Management fee	$	103,579
Transfer agent fees		26,870
Distribution and service plan fees		15,031
Independent trustees' fees and expenses		103
Miscellaneous		82
Total expenses before reductions		145,665
Expense reductions		(2,788)
Total expenses after reductions				142,877
Net Investment income (loss)				1,146,275
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment Securities:
Unaffiliated issuers		(536,315)
Forward foreign currency contracts		(38,726)
Foreign currency transactions		1,657
Futures contracts		(29,647)
Total net realized gain (loss)				(603,031)
Change in net unrealized appreciation (depreciation) on:
Investment Securities:
Unaffiliated issuers		(620,965)
Forward foreign currency contracts		(17,509)
Assets and liabilities in foreign currencies		1,632
Futures contracts		5,901
TBA Sale commitments		(16,890)
Total change in net unrealized appreciation (depreciation)				(647,831)
Net gain (loss)				(1,250,862)
Net increase (decrease) in net assets resulting from operations			$	(104,587)

Statement of Changes in Net Assets

		Year ended August 31, 2023		For the period April 13, 2022 (commencement of operations) through August 31, 2022
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	1,146,275	$	266,038
Net realized gain (loss)		(603,031)		(4,851)
Change in net unrealized appreciation (depreciation)		(647,831)		(1,347,011)
Net increase (decrease) in net assets resulting from operations		(104,587)		(1,085,824)
Distributions to shareholders		(1,118,812)		(216,947)

Share transactions - net increase (decrease)		7,076,707		28,447,934
Total increase (decrease) in net assets		5,853,308		27,145,163

Net Assets
Beginning of period		27,145,163		-
End of period	$	32,998,471	$	27,145,163

Financial Highlights

Fidelity Advisor® Sustainable Core Plus Bond Fund Class A

Years ended August 31,		2023		2022 A
Selected Per-Share Data
Net asset value, beginning of period	$	9.51	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.340		.094
Net realized and unrealized gain (loss)		(.408)		(.508)
Total from investment operations		(.068)		(.414)
Distributions from net investment income		(.332)		(.076)
Total distributions		(.332)		(.076)
Net asset value, end of period	$	9.11	$	9.51
Total Return D,E,F		(.70)%		(4.15)%
Ratios to Average Net Assets C,G,H
Expenses before reductions		.68%		.65% I
Expenses net of fee waivers, if any		.68%		.65% I
Expenses net of all reductions		.67%		.65% I
Net investment income (loss)		3.68%		2.54% I
Supplemental Data
Net assets, end of period (000 omitted)	$	1,279	$	1,226
Portfolio turnover rate J		266%		118% K

AFor the period April 13, 2022 (commencement of operations) through August 31, 2022

BCalculated based on average shares outstanding during the period.

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.

FTotal returns do not include the effect of the sales charges.

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.

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 Advisor® Sustainable Core Plus Bond Fund Class M

Years ended August 31,		2023		2022 A
Selected Per-Share Data
Net asset value, beginning of period	$	9.51	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.342		.095
Net realized and unrealized gain (loss)		(.408)		(.509)
Total from investment operations		(.066)		(.414)
Distributions from net investment income		(.334)		(.076)
Total distributions		(.334)		(.076)
Net asset value, end of period	$	9.11	$	9.51
Total Return D,E,F		(.68)%		(4.15)%
Ratios to Average Net Assets C,G,H
Expenses before reductions		.66%		.65% I
Expenses net of fee waivers, if any		.66%		.65% I
Expenses net of all reductions		.65%		.65% I
Net investment income (loss)		3.71%		2.54% I
Supplemental Data
Net assets, end of period (000 omitted)	$	1,016	$	1,020
Portfolio turnover rate J		266%		118% K

AFor the period April 13, 2022 (commencement of operations) through August 31, 2022

BCalculated based on average shares outstanding during the period.

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.

FTotal returns do not include the effect of the sales charges.

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.

IAnnualized.

JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

KAmount not annualized.

Fidelity Advisor® Sustainable Core Plus Bond Fund Class C

Years ended August 31,		2023		2022 A
Selected Per-Share Data
Net asset value, beginning of period	$	9.51	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.273		.067
Net realized and unrealized gain (loss)		(.408)		(.508)
Total from investment operations		(.135)		(.441)
Distributions from net investment income		(.265)		(.049)
Total distributions		(.265)		(.049)
Net asset value, end of period	$	9.11	$	9.51
Total Return D,E,F		(1.42)%		(4.41)%
Ratios to Average Net Assets C,G,H
Expenses before reductions		1.40%		1.39% I
Expenses net of fee waivers, if any		1.40%		1.39% I
Expenses net of all reductions		1.40%		1.39% I
Net investment income (loss)		2.96%		1.79% I
Supplemental Data
Net assets, end of period (000 omitted)	$	956	$	955
Portfolio turnover rate J		266%		118% K

AFor the period April 13, 2022 (commencement of operations) through August 31, 2022

BCalculated based on average shares outstanding during the period.

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.

FTotal returns do not include the effect of the contingent deferred sales charge.

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.

IAnnualized.

JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

KAmount not annualized.

Fidelity® Sustainable Core Plus Bond Fund

Years ended August 31,		2023		2022 A
Selected Per-Share Data
Net asset value, beginning of period	$	9.51	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.360		.102
Net realized and unrealized gain (loss)		(.407)		(.509)
Total from investment operations		(.047)		(.407)
Distributions from net investment income		(.353)		(.083)
Total distributions		(.353)		(.083)
Net asset value, end of period	$	9.11	$	9.51
Total Return D,E		(.47)%		(4.08)%
Ratios to Average Net Assets C,F,G
Expenses before reductions		.45%		.45% H
Expenses net of fee waivers, if any		.45%		.45% H
Expenses net of all reductions		.44%		.44% H
Net investment income (loss)		3.91%		2.74% H
Supplemental Data
Net assets, end of period (000 omitted)	$	25,950	$	21,580
Portfolio turnover rate I		266%		118% J

AFor the period April 13, 2022 (commencement of operations) through August 31, 2022

BCalculated based on average shares outstanding during the period.

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.

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.

HAnnualized.

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

JAmount not annualized.

Fidelity Advisor® Sustainable Core Plus Bond Fund Class I

Years ended August 31,		2023		2022 A
Selected Per-Share Data
Net asset value, beginning of period	$	9.51	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.365		.104
Net realized and unrealized gain (loss)		(.408)		(.509)
Total from investment operations		(.043)		(.405)
Distributions from net investment income		(.357)		(.085)
Total distributions		(.357)		(.085)
Net asset value, end of period	$	9.11	$	9.51
Total Return D,E		(.43)%		(4.06)%
Ratios to Average Net Assets C,F,G
Expenses before reductions		.41%		.40% H
Expenses net of fee waivers, if any		.41%		.40% H
Expenses net of all reductions		.40%		.40% H
Net investment income (loss)		3.95%		2.79% H
Supplemental Data
Net assets, end of period (000 omitted)	$	957	$	959
Portfolio turnover rate I		266%		118% J

AFor the period April 13, 2022 (commencement of operations) through August 31, 2022

BCalculated based on average shares outstanding during the period.

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.

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.

HAnnualized.

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

JAmount not annualized.

Fidelity Advisor® Sustainable Core Plus Bond Fund Class Z

Years ended August 31,		2023		2022 A
Selected Per-Share Data
Net asset value, beginning of period	$	9.51	$	10.00
Income from Investment Operations
Net investment income (loss) B,C		.368		.105
Net realized and unrealized gain (loss)		(.407)		(.509)
Total from investment operations		(.039)		(.404)
Distributions from net investment income		(.361)		(.086)
Total distributions		(.361)		(.086)
Net asset value, end of period	$	9.11	$	9.51
Total Return D,E		(.38)%		(4.05)%
Ratios to Average Net Assets C,F,G
Expenses before reductions		.40%		.40% H
Expenses net of fee waivers, if any		.36%		.36% H
Expenses net of all reductions		.35%		.36% H
Net investment income (loss)		4.00%		2.82% H
Supplemental Data
Net assets, end of period (000 omitted)	$	2,841	$	1,404
Portfolio turnover rate I		266%		118% J

AFor the period April 13, 2022 (commencement of operations) through August 31, 2022

BCalculated based on average shares outstanding during the period.

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.

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.

HAnnualized.

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

JAmount not annualized.

Notes to Financial Statements

For the period ended August 31, 2023

1. Organization.

Fidelity Sustainable Core Plus Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Fidelity Sustainable Core Plus Bond Fund, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Class A, Class M, Class C, Class I and Class Z are Fidelity Advisor classes. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.

2. Investments in Fidelity Central Funds.

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.

3. Significant Accounting Policies.

The 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 the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing 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 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.

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.

Book-tax differences are primarily due to futures contracts, foreign currency transactions, market discount, 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:

Gross unrealized appreciation	$91,505
Gross unrealized depreciation	(1,936,441)
Net unrealized appreciation (depreciation)	$(1,844,936)
Tax Cost	$38,473,200

The tax-based components of distributable earnings as of period end were as follows:

Capital loss carryforward	$(626,168)
Net unrealized appreciation (depreciation) on securities and other investments	$(1,845,023)

Short-term	$(531,371)
Long-term	(94,797)
Total Capital loss carryforward	$(626,168)

The tax character of distributions paid was as follows:

	August 31, 2023	August 31, 2022(A)
Ordinary Income	$1,118,812	$216,947

A For the period April 13, 2022 (commencement of operations) through August 31, 2022.

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. The 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.

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 Fund
Foreign Exchange Risk
Forward Foreign Currency Contracts	(38,726)	(17,509)
Total Foreign Exchange Risk	(38,726)	(17,509)
Interest Rate Risk
Futures Contracts	(29,647)	5,901
Total Interest Rate Risk	(29,647)	5,901
Totals	(68,373)	(11,608)

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.

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 Fund	53,389,084	53,180,091

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .35% of the Fund's average net assets. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain other expenses such as proxy and shareholder meeting expenses.

	Distribution Fee	Service Fee	Total Fees	Retained by FDC
Class A	- %	.25%	$3,084	$2,371
Class M	- %	.25%	2,519	2,364
Class C	.75%	.25%	9,428	9,428
			$15,031	$14,163

Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, .75% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.

For the period, sales charge amounts retained by FDC were as follows:

	Retained by FDC
Class A	$132
Class M	3
	$135

Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class Z. FIIOC receives an asset-based fee of Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

For the period, transfer agent fees for each class were as follows:

	Amount	% of Class-Level Average Net Assets
Class A	$947	.08
Class M	563	.06
Class C	503	.05
Fidelity Sustainable Core Plus Bond Fund	23,098	.10
Class I	552	.06
Class Z	1,207	.05
	$26,870

	Purchases ($)	Sales ($)	Realized Gain (Loss) ($)
Fidelity Sustainable Core Plus Bond Fund	2,577	-	-

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 expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through December 31, 2024. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

	Expense Limitations	Reimbursement
Class Z	.36%	$965

Through arrangements with the Funds's custodian and each class' transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $1,665. During the period, transfer agent credits reduced each class' expenses as noted in the table below.

	Expense reduction
Fidelity Sustainable Core Plus Bond Fund	$151
Class Z	7
	$158

9. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

	Year ended August 31, 2023	Year ended August 31, 2022(A)
Fidelity Sustainable Core Plus Bond Fund
Distributions to shareholders
Class A	$44,240	$8,626
Class M	36,431	7,990
Class C	27,042	4,929
Fidelity Sustainable Core Plus Bond Fund	879,001	176,769
Class I	36,669	8,539
Class Z	95,429	10,094
Total	$1,118,812	$216,947

A For the period April 13, 2022 (commencement of operations) through August 31, 2022.

10. Share Transactions.

Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:

	Shares	Shares	Dollars	Dollars
	Year ended August 31, 2023	Year ended August 31, 2022(A)	Year ended August 31, 2023	Year ended August 31, 2022(A)
Fidelity Sustainable Core Plus Bond Fund
Class A
Shares sold	11,550	128,095	$106,435	$1,274,103
Reinvestment of distributions	4,800	894	44,221	8,626
Shares redeemed	(4,941)	-	(44,491)	-
Net increase (decrease)	11,409	128,989	$106,165	$1,282,729
Class M
Shares sold	282	106,515	$2,586	$1,063,912
Reinvestment of distributions	3,955	828	36,431	7,990
Net increase (decrease)	4,237	107,343	$39,017	$1,071,902
Class C
Shares sold	1,510	100,000	$13,933	$1,000,000
Reinvestment of distributions	2,935	511	27,042	4,929
Net increase (decrease)	4,445	100,511	$40,975	$1,004,929
Fidelity Sustainable Core Plus Bond Fund
Shares sold	651,637	2,282,092	$6,008,332	$22,734,686
Reinvestment of distributions	91,488	18,248	842,757	176,180
Shares redeemed	(163,965)	(30,356)	(1,507,484)	(289,711)
Net increase (decrease)	579,160	2,269,984	$5,343,605	$22,621,155
Class I
Shares sold	165	100,000	$1,500	$1,000,000
Reinvestment of distributions	3,981	884	36,669	8,539
Net increase (decrease)	4,146	100,884	$38,169	$1,008,539
Class Z
Shares sold	193,280	146,829	$1,767,500	$1,450,000
Reinvestment of distributions	6,742	899	62,181	8,680
Shares redeemed	(35,780)	-	(320,905)	-
Net increase (decrease)	164,242	147,728	$1,508,776	$1,458,680

A For the period April 13, 2022 (commencement of operations) through August 31, 2022.

11. Other.

At the end of the period, the investment adviser or its affiliates were owners of record of more than 10% of the outstanding shares as follows:

Fund	Affiliated %
Fidelity Sustainable Core Plus Bond Fund	72%

12. Risk and Uncertainties.

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Salem Street Trust and the Shareholders of Fidelity Sustainable Core Plus Bond Fund:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Fidelity Sustainable Core Plus Bond Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of August 31, 2023, 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 April 13, 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 the Fund as of August 31, 2023, and the results of its operations for the year then ended, the changes in its net assets, and the financial highlights for the year then ended and for the period from April 13, 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 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, 2023, by correspondence with the custodian 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 opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

October 11, 2023

We have served as the auditor of one or more of the Fidelity investment companies since 1999.

Trustees and Officers

TRUSTEES AND OFFICERS

Interested Trustees*:

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Christine J. Thompson (1958)

Year of Election or Appointment: 2023

Trustee

* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Laura M. Bishop (1961)

Year of Election or Appointment: 2023

Trustee

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Robert W. Helm (1957)

Year of Election or Appointment: 2023

Trustee

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Chairman of the Independent Trustees

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Carol J. Zierhoffer (1960)

Year of Election or Appointment: 2023

Trustee

Advisory Board Members and Officers:

Name, Year of Birth; Principal Occupation

Heather Bonner (1977)

Year of Election or Appointment: 2023

Assistant Treasurer

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

Margaret Carey (1973)

Year of Election or Appointment: 2023

Secretary and Chief Legal Officer (CLO)

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

Robin Foley (1964)

Year of Election or Appointment: 2023

Vice President

Christopher M. Gouveia (1973)

Year of Election or Appointment: 2023

Chief Compliance Officer

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Jim Wegmann (1979)

Year of Election or Appointment: 2021

Deputy Treasurer

Shareholder Expense Example

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2023 to August 31, 2023).

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Expense Ratio- A	Beginning Account Value March 1, 2023	Ending Account Value August 31, 2023	Expenses Paid During Period- C March 1, 2023 to August 31, 2023
Fidelity® Sustainable Core Plus Bond Fund
Class A	.68%
Actual		$ 1,000	$ 1,010.20	$ 3.45
Hypothetical-B		$ 1,000	$ 1,021.78	$ 3.47
Class M	.65%
Actual		$ 1,000	$ 1,010.30	$ 3.29
Hypothetical-B		$ 1,000	$ 1,021.93	$ 3.31
Class C	1.39%
Actual		$ 1,000	$ 1,006.60	$ 7.03
Hypothetical-B		$ 1,000	$ 1,018.20	$ 7.07
Fidelity® Sustainable Core Plus Bond Fund	.45%
Actual		$ 1,000	$ 1,011.40	$ 2.28
Hypothetical-B		$ 1,000	$ 1,022.94	$ 2.29
Class I	.40%
Actual		$ 1,000	$ 1,011.60	$ 2.03
Hypothetical-B		$ 1,000	$ 1,023.19	$ 2.04
Class Z	.36%
Actual		$ 1,000	$ 1,011.80	$ 1.83
Hypothetical-B		$ 1,000	$ 1,023.39	$ 1.84

A Annualized expense ratio reflects expenses net of applicable fee waivers.

B 5% return per year before expenses

Distributions (Unaudited)

The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.

A total of 23.37% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $410,270 of distributions paid in the calendar year 2022 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates $992,111 of distributions paid during the fiscal year ended 2023 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.

1.9904879.101

SCB-ANN-1023

Fidelity® Corporate Bond Fund

Annual Report

August 31, 2023

Includes Fidelity and Fidelity Advisor share classes

Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

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.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Performance: The Bottom Line

Average Annual Total Returns

Periods ended August 31, 2023	Past 1 year	Past 5 years	Past 10 years
Class A (incl. 4.00% sales charge)	-3.33%	0.22%	1.93%
Class M (incl. 4.00% sales charge)	-3.38%	0.17%	1.87%
Class C (incl. contingent deferred sales charge)	-1.04%	0.27%	1.74%
Fidelity® Corporate Bond Fund	1.03%	1.37%	2.69%
Class I	0.98%	1.32%	2.64%
Class Z	1.02%	1.43%	2.70%

Class C shares' contingent deferred sales charges included in the past one year, past five years and past ten years total return figures are 1%, 0% and 0%, respectively.

The initial offering of Class Z shares took place on October 2, 2018. Returns prior to October 2, 2018, are those of Class I.

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Corporate Bond Fund, a class of the fund, on August 31, 2013.

The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. Credit Bond Index performed over the same period.

Management's Discussion of Fund Performance

Market Recap:

Comments from Co-Portfolio Managers Matthew Bartlett, Jay Small and Ben Tarlow:

For the fiscal year, the fund's share classes (excluding sales charges, if applicable) gained about 1%, versus 0.85% for the benchmark, the Bloomberg U.S. Credit Bond Index. For the 12 months, security selection contributed to the fund's performance versus the benchmark, whereas sector positioning detracted. This period, we found attractive opportunities among bonds rated BBB that offered a yield advantage over the broader investment-grade corporate market. We maintained a substantial allocation to U.S. Treasuries and cash for risk-management and liquidity purposes. This helped relative performance, while also giving us the flexibility to add risk if the market presented favorable opportunities. By sector, bond picks within industrials helped relative performance most, led by our choices among consumer-focused companies. Selection among financials issuers also contributed, fueled by a recovery in the fund's banking holdings. On the downside, positioning among real estate investment trusts modestly dampened the fund's relative result this period. Outside of corporate credit, our allocation to Treasuries and cash meaningfully detracted. However, this negative was somewhat offset by underweighting other government-related categories, as these bonds lagged credit in an improving market.

Investment Summary August 31, 2023 (Unaudited)

Quality Diversification (% of Fund's net assets)

Asset Allocation (% of Fund's net assets)

Geographic Diversification (% of Fund's net assets)

* Includes Short-Term investments and Net Other Assets (Liabilities).

Percentages are adjusted for the effect of derivatives, if applicable.

Schedule of Investments August 31, 2023

Showing Percentage of Net Assets

Nonconvertible Bonds - 87.6%
	Principal Amount (a)	Value ($)
COMMUNICATION SERVICES - 6.3%
Diversified Telecommunication Services - 2.0%
AT&T, Inc.:
2.25% 2/1/32	4,905,000	3,826,899
3.55% 9/15/55	2,075,000	1,354,288
3.65% 9/15/59	1,452,000	939,692
3.8% 12/1/57	6,174,000	4,163,746
4.3% 2/15/30	1,886,000	1,758,440
4.5% 5/15/35	1,446,000	1,285,071
Verizon Communications, Inc.:
2.355% 3/15/32	5,282,000	4,177,736
2.55% 3/21/31	1,827,000	1,503,963
3% 11/20/60	3,160,000	1,855,550
3.15% 3/22/30	272,000	238,570
3.7% 3/22/61	4,527,000	3,084,164
4.016% 12/3/29	3,773,000	3,507,754
4.329% 9/21/28	856,000	819,820
4.4% 11/1/34	4,919,000	4,456,762
4.5% 8/10/33	395,000	364,950
		33,337,405
Entertainment - 0.6%
The Walt Disney Co.:
3.8% 3/22/30	4,395,000	4,115,491
4.7% 3/23/50	1,886,000	1,721,660
6.65% 11/15/37	3,552,000	4,002,747
		9,839,898
Media - 2.7%
CCO Holdings LLC/CCO Holdings Capital Corp. 4.5% 8/15/30 (b)	4,980,000	4,189,162
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
3.7% 4/1/51	2,754,000	1,711,411
3.85% 4/1/61	3,207,000	1,915,940
5.25% 4/1/53	3,282,000	2,597,906
5.375% 5/1/47	1,762,000	1,407,968
5.5% 4/1/63	1,396,000	1,096,690
Comcast Corp.:
2.937% 11/1/56	977,000	607,964
2.987% 11/1/63	3,786,000	2,288,859
3.999% 11/1/49	538,000	429,296
Discovery Communications LLC:
3.95% 3/20/28	4,905,000	4,561,879
4.65% 5/15/50	2,188,000	1,630,883
Fox Corp.:
3.5% 4/8/30	3,603,000	3,222,812
4.709% 1/25/29	153,000	147,596
5.476% 1/25/39	151,000	137,040
5.576% 1/25/49	100,000	89,321
Magallanes, Inc.:
3.755% 3/15/27	794,000	744,707
4.054% 3/15/29	275,000	252,889
4.279% 3/15/32	6,748,000	5,954,702
5.05% 3/15/42	1,147,000	942,871
5.141% 3/15/52	5,092,000	4,058,882
5.391% 3/15/62	2,071,000	1,643,692
Time Warner Cable LLC:
5.5% 9/1/41	212,000	174,170
5.875% 11/15/40	2,823,000	2,456,256
6.55% 5/1/37	728,000	691,733
6.75% 6/15/39	470,000	454,647
7.3% 7/1/38	2,609,000	2,643,044
		46,052,320
Wireless Telecommunication Services - 1.0%
Rogers Communications, Inc.:
3.8% 3/15/32	4,507,000	3,854,720
4.55% 3/15/52	4,154,000	3,218,736
T-Mobile U.S.A., Inc.:
2.4% 3/15/29	1,197,000	1,028,961
2.7% 3/15/32	8,119,000	6,611,198
5.65% 1/15/53	1,509,000	1,471,953
Vodafone Group PLC 3.25% 6/4/81 (c)	1,094,000	966,661
		17,152,229
TOTAL COMMUNICATION SERVICES		106,381,852
CONSUMER DISCRETIONARY - 3.9%
Automobiles - 1.7%
Ford Motor Co. 3.25% 2/12/32	4,150,000	3,239,264
General Motors Co.:
5% 4/1/35	860,000	767,870
5.2% 4/1/45	981,000	810,662
5.4% 4/1/48	396,000	329,395
5.6% 10/15/32	1,886,000	1,815,320
5.95% 4/1/49	1,871,000	1,677,795
General Motors Financial Co., Inc.:
3.1% 1/12/32	4,550,000	3,645,659
4.3% 4/6/29	4,225,000	3,861,950
Stellantis Finance U.S., Inc.:
1.711% 1/29/27 (b)	2,261,000	1,977,370
2.691% 9/15/31 (b)	4,207,000	3,297,018
Volkswagen Group of America Finance LLC:
1.625% 11/24/27 (b)	4,527,000	3,900,962
4.75% 11/13/28 (b)	3,045,000	2,943,707
		28,266,972
Distributors - 0.1%
Genuine Parts Co. 2.75% 2/1/32	2,276,000	1,855,163
Diversified Consumer Services - 0.2%
Ingersoll-Rand Global Holding Co. Ltd.:
3.75% 8/21/28	1,941,000	1,820,974
5.75% 6/15/43	135,000	135,242
Massachusetts Institute of Technology 3.885% 7/1/2116	2,494,000	1,864,340
		3,820,556
Hotels, Restaurants & Leisure - 0.1%
McDonald's Corp. 4.875% 12/9/45	2,520,000	2,327,473
Specialty Retail - 1.6%
Advance Auto Parts, Inc. 1.75% 10/1/27	1,890,000	1,594,471
AutoNation, Inc.:
1.95% 8/1/28	4,659,000	3,859,588
2.4% 8/1/31	2,075,000	1,599,573
3.85% 3/1/32	2,037,000	1,724,535
4.75% 6/1/30	134,000	124,803
AutoZone, Inc. 4% 4/15/30	3,622,000	3,351,432
Lowe's Companies, Inc.:
3% 10/15/50	4,414,000	2,800,585
3.75% 4/1/32	3,773,000	3,380,500
5.625% 4/15/53	2,433,000	2,362,883
O'Reilly Automotive, Inc.:
3.9% 6/1/29	1,101,000	1,033,019
4.35% 6/1/28	2,372,000	2,301,719
The Home Depot, Inc. 5.95% 4/1/41	319,000	341,158
Triton Container International Ltd. 1.15% 6/7/24 (b)	2,056,000	1,968,435
		26,442,701
Textiles, Apparel & Luxury Goods - 0.2%
Tapestry, Inc. 3.05% 3/15/32	4,631,000	3,562,455
TOTAL CONSUMER DISCRETIONARY		66,275,320
CONSUMER STAPLES - 5.8%
Beverages - 0.8%
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. 4.9% 2/1/46	4,527,000	4,211,237
Anheuser-Busch InBev Finance, Inc.:
4.7% 2/1/36	765,000	732,189
4.9% 2/1/46	364,000	338,611
Anheuser-Busch InBev Worldwide, Inc.:
4.5% 6/1/50	2,641,000	2,356,743
4.6% 4/15/48	3,965,000	3,570,908
Constellation Brands, Inc. 2.875% 5/1/30	3,254,000	2,807,944
		14,017,632
Consumer Staples Distribution & Retail - 0.8%
Alimentation Couche-Tard, Inc. 2.95% 1/25/30 (b)	3,630,000	3,087,600
Dollar General Corp. 3.5% 4/3/30	4,214,000	3,745,233
Dollar Tree, Inc.:
2.65% 12/1/31	4,527,000	3,655,944
4.2% 5/15/28	2,406,000	2,283,163
		12,771,940
Food Products - 1.4%
JBS U.S.A. Lux SA / JBS Food Co.:
2.5% 1/15/27	4,986,000	4,481,890
3% 5/15/32	4,771,000	3,767,628
4.375% 2/2/52	2,067,000	1,465,200
5.5% 1/15/30	4,848,000	4,694,049
6.5% 12/1/52	3,018,000	2,892,381
JDE Peet's BV 2.25% 9/24/31 (b)	1,612,000	1,239,534
Smithfield Foods, Inc. 3% 10/15/30 (b)	798,000	627,026
Viterra Finance BV 4.9% 4/21/27 (b)	5,018,000	4,855,057
		24,022,765
Tobacco - 2.8%
Altria Group, Inc.:
2.45% 2/4/32	2,216,000	1,729,582
3.4% 2/4/41	3,886,000	2,647,790
4.25% 8/9/42	461,000	349,214
BAT Capital Corp.:
2.259% 3/25/28	4,358,000	3,747,036
2.726% 3/25/31	5,810,000	4,600,163
3.215% 9/6/26	4,258,000	3,975,975
3.222% 8/15/24	1,189,000	1,159,506
3.557% 8/15/27	795,000	737,505
3.984% 9/25/50	1,886,000	1,247,158
4.7% 4/2/27	759,000	736,114
7.75% 10/19/32	3,622,000	3,930,353
BAT International Finance PLC 4.448% 3/16/28	2,886,000	2,736,014
Imperial Tobacco Finance PLC:
3.5% 7/26/26 (b)	2,929,000	2,751,639
4.25% 7/21/25 (b)	1,778,000	1,719,417
6.125% 7/27/27 (b)	725,000	732,937
Philip Morris International, Inc.:
4.375% 11/15/41	712,000	588,840
5.125% 2/15/30	6,763,000	6,684,468
5.625% 11/17/29	3,301,000	3,337,623
5.75% 11/17/32	3,508,000	3,557,907
Reynolds American, Inc.:
4.45% 6/12/25	124,000	121,312
5.7% 8/15/35	103,000	95,267
		47,185,820
TOTAL CONSUMER STAPLES		97,998,157
ENERGY - 7.6%
Energy Equipment & Services - 0.3%
Baker Hughes Co. 4.486% 5/1/30	4,527,000	4,358,308
Oil, Gas & Consumable Fuels - 7.3%
Boardwalk Pipelines LP 4.95% 12/15/24	1,396,000	1,375,829
Canadian Natural Resources Ltd.:
2.95% 7/15/30	5,193,000	4,430,386
3.9% 2/1/25	1,465,000	1,423,748
5.85% 2/1/35	180,000	174,937
6.25% 3/15/38	1,474,000	1,485,525
Cenovus Energy, Inc.:
2.65% 1/15/32	465,000	374,301
3.75% 2/15/52	1,441,000	1,011,300
4.25% 4/15/27	982,000	943,256
5.25% 6/15/37	1,000,000	911,786
5.375% 7/15/25	3,447,000	3,409,745
5.4% 6/15/47	1,512,000	1,359,138
6.75% 11/15/39	911,000	944,566
Cheniere Corpus Christi Holdings LLC 5.875% 3/31/25	2,158,000	2,150,661
Columbia Pipelines Operating Co. LLC:
5.927% 8/15/30 (b)	242,000	244,114
6.036% 11/15/33 (b)	652,000	658,683
6.497% 8/15/43 (b)	195,000	197,651
6.544% 11/15/53 (b)	351,000	358,794
ConocoPhillips Co.:
6.5% 2/1/39	1,559,000	1,738,702
6.95% 4/15/29	1,033,000	1,136,758
DCP Midstream Operating LP:
5.125% 5/15/29	3,085,000	3,008,183
5.375% 7/15/25	1,886,000	1,867,168
5.6% 4/1/44	116,000	108,214
6.75% 9/15/37 (b)	726,000	766,255
Eastern Gas Transmission & Storage, Inc.:
3% 11/15/29	2,833,000	2,463,878
3.9% 11/15/49	2,641,000	1,844,229
Enbridge, Inc.:
4.25% 12/1/26	144,000	139,007
5.5% 12/1/46	1,286,000	1,188,867
Energy Transfer LP:
3.75% 5/15/30	4,020,000	3,590,368
4% 10/1/27	1,530,000	1,437,621
4.25% 4/1/24	4,329,000	4,283,098
4.95% 6/15/28	333,000	322,508
5% 5/15/50	6,282,000	5,170,931
5.4% 10/1/47	661,000	569,351
5.75% 2/15/33	1,509,000	1,500,298
5.8% 6/15/38	186,000	176,310
6% 6/15/48	121,000	111,851
Florida Gas Transmission Co. LLC 4.35% 7/15/25 (b)	1,702,000	1,656,189
Hess Corp.:
4.3% 4/1/27	5,088,000	4,894,671
5.6% 2/15/41	2,853,000	2,682,379
5.8% 4/1/47	4,188,000	3,996,846
7.3% 8/15/31	1,198,000	1,307,891
7.875% 10/1/29	2,092,000	2,311,904
Magellan Midstream Partners LP 3.25% 6/1/30	3,848,000	3,354,622
MPLX LP:
1.75% 3/1/26	3,522,000	3,207,765
2.65% 8/15/30	4,527,000	3,757,113
4.875% 12/1/24	144,000	142,125
4.95% 9/1/32	1,461,000	1,380,233
5.65% 3/1/53	5,304,000	4,805,809
Occidental Petroleum Corp.:
2.9% 8/15/24	439,000	426,778
5.55% 3/15/26	253,000	250,870
Ovintiv, Inc.:
5.15% 11/15/41	611,000	499,745
7.375% 11/1/31	393,000	421,482
8.125% 9/15/30	1,754,000	1,946,836
Petroleos Mexicanos:
4.5% 1/23/26	2,641,000	2,320,119
6.49% 1/23/27	374,000	326,180
6.5% 3/13/27	3,234,000	2,823,525
Phillips 66 Co. 3.85% 4/9/25	88,000	85,626
Plains All American Pipeline LP/PAA Finance Corp.:
3.8% 9/15/30	639,000	565,459
4.65% 10/15/25	2,210,000	2,155,286
Southeast Supply Header LLC 4.25% 6/15/24 (b)	252,000	238,770
Spectra Energy Partners LP:
3.375% 10/15/26	1,568,000	1,476,261
4.5% 3/15/45	329,000	264,689
Suncor Energy, Inc. 6.5% 6/15/38	1,289,000	1,319,312
The Williams Companies, Inc.:
2.6% 3/15/31	4,640,000	3,807,934
3.5% 11/15/30	1,436,000	1,271,912
4.65% 8/15/32	1,460,000	1,370,989
5.3% 8/15/52	323,000	290,825
5.75% 6/24/44	1,664,000	1,574,641
TransCanada PipeLines Ltd. 4.25% 5/15/28	3,697,000	3,519,664
Transcontinental Gas Pipe Line Co. LLC 3.25% 5/15/30	169,000	148,955
Western Gas Partners LP:
4.05% 2/1/30	7,975,000	7,113,745
4.65% 7/1/26	90,000	87,044
6.15% 4/1/33	2,655,000	2,637,344
		123,319,555
TOTAL ENERGY		127,677,863
FINANCIALS - 32.5%
Banks - 17.4%
AIB Group PLC:
4.263% 4/10/25 (b)(c)	1,955,000	1,925,963
7.583% 10/14/26 (b)(c)	3,792,000	3,884,297
Banco Santander SA 2.749% 12/3/30	6,600,000	5,114,527
Bank of America Corp.:
1.898% 7/23/31 (c)	4,225,000	3,335,183
2.592% 4/29/31 (c)	4,716,000	3,922,805
2.972% 2/4/33 (c)	11,318,000	9,305,833
3.194% 7/23/30 (c)	6,399,000	5,617,809
3.705% 4/24/28 (c)	2,372,000	2,220,370
4.571% 4/27/33 (c)	5,282,000	4,896,358
5.015% 7/22/33 (c)	6,866,000	6,608,227
6.11% 1/29/37	812,000	841,077
Bank of Ireland Group PLC 4.5% 11/25/23 (b)	2,398,000	2,384,475
Barclays PLC:
3.65% 3/16/25	1,473,000	1,420,758
3.811% 3/10/42 (c)	4,527,000	3,161,840
5.088% 6/20/30 (c)	4,072,000	3,730,809
5.746% 8/9/33 (c)	1,257,000	1,204,487
7.437% 11/2/33 (c)	4,452,000	4,764,827
BNP Paribas SA:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 1.323% 1/13/27 (b)(c)(d)	2,450,000	2,203,073
1.904% 9/30/28 (b)(c)	4,433,000	3,803,555
2.159% 9/15/29 (b)(c)	2,375,000	1,986,965
2.591% 1/20/28 (b)(c)	1,660,000	1,494,762
2.824% 1/26/41 (b)	3,509,000	2,287,825
BPCE SA:
2.277% 1/20/32 (b)(c)	4,556,000	3,520,857
3.116% 10/19/32 (b)(c)	3,697,000	2,858,080
Citigroup, Inc.:
2.666% 1/29/31 (c)	3,094,000	2,593,021
3.785% 3/17/33 (c)	3,773,000	3,280,354
3.98% 3/20/30 (c)	4,527,000	4,169,099
4.4% 6/10/25	502,000	489,501
4.412% 3/31/31 (c)	3,773,000	3,503,285
4.6% 3/9/26	347,000	337,866
4.91% 5/24/33 (c)	1,983,000	1,884,986
6.174% 5/25/34 (c)	975,000	971,596
8.125% 7/15/39	652,000	811,880
Citizens Financial Group, Inc. 2.638% 9/30/32	2,619,000	1,910,209
Commonwealth Bank of Australia 3.784% 3/14/32 (b)	9,980,000	8,313,318
Credit Agricole SA 2.811% 1/11/41 (b)	2,524,000	1,642,227
Fifth Third Bancorp 8.25% 3/1/38	1,305,000	1,473,329
HSBC Holdings PLC:
2.251% 11/22/27 (c)	3,246,000	2,894,606
2.357% 8/18/31 (c)	9,356,000	7,409,422
2.848% 6/4/31 (c)	3,697,000	3,049,014
4.041% 3/13/28 (c)	2,266,000	2,128,188
4.762% 3/29/33 (c)	4,735,000	4,207,979
4.95% 3/31/30	200,000	192,426
5.402% 8/11/33 (c)	3,062,000	2,922,958
Huntington Bancshares, Inc.:
2.487% 8/15/36 (c)	3,756,000	2,753,975
4.443% 8/4/28 (c)	1,702,000	1,601,052
6.208% 8/21/29 (c)	5,300,000	5,334,793
ING Groep NV:
4.017% 3/28/28 (c)	5,659,000	5,324,448
4.252% 3/28/33 (c)	3,773,000	3,392,786
Intesa Sanpaolo SpA 5.71% 1/15/26 (b)	7,182,000	6,889,726
JPMorgan Chase & Co.:
2.739% 10/15/30 (c)	5,659,000	4,851,165
2.956% 5/13/31 (c)	711,000	604,365
2.963% 1/25/33 (c)	5,659,000	4,701,644
4.586% 4/26/33 (c)	5,659,000	5,291,996
4.912% 7/25/33 (c)	7,546,000	7,257,304
5.717% 9/14/33 (c)	11,714,000	11,707,310
KBC Group NV 5.796% 1/19/29 (b)(c)	3,826,000	3,787,844
Lloyds Banking Group PLC:
3.87% 7/9/25 (c)	2,075,000	2,035,154
4.375% 3/22/28	2,617,000	2,480,107
4.976% 8/11/33 (c)	3,773,000	3,492,395
7.953% 11/15/33 (c)	3,754,000	4,021,026
Mizuho Financial Group, Inc. 2.564% 9/13/31	6,414,000	4,986,237
PNC Financial Services Group, Inc.:
5.068% 1/24/34 (c)	9,168,000	8,683,911
5.582% 6/12/29 (c)	4,400,000	4,363,939
Rabobank Nederland:
3.649% 4/6/28 (b)(c)	4,207,000	3,905,674
3.75% 7/21/26	2,548,000	2,391,328
Royal Bank of Canada 4.65% 1/27/26	400,000	392,326
Santander Holdings U.S.A., Inc.:
2.49% 1/6/28 (c)	1,044,000	915,364
5.807% 9/9/26 (c)	2,250,000	2,229,015
6.499% 3/9/29 (c)	1,662,000	1,652,479
Societe Generale:
1.488% 12/14/26 (b)(c)	1,736,000	1,555,602
3.625% 3/1/41 (b)	4,716,000	3,044,060
4.25% 4/14/25 (b)	1,018,000	981,169
4.75% 11/24/25 (b)	2,438,000	2,345,609
6.221% 6/15/33 (b)(c)	5,093,000	4,784,832
6.446% 1/10/29 (b)(c)	4,150,000	4,179,423
7.367% 1/10/53 (b)	1,886,000	1,830,237
Standard Chartered PLC 3.785% 5/21/25 (b)(c)	2,617,000	2,568,004
Synchrony Bank 5.625% 8/23/27	1,270,000	1,201,271
Truist Financial Corp. 5.122% 1/26/34 (c)	2,565,000	2,405,955
U.S. Bancorp 5.775% 6/12/29 (c)	6,700,000	6,685,366
UniCredit SpA 1.982% 6/3/27 (b)(c)	3,735,000	3,317,761
Wells Fargo & Co.:
3.068% 4/30/41 (c)	4,716,000	3,375,690
4.897% 7/25/33 (c)	3,944,000	3,711,056
Westpac Banking Corp. U.S. TREASURY 1 YEAR INDEX + 2.680% 5.405% 8/10/33 (c)(d)	6,036,000	5,676,950
Zions Bancorp NA 3.25% 10/29/29	3,105,000	2,439,002
		291,829,376
Capital Markets - 5.2%
Ares Capital Corp.:
2.15% 7/15/26	10,800,000	9,491,099
2.875% 6/15/27	5,125,000	4,508,528
3.25% 7/15/25	5,300,000	4,969,692
3.875% 1/15/26	6,017,000	5,628,043
4.25% 3/1/25	5,162,000	4,965,620
Blackstone Holdings Finance Co. LLC:
2.8% 9/30/50 (b)	755,000	435,433
3.5% 9/10/49 (b)	2,795,000	1,824,775
Deutsche Bank AG 4.5% 4/1/25	5,744,000	5,534,237
Deutsche Bank AG New York Branch:
2.129% 11/24/26 (c)	4,762,000	4,320,411
3.035% 5/28/32 (c)	2,440,000	1,940,974
6.72% 1/18/29 (c)	1,056,000	1,069,155
Morgan Stanley:
1.794% 2/13/32 (c)	4,433,000	3,408,996
2.699% 1/22/31 (c)	3,773,000	3,175,643
4.3% 1/27/45	321,000	272,727
6.342% 10/18/33 (c)	9,055,000	9,486,463
Peachtree Corners Funding Trust 3.976% 2/15/25 (b)	2,552,000	2,465,037
S&P Global, Inc. 3.9% 3/1/62	1,462,000	1,146,274
UBS Group AG:
3.091% 5/14/32 (b)(c)	3,207,000	2,642,842
3.126% 8/13/30 (b)(c)	3,246,000	2,782,526
4.194% 4/1/31 (b)(c)	3,632,000	3,270,352
4.55% 4/17/26	1,838,000	1,778,769
4.988% 8/5/33 (b)(c)	6,338,000	5,906,515
6.537% 8/12/33 (b)(c)	4,339,000	4,506,342
9.016% 11/15/33 (b)(c)	1,264,000	1,530,563
		87,061,016
Consumer Finance - 3.5%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
1.65% 10/29/24	1,698,000	1,614,319
1.75% 1/30/26	2,343,000	2,120,000
2.45% 10/29/26	3,344,000	3,008,753
3% 10/29/28	2,623,000	2,272,993
3.3% 1/30/32	788,000	640,357
3.4% 10/29/33	1,630,000	1,292,238
3.85% 10/29/41	2,664,000	1,976,938
4.875% 1/16/24	150,000	149,249
Ally Financial, Inc.:
2.2% 11/2/28	1,496,000	1,206,819
3.875% 5/21/24	743,000	728,483
5.75% 11/20/25	2,910,000	2,822,610
5.8% 5/1/25	753,000	741,703
8% 11/1/31	7,762,000	8,025,727
Capital One Financial Corp.:
2.359% 7/29/32 (c)	5,230,000	3,730,831
5.247% 7/26/30 (c)	2,443,000	2,323,995
5.268% 5/10/33 (c)	6,791,000	6,313,976
5.468% 2/1/29 (c)	1,251,000	1,213,556
5.817% 2/1/34 (c)	2,175,000	2,066,013
6.312% 6/8/29 (c)	4,200,000	4,197,701
Discover Financial Services:
4.5% 1/30/26	393,000	377,520
6.7% 11/29/32	384,000	382,179
Ford Motor Credit Co. LLC:
3.375% 11/13/25	3,301,000	3,077,473
3.625% 6/17/31	200,000	162,043
4.063% 11/1/24	3,018,000	2,924,115
4.95% 5/28/27	6,187,000	5,805,582
Synchrony Financial 4.375% 3/19/24	194,000	191,658
		59,366,831
Financial Services - 2.9%
Aon Corp. / Aon Global Holdings PLC 2.6% 12/2/31	1,246,000	1,022,413
Athene Global Funding:
1.45% 1/8/26 (b)	6,772,000	6,036,717
2.5% 3/24/28 (b)	4,225,000	3,619,287
Blackstone Private Credit Fund:
4.7% 3/24/25	9,805,000	9,530,659
7.05% 9/29/25	4,993,000	5,027,548
Brixmor Operating Partnership LP:
2.25% 4/1/28	1,426,000	1,211,752
4.05% 7/1/30	819,000	739,893
4.125% 5/15/29	420,000	382,046
Corebridge Financial, Inc.:
3.65% 4/5/27	564,000	530,550
3.85% 4/5/29	554,000	506,994
3.9% 4/5/32	659,000	576,223
4.35% 4/5/42	150,000	118,670
4.4% 4/5/52	443,000	342,649
Equitable Holdings, Inc.:
4.35% 4/20/28	2,304,000	2,179,950
5% 4/20/48	1,124,000	945,469
Fiserv, Inc. 3.5% 7/1/29	1,423,000	1,298,735
Jackson Financial, Inc.:
3.125% 11/23/31	7,409,000	5,823,582
4% 11/23/51	2,264,000	1,511,228
5.17% 6/8/27	611,000	598,881
5.67% 6/8/32	2,914,000	2,775,508
Rexford Industrial Realty LP 2.15% 9/1/31	1,749,000	1,350,203
Voya Financial, Inc.:
4.7% 1/23/48 (c)	1,897,000	1,546,159
5.7% 7/15/43	883,000	813,943
		48,489,059
Insurance - 3.5%
AIA Group Ltd.:
3.2% 9/16/40 (b)	658,000	475,363
3.375% 4/7/30 (b)	1,030,000	926,867
3.6% 4/9/29 (b)	1,320,000	1,219,706
3.9% 4/6/28 (b)	1,589,000	1,513,228
American International Group, Inc. 5.75% 4/1/48 (c)	2,168,000	2,047,135
AmFam Holdings, Inc. 2.805% 3/11/31 (b)	3,311,000	2,461,736
Aon Corp. 6.25% 9/30/40	86,000	89,114
Assurant, Inc. 2.65% 1/15/32	4,697,000	3,540,102
Athene Holding Ltd.:
3.45% 5/15/52	4,150,000	2,641,462
3.95% 5/25/51	971,000	678,870
6.65% 2/1/33	3,056,000	3,135,365
Brown & Brown, Inc. 2.375% 3/15/31	2,151,000	1,719,519
Empower Finance 2020 LP 3.075% 9/17/51 (b)	2,134,000	1,360,347
Fairfax Financial Holdings Ltd.:
3.375% 3/3/31	2,081,000	1,744,258
5.625% 8/16/32	8,111,000	7,828,283
Hartford Financial Services Group, Inc. 4.3% 4/15/43	411,000	325,158
Intact Financial Corp. 5.459% 9/22/32 (b)	4,464,000	4,405,151
Liberty Mutual Group, Inc. 5.5% 6/15/52 (b)	3,565,000	3,224,915
Massachusetts Mutual Life Insurance Co.:
3.2% 12/1/61 (b)	3,669,000	2,272,666
3.729% 10/15/70 (b)	982,000	643,243
Pacific LifeCorp:
3.35% 9/15/50 (b)	4,263,000	2,910,697
5.125% 1/30/43 (b)	436,000	397,735
Principal Financial Group, Inc. 3.7% 5/15/29	477,000	436,606
Prudential Financial, Inc.:
3.935% 12/7/49	511,000	393,225
6% 9/1/52 (c)	2,597,000	2,480,551
Reliance Standard Life Global Funding II 2.75% 5/7/25 (b)	3,387,000	3,185,956
Unum Group:
4.125% 6/15/51	3,196,000	2,258,747
5.75% 8/15/42	1,270,000	1,156,182
Willis Group North America, Inc. 5.35% 5/15/33	4,000,000	3,861,227
		59,333,414
TOTAL FINANCIALS		546,079,696
HEALTH CARE - 7.0%
Biotechnology - 0.7%
AbbVie, Inc.:
4.05% 11/21/39	1,886,000	1,616,516
4.55% 3/15/35	1,855,000	1,754,628
Amgen, Inc.:
4.663% 6/15/51	2,264,000	1,952,531
5.25% 3/2/30	856,000	857,185
5.25% 3/2/33	966,000	960,977
5.65% 3/2/53	457,000	453,045
5.75% 3/2/63	832,000	821,637
Regeneron Pharmaceuticals, Inc.:
1.75% 9/15/30	2,226,000	1,771,554
2.8% 9/15/50	1,509,000	937,993
		11,126,066
Health Care Providers & Services - 3.7%
Centene Corp.:
2.625% 8/1/31	6,274,000	4,991,145
3% 10/15/30	5,857,000	4,899,146
4.25% 12/15/27	609,000	569,664
4.625% 12/15/29	2,218,000	2,039,451
Cigna Group:
3.4% 3/15/50	2,641,000	1,845,802
3.4% 3/15/51	2,641,000	1,847,945
4.375% 10/15/28	504,000	485,372
4.8% 8/15/38	1,634,000	1,506,251
4.9% 12/15/48	314,000	280,003
CVS Health Corp.:
4.78% 3/25/38	1,312,000	1,174,972
5% 1/30/29	698,000	687,669
5.125% 2/21/30	8,572,000	8,443,144
5.25% 1/30/31	286,000	282,613
5.3% 6/1/33	5,000,000	4,897,008
Elevance Health, Inc. 2.25% 5/15/30	3,292,000	2,750,220
HCA Holdings, Inc.:
3.375% 3/15/29	1,332,000	1,187,563
3.625% 3/15/32	4,729,000	4,067,279
4.625% 3/15/52	2,003,000	1,607,189
5.125% 6/15/39	1,137,000	1,031,376
5.25% 6/15/49	1,254,000	1,094,470
Quest Diagnostics, Inc. 2.95% 6/30/30	3,773,000	3,276,449
Sabra Health Care LP:
3.2% 12/1/31	3,672,000	2,804,664
3.9% 10/15/29	476,000	402,202
UnitedHealth Group, Inc.:
4.25% 3/15/43	847,000	740,649
4.625% 7/15/35	253,000	244,866
4.75% 7/15/45	619,000	575,334
Universal Health Services, Inc.:
2.65% 10/15/30	5,690,000	4,583,607
2.65% 1/15/32	5,770,000	4,487,882
		62,803,935
Pharmaceuticals - 2.6%
AstraZeneca PLC 6.45% 9/15/37	1,873,000	2,106,810
Bayer U.S. Finance II LLC:
4.25% 12/15/25 (b)	5,031,000	4,872,431
4.375% 12/15/28 (b)	3,207,000	3,046,626
4.875% 6/25/48 (b)	3,224,000	2,747,994
Elanco Animal Health, Inc. 6.65% 8/28/28 (c)	4,309,000	4,249,751
Mylan NV 4.55% 4/15/28	3,050,000	2,871,525
Perrigo Finance PLC 4.65% 6/15/30	3,924,000	3,477,844
Pfizer Investment Enterprises:
4.75% 5/19/33	8,300,000	8,167,641
5.3% 5/19/53	6,372,000	6,374,318
Viatris, Inc.:
2.7% 6/22/30	3,382,000	2,746,631
4% 6/22/50	3,867,000	2,561,510
		43,223,081
TOTAL HEALTH CARE		117,153,082
INDUSTRIALS - 5.2%
Aerospace & Defense - 1.7%
BAE Systems PLC:
3% 9/15/50 (b)	2,624,000	1,719,158
3.4% 4/15/30 (b)	326,000	291,211
Northrop Grumman Corp. 4.03% 10/15/47	2,033,000	1,673,058
The Boeing Co.:
2.75% 2/1/26	1,254,000	1,176,835
3.25% 2/1/28	2,641,000	2,418,607
5.04% 5/1/27	9,998,000	9,887,948
5.15% 5/1/30	6,225,000	6,124,370
5.805% 5/1/50	4,905,000	4,772,005
		28,063,192
Building Products - 0.4%
Carlisle Companies, Inc. 2.75% 3/1/30	3,773,000	3,192,599
Carrier Global Corp. 2.7% 2/15/31	3,848,000	3,229,002
		6,421,601
Electrical Equipment - 0.1%
Hubbell, Inc. 3.5% 2/15/28	2,033,000	1,904,900
Ground Transportation - 0.4%
Burlington Northern Santa Fe LLC:
4.15% 4/1/45	342,000	289,059
4.4% 3/15/42	847,000	746,187
Canadian Pacific Railway Co. 3.1% 12/2/51	1,401,000	951,041
CSX Corp. 4.3% 3/1/48	3,346,000	2,817,087
Union Pacific Corp. 3.25% 2/5/50	2,075,000	1,499,514
		6,302,888
Machinery - 0.4%
Ingersoll Rand, Inc.:
5.4% 8/14/28	2,129,000	2,133,803
5.7% 8/14/33	2,250,000	2,281,514
Ingersoll-Rand Luxembourg Finance SA 4.65% 11/1/44	190,000	162,605
Westinghouse Air Brake Tech Co. 3.2% 6/15/25	2,421,000	2,309,470
		6,887,392
Passenger Airlines - 0.6%
American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29	784,620	693,988
American Airlines, Inc. 3.75% 4/15/27	1,034,462	969,925
British Airways 2021-1 Class A Pass Through Trust equipment trust certificate 2.9% 9/15/36 (b)	823,003	691,415
Southwest Airlines Co.:
5.125% 6/15/27	2,735,000	2,702,552
5.25% 5/4/25	4,754,000	4,723,262
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29	586,867	529,924
United Airlines, Inc. equipment trust certificate 4.6% 9/1/27	503,759	476,143
		10,787,209
Professional Services - 0.2%
Booz Allen Hamilton, Inc.:
3.875% 9/1/28 (b)	38,000	34,504
5.95% 8/4/33	3,095,000	3,130,345
		3,164,849
Trading Companies & Distributors - 0.7%
Air Lease Corp.:
2.875% 1/15/26	2,641,000	2,468,477
2.875% 1/15/32	5,772,000	4,618,714
5.3% 2/1/28	4,263,000	4,187,736
		11,274,927
Transportation Infrastructure - 0.7%
Avolon Holdings Funding Ltd.:
2.875% 2/15/25 (b)	9,228,000	8,707,064
4.25% 4/15/26 (b)	529,000	498,878
4.375% 5/1/26 (b)	380,000	358,224
5.5% 1/15/26 (b)	679,000	661,042
6.375% 5/4/28 (b)	1,538,000	1,525,630
		11,750,838
TOTAL INDUSTRIALS		86,557,796
INFORMATION TECHNOLOGY - 3.5%
Electronic Equipment, Instruments & Components - 1.0%
Dell International LLC/EMC Corp.:
3.375% 12/15/41 (b)	2,264,000	1,594,346
3.45% 12/15/51 (b)	3,018,000	1,964,998
5.3% 10/1/29	3,773,000	3,725,171
5.85% 7/15/25	183,000	183,230
6.02% 6/15/26	1,277,000	1,290,455
Vontier Corp.:
2.4% 4/1/28	4,659,000	3,870,651
2.95% 4/1/31	5,228,000	4,143,146
		16,771,997
IT Services - 0.2%
CDW LLC/CDW Finance Corp. 2.67% 12/1/26	3,241,000	2,937,855
Semiconductors & Semiconductor Equipment - 1.5%
Broadcom, Inc.:
1.95% 2/15/28 (b)	318,000	275,774
2.45% 2/15/31 (b)	2,716,000	2,189,622
2.6% 2/15/33 (b)	2,750,000	2,126,113
3.137% 11/15/35 (b)	4,150,000	3,167,469
3.5% 2/15/41 (b)	2,186,000	1,601,411
3.75% 2/15/51 (b)	1,026,000	735,797
Marvell Technology, Inc. 2.45% 4/15/28	3,018,000	2,646,828
Microchip Technology, Inc.:
0.972% 2/15/24	2,641,000	2,580,219
0.983% 9/1/24	1,577,000	1,501,847
Micron Technology, Inc.:
2.703% 4/15/32	1,236,000	975,418
3.366% 11/1/41	1,347,000	933,647
3.477% 11/1/51	1,351,000	872,449
4.185% 2/15/27	5,236,000	4,990,577
		24,597,171
Software - 0.7%
Oracle Corp.:
2.8% 4/1/27	1,886,000	1,732,339
2.875% 3/25/31	4,527,000	3,824,746
3.95% 3/25/51	3,211,000	2,346,858
4.375% 5/15/55	1,405,000	1,079,460
5.375% 7/15/40	81,000	75,500
Roper Technologies, Inc.:
1.75% 2/15/31	2,264,000	1,777,090
2.95% 9/15/29	1,714,000	1,515,855
		12,351,848
Technology Hardware, Storage & Peripherals - 0.1%
Apple, Inc. 3.85% 8/4/46	1,709,000	1,448,360
TOTAL INFORMATION TECHNOLOGY		58,107,231
MATERIALS - 1.4%
Chemicals - 1.1%
Celanese U.S. Holdings LLC:
6.165% 7/15/27	7,168,000	7,171,837
6.33% 7/15/29	2,264,000	2,250,418
6.35% 11/15/28	831,000	833,142
6.55% 11/15/30	841,000	841,414
6.7% 11/15/33	493,000	495,073
International Flavors & Fragrances, Inc.:
1.832% 10/15/27 (b)	3,188,000	2,681,411
2.3% 11/1/30 (b)	3,207,000	2,488,315
LYB International Finance III LLC 2.25% 10/1/30	1,964,000	1,594,973
The Dow Chemical Co. 4.55% 11/30/25	51,000	49,754
		18,406,337
Containers & Packaging - 0.1%
Avery Dennison Corp. 4.875% 12/6/28	2,189,000	2,139,854
Metals & Mining - 0.2%
Anglo American Capital PLC 3.875% 3/16/29 (b)	3,773,000	3,425,318
TOTAL MATERIALS		23,971,509
REAL ESTATE - 5.9%
Equity Real Estate Investment Trusts (REITs) - 5.5%
Agree LP 4.8% 10/1/32	4,123,000	3,795,243
Alexandria Real Estate Equities, Inc.:
1.875% 2/1/33	6,131,000	4,524,012
4.7% 7/1/30	521,000	493,348
American Homes 4 Rent LP:
2.375% 7/15/31	128,000	101,354
3.375% 7/15/51	198,000	126,486
3.625% 4/15/32	606,000	519,176
4.3% 4/15/52	420,000	324,476
American Tower Corp.:
2.1% 6/15/30	2,150,000	1,715,374
2.4% 3/15/25	3,048,000	2,892,692
Camden Property Trust 3.15% 7/1/29	2,372,000	2,131,818
Corporate Office Properties LP:
2% 1/15/29	2,896,000	2,280,449
2.25% 3/15/26	314,000	283,592
2.75% 4/15/31	1,519,000	1,170,744
2.9% 12/1/33	4,982,000	3,598,500
Crown Castle International Corp. 3.3% 7/1/30	5,282,000	4,583,020
Hudson Pacific Properties LP:
3.95% 11/1/27	1,559,000	1,225,448
5.95% 2/15/28	10,874,000	9,195,227
Invitation Homes Operating Partnership LP:
2% 8/15/31	1,752,000	1,340,612
4.15% 4/15/32	886,000	788,539
Kite Realty Group Trust:
4% 3/15/25	85,000	81,660
4.75% 9/15/30	1,720,000	1,574,447
LXP Industrial Trust (REIT) 4.4% 6/15/24	85,000	83,314
MPT Operating Partnership LP/MPT Finance Corp. 3.5% 3/15/31	7,168,000	4,654,706
Omega Healthcare Investors, Inc.:
3.25% 4/15/33	1,168,000	871,758
3.375% 2/1/31	4,399,000	3,553,114
4.75% 1/15/28	1,886,000	1,771,112
Piedmont Operating Partnership LP 2.75% 4/1/32	253,000	170,881
Realty Income Corp. 2.85% 12/15/32	181,000	146,696
Simon Property Group LP 2.45% 9/13/29	2,845,000	2,407,970
Spirit Realty LP 2.1% 3/15/28	1,856,000	1,582,638
Store Capital Corp.:
2.7% 12/1/31	4,905,000	3,470,293
2.75% 11/18/30	369,000	270,703
Sun Communities Operating LP:
2.3% 11/1/28	288,000	242,125
2.7% 7/15/31	733,000	581,990
4.2% 4/15/32	5,659,000	4,976,378
5.7% 1/15/33	4,680,000	4,559,740
UDR, Inc. 2.1% 8/1/32	2,714,000	2,035,743
Ventas Realty LP:
2.5% 9/1/31	2,126,000	1,676,348
3% 1/15/30	3,071,000	2,616,467
4.4% 1/15/29	3,773,000	3,542,416
VICI Properties LP:
4.75% 2/15/28	1,217,000	1,157,291
4.95% 2/15/30	3,641,000	3,424,725
5.125% 5/15/32	309,000	286,387
Vornado Realty LP:
2.15% 6/1/26	316,000	273,145
3.4% 6/1/31	1,142,000	842,745
WP Carey, Inc.:
2.4% 2/1/31	2,127,000	1,700,041
4% 2/1/25	2,999,000	2,919,692
		92,564,635
Real Estate Management & Development - 0.4%
Brandywine Operating Partnership LP:
4.1% 10/1/24	1,016,000	970,052
4.55% 10/1/29	682,000	532,917
7.55% 3/15/28	1,600,000	1,500,253
Tanger Properties LP 2.75% 9/1/31	3,679,000	2,736,839
		5,740,061
TOTAL REAL ESTATE		98,304,696
UTILITIES - 8.5%
Electric Utilities - 4.8%
Alabama Power Co. 3.05% 3/15/32	1,154,000	990,243
American Transmission Systems, Inc. 2.65% 1/15/32 (b)	3,542,000	2,900,668
Cleco Corporate Holdings LLC:
3.375% 9/15/29	4,212,000	3,568,078
3.743% 5/1/26	10,569,000	9,925,404
Cleveland Electric Illuminating Co.:
3.5% 4/1/28 (b)	1,357,000	1,247,171
5.95% 12/15/36	1,245,000	1,230,417
Duke Energy Corp.:
2.45% 6/1/30	479,000	398,445
2.55% 6/15/31	2,641,000	2,157,096
4.5% 8/15/32	7,595,000	7,067,497
5% 8/15/52	7,595,000	6,656,479
Duke Energy Industries, Inc. 4.9% 7/15/43	1,016,000	916,655
Duquesne Light Holdings, Inc.:
2.532% 10/1/30 (b)	440,000	350,666
2.775% 1/7/32 (b)	1,619,000	1,249,206
3.616% 8/1/27 (b)	1,658,000	1,502,841
Edison International 3.55% 11/15/24	1,603,000	1,556,890
Exelon Corp.:
3.35% 3/15/32	7,856,000	6,749,868
4.05% 4/15/30	2,862,000	2,644,470
4.1% 3/15/52	230,000	177,958
FirstEnergy Corp.:
2.05% 3/1/25	828,000	773,232
2.25% 9/1/30	3,488,000	2,799,505
2.65% 3/1/30	1,800,000	1,508,393
IPALCO Enterprises, Inc.:
3.7% 9/1/24	162,000	157,635
4.25% 5/1/30	5,433,000	4,889,520
Southern Co.:
3.7% 4/30/30	5,591,000	5,059,703
4.4% 7/1/46	4,905,000	4,039,377
5.113% 8/1/27 (e)	6,980,000	6,937,507
Tampa Electric Co. 6.55% 5/15/36	169,000	173,009
Xcel Energy, Inc.:
3.5% 12/1/49	2,768,000	1,925,601
4.8% 9/15/41	188,000	161,209
		79,714,743
Gas Utilities - 0.2%
Boston Gas Co. 4.487% 2/15/42 (b)	678,000	545,704
ONE Gas, Inc. 2% 5/15/30	1,965,000	1,610,200
Southern Co. Gas Capital Corp. 3.15% 9/30/51	1,845,000	1,192,282
		3,348,186
Independent Power and Renewable Electricity Producers - 1.4%
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (b)	3,773,000	3,364,369
Emera U.S. Finance LP:
2.639% 6/15/31	4,782,000	3,811,232
3.55% 6/15/26	5,527,000	5,229,034
4.75% 6/15/46	3,302,000	2,584,447
The AES Corp.:
1.375% 1/15/26	1,815,000	1,632,472
2.45% 1/15/31	4,936,000	3,919,335
3.3% 7/15/25 (b)	1,482,000	1,409,189
3.95% 7/15/30 (b)	2,106,000	1,871,923
		23,822,001
Multi-Utilities - 2.1%
Berkshire Hathaway Energy Co. 2.85% 5/15/51	2,452,000	1,518,389
Consolidated Edison Co. of New York, Inc. 5.2% 3/1/33	4,905,000	4,897,978
Dominion Energy, Inc. 3.071% 8/15/24 (c)	3,337,000	3,240,029
NiSource, Inc.:
0.95% 8/15/25	1,005,000	921,234
1.7% 2/15/31	1,886,000	1,456,685
2.95% 9/1/29	678,000	596,605
3.49% 5/15/27	1,355,000	1,270,980
3.6% 5/1/30	3,080,000	2,760,360
4.375% 5/15/47	1,886,000	1,546,964
4.8% 2/15/44	3,018,000	2,636,208
5% 6/15/52	1,320,000	1,167,126
5.25% 2/15/43	80,000	74,346
5.95% 6/15/41	386,000	388,325
Puget Energy, Inc.:
2.379% 6/15/28	3,992,000	3,444,811
3.65% 5/15/25	994,000	954,100
4.1% 6/15/30	1,049,000	938,235
4.224% 3/15/32	6,457,000	5,689,599
WEC Energy Group, Inc.:
CME Term SOFR 3 Month Index + 2.110% 7.7387% 5/15/67 (c)(d)	40,000	34,996
2.2% 12/15/28	1,886,000	1,630,338
		35,167,308
TOTAL UTILITIES		142,052,238
TOTAL NONCONVERTIBLE BONDS (Cost $1,690,185,720)		1,470,559,440

U.S. Treasury Obligations - 7.8%
	Principal Amount (a)	Value ($)
U.S. Treasury Bonds:
1.75% 8/15/41	8,036,000	5,399,501
1.875% 2/15/41	7,545,500	5,236,459
2% 11/15/41	11,695,500	8,183,652
2.25% 2/15/52	1,622,300	1,094,419
2.875% 5/15/52	848,700	658,837
3.625% 2/15/53	25,448,300	22,927,328
3.625% 5/15/53	78,100,000	70,436,421
4.125% 8/15/53	7,000,000	6,905,938
U.S. Treasury Notes:
3.375% 5/15/33	4,920,000	4,634,794
3.5% 2/15/33	5,563,700	5,298,555
TOTAL U.S. TREASURY OBLIGATIONS (Cost $146,207,789)		130,775,904

Asset-Backed Securities - 0.1%
	Principal Amount (a)	Value ($)
Dominos Pizza Master Issuer LLC Series 2018-1A Class A2I, 4.116% 7/25/48 (b) (Cost $2,188,845)	2,188,845	2,087,368

Municipal Securities - 0.0%
	Principal Amount (a)	Value ($)
American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50	525,000	697,464
California Gen. Oblig. Series 2010, 7.625% 3/1/40	115,000	141,335
TOTAL MUNICIPAL SECURITIES (Cost $932,115)		838,799

Foreign Government and Government Agency Obligations - 0.1%
	Principal Amount (a)	Value ($)
United Mexican States 4.5% 4/22/29 (Cost $2,082,743)	1,886,000	1,819,820

Bank Notes - 0.1%
	Principal Amount (a)	Value ($)
Regions Bank 6.45% 6/26/37 (Cost $1,047,831)	985,000	968,165

Preferred Securities - 0.3%
	Principal Amount (a)	Value ($)
ENERGY - 0.1%
Oil, Gas & Consumable Fuels - 0.1%
Enbridge, Inc. 5.75% 7/15/80 (c)	2,153,000	1,975,682
FINANCIALS - 0.2%
Capital Markets - 0.2%
UBS Group AG:
4.375% (b)(c)(f)	1,356,000	1,004,275
4.875% (b)(c)(f)	2,890,000	2,417,150
		3,421,425
TOTAL PREFERRED SECURITIES (Cost $6,399,000)		5,397,107

Money Market Funds - 3.3%
	Shares	Value ($)
Fidelity Cash Central Fund 5.43% (g) (Cost $55,374,541)	55,364,740	55,375,813

TOTAL INVESTMENT IN SECURITIES - 99.3% (Cost $1,904,418,584)	1,667,822,416
NET OTHER ASSETS (LIABILITIES) - 0.7%	11,400,115
NET ASSETS - 100.0%	1,679,222,531

Legend

(a)	Amount is stated in United States dollars unless otherwise noted.

(b)

(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 is perpetual in nature with no stated maturity date.

(g)

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 5.43%	287,414,556	628,125,184	860,163,927	6,216,491	-	-	55,375,813	0.1%
Fidelity Securities Lending Cash Central Fund 5.44%	-	623,126,129	623,126,129	22,327	-	-	-	0.0%
Total	287,414,556	1,251,251,313	1,483,290,056	6,238,818	-	-	55,375,813

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

Investment Valuation

Valuation Inputs at Reporting Date:
Description	Total ($)	Level 1 ($)	Level 2 ($)	Level 3 ($)
Investments in Securities:

Corporate Bonds	1,470,559,440	-	1,470,559,440	-

U.S. Government and Government Agency Obligations	130,775,904	-	130,775,904	-

Asset-Backed Securities	2,087,368	-	2,087,368	-

Municipal Securities	838,799	-	838,799	-

Foreign Government and Government Agency Obligations	1,819,820	-	1,819,820	-

Bank Notes	968,165	-	968,165	-

Preferred Securities	5,397,107	-	5,397,107	-

Money Market Funds	55,375,813	55,375,813	-	-
Total Investments in Securities:	1,667,822,416	55,375,813	1,612,446,603	-

Financial Statements

Statement of Assets and Liabilities
				August 31, 2023

Assets
Investment in securities, at value - See accompanying schedule:
Unaffiliated issuers (cost $1,849,044,043)	$	1,612,446,603
Fidelity Central Funds (cost $55,374,541)		55,375,813


Total Investment in Securities (cost $1,904,418,584)			$	1,667,822,416
Receivable for fund shares sold				1,269,200
Interest receivable				19,105,322
Distributions receivable from Fidelity Central Funds				230,936
Receivable from investment adviser for expense reductions				16,952
Total assets				1,688,444,826
Liabilities
Payable for investments purchased	$	6,905,117
Payable for fund shares redeemed		1,282,890
Distributions payable		401,656
Accrued management fee		486,460
Distribution and service plan fees payable		20,335
Other affiliated payables		125,837
Total Liabilities				9,222,295
Net Assets			$	1,679,222,531
Net Assets consist of:
Paid in capital			$	1,985,166,733
Total accumulated earnings (loss)				(305,944,202)
Net Assets			$	1,679,222,531

Net Asset Value and Maximum Offering Price
Class A :
Net Asset Value and redemption price per share ($57,501,424 ÷ 5,677,422 shares)(a)			$	10.13
Maximum offering price per share (100/96.00 of $10.13)			$	10.55
Class M :
Net Asset Value and redemption price per share ($8,061,228 ÷ 795,874 shares)(a)			$	10.13
Maximum offering price per share (100/96.00 of $10.13)			$	10.55
Class C :
Net Asset Value and offering price per share ($8,170,901 ÷ 806,864 shares)(a)			$	10.13
Corporate Bond :
Net Asset Value, offering price and redemption price per share ($863,479,889 ÷ 85,257,987 shares)			$	10.13
Class I :
Net Asset Value, offering price and redemption price per share ($127,333,727 ÷ 12,572,267 shares)			$	10.13
Class Z :
Net Asset Value, offering price and redemption price per share ($614,675,362 ÷ 60,713,707 shares)			$	10.12
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

Statement of Operations
				Year ended August 31, 2023
Investment Income
Dividends			$	591,406
Interest				128,745,812
Income from Fidelity Central Funds (including $22,327 from security lending)				6,238,818
Total Income				135,576,036
Expenses
Management fee	$	11,025,884
Transfer agent fees		2,227,419
Distribution and service plan fees		251,878
Independent trustees' fees and expenses		12,759
Total expenses before reductions		13,517,940
Expense reductions		(842,730)
Total expenses after reductions				12,675,210
Net Investment income (loss)				122,900,826
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment Securities:
Unaffiliated issuers		(46,543,072)
Redemptions in-kind		(306,798,495)
Total net realized gain (loss)				(353,341,567)
Change in net unrealized appreciation (depreciation) on investment securities				279,032,878
Net gain (loss)				(74,308,689)
Net increase (decrease) in net assets resulting from operations			$	48,592,137

Statement of Changes in Net Assets

		Year ended August 31, 2023		Year ended August 31, 2022
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	122,900,826	$	104,575,548
Net realized gain (loss)		(353,341,567)		(18,146,874)
Change in net unrealized appreciation (depreciation)		279,032,878		(712,132,109)
Net increase (decrease) in net assets resulting from operations		48,592,137		(625,703,435)
Distributions to shareholders		(119,460,178)		(128,697,407)

Share transactions - net increase (decrease)		(2,482,173,322)		1,520,463,185
Total increase (decrease) in net assets		(2,553,041,363)		766,062,343

Net Assets
Beginning of period		4,232,263,894		3,466,201,551
End of period	$	1,679,222,531	$	4,232,263,894

Financial Highlights

Fidelity Advisor® Corporate Bond Fund Class A

Years ended August 31,		2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	10.41	$	12.76	$	12.86	$	12.24	$	11.22
Income from Investment Operations
Net investment income (loss) A,B		.358		.287		.277		.311		.376
Net realized and unrealized gain (loss)		(.290)		(2.270)		.004		.624		1.018
Total from investment operations		.068		(1.983)		.281		.935		1.394
Distributions from net investment income		(.348)		(.280)		(.274)		(.315)		(.374)
Distributions from net realized gain		-		(.087)		(.107)		-		-
Total distributions		(.348)		(.367)		(.381)		(.315)		(.374)
Net asset value, end of period	$	10.13	$	10.41	$	12.76	$	12.86	$	12.24
Total Return C,D		.70%		(15.81)%		2.24%		7.78%		12.72%
Ratios to Average Net Assets B,E,F
Expenses before reductions		.78%		.77%		.77%		.77%		.79%
Expenses net of fee waivers, if any		.78%		.77%		.77%		.77%		.79%
Expenses net of all reductions		.78%		.77%		.77%		.77%		.79%
Net investment income (loss)		3.52%		2.47%		2.19%		2.53%		3.31%
Supplemental Data
Net assets, end of period (000 omitted)	$	57,501	$	59,296	$	81,746	$	74,657	$	48,410
Portfolio turnover rate G		24% H		26%		46%		31% H		28%

ACalculated based on average shares outstanding during the period.

CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

DTotal returns do not include the effect of the sales charges.

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 Advisor® Corporate Bond Fund Class M

Years ended August 31,		2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	10.41	$	12.76	$	12.86	$	12.24	$	11.22
Income from Investment Operations
Net investment income (loss) A,B		.353		.282		.274		.304		.368
Net realized and unrealized gain (loss)		(.290)		(2.270)		.004		.624		1.017
Total from investment operations		.063		(1.988)		.278		.928		1.385
Distributions from net investment income		(.343)		(.275)		(.271)		(.308)		(.365)
Distributions from net realized gain		-		(.087)		(.107)		-		-
Total distributions		(.343)		(.362)		(.378)		(.308)		(.365)
Net asset value, end of period	$	10.13	$	10.41	$	12.76	$	12.86	$	12.24
Total Return C,D		.65%		(15.85)%		2.21%		7.72%		12.64%
Ratios to Average Net Assets B,E,F
Expenses before reductions		.84%		.81%		.79%		.82%		.87%
Expenses net of fee waivers, if any		.84%		.81%		.79%		.82%		.87%
Expenses net of all reductions		.83%		.81%		.79%		.82%		.87%
Net investment income (loss)		3.47%		2.42%		2.16%		2.47%		3.24%
Supplemental Data
Net assets, end of period (000 omitted)	$	8,061	$	8,439	$	12,127	$	11,858	$	9,093
Portfolio turnover rate G		24% H		26%		46%		31% H		28%

ACalculated based on average shares outstanding during the period.

CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

DTotal returns do not include the effect of the sales charges.

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 Advisor® Corporate Bond Fund Class C

Years ended August 31,		2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	10.41	$	12.76	$	12.86	$	12.23	$	11.22
Income from Investment Operations
Net investment income (loss) A,B		.280		.199		.180		.215		.292
Net realized and unrealized gain (loss)		(.290)		(2.271)		.003		.634		1.005
Total from investment operations		(.010)		(2.072)		.183		.849		1.297
Distributions from net investment income		(.270)		(.191)		(.176)		(.219)		(.287)
Distributions from net realized gain		-		(.087)		(.107)		-		-
Total distributions		(.270)		(.278)		(.283)		(.219)		(.287)
Net asset value, end of period	$	10.13	$	10.41	$	12.76	$	12.86	$	12.23
Total Return C,D		(.07)%		(16.46)%		1.46%		7.04%		11.78%
Ratios to Average Net Assets B,E,F
Expenses before reductions		1.54%		1.54%		1.54%		1.54%		1.55%
Expenses net of fee waivers, if any		1.54%		1.54%		1.54%		1.54%		1.55%
Expenses net of all reductions		1.54%		1.54%		1.54%		1.54%		1.55%
Net investment income (loss)		2.75%		1.70%		1.42%		1.75%		2.56%
Supplemental Data
Net assets, end of period (000 omitted)	$	8,171	$	9,756	$	17,010	$	17,956	$	14,009
Portfolio turnover rate G		24% H		26%		46%		31% H		28%

ACalculated based on average shares outstanding during the period.

CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

DTotal returns do not include the effect of the contingent deferred sales charge.

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® Corporate Bond Fund

Years ended August 31,		2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	10.41	$	12.76	$	12.86	$	12.24	$	11.22
Income from Investment Operations
Net investment income (loss) A,B		.391		.325		.318		.350		.415
Net realized and unrealized gain (loss)		(.290)		(2.270)		.003		.624		1.017
Total from investment operations		.101		(1.945)		.321		.974		1.432
Distributions from net investment income		(.381)		(.318)		(.314)		(.354)		(.412)
Distributions from net realized gain		-		(.087)		(.107)		-		-
Total distributions		(.381)		(.405)		(.421)		(.354)		(.412)
Net asset value, end of period	$	10.13	$	10.41	$	12.76	$	12.86	$	12.24
Total Return C		1.03%		(15.54)%		2.56%		8.12%		13.10%
Ratios to Average Net Assets B,D,E
Expenses before reductions		.45%		.44%		.45%		.45%		.45%
Expenses net of fee waivers, if any		.45%		.44%		.45%		.45%		.45%
Expenses net of all reductions		.45%		.44%		.45%		.45%		.45%
Net investment income (loss)		3.85%		2.79%		2.50%		2.84%		3.65%
Supplemental Data
Net assets, end of period (000 omitted)	$	863,480	$	975,308	$	1,481,426	$	2,179,540	$	1,411,052
Portfolio turnover rate F		24% G		26%		46%		31% G		28%

ACalculated based on average shares outstanding during the period.

CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

FAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

GPortfolio turnover rate excludes securities received or delivered in-kind.

Fidelity Advisor® Corporate Bond Fund Class I

Years ended August 31,		2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	10.41	$	12.76	$	12.86	$	12.24	$	11.22
Income from Investment Operations
Net investment income (loss) A,B		.386		.322		.311		.344		.412
Net realized and unrealized gain (loss)		(.289)		(2.273)		.004		.624		1.015
Total from investment operations		.097		(1.951)		.315		.968		1.427
Distributions from net investment income		(.377)		(.312)		(.308)		(.348)		(.407)
Distributions from net realized gain		-		(.087)		(.107)		-		-
Total distributions		(.377)		(.399)		(.415)		(.348)		(.407)
Net asset value, end of period	$	10.13	$	10.41	$	12.76	$	12.86	$	12.24
Total Return C		.98%		(15.58)%		2.51%		8.07%		13.06%
Ratios to Average Net Assets B,D,E
Expenses before reductions		.50%		.50%		.50%		.50%		.49%
Expenses net of fee waivers, if any		.50%		.50%		.50%		.50%		.49%
Expenses net of all reductions		.50%		.50%		.50%		.50%		.49%
Net investment income (loss)		3.80%		2.74%		2.45%		2.80%		3.63%
Supplemental Data
Net assets, end of period (000 omitted)	$	127,334	$	111,046	$	200,288	$	183,627	$	122,654
Portfolio turnover rate F		24% G		26%		46%		31% G		28%

ACalculated based on average shares outstanding during the period.

CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

FAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

GPortfolio turnover rate excludes securities received or delivered in-kind.

Fidelity Advisor® Corporate Bond Fund Class Z

Years ended August 31,		2023		2022		2021		2020		2019 A
Selected Per-Share Data
Net asset value, beginning of period	$	10.41	$	12.76	$	12.86	$	12.23	$	11.16
Income from Investment Operations
Net investment income (loss) B,C		.404		.326		.328		.360		.358
Net realized and unrealized gain (loss)		(.304)		(2.262)		.005		.635		1.097
Total from investment operations		.100		(1.936)		.333		.995		1.455
Distributions from net investment income		(.390)		(.327)		(.326)		(.365)		(.385)
Distributions from net realized gain		-		(.087)		(.107)		-		-
Total distributions		(.390)		(.414)		(.433)		(.365)		(.385)
Net asset value, end of period	$	10.12	$	10.41	$	12.76	$	12.86	$	12.23
Total Return D,E		1.02%		(15.47)%		2.66%		8.30%		13.34%
Ratios to Average Net Assets C,F,G
Expenses before reductions		.40%		.40%		.40%		.40%		.40% H
Expenses net of fee waivers, if any		.36%		.36%		.36%		.36%		.36% H
Expenses net of all reductions		.36%		.36%		.36%		.36%		.36% H
Net investment income (loss)		3.94%		2.87%		2.59%		2.93%		3.54% H
Supplemental Data
Net assets, end of period (000 omitted)	$	614,675	$	3,068,418	$	1,673,604	$	852,967	$	100,483
Portfolio turnover rate I		24% J		26%		46%		31% J		28%

AFor the period October 2, 2018 (commencement of sale of shares) through August 31, 2019.

BCalculated based on average shares outstanding during the period.

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.

HAnnualized.

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

JPortfolio turnover rate excludes securities received or delivered in-kind.

Notes to Financial Statements

For the period ended August 31, 2023

1. Organization.

Fidelity Corporate Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Corporate Bond, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Class A, Class M, Class C, Class I and Class Z are Fidelity Advisor classes. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.

2. Investments in Fidelity Central Funds.

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.

3. Significant Accounting Policies.

The 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 the Fund's investments by major category are as follows:

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.

Book-tax differences are primarily due to market discount, redemptions in-kind, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation	$2,616,315
Gross unrealized depreciation	(238,633,078)
Net unrealized appreciation (depreciation)	$(236,016,763)
Tax Cost	$1,903,839,179

The tax-based components of distributable earnings as of period end were as follows:

Undistributed ordinary income	$833,337
Capital loss carryforward	$(70,760,777)
Net unrealized appreciation (depreciation) on securities and other investments	$(236,016,763)

Short-term	$(57,192,474)
Long-term	(13,568,303)
Total capital loss carryforward	$(70,760,777)

Due to large redemptions in the period, the Fund is subject to an annual limit on its use of some of its unrealized capital losses to offset capital gains in future periods. If those losses are realized and the limitation prevents the Fund from using any of those losses in a future period, those capital losses will be available to offset capital gains in subsequent periods.

The tax character of distributions paid was as follows:

	August 31, 2023	August 31, 2022
Ordinary Income	$119,460,178	$110,843,099
Long-term Capital Gains	-	17,854,308
Total	$119,460,178	$128,697,407

4. 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 Fund	551,821,947	247,845,302

5. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .35% of the Fund's average net assets. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain other expenses such as transfer agent and distribution and service plan fees, and other expenses such as interest expense.

	Distribution Fee	Service Fee	Total Fees	Retained by FDC
Class A	- %	.25%	$142,700	$2,854
Class M	- %	.25%	20,354	45
Class C	.75%	.25%	88,824	9,395
			$251,878	$12,294

For the period, sales charge amounts retained by FDC were as follows:

	Retained by FDC
Class A	$9,588
Class M	1,036
Class C A	258
	$10,882

A When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Corporate Bond and Class Z. FIIOC receives an asset-based fee of Corporate Bond's and Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:

	Amount	% of Class-Level Average Net Assets
Class A	$100,735	.18
Class M	19,146	.24
Class C	17,155	.19
Corporate Bond	888,447	.10
Class I	162,128	.15
Class Z	1,039,808	.05
	$2,227,419

Affiliated Redemptions In-Kind. Shares that were redeemed in-kind for investments, including accrued interest and cash, if any, are shown in the table below. The net realized gain or loss on investments delivered through in-kind redemptions is included in the "Net realized gain (loss) on: Redemptions in-kind" line in the accompanying Statement of Operations. The amount of the in-kind redemptions is included in share transactions in the accompanying Statement of Changes in Net Assets. There was no gain or loss for federal income tax purposes.

	Shares	Total net realized gain or loss($)	Total Proceeds($)	Participating classes
Fidelity Corporate Bond Fund	271,635,650	(306,798,495)	2,797,847,189	Class Z

Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:

	Amount ($)
Fidelity Corporate Bond Fund	4,142

6. Committed Line of Credit.

7. Security Lending.

	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 Corporate Bond Fund	$2,428	$-	$-

8. Expense Reductions.

The following classes were in reimbursement during the period:

	Expense Limitations	Reimbursement
Class Z	.36%	$840,872

Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $1,218. During the period, transfer agent credits reduced each class' expenses as noted in the table below.

	Expense reduction
Class A	$173
Class M	467
	$640

9. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

	Year ended August 31, 2023	Year ended August 31, 2022
Fidelity Corporate Bond Fund
Distributions to shareholders
Class A	$1,955,268	$2,287,021
Class M	274,530	320,980
Class C	235,971	334,690
Corporate Bond	33,206,920	42,444,861
Class I	4,114,668	5,590,492
Class Z	79,672,821	77,719,363
Total	$119,460,178	$128,697,407

10. Share Transactions.

Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:

	Shares	Shares	Dollars	Dollars
	Year ended August 31, 2023	Year ended August 31, 2022	Year ended August 31, 2023	Year ended August 31, 2022
Fidelity Corporate Bond Fund
Class A
Shares sold	1,423,074	1,179,666	$14,514,579	$13,976,580
Reinvestment of distributions	190,673	193,886	1,937,063	2,269,171
Shares redeemed	(1,633,205)	(2,081,425)	(16,602,695)	(24,067,524)
Net increase (decrease)	(19,458)	(707,873)	$(151,053)	$(7,821,773)
Class M
Shares sold	96,681	95,578	$988,404	$1,102,808
Reinvestment of distributions	26,868	27,168	272,953	318,111
Shares redeemed	(138,360)	(262,183)	(1,403,006)	(3,035,109)
Net increase (decrease)	(14,811)	(139,437)	$(141,649)	$(1,614,190)
Class C
Shares sold	156,679	227,434	$1,597,652	$2,709,731
Reinvestment of distributions	23,099	28,159	234,588	332,745
Shares redeemed	(310,353)	(651,038)	(3,149,840)	(7,540,547)
Net increase (decrease)	(130,575)	(395,445)	$(1,317,600)	$(4,498,071)
Corporate Bond
Shares sold	13,930,427	18,433,215	$142,011,626	$211,107,164
Reinvestment of distributions	2,893,315	3,255,463	29,373,877	38,200,866
Shares redeemed	(25,270,881)	(44,055,578)	(254,078,941)	(514,921,231)
Net increase (decrease)	(8,447,139)	(22,366,900)	$(82,693,438)	$(265,613,201)
Class I
Shares sold	9,044,481	8,271,807	$92,367,489	$93,803,206
Reinvestment of distributions	376,245	464,204	3,824,737	5,497,008
Shares redeemed	(7,517,022)	(13,759,605)	(76,536,603)	(155,353,790)
Net increase (decrease)	1,903,704	(5,023,594)	$19,655,623	$(56,053,576)
Class Z
Shares sold	44,097,392	181,425,823	$448,830,214	$2,063,754,531
Reinvestment of distributions	7,070,433	6,747,145	71,397,858	77,136,214
Shares redeemed	(285,342,930)	(24,451,818)	(2,937,753,277)	(284,826,749)
Net increase (decrease)	(234,175,105)	163,721,150	$(2,417,525,205)	$1,856,063,996

11. Other.

12. Risk and Uncertainties.

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity Corporate Bond Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Corporate Bond Fund (one of the funds constituting Fidelity Salem Street Trust, referred to hereafter as the "Fund") as of August 31, 2023, the related statement of operations for the year ended August 31, 2023, the statement of changes in net assets for each of the two years in the period ended August 31, 2023, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of August 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended August 31, 2023 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

October 13, 2023

We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

Trustees and Officers

TRUSTEES AND OFFICERS

Interested Trustees*:

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Christine J. Thompson (1958)

Year of Election or Appointment: 2023

Trustee

* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Laura M. Bishop (1961)

Year of Election or Appointment: 2023

Trustee

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Robert W. Helm (1957)

Year of Election or Appointment: 2023

Trustee

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Chairman of the Independent Trustees

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Carol J. Zierhoffer (1960)

Year of Election or Appointment: 2023

Trustee

Advisory Board Members and Officers:

Name, Year of Birth; Principal Occupation

Heather Bonner (1977)

Year of Election or Appointment: 2023

Assistant Treasurer

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

Margaret Carey (1973)

Year of Election or Appointment: 2023

Secretary and Chief Legal Officer (CLO)

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

Robin Foley (1964)

Year of Election or Appointment: 2023

Vice President

Christopher M. Gouveia (1973)

Year of Election or Appointment: 2023

Chief Compliance Officer

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Jim Wegmann (1979)

Year of Election or Appointment: 2021

Deputy Treasurer

Shareholder Expense Example

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2023 to August 31, 2023).

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Expense Ratio- A	Beginning Account Value March 1, 2023	Ending Account Value August 31, 2023	Expenses Paid During Period- C March 1, 2023 to August 31, 2023
Fidelity® Corporate Bond Fund
Class A	.77%
Actual		$ 1,000	$ 1,016.50	$ 3.91
Hypothetical-B		$ 1,000	$ 1,021.32	$ 3.92
Class M	.83%
Actual		$ 1,000	$ 1,016.30	$ 4.22
Hypothetical-B		$ 1,000	$ 1,021.02	$ 4.23
Class C	1.53%
Actual		$ 1,000	$ 1,012.70	$ 7.76
Hypothetical-B		$ 1,000	$ 1,017.49	$ 7.78
Fidelity® Corporate Bond Fund	.45%
Actual		$ 1,000	$ 1,018.20	$ 2.29
Hypothetical-B		$ 1,000	$ 1,022.94	$ 2.29
Class I	.49%
Actual		$ 1,000	$ 1,018.00	$ 2.49
Hypothetical-B		$ 1,000	$ 1,022.74	$ 2.50
Class Z	.36%
Actual		$ 1,000	$ 1,017.60	$ 1.83
Hypothetical-B		$ 1,000	$ 1,023.39	$ 1.84

A Annualized expense ratio reflects expenses net of applicable fee waivers.

B 5% return per year before expenses

Distributions (Unaudited)

The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.

A total of 5.30% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $97,890,716 of distributions paid in the calendar year 2022 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates $119,460,177 of distributions paid during the fiscal year ended 2023 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.

1.907004.113

CBD-ANN-1023

Fidelity® Conservative Income Bond Fund

Annual Report

August 31, 2023

Includes Fidelity and Fidelity Advisor share classes

Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts

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.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Performance: The Bottom Line

Average Annual Total Returns

Periods ended August 31, 2023	Past 1 year	Past 5 years	Past 10 years
Class A (incl. 1.50% sales charge)	3.20%	1.57%	1.26%
Fidelity® Conservative Income Bond Fund	4.84%	1.89%	1.42%
Class I	4.82%	1.89%	1.42%
Class Z	4.83%	1.89%	1.42%

Fidelity Conservative Income Bond Fund was formerly known as Institutional Class.

The initial offering of Classes A, I and Z shares took place on May 25, 2023. Returns prior to May 25, 2023 are those of Fidelity Conservative Income Bond Fund.

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Conservative Income Bond Fund, a class of the fund, on August 31, 2013.

The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. 3-6 Month Treasury Bill Index performed over the same period.

Management's Discussion of Fund Performance

Market Recap:

Comments from Co-Portfolio Managers Julian Potenza, Rob Galusza and David DeBiase:

For the fiscal year ending August 31, 2023, the fund's retail and advisor share classes posted gains of roughly 5%, net of fees, versus the 4.29% advance of the benchmark Bloomberg U.S. 3-6 Month Treasury Bill Index. For the 12-month period, the fund's strategy of overweighting corporate bond investments versus the all-U.S.-Treasury benchmark aided relative performance. Allocations to financial institutions, especially banking and industrials issuers, were particularly helpful. The portfolio's significant exposure to interest-earning cash also meaningfully contributed. There were no notable relative detractors among the fund's principal investment strategies. At period end, corporates made up about 70% of fund assets, down notably from roughly 85% a year ago. At the same time, we meaningfully increased exposure to U.S. Treasuries from about 4% to roughly 14% of assets. The fund's cash position rose from approximately 11% to roughly 15% during the past year. While we strategically held a larger-than-usual amount of cash due to the favorable interest rate environment, technical valuation factors caused the position to build a little above our target weighting late in the period. We plan to reduce the cash allocation over the coming year.

Investment Summary August 31, 2023 (Unaudited)

Maturity Diversification (% of Fund's Investments)
Days
1 - 30	46.2
31 - 90	6.2
91 - 180	12.9
181 - 397	12.1
> 397	22.6

The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets

Asset Allocation (% of Fund's net assets)

Geographic Diversification (% of Fund's net assets)

* Includes Short-Term investments and Net Other Assets (Liabilities).

Percentages are adjusted for the effect of derivatives, if applicable.

Schedule of Investments August 31, 2023

Showing Percentage of Net Assets

Nonconvertible Bonds - 48.1%
		Principal Amount (a)	Value ($)
CONSUMER DISCRETIONARY - 4.3%
Automobiles - 3.7%
BMW U.S. Capital LLC:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.530% 5.7468% 4/1/24 (b)(c)(d)		28,838,000	28,855,911
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.840% 6.0568% 4/1/25 (b)(c)(d)		26,951,000	27,113,245
Daimler Finance North America LLC:
0.75% 3/1/24 (b)		17,000,000	16,585,252
2.7% 6/14/24 (b)		3,000,000	2,931,453
3.65% 2/22/24 (b)		7,099,000	7,026,637
4.95% 3/30/25 (b)		20,000,000	19,897,519
5.5% 11/27/24 (b)		12,000,000	11,982,029
General Motors Financial Co., Inc.:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.300% 6.5271% 4/7/25 (c)(d)		20,225,000	20,255,235
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.760% 5.9467% 3/8/24 (c)(d)		19,604,000	19,601,902
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.200% 6.5056% 11/17/23 (c)(d)		16,700,000	16,721,862
Volkswagen Group of America Finance LLC:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.950% 6.136% 6/7/24 (b)(c)(d)		25,400,000	25,466,271
0.875% 11/22/23 (b)		14,300,000	14,147,721
4.25% 11/13/23 (b)		12,800,000	12,756,549
			223,341,586
Broadline Retail - 0.3%
Amazon.com, Inc. 0.45% 5/12/24		20,000,000	19,333,317
Hotels, Restaurants & Leisure - 0.3%
Starbucks Corp. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.420% 5.7275% 2/14/24 (c)(d)		16,681,000	16,681,334
TOTAL CONSUMER DISCRETIONARY			259,356,237
CONSUMER STAPLES - 1.3%
Consumer Staples Distribution & Retail - 0.3%
7-Eleven, Inc. 0.8% 2/10/24 (b)		19,100,000	18,667,016
Tobacco - 1.0%
BAT Capital Corp. 3.222% 8/15/24		22,000,000	21,454,280
Philip Morris International, Inc.:
2.875% 5/1/24		14,000,000	13,741,352
5.125% 11/15/24		12,000,000	11,940,500
Reynolds American, Inc. 4.85% 9/15/23		14,700,000	14,694,966
			61,831,098
TOTAL CONSUMER STAPLES			80,498,114
ENERGY - 0.9%
Oil, Gas & Consumable Fuels - 0.9%
Enbridge, Inc.:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.630% 5.936% 2/16/24 (c)(d)		16,541,000	16,553,195
4% 10/1/23		13,375,000	13,352,411
Equinor ASA 2.65% 1/15/24		19,000,000	18,762,916
Phillips 66 Co. 0.9% 2/15/24		5,000,000	4,890,274
			53,558,796
FINANCIALS - 35.5%
Banks - 22.0%
Bank of America Corp.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.410% 5.6068% 6/14/24 (c)(d)		23,400,000	23,325,690
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.660% 5.9717% 2/4/25 (c)(d)		28,500,000	28,475,735
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.100% 6.3814% 4/25/25 (c)(d)		9,760,000	9,799,918
0.81% 10/24/24 (c)		15,000,000	14,883,773
1.843% 2/4/25 (c)		9,500,000	9,327,744
3.458% 3/15/25 (c)		18,300,000	18,039,319
3.841% 4/25/25 (c)		29,200,000	28,779,041
Bank of Montreal:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.260% 5.4586% 9/15/23 (c)(d)		25,000,000	24,999,793
4.25% 9/14/24		19,016,000	18,712,863
Bank of Nova Scotia:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.440% 5.6934% 4/15/24 (c)(d)		29,350,000	29,327,483
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.550% 5.7436% 9/15/23 (c)(d)		26,000,000	26,003,263
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.260% 5.4536% 9/15/23 (c)(d)		30,450,000	30,450,220
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 5.6938% 7/31/24 (c)(d)		26,000,000	25,955,245
0.55% 9/15/23		5,000,000	4,992,885
Banque Federative du Credit Mutuel SA U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.410% 5.7206% 2/4/25 (b)(c)(d)		10,000,000	9,929,272
Barclays PLC 1.007% 12/10/24 (c)		15,250,000	15,039,197
BNP Paribas SA 4.705% 1/10/25 (b)(c)	��	25,144,000	25,003,917
BPCE SA:
3 month U.S. LIBOR + 1.240% 6.7797% 9/12/23 (b)(c)(d)		14,800,000	14,802,190
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.570% 5.8151% 1/14/25 (b)(c)(d)		14,031,000	13,973,361
2.375% 1/14/25 (b)		8,819,000	8,340,836
4% 9/12/23 (b)		6,110,000	6,107,312
Canadian Imperial Bank of Commerce U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.940% 6.1671% 4/7/25 (c)(d)		26,960,000	27,032,514
Citigroup, Inc.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.370% 6.6749% 5/24/25 (c)(d)		24,955,000	25,067,193
0.776% 10/30/24 (c)		15,000,000	14,863,719
0.981% 5/1/25 (c)		18,663,000	18,023,958
3.352% 4/24/25 (c)		17,000,000	16,684,997
Credit Agricole SA 3.875% 4/15/24 (b)		9,500,000	9,376,671
Danske Bank A/S:
3.875% 9/12/23 (b)		9,117,000	9,112,863
6.466% 1/9/26 (b)(c)		5,121,000	5,123,345
DNB Bank ASA:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.830% 6.0415% 3/28/25 (b)(c)(d)		27,000,000	27,004,707
0.856% 9/30/25 (b)(c)		16,250,000	15,393,339
2.968% 3/28/25 (b)(c)		10,200,000	10,025,379
Federation des caisses Desjardin U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.430% 5.735% 5/21/24 (b)(c)(d)		25,121,000	25,087,333
Fifth Third Bancorp 3.65% 1/25/24		38,784,000	38,417,571
HSBC Holdings PLC:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.580% 5.8843% 11/22/24 (c)(d)		20,000,000	19,987,090
1.162% 11/22/24 (c)		10,636,000	10,507,217
3.803% 3/11/25 (c)		10,500,000	10,368,593
Huntington National Bank:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.190% 6.496% 5/16/25 (c)(d)		25,700,000	25,163,127
4.008% 5/16/25 (c)		9,375,000	9,142,686
JPMorgan Chase & Co.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.970% 6.1625% 6/14/25 (c)(d)		25,155,000	25,207,071
0.653% 9/16/24 (c)		11,125,000	11,102,306
0.824% 6/1/25 (c)		18,660,000	17,918,647
0.969% 6/23/25 (c)		20,000,000	19,171,312
1.561% 12/10/25 (c)		12,129,000	11,452,316
3.22% 3/1/25 (c)		19,163,000	18,897,942
KeyBank NA U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.320% 5.5125% 6/14/24 (c)(d)		28,390,000	27,837,304
Lloyds Banking Group PLC 3.9% 3/12/24		11,900,000	11,767,263
Mitsubishi UFJ Financial Group, Inc.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.380% 6.5646% 9/12/25 (c)(d)		20,000,000	20,092,820
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.650% 6.9015% 7/18/25 (c)(d)		25,000,000	25,142,314
0.848% 9/15/24 (c)		14,209,000	14,188,076
0.953% 7/19/25 (c)		24,800,000	23,701,847
4.788% 7/18/25 (c)		11,895,000	11,761,717
Mizuho Financial Group, Inc.:
0.849% 9/8/24 (c)		17,000,000	16,994,144
3.922% 9/11/24 (c)		18,000,000	17,991,393
Morgan Stanley Bank, West Valley City Utah 5.479% 7/16/25		19,500,000	19,526,843
NatWest Markets PLC U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.450% 6.6522% 3/22/25 (b)(c)(d)		17,169,000	17,291,287
Rabobank Nederland 2.625% 7/22/24 (b)		12,200,000	11,861,228
Rabobank Nederland New York Branch:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.300% 5.5394% 1/12/24 (c)(d)		9,000,000	8,998,524
0.375% 1/12/24		18,000,000	17,667,406
Royal Bank of Canada U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.450% 5.7456% 10/26/23 (c)(d)		31,000,000	31,008,115
Sumitomo Mitsui Financial Group, Inc. 0.508% 1/12/24		5,000,000	4,906,164
Svenska Handelsbanken AB 0.55% 6/11/24 (b)		12,400,000	11,920,151
Swedbank AB U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.910% 6.1286% 4/4/25 (b)(c)(d)		16,717,000	16,729,608
The Toronto-Dominion Bank:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.350% 5.5347% 3/4/24 (c)(d)		32,800,000	32,792,549
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.0967% 3/8/24 (c)(d)		23,752,000	23,814,735
3.25% 3/11/24		16,000,000	15,793,968
Truist Bank U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.200% 5.4484% 1/17/24 (c)(d)		30,450,000	30,304,021
Truist Financial Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.400% 5.5876% 6/9/25 (c)(d)		27,500,000	26,812,225
Wells Fargo & Co.:
0.805% 5/19/25 (c)		12,850,000	12,369,106
3.3% 9/9/24		22,100,000	21,577,941
3.75% 1/24/24		19,485,000	19,329,528
Wells Fargo Bank NA U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.800% 6.1087% 8/1/25 (c)(d)		15,390,000	15,415,046
			1,313,996,276
Capital Markets - 7.5%
Charles Schwab Corp. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.500% 5.6959% 3/18/24 (c)(d)		11,600,000	11,587,219
Credit Suisse AG:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.390% 5.7021% 2/2/24 (c)(d)		50,000,000	49,835,226
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.260% 6.5647% 2/21/25 (c)(d)		21,200,000	20,920,184
Deutsche Bank AG New York Branch:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.500% 5.8098% 11/8/23 (c)(d)		28,400,000	28,395,357
0.962% 11/8/23		19,741,000	19,557,746
Goldman Sachs Group, Inc.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 5.9752% 1/24/25 (c)(d)		27,000,000	26,960,461
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.390% 6.5836% 3/15/24 (c)(d)		25,953,000	26,058,162
1.757% 1/24/25 (c)		8,800,000	8,636,760
3% 3/15/24		12,538,000	12,344,384
4% 3/3/24		24,000,000	23,761,997
5.7% 11/1/24		18,000,000	17,965,514
Morgan Stanley:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.7572% 1/25/24 (c)(d)		16,992,000	16,988,367
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.460% 5.7739% 11/10/23 (c)(d)		25,185,000	25,186,987
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 5.9247% 1/24/25 (c)(d)		27,000,000	26,952,804
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.160% 6.4155% 4/17/25 (c)(d)		26,956,000	27,025,620
0.79% 5/30/25 (c)		20,000,000	19,175,629
3.7% 10/23/24		12,100,000	11,842,102
UBS AG London Branch:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.360% 5.6687% 2/9/24 (b)(c)(d)		36,650,000	36,634,641
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.7587% 8/9/24 (b)(c)(d)		17,225,000	17,192,849
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.470% 5.7122% 1/13/25 (b)(c)(d)		20,750,000	20,687,872
			447,709,881
Consumer Finance - 3.0%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.680% 5.8932% 9/29/23 (c)(d)		20,613,000	20,607,106
American Express Co. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.720% 6.0313% 5/3/24 (c)(d)		21,545,000	21,631,671
Capital One Financial Corp.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 5.8866% 12/6/24 (c)(d)		24,955,000	24,686,235
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.350% 6.6597% 5/9/25 (c)(d)		25,611,000	25,551,073
1.343% 12/6/24 (c)		17,000,000	16,756,089
3.3% 10/30/24		6,000,000	5,827,421
4.166% 5/9/25 (c)		9,600,000	9,418,848
Toyota Motor Credit Corp.:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 5.8632% 12/29/23 (c)(d)		25,490,000	25,520,591
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 5.8222% 3/22/24 (c)(d)		26,000,000	26,029,183
			176,028,217
Financial Services - 1.1%
Athene Global Funding:
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.700% 6.0029% 5/24/24 (b)(c)(d)		32,000,000	31,766,605
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.710% 5.9421% 1/7/25 (b)(c)(d)		31,450,000	30,871,557
			62,638,162
Insurance - 1.9%
Marsh & McLennan Companies, Inc. 3.875% 3/15/24		11,900,000	11,776,024
New York Life Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.430% 5.6143% 6/6/24 (b)(c)(d)		26,200,000	26,213,038
Pacific Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 5.6304% 4/12/24 (b)(c)(d)		30,000,000	29,987,700
Principal Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.6894% 4/12/24 (b)(c)(d)		19,254,000	19,254,193
Protective Life Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.980% 6.1915% 3/28/25 (b)(c)(d)		28,000,000	28,105,295
			115,336,250
TOTAL FINANCIALS			2,115,708,786
HEALTH CARE - 1.8%
Biotechnology - 0.3%
Amgen, Inc. 3.625% 5/22/24		16,000,000	15,764,034
Health Care Providers & Services - 0.3%
CVS Health Corp. 3.375% 8/12/24		20,000,000	19,531,562
Pharmaceuticals - 1.2%
Bayer U.S. Finance II LLC 3.875% 12/15/23 (b)		25,800,000	25,654,622
Roche Holdings, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.330% 5.5164% 9/11/23 (b)(c)(d)		33,325,000	33,326,061
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23		13,000,000	12,975,891
			71,956,574
TOTAL HEALTH CARE			107,252,170
INDUSTRIALS - 1.9%
Industrial Conglomerates - 0.5%
Siemens Financieringsmaatschappij NV U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.430% 5.6185% 3/11/24 (b)(c)(d)		32,000,000	32,038,039
Machinery - 1.4%
Caterpillar Financial Services Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.7575% 11/13/23 (c)(d)		26,000,000	26,013,000
Daimler Trucks Finance North America LLC:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 6.2186% 4/5/24 (b)(c)(d)		20,950,000	20,985,064
1.125% 12/14/23 (b)		23,400,000	23,084,079
5.2% 1/17/25 (b)		6,190,000	6,147,012
Parker Hannifin Corp. 3.65% 6/15/24		5,000,000	4,913,589
			81,142,744
TOTAL INDUSTRIALS			113,180,783
INFORMATION TECHNOLOGY - 0.5%
Communications Equipment - 0.3%
Bank of America NA 5.65% 8/18/25		18,000,000	18,061,132
Semiconductors & Semiconductor Equipment - 0.2%
Analog Devices, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.250% 5.4668% 10/1/24 (c)(d)		9,050,000	9,045,126
TOTAL INFORMATION TECHNOLOGY			27,106,258
UTILITIES - 1.9%
Electric Utilities - 1.3%
DTE Electric Co. 3.65% 3/15/24		14,088,000	13,931,335
NextEra Energy Capital Holdings, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.400% 5.7113% 11/3/23 (c)(d)		28,375,000	28,384,704
Southern California Edison Co. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.830% 6.0468% 4/1/24 (c)(d)		25,000,000	25,001,210
Virginia Electric & Power Co. 3.45% 2/15/24		13,385,000	13,237,601
			80,554,850
Multi-Utilities - 0.6%
CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 5.9575% 5/13/24 (c)(d)		20,794,000	20,788,748
Dominion Energy, Inc. 3 month U.S. LIBOR + 0.530% 6.082% 9/15/23 (c)(d)		12,339,000	12,338,986
			33,127,734
TOTAL UTILITIES			113,682,584
TOTAL NONCONVERTIBLE BONDS (Cost $2,872,012,976)			2,870,343,728

U.S. Government and Government Agency Obligations - 14.0%
	Principal Amount (a)	Value ($)
U.S. Government Agency Obligations - 0.1%
Federal Home Loan Bank 0% 9/19/23	7,000,000	6,982,131
U.S. Treasury Obligations - 13.9%
U.S. Treasury Bills, yield at date of purchase 4.69% to 4.73% 1/25/24	304,500,000	297,974,998
U.S. Treasury Notes:
0.75% 12/31/23	56,300,000	55,429,109
3% 6/30/24	260,952,000	255,865,474
4.125% 1/31/25	190,250,000	187,596,905
4.75% 7/31/25	30,000,000	29,919,141
TOTAL U.S. TREASURY OBLIGATIONS		826,785,627
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $837,101,516)		833,767,758

Certificates of Deposit - 12.2%
	Principal Amount (a)	Value ($)
Barclays Bank PLC yankee:
5.4% 11/6/23	22,000,000	21,987,680
5.56% 11/27/23	26,000,000	25,987,049
BMO Harris Bank NA U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.670% 5.97% 7/8/24 (c)(d)	25,000,000	24,999,943
Canadian Imperial Bank of Commerce yankee:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6% 4/1/24 (c)(d)	28,500,000	28,565,476
5.5% 1/19/24	23,700,000	23,681,986
5.6% 12/1/23	23,700,000	23,703,766
Citibank NA:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.95% 6/17/24 (c)(d)	20,000,000	20,022,562
5.78% 3/8/24	25,000,000	24,987,155
Lloyds Bank Corporate Markets PLC yankee:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.95% 5/10/24 (c)(d)	23,700,000	23,727,155
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 5.99% 7/8/24 (c)(d)	25,000,000	24,998,958
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6% 6/7/24 (c)(d)	25,000,000	25,036,175
5.91% 6/17/24	25,000,000	24,982,265
Mitsubishi UFJ Trust & Banking Corp. yankee 5.58% 11/15/23	25,000,000	25,003,285
Mizuho Corporate Bank Ltd. yankee:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.75% 1/16/24 (c)(d)	25,000,000	25,011,770
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.560% 5.86% 5/24/24 (c)(d)	25,000,000	24,999,165
5.57% 11/13/23	25,000,000	25,004,988
Rabobank Nederland New York Branch yankee 6.05% 7/10/24	25,000,000	24,968,653
Royal Bank of Canada yankee:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.580% 5.88% 9/19/23 (c)(d)	24,000,000	24,004,884
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.95% 7/3/24 (c)(d)	25,000,000	25,032,080
State Street Bank & Trust Co., Boston U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.340% 5.64% 2/20/24 (c)(d)	8,000,000	7,999,280
Sumitomo Mitsui Banking Corp. yankee:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.95% 5/1/24 (c)(d)	24,000,000	24,020,189
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6% 7/11/24 (c)(d)	25,000,000	25,018,993
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6% 7/26/24 (c)(d)	25,000,000	25,013,293
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6% 8/14/24 (c)(d)	25,000,000	25,006,198
Svenska Handelsbanken, Inc. yankee:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.570% 5.87% 8/29/24 (c)(d)	25,000,000	24,995,065
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.95% 3/28/24 (c)(d)	28,500,000	28,543,987
Toronto-Dominion Bank yankee:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.670% 5.97% 3/25/24 (c)(d)	24,000,000	24,031,606
5.6% 11/27/23	23,700,000	23,699,076
Wells Fargo Bank NA:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.630% 5.93% 7/18/24 (c)(d)	25,000,000	25,013,535
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.95% 7/5/24 (c)(d)	25,000,000	25,021,838
TOTAL CERTIFICATES OF DEPOSIT (Cost $724,800,000)		725,068,055

Commercial Paper - 10.6%
	Principal Amount (a)	Value ($)
AT&T, Inc.:
5.42% 12/19/23	20,000,000	19,655,334
5.7% 1/23/24	19,000,000	18,564,328
Bank of Montreal:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6% 10/6/23 (c)(d)	24,000,000	24,011,933
yankee 6% 4/4/24 (c)(d)	19,000,000	19,027,098
Barclays Bank PLC U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.730% 6.03% 6/5/24 (b)(c)(d)	25,000,000	24,999,783
Barclays Bank PLC/Barclays U.S. CCP Funding LLC yankee 5.4% 11/6/23 (b)	13,000,000	12,867,754
Bayer Corp.:
5.9% 8/15/24	25,000,000	23,568,160
5.93% 7/9/24	25,000,000	23,713,658
5.93% 7/24/24	25,000,000	23,654,518
BPCE SA yankee:
5.15% 12/7/23	23,500,000	23,144,250
5.52% 10/12/23	20,000,000	19,873,486
5.66% 2/15/24	25,000,000	24,340,368
5.66% 7/19/24	25,000,000	23,730,430
Citigroup Global Markets, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.95% 9/22/23 (c)(d)	32,000,000	32,010,448
General Motors Financial Co., Inc. 5.67% 11/15/23	14,000,000	13,829,553
HSBC U.S.A., Inc.:
yankee:
5.35% 11/1/23	26,000,000	25,751,796
5.505% 2/2/24	24,000,000	23,407,591
6.05% 8/14/24	25,000,000	23,537,108
5.64% 1/12/24	23,700,000	23,200,518
J.P. Morgan Securities, LLC 5.94% 7/12/24 (c)(d)	25,000,000	24,999,798
NatWest Markets PLC yankee:
5.28% 11/7/23	26,000,000	25,728,955
5.34% 2/9/24	23,700,000	23,095,934
5.62% 12/8/23	25,000,000	24,616,238
Philip Morris International, Inc. 5% 10/24/23	22,000,000	21,821,932
Sempra 5.56% 9/5/23	19,000,000	18,985,592
Sumitomo Mitsui Trust Bank Ltd. yankee 5.47% 10/11/23	25,000,000	24,847,703
Svenska Handelsbanken AB yankee 5.3% 10/18/23	23,700,000	23,535,143
The Toronto-Dominion Bank yankee 4.97% 10/27/23	22,000,000	21,813,816
TOTAL COMMERCIAL PAPER (Cost $632,488,826)		632,333,225

Money Market Funds - 15.5%
	Shares	Value ($)
Fidelity Cash Central Fund 5.43% (e) (Cost $922,498,736)	922,367,137	922,551,611

TOTAL INVESTMENT IN SECURITIES - 100.4% (Cost $5,988,902,054)	5,984,064,377
NET OTHER ASSETS (LIABILITIES) - (0.4)%	(22,806,835)
NET ASSETS - 100.0%	5,961,257,542

Legend

(a)	Amount is stated in United States dollars unless otherwise noted.

(b)

(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 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 5.43%	687,128,909	3,469,980,716	3,234,558,014	30,522,787	-	-	922,551,611	2.3%
Total	687,128,909	3,469,980,716	3,234,558,014	30,522,787	-	-	922,551,611

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

Investment Valuation

Valuation Inputs at Reporting Date:
Description	Total ($)	Level 1 ($)	Level 2 ($)	Level 3 ($)
Investments in Securities:

Corporate Bonds	2,870,343,728	-	2,870,343,728	-

U.S. Government and Government Agency Obligations	833,767,758	-	833,767,758	-

Certificates of Deposit	725,068,055	-	725,068,055	-

Commercial Paper	632,333,225	-	632,333,225	-

Money Market Funds	922,551,611	922,551,611	-	-
Total Investments in Securities:	5,984,064,377	922,551,611	5,061,512,766	-

Financial Statements

Statement of Assets and Liabilities
				August 31, 2023

Assets
Investment in securities, at value - See accompanying schedule:
Unaffiliated issuers (cost $5,066,403,318)	$	5,061,512,766
Fidelity Central Funds (cost $922,498,736)		922,551,611


Total Investment in Securities (cost $5,988,902,054)			$	5,984,064,377
Cash				858,250
Receivable for fund shares sold				12,883,222
Interest receivable				32,213,609
Distributions receivable from Fidelity Central Funds				3,591,275
Receivable from investment adviser for expense reductions				229,533
Other receivables				21,075
Total assets				6,033,861,341
Liabilities
Payable for investments purchased	$	57,782,227
Payable for fund shares redeemed		8,173,967
Distributions payable		5,154,132
Accrued management fee		980,889
Distribution and service plan fees payable		186
Other affiliated payables		491,323
Other payables and accrued expenses		21,075
Total Liabilities				72,603,799
Net Assets			$	5,961,257,542
Net Assets consist of:
Paid in capital			$	5,970,643,122
Total accumulated earnings (loss)				(9,385,580)
Net Assets			$	5,961,257,542

Net Asset Value and Maximum Offering Price
Class A :
Net Asset Value and redemption price per share ($1,859,013 ÷ 185,347 shares)(a)			$	10.03
Maximum offering price per share (100/98.50 of $10.03)			$	10.18
Fidelity Conservative Income Bond Fund :
Net Asset Value, offering price and redemption price per share ($5,638,810,275 ÷ 562,378,799 shares)			$	10.03
Class I :
Net Asset Value, offering price and redemption price per share ($65,641,542 ÷ 6,544,078 shares)			$	10.03
Class Z :
Net Asset Value, offering price and redemption price per share ($254,946,712 ÷ 25,417,892 shares)			$	10.03
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

Statement of Operations
				Year ended August 31, 2023
Investment Income
Interest			$	235,203,375
Income from Fidelity Central Funds				30,522,787
Total Income				265,726,162
Expenses
Management fee	$	15,034,612
Transfer agent fees		4,548,593
Distribution and service plan fees		302
Independent trustees' fees and expenses		21,036
Total expenses before reductions		19,604,543
Expense reductions		(4,205,199)
Total expenses after reductions				15,399,344
Net Investment income (loss)				250,326,818
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment Securities:
Unaffiliated issuers		(1,626,174)
Total net realized gain (loss)				(1,626,174)
Change in net unrealized appreciation (depreciation) on investment securities				20,885,151
Net gain (loss)				19,258,977
Net increase (decrease) in net assets resulting from operations			$	269,585,795

Statement of Changes in Net Assets

		Year ended August 31, 2023		Year ended August 31, 2022
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	250,326,818	$	37,082,550
Net realized gain (loss)		(1,626,174)		(2,453,592)
Change in net unrealized appreciation (depreciation)		20,885,151		(36,185,948)
Net increase (decrease) in net assets resulting from operations		269,585,795		(1,556,990)
Distributions to shareholders		(250,274,265)		(38,320,313)

Share transactions - net increase (decrease)		(148,204,679)		(1,244,820,263)
Total increase (decrease) in net assets		(128,893,149)		(1,284,697,566)

Net Assets
Beginning of period		6,090,150,691		7,374,848,257
End of period	$	5,961,257,542	$	6,090,150,691

Financial Highlights

Fidelity Advisor® Conservative Income Bond Fund Class A

Years ended August 31,		2023 A
Selected Per-Share Data
Net asset value, beginning of period	$	10.01
Income from Investment Operations
Net investment income (loss) B,C		.131
Net realized and unrealized gain (loss)		.019
Total from investment operations		.150
Distributions from net investment income		(.130)
Total distributions		(.130)
Net asset value, end of period	$	10.03
Total Return D,E,F		1.51%
Ratios to Average Net Assets C,G,H
Expenses before reductions		.39% I
Expenses net of fee waivers, if any		.39% I
Expenses net of all reductions		.39% I
Net investment income (loss)		5.00% I
Supplemental Data
Net assets, end of period (000 omitted)	$	1,859
Portfolio turnover rate J		48%

AFor the period May 25, 2023 (commencement of sale of shares) through August 31, 2023.

BCalculated based on average shares outstanding during the period.

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.

FTotal returns do not include the effect of the sales charges.

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.

IAnnualized.

JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

Fidelity® Conservative Income Bond Fund

Years ended August 31,		2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	9.99	$	10.05	$	10.07	$	10.04	$	10.04
Income from Investment Operations
Net investment income (loss) A,B		.506		.059		.039		.156		.257
Net realized and unrealized gain (loss)		(.032) C		(.056)		(.019)		.031		- D
Total from investment operations		.474		.003		.020		.187		.257
Distributions from net investment income		(.434)		(.061)		(.038)		(.157)		(.257)
Distributions from net realized gain		-		(.002)		(.002)		-		-
Total distributions		(.434)		(.063)		(.040)		(.157)		(.257)
Net asset value, end of period	$	10.03	$	9.99	$	10.05	$	10.07	$	10.04
Total Return E		4.84%		.03%		.20%		1.88%		2.59%
Ratios to Average Net Assets B,F,G
Expenses before reductions		.34%		.35%		.35%		.35%		.35%
Expenses net of fee waivers, if any		.27%		.25%		.25%		.25%		.25%
Expenses net of all reductions		.27%		.25%		.25%		.25%		.25%
Net investment income (loss)		4.29%		.59%		.39%		1.55%		2.56%
Supplemental Data
Net assets, end of period (000 omitted)	$	5,638,810	$	4,522,064	$	5,364,328	$	9,362,863	$	9,371,991
Portfolio turnover rate H		48%		50%		62% I		56%		36%

ACalculated based on average shares outstanding during the period.

CThe 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.

DAmount represents less than $.0005 per share.

ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

HAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

IPortfolio turnover rate excludes securities received or delivered in-kind.

Fidelity Advisor® Conservative Income Bond Fund Class I

Years ended August 31,		2023 A
Selected Per-Share Data
Net asset value, beginning of period	$	10.01
Income from Investment Operations
Net investment income (loss) B,C		.126
Net realized and unrealized gain (loss)		.029
Total from investment operations		.155
Distributions from net investment income		(.135)
Total distributions		(.135)
Net asset value, end of period	$	10.03
Total Return D,E		1.55%
Ratios to Average Net Assets C,F,G
Expenses before reductions		.44% H
Expenses net of fee waivers, if any		.25% H
Expenses net of all reductions		.25% H
Net investment income (loss)		5.16% H
Supplemental Data
Net assets, end of period (000 omitted)	$	65,642
Portfolio turnover rate I		48%

AFor the period May 25, 2023 (commencement of sale of shares) through August 31, 2023.

BCalculated based on average shares outstanding during the period.

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.

HAnnualized.

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

Fidelity Advisor® Conservative Income Bond Fund Class Z

Years ended August 31,		2023 A
Selected Per-Share Data
Net asset value, beginning of period	$	10.01
Income from Investment Operations
Net investment income (loss) B,C		.125
Net realized and unrealized gain (loss)		.031
Total from investment operations		.156
Distributions from net investment income		(.136)
Total distributions		(.136)
Net asset value, end of period	$	10.03
Total Return D,E		1.56%
Ratios to Average Net Assets C,F,G
Expenses before reductions		.25% H
Expenses net of fee waivers, if any		.20% H
Expenses net of all reductions		.20% H
Net investment income (loss)		5.20% H
Supplemental Data
Net assets, end of period (000 omitted)	$	254,947
Portfolio turnover rate I		48%

AFor the period May 25, 2023 (commencement of sale of shares) through August 31, 2023.

BCalculated based on average shares outstanding during the period.

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.

HAnnualized.

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, 2023

1. Organization.

Fidelity Conservative Income Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund commenced sale of Class A, Class I, and Class Z shares on May 25, 2023. The Fund offers Class A, Fidelity Conservative Income Bond Fund (formerly Institutional Class), Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Class A, Class I and Class Z are Fidelity Advisor classes. Each class has exclusive voting rights with respect to matters that affect that class. Effective April 1, 2023, Conservative Income Bond share class was consolidated into Institutional Class. Institutional Class was then renamed Fidelity Conservative Income Bond Fund.

2. Investments in Fidelity Central Funds.

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.

3. Significant Accounting Policies.

The 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 the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, U.S. government and government agency obligations, commercial paper and certificates of deposit 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. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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.

Fidelity Conservative Income Bond Fund

$21,075

Book-tax differences are primarily due to capital loss carryforwards.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation	$5,121,473
Gross unrealized depreciation	(9,959,149)
Net unrealized appreciation (depreciation)	$(4,837,676)
Tax Cost	$5,988,902,053

The tax-based components of distributable earnings as of period end were as follows:

Capital loss carryforward	$(4,079,766)
Net unrealized appreciation (depreciation) on securities and other investments	$(4,837,676)

Short-term	$(3,529,446)
Long-term	(550,320)
Total capital loss carryforward	$(4,079,766)

The tax character of distributions paid was as follows:

	August 31, 2023	August 31, 2022
Ordinary Income	$250,274,265	$36,906,333
Long-term Capital Gains	-	1,413,980
Total	$250,274,265	$38,320,313

LIBOR Accounting Pronouncement. In March 2020, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU), ASU 2020-04, which provides optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other IBOR-based reference rates. The temporary relief provided by ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2024. Management does not expect the adoption of ASU 2020-04 to have a material impact on the Fund's financial statements.

4. 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 Conservative Income Bond Fund	1,237,603,783	2,255,196,755

5. Fees and Other Transactions with Affiliates.

Prior to April 1, 2023, the Fund paid a monthly management fee that was based on an annual rate of .30% of the Fund's average net assets. Under the management contract, the investment adviser paid all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense.

For the reporting period, the total annual management fee rate was .26% of the Fund's average net assets.

	Distribution Fee	Service Fee	Total Fees	Retained by FDC
Class A	-%	.15%	302	22
			$302	$22

Sales Load. FDC may receive a front-end sales charge of up to 1.50% for selling Class A shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive a contingent deferred sales charge levied on Class A redemptions. The deferred sales charges are .75% or .50% for certain purchases of Class A shares.

For the period, sales charge amounts retained by FDC were as follows:

	Retained by FDC
Class A	$96

Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Fidelity Conservative Income Bond Fund and Class Z. FIIOC receives an asset-based fee of Fidelity Conservative Income Bond Fund's and Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:

	Amount	% of Class-Level Average Net Assets
Conservative Income Bond	$878,571	.10 B
Class A	87	.04
Fidelity Conservative Income Bond Fund	3,644,917	.06 A
Class I	15,760	.24
Class Z	9,258	.05
	$4,548,593

A Effective April 1, 2023, the asset-based fee changed from .05% to .10%.

B Annualized.

6. Committed Line of Credit.

7. Expense Reductions.

The investment adviser contractually agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. This reimbursement will remain in place through December 31, 2024. Some expenses, for example the compensation of the independent Trustees, and certain other expenses such as interest expense, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

	Expense Limitations	Reimbursement
Conservative Income Bond	.35%	$452,398
Class A	.45% A	-
Fidelity Conservative Income Bond Fund	.25%	3,728,343
Class I	.25% A	12,177
Class Z	.20% A	8,597
		$4,201,515

A Expense limitation effective May 25, 2023.

In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $3,684.

8. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

	Year ended August 31, 2023 A	Year ended August 31, 2022
Fidelity Conservative Income Bond Fund
Distributions to shareholders
Conservative Income Bond	$32,539,546	$8,754,163
Class A	10,386	-
Fidelity Conservative Income Bond Fund	216,434,587	29,566,150
Class I	341,526	-
Class Z	948,220	-
Total	$250,274,265	$38,320,313

A Distributions for Class A, Class I and Class Z are for the period May 25, 2023 (commencement of sale of shares) through August 31, 2023.

9. Share Transactions.

Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:

	Shares	Shares	Dollars	Dollars
	Year ended August 31, 2023 A	Year ended August 31, 2022	Year ended August 31, 2023 A	Year ended August 31, 2022
Fidelity Conservative Income Bond Fund
Conservative Income Bond
Shares sold	41,755,027	53,966,835	$417,744,453	$539,928,940
Reinvestment of distributions	2,768,499	771,853	27,679,588	7,715,519
Shares redeemed	(201,421,079)	(97,830,724)	(2,015,407,325)	(979,511,160)
Net increase (decrease)	(156,897,553)	(43,092,036)	$(1,569,983,284)	$(431,866,701)
Class A
Shares sold	331,504	-	$3,323,379	$ -
Reinvestment of distributions	947	-	9,494	-
Shares redeemed	(147,104)	-	(1,474,640)	-
Net increase (decrease)	185,347	-	$1,858,233	$ -
Fidelity Conservative Income Bond Fund
Shares sold	433,522,857	270,630,970	$4,336,904,918	$2,709,599,692
Reinvestment of distributions	16,648,134	2,071,661	166,613,369	20,714,370
Shares redeemed	(340,246,814)	(353,834,362)	(3,404,040,640)	(3,543,267,624)
Net increase (decrease)	109,924,177	(81,131,731)	$1,099,477,647	$(812,953,562)
Class I
Shares sold	6,690,773	-	$67,082,037	$ -
Reinvestment of distributions	33,635	-	337,270	-
Shares redeemed	(180,330)	-	(1,807,812)	-
Net increase (decrease)	6,544,078	-	$65,611,495	$ -
Class Z
Shares sold	25,849,332	-	$259,155,911	$ -
Reinvestment of distributions	76,708	-	768,987	-
Shares redeemed	(508,148)	-	(5,093,668)	-
Net increase (decrease)	25,417,892	-	$254,831,230	$ -

A Share transactions for Class A, Class I and Class Z are for the period May 25, 2023 (commencement of sale of shares) through August 31, 2023.

10. Other.

11. Risk and Uncertainties.

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Salem Street Trust and the Shareholders of Fidelity Conservative Income Bond Fund:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Fidelity Conservative Income Bond Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of August 31, 2023, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, 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, 2023, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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, 2023, by correspondence with the custodian and brokers and agent banks; when replies were not received from brokers and 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 11, 2023

We have served as the auditor of one or more of the Fidelity investment companies since 1999.

Trustees and Officers

TRUSTEES AND OFFICERS

Interested Trustees*:

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Christine J. Thompson (1958)

Year of Election or Appointment: 2023

Trustee

* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Laura M. Bishop (1961)

Year of Election or Appointment: 2023

Trustee

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Robert W. Helm (1957)

Year of Election or Appointment: 2023

Trustee

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Chairman of the Independent Trustees

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Carol J. Zierhoffer (1960)

Year of Election or Appointment: 2023

Trustee

Advisory Board Members and Officers:

Name, Year of Birth; Principal Occupation

Heather Bonner (1977)

Year of Election or Appointment: 2023

Assistant Treasurer

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

Margaret Carey (1973)

Year of Election or Appointment: 2023

Secretary and Chief Legal Officer (CLO)

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

Robin Foley (1964)

Year of Election or Appointment: 2023

Vice President

Christopher M. Gouveia (1973)

Year of Election or Appointment: 2023

Chief Compliance Officer

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Jim Wegmann (1979)

Year of Election or Appointment: 2021

Deputy Treasurer

Shareholder Expense Example

The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2023 to August 31, 2023) for Fidelity® Conservative Income Bond Fund and for the period (May 25, 2023 to August 31, 2023) for Class A and Class I and Class Z. The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (March 1, 2023 to August 31, 2023).

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Expense Ratio- A	Beginning Account Value	Ending Account Value August 31, 2023	Expenses Paid During Period
Fidelity® Conservative Income Bond Fund
Class A	.39%
Actual		$ 1,000	$ 1,015.10	$ 1.07C
Hypothetical-B		$ 1,000	$ 1,023.24	$ 1.99D
Fidelity® Conservative Income Bond Fund	.25%
Actual		$ 1,000	$ 1,026.40	$ 1.28C
Hypothetical-B		$ 1,000	$ 1,023.95	$ 1.28D
Class I	.25%
Actual		$ 1,000	$ 1,015.50	$ .68C
Hypothetical-B		$ 1,000	$ 1,023.95	$ 1.28D
Class Z	.20%
Actual		$ 1,000	$ 1,015.60	$ .55C
Hypothetical-B		$ 1,000	$ 1,024.20	$ 1.02D

A Annualized expense ratio reflects expenses net of applicable fee waivers.

B 5% return per year before expenses

C Actual expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184 / 365 (to reflect the one-half year period) for Fidelity® Conservative Income Bond Fund and multiplied by 99 / 365 (to reflect the period May 25, 2023 to August 31, 2023) for Class A and Class I and Class Z.

D Hypothetical expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

Distributions (Unaudited)

The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.

A total of 9.51% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $72,382,186 of distributions paid in the calendar year 2022 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates $240,638,007 of distributions paid during the fiscal year ended 2023 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.

Board Approval of Investment Advisory Contracts

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Conservative Income Bond Fund

Competitiveness of Management Fee and Total Expense Ratio. The Board considered that it received and reviewed information regarding the fund's management fee rate and total expense ratio compared to "mapped groups" of competitive funds and classes at the current management fee and expense levels in connection with the annual renewal of the Current Management Contract. Based on its review, the Board concluded at its September 2022 meeting that the fund's current management fee and the total expense ratio of the fund are fair and reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

In reviewing the Amended Contract, the Board considered the fund's proposed management fee rate out of which FMR will pay all "fund-level" expenses, with certain limited exceptions, and the projected total expense ratio of the fund. The Board considered that the Amended Contract will decrease the management fee paid by the fund by approximately 10 basis points, based on the average group assets for December 2022. The Board noted that the fund's proposed management fee rate is lower than the median fee rate of funds with similar Lipper investment objective categories and comparable investment mandates, regardless of whether their management fee structures are comparable. The Board also considered that the projected total net expense ratio of the fund is below the median of those funds and classes used by the Board for management fee comparisons that have a similar sales load structure.

The Board also noted that, in conjunction with the approval of the lower management fee rate under the Amended Contract, FMR has contractually agreed to reimburse the fund to the extent that total operating expenses (with certain exceptions), as a percentage of its average net assets exceed 25 basis points through December 31, 2024.

Based on its review, the Board concluded that the fund's management fee and projected total expense ratio continue to be fair and reasonable in light of the services that the fund receives and the other factors considered.

Economies of Scale. The Board considered that it previously received and reviewed information regarding whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale and that it concluded, at its September 2022 meeting, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity. In connection with the approval of the fund's Amended Contract, the Board did not consider economies of scale because the proposed fee arrangement lowers the fund's management fee and FMR will continue to contractually limit expenses. The Board will continue to review economies of scale in connection with its consideration of future renewals of the Amended Contract.

1.924089.112

FCV-ANN-1023

Fidelity Flex® Funds

Fidelity Flex® U.S. Bond Index Fund

Annual Report

August 31, 2023

Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

You may also call 1-800-544-3455 (for managed account clients) or 1-800-835-5092 (for retirement plan participants) 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.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Performance: The Bottom Line

Average Annual Total Returns

Periods ended August 31, 2023	Past 1 year	Past 5 years	Life of Fund A
Fidelity Flex® U.S. Bond Index Fund	-1.22%	0.47%	0.80%

A From March 9, 2017

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity Flex® U.S. Bond Index Fund, on March 9, 2017, when the fund started.

The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. Aggregate Bond Index performed over the same period.

Management's Discussion of Fund Performance

Market Recap:

Comments from Co-Portfolio Managers Brandon Bettencourt and Richard Munclinger:

For the fiscal year, the fund returned -1.22% versus the -1.19% return of the benchmark, the Bloomberg U.S. Aggregate Bond Index. These results met our goal of producing monthly returns, before expenses, that closely match the benchmark return. Differences in the way fund holdings and index components were priced modestly detracted from relative performance. Fund holdings are priced by a third-party pricing service and validated daily by Fidelity Management and Research's fair-value processes. Given the large number of securities in the index (roughly 13,400) 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.

Investment Summary August 31, 2023 (Unaudited)

Quality Diversification (% of Fund's net assets)

Short-Term Investments and Net Other Assets (Liabilities) - (1.3)%*

Percentages shown as 0.0% may reflect amounts less than 0.05%.

Asset Allocation (% of Fund's net assets)

Short-Term Investments and Net Other Assets (Liabilities) - (1.3)%

Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.

Schedule of Investments August 31, 2023

Showing Percentage of Net Assets

Nonconvertible Bonds - 26.3%
	Principal Amount (a)	Value ($)
COMMUNICATION SERVICES - 2.1%
Diversified Telecommunication Services - 0.7%
AT&T, Inc.:
1.65% 2/1/28	200,000	171,003
2.25% 2/1/32	1,280,000	998,661
2.55% 12/1/33	210,000	160,236
2.75% 6/1/31	401,000	331,284
3.1% 2/1/43	210,000	146,246
3.3% 2/1/52	350,000	228,213
3.5% 6/1/41	630,000	462,063
3.5% 9/15/53	1,009,000	664,129
3.5% 2/1/61	410,000	262,647
3.55% 9/15/55	293,000	191,232
3.65% 6/1/51	220,000	150,894
3.65% 9/15/59	419,000	271,165
4.5% 5/15/35	220,000	195,516
4.65% 6/1/44	110,000	91,269
4.75% 5/15/46	130,000	108,529
5.15% 3/15/42	236,000	210,148
5.45% 3/1/47	160,000	146,909
Bell Canada:
3.2% 2/15/52	100,000	65,506
4.464% 4/1/48	130,000	106,987
British Telecommunications PLC 9.625% 12/15/30	154,000	187,536
Deutsche Telekom International Financial BV 8.75% 6/15/30 (b)	210,000	247,256
Orange SA 5.375% 1/13/42	170,000	162,775
Sprint Capital Corp. 6.875% 11/15/28	490,000	517,637
Telefonica Emisiones S.A.U.:
4.103% 3/8/27	300,000	285,548
5.213% 3/8/47	160,000	134,097
7.045% 6/20/36	100,000	106,550
Telefonica Europe BV 8.25% 9/15/30	508,000	579,890
TELUS Corp. 4.3% 6/15/49	100,000	77,855
Verizon Communications, Inc.:
1.5% 9/18/30	930,000	726,621
2.355% 3/15/32	615,000	486,427
2.85% 9/3/41	920,000	628,189
2.987% 10/30/56	692,000	413,517
3.55% 3/22/51	500,000	350,450
4.016% 12/3/29	430,000	399,771
4.125% 3/16/27	540,000	520,182
4.272% 1/15/36	106,000	94,108
4.329% 9/21/28	270,000	258,588
4.4% 11/1/34	100,000	90,603
4.812% 3/15/39	780,000	708,450
5.012% 4/15/49	146,000	130,941
5.012% 8/21/54	214,000	189,452
5.25% 3/16/37	102,000	99,363
		12,358,443
Entertainment - 0.1%
Activision Blizzard, Inc. 2.5% 9/15/50	100,000	63,590
The Walt Disney Co.:
2% 9/1/29	40,000	33,914
2.65% 1/13/31	200,000	171,338
2.75% 9/1/49	160,000	102,923
3.5% 5/13/40	163,000	130,703
3.6% 1/13/51	250,000	188,126
3.7% 10/15/25	434,000	421,372
3.8% 5/13/60	60,000	45,391
4.75% 9/15/44	151,000	138,323
6.2% 12/15/34	150,000	162,640
		1,458,320
Interactive Media & Services - 0.2%
Alphabet, Inc.:
0.45% 8/15/25	100,000	91,778
1.1% 8/15/30	410,000	328,574
1.9% 8/15/40	100,000	67,109
2.05% 8/15/50	340,000	203,521
Baidu, Inc.:
3.075% 4/7/25	210,000	201,392
4.375% 5/14/24	480,000	474,984
Meta Platforms, Inc.:
3.5% 8/15/27	470,000	447,930
3.85% 8/15/32	120,000	110,172
4.45% 8/15/52	480,000	407,366
4.95% 5/15/33	200,000	199,023
5.6% 5/15/53	150,000	150,617
5.75% 5/15/63	110,000	111,085
		2,793,551
Media - 0.8%
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
2.8% 4/1/31	100,000	80,580
3.5% 6/1/41	280,000	185,574
3.5% 3/1/42	430,000	281,115
3.75% 2/15/28	150,000	137,260
3.85% 4/1/61	300,000	179,227
3.95% 6/30/62	100,000	60,307
4.4% 4/1/33	700,000	616,351
4.4% 12/1/61	120,000	78,870
5.125% 7/1/49	200,000	153,895
5.375% 4/1/38	110,000	93,153
5.375% 5/1/47	100,000	79,907
5.5% 4/1/63	110,000	86,415
5.75% 4/1/48	250,000	210,621
6.484% 10/23/45	100,000	91,995
6.834% 10/23/55	140,000	129,655
Comcast Corp.:
1.5% 2/15/31	295,000	230,819
1.95% 1/15/31	300,000	242,569
2.35% 1/15/27	1,380,000	1,266,063
2.45% 8/15/52	295,000	172,645
2.65% 2/1/30	100,000	86,959
2.8% 1/15/51	120,000	76,117
2.887% 11/1/51	273,000	175,062
2.937% 11/1/56	660,000	410,703
2.987% 11/1/63	160,000	96,729
3.2% 7/15/36	200,000	161,814
3.45% 2/1/50	230,000	167,862
3.7% 4/15/24	100,000	98,747
3.969% 11/1/47	170,000	136,300
3.999% 11/1/49	100,000	79,795
4% 3/1/48	150,000	120,706
4.049% 11/1/52	15,000	11,998
4.15% 10/15/28	150,000	144,642
4.55% 1/15/29	330,000	323,476
5.35% 5/15/53	330,000	322,929
5.65% 6/15/35	476,000	493,480
7.05% 3/15/33	210,000	239,391
Discovery Communications LLC:
3.625% 5/15/30	200,000	175,656
4% 9/15/55	133,000	86,740
4.65% 5/15/50	200,000	149,075
5% 9/20/37	340,000	289,802
Fox Corp.:
4.709% 1/25/29	70,000	67,528
5.476% 1/25/39	164,000	148,838
5.576% 1/25/49	56,000	50,020
Grupo Televisa SA de CV:
5% 5/13/45	100,000	83,045
6.625% 1/15/40	110,000	112,110
Magallanes, Inc.:
3.755% 3/15/27	180,000	168,825
4.279% 3/15/32	345,000	304,442
5.05% 3/15/42	330,000	271,271
5.141% 3/15/52	651,000	518,918
5.391% 3/15/62	170,000	134,924
Paramount Global:
4% 1/15/26	176,000	168,975
4.2% 6/1/29	200,000	179,004
4.375% 3/15/43	100,000	69,038
4.6% 1/15/45	110,000	75,909
4.95% 1/15/31	237,000	211,400
5.85% 9/1/43	239,000	197,830
RELX Capital, Inc. 4% 3/18/29	240,000	227,958
Time Warner Cable Enterprises 8.375% 7/15/33	100,000	111,425
Time Warner Cable LLC:
5.5% 9/1/41	110,000	90,371
5.875% 11/15/40	220,000	191,419
6.55% 5/1/37	100,000	95,018
7.3% 7/1/38	100,000	101,305
TWDC Enterprises 18 Corp.:
1.85% 7/30/26	470,000	430,481
3% 7/30/46	110,000	75,435
3.7% 12/1/42	250,000	199,695
4.125% 6/1/44	192,000	161,833
7% 3/1/32	290,000	326,026
		12,998,047
Wireless Telecommunication Services - 0.3%
America Movil S.A.B. de CV:
2.875% 5/7/30	511,000	438,796
3.625% 4/22/29	200,000	182,948
6.125% 3/30/40	100,000	103,848
Rogers Communications, Inc.:
2.9% 11/15/26	90,000	82,992
4.3% 2/15/48	240,000	179,900
4.55% 3/15/52	200,000	154,970
5% 3/15/44	210,000	178,919
T-Mobile U.S.A., Inc.:
2.05% 2/15/28	200,000	174,612
2.55% 2/15/31	190,000	156,564
3% 2/15/41	210,000	148,331
3.3% 2/15/51	400,000	268,555
3.5% 4/15/25	830,000	802,363
3.6% 11/15/60	330,000	220,998
4.375% 4/15/40	100,000	85,939
4.5% 4/15/50	480,000	396,488
4.8% 7/15/28	350,000	342,172
5.05% 7/15/33	350,000	337,728
5.2% 1/15/33	150,000	146,991
5.65% 1/15/53	370,000	360,916
Vodafone Group PLC:
4.375% 5/30/28	250,000	245,437
4.875% 6/19/49	120,000	101,750
5% 5/30/38	130,000	120,903
5.125% 6/19/59	340,000	289,529
		5,521,649
TOTAL COMMUNICATION SERVICES		35,130,010
CONSUMER DISCRETIONARY - 1.5%
Automobile Components - 0.0%
Lear Corp.:
3.55% 1/15/52	80,000	52,150
3.8% 9/15/27	140,000	131,254
		183,404
Automobiles - 0.3%
American Honda Finance Corp.:
1% 9/10/25	240,000	219,960
1.2% 7/8/25	400,000	370,848
1.8% 1/13/31	140,000	112,293
2.15% 9/10/24	120,000	115,854
2.9% 2/16/24	100,000	98,664
3.55% 1/12/24	428,000	424,586
5.125% 7/7/28	170,000	170,114
Daimler Finance North America LLC 8.5% 1/18/31	100,000	122,019
General Motors Co.:
4.2% 10/1/27	90,000	84,794
5.15% 4/1/38	120,000	104,719
5.6% 10/15/32	360,000	346,509
5.95% 4/1/49	170,000	152,445
6.75% 4/1/46	255,000	251,609
6.8% 10/1/27	330,000	340,162
General Motors Financial Co., Inc.:
2.4% 4/10/28	190,000	164,243
2.7% 8/20/27	140,000	124,504
3.85% 1/5/28	160,000	147,433
4.3% 4/6/29	130,000	118,829
4.35% 1/17/27	450,000	428,150
5.25% 3/1/26	170,000	167,414
5.65% 1/17/29	130,000	127,782
6% 1/9/28	330,000	330,817
Honda Motor Co. Ltd. 2.967% 3/10/32	130,000	113,679
Toyota Motor Corp. 3.669% 7/20/28	290,000	276,068
		4,913,495
Broadline Retail - 0.4%
Alibaba Group Holding Ltd.:
2.125% 2/9/31	340,000	272,204
3.15% 2/9/51	235,000	142,099
4% 12/6/37	140,000	113,415
4.5% 11/28/34	230,000	205,787
Amazon.com, Inc.:
0.8% 6/3/25	130,000	120,716
1% 5/12/26	200,000	180,740
1.5% 6/3/30	160,000	130,072
2.1% 5/12/31	360,000	298,526
2.5% 6/3/50	780,000	496,999
2.8% 8/22/24	117,000	114,015
3.1% 5/12/51	200,000	142,847
3.15% 8/22/27	290,000	272,699
3.45% 4/13/29	100,000	94,103
3.875% 8/22/37	280,000	251,980
4.05% 8/22/47	228,000	196,758
4.1% 4/13/62	380,000	315,042
4.25% 8/22/57	100,000	86,595
4.6% 12/1/25	1,280,000	1,270,406
4.8% 12/5/34	230,000	231,471
4.95% 12/5/44	200,000	197,754
eBay, Inc.:
1.4% 5/10/26	410,000	369,589
3.6% 6/5/27	190,000	179,383
4% 7/15/42	150,000	117,110
		5,800,310
Diversified Consumer Services - 0.1%
American University 3.672% 4/1/49	200,000	155,561
Duke University 2.832% 10/1/55	34,000	22,424
George Washington University 4.126% 9/15/48	200,000	169,671
Ingersoll-Rand Global Holding Co. Ltd.:
3.75% 8/21/28	240,000	225,159
4.3% 2/21/48	30,000	24,614
Massachusetts Institute of Technology 2.989% 7/1/50	400,000	287,105
Northwestern University:
3.662% 12/1/57	100,000	77,847
3.868% 12/1/48	120,000	100,057
University of Chicago 3% 10/1/52	120,000	84,470
University of Southern California 2.945% 10/1/51	350,000	239,119
		1,386,027
Hotels, Restaurants & Leisure - 0.2%
Expedia, Inc.:
3.25% 2/15/30	110,000	95,888
3.8% 2/15/28	100,000	93,206
5% 2/15/26	255,000	252,024
Marriott International, Inc.:
2.75% 10/15/33	100,000	78,216
3.125% 6/15/26	510,000	479,203
4.625% 6/15/30	123,000	116,556
5.75% 5/1/25	110,000	110,166
McDonald's Corp.:
3.3% 7/1/25	280,000	270,420
3.6% 7/1/30	810,000	745,208
3.625% 5/1/43	80,000	62,468
3.625% 9/1/49	160,000	120,650
4.2% 4/1/50	110,000	91,332
4.45% 3/1/47	153,000	132,103
4.45% 9/1/48	44,000	38,306
4.7% 12/9/35	100,000	95,547
6.3% 3/1/38	100,000	108,952
Starbucks Corp.:
2.55% 11/15/30	400,000	339,279
3.5% 11/15/50	110,000	79,785
3.75% 12/1/47	100,000	76,339
4% 11/15/28	350,000	334,921
4.45% 8/15/49	100,000	84,942
		3,805,511
Household Durables - 0.0%
D.R. Horton, Inc. 1.3% 10/15/26	130,000	114,614
Lennar Corp.:
4.5% 4/30/24	230,000	228,160
4.75% 11/29/27	100,000	96,962
Toll Brothers Finance Corp. 4.35% 2/15/28	100,000	93,841
Whirlpool Corp. 4.6% 5/15/50	100,000	81,541
		615,118
Leisure Products - 0.0%
Hasbro, Inc.:
3.55% 11/19/26	200,000	187,845
3.9% 11/19/29	142,000	128,763
		316,608
Specialty Retail - 0.4%
Advance Auto Parts, Inc. 5.95% 3/9/28	122,000	120,645
AutoNation, Inc. 3.85% 3/1/32	160,000	135,457
AutoZone, Inc.:
1.65% 1/15/31	180,000	139,792
3.625% 4/15/25	270,000	261,899
4.5% 2/1/28	240,000	233,522
Lowe's Companies, Inc.:
2.8% 9/15/41	100,000	68,683
3.375% 9/15/25	210,000	201,525
3.65% 4/5/29	620,000	575,852
3.7% 4/15/46	100,000	74,965
4.05% 5/3/47	132,000	103,213
4.25% 4/1/52	140,000	110,752
4.45% 4/1/62	270,000	210,569
4.8% 4/1/26	300,000	296,524
5% 4/15/33	110,000	107,473
5% 4/15/40	330,000	305,593
5.15% 7/1/33	200,000	197,583
5.625% 4/15/53	100,000	97,118
O'Reilly Automotive, Inc.:
1.75% 3/15/31	150,000	118,128
4.35% 6/1/28	150,000	145,556
The Home Depot, Inc.:
1.375% 3/15/31	240,000	187,891
2.375% 3/15/51	250,000	148,869
2.5% 4/15/27	750,000	693,149
2.75% 9/15/51	160,000	103,156
2.95% 6/15/29	330,000	299,707
3.3% 4/15/40	100,000	78,812
4.2% 4/1/43	300,000	261,552
4.25% 4/1/46	150,000	128,612
4.4% 3/15/45	156,000	136,491
4.5% 12/6/48	100,000	89,365
4.95% 9/15/52	280,000	266,911
5.875% 12/16/36	100,000	107,286
5.95% 4/1/41	120,000	128,335
TJX Companies, Inc. 1.6% 5/15/31	250,000	200,863
		6,335,848
Textiles, Apparel & Luxury Goods - 0.1%
NIKE, Inc.:
2.4% 3/27/25	1,100,000	1,052,406
2.75% 3/27/27	230,000	214,918
3.375% 3/27/50	150,000	115,812
3.875% 11/1/45	110,000	94,140
VF Corp. 2.8% 4/23/27	150,000	136,263
		1,613,539
TOTAL CONSUMER DISCRETIONARY		24,969,860
CONSUMER STAPLES - 1.7%
Beverages - 0.5%
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc.:
4.7% 2/1/36	200,000	191,422
4.9% 2/1/46	100,000	93,025
Anheuser-Busch InBev Finance, Inc.:
4.7% 2/1/36	220,000	210,564
4.9% 2/1/46	100,000	93,025
Anheuser-Busch InBev Worldwide, Inc.:
4.35% 6/1/40	180,000	161,029
4.439% 10/6/48	650,000	569,476
4.6% 4/15/48	487,000	438,596
4.6% 6/1/60	120,000	104,631
4.95% 1/15/42	230,000	219,445
5.45% 1/23/39	380,000	385,745
5.55% 1/23/49	180,000	184,375
5.8% 1/23/59 (Reg. S)	260,000	272,634
8.2% 1/15/39	110,000	140,589
Coca-Cola FEMSA S.A.B. de CV 2.75% 1/22/30	150,000	130,158
Constellation Brands, Inc.:
2.875% 5/1/30	460,000	396,944
3.6% 2/15/28	272,000	253,632
4.5% 5/9/47	100,000	83,400
Diageo Capital PLC:
1.375% 9/29/25	200,000	184,654
2% 4/29/30	400,000	333,737
5.875% 9/30/36	120,000	126,698
Dr. Pepper Snapple Group, Inc.:
3.8% 5/1/50	430,000	326,604
4.417% 5/25/25	86,000	84,335
Molson Coors Beverage Co.:
3% 7/15/26	254,000	237,997
4.2% 7/15/46	100,000	79,250
5% 5/1/42	100,000	90,414
PepsiCo, Inc.:
1.4% 2/25/31	680,000	540,615
1.625% 5/1/30	309,000	254,214
2.625% 10/21/41	100,000	72,600
2.85% 2/24/26	250,000	238,056
3% 10/15/27	100,000	94,061
3.6% 3/1/24	190,000	188,161
3.625% 3/19/50	100,000	80,437
3.875% 3/19/60	210,000	171,653
4.45% 4/14/46	140,000	129,393
7% 3/1/29	100,000	111,219
The Coca-Cola Co.:
1% 3/15/28	230,000	197,177
1.45% 6/1/27	120,000	107,144
1.65% 6/1/30	240,000	197,760
2.125% 9/6/29	140,000	122,312
2.25% 1/5/32	120,000	100,710
2.5% 6/1/40	120,000	86,727
2.5% 3/15/51	100,000	64,706
2.6% 6/1/50	120,000	79,837
2.75% 6/1/60	120,000	78,002
2.875% 5/5/41	100,000	75,616
3.45% 3/25/30	160,000	148,805
		8,531,584
Consumer Staples Distribution & Retail - 0.4%
Costco Wholesale Corp.:
1.375% 6/20/27	150,000	132,610
3% 5/18/27	210,000	198,308
Dollar General Corp.:
3.5% 4/3/30	210,000	186,640
5% 11/1/32	100,000	95,219
5.2% 7/5/28	100,000	98,965
5.45% 7/5/33	120,000	116,435
Dollar Tree, Inc.:
4% 5/15/25	478,000	463,733
4.2% 5/15/28	160,000	151,831
Kroger Co.:
1.7% 1/15/31	240,000	186,451
3.5% 2/1/26	130,000	124,111
3.7% 8/1/27	120,000	113,912
3.95% 1/15/50	100,000	77,501
4.45% 2/1/47	130,000	108,402
5.4% 1/15/49	70,000	66,759
Sysco Corp.:
2.45% 12/14/31	240,000	194,316
3.3% 2/15/50	150,000	102,816
6.6% 4/1/50	140,000	154,360
Target Corp.:
1.95% 1/15/27	280,000	255,285
2.5% 4/15/26	100,000	94,709
3.375% 4/15/29	310,000	289,878
3.9% 11/15/47	160,000	130,558
4.8% 1/15/53	200,000	184,299
Walgreens Boots Alliance, Inc.:
3.2% 4/15/30	190,000	161,204
3.45% 6/1/26	195,000	184,203
4.8% 11/18/44	100,000	78,245
Walmart, Inc.:
2.5% 9/22/41	230,000	164,157
2.65% 9/22/51	100,000	67,335
2.85% 7/8/24	150,000	146,712
3.05% 7/8/26	400,000	382,300
3.25% 7/8/29	220,000	204,830
3.3% 4/22/24	410,000	404,283
3.7% 6/26/28	140,000	134,918
3.9% 4/15/28	100,000	96,941
4.1% 4/15/33	300,000	285,890
5.25% 9/1/35	645,000	674,467
5.625% 4/15/41	169,000	180,815
		6,693,398
Food Products - 0.4%
Archer Daniels Midland Co.:
3.25% 3/27/30	330,000	300,202
3.75% 9/15/47	100,000	79,383
4.5% 3/15/49	90,000	80,751
Bunge Ltd. Finance Corp. 2.75% 5/14/31	110,000	92,004
Campbell Soup Co. 4.15% 3/15/28	410,000	390,344
Conagra Brands, Inc.:
4.85% 11/1/28	510,000	496,472
5.3% 11/1/38	31,000	28,634
General Mills, Inc.:
3% 2/1/51	110,000	74,058
4% 4/17/25	130,000	126,711
4.2% 4/17/28	200,000	191,791
4.95% 3/29/33	150,000	146,320
Hormel Foods Corp. 1.8% 6/11/30	200,000	165,359
JBS U.S.A. Lux SA / JBS Food Co.:
5.75% 4/1/33	500,000	475,867
6.5% 12/1/52	180,000	172,508
Kellogg Co.:
2.1% 6/1/30	160,000	131,087
3.25% 4/1/26	290,000	275,902
Kraft Heinz Foods Co.:
5% 6/4/42	100,000	91,358
5.5% 6/1/50	590,000	569,698
McCormick & Co., Inc.:
1.85% 2/15/31	150,000	118,064
3.15% 8/15/24	100,000	97,570
Mondelez International, Inc. 1.875% 10/15/32	370,000	286,754
Pilgrim's Pride Corp. 6.25% 7/1/33	180,000	178,622
The Hershey Co. 1.7% 6/1/30	340,000	278,755
The J.M. Smucker Co. 4.25% 3/15/35	200,000	178,965
Tyson Foods, Inc.:
4% 3/1/26	160,000	154,674
4.35% 3/1/29	450,000	425,830
5.1% 9/28/48	100,000	86,811
Unilever Capital Corp.:
1.375% 9/14/30	380,000	302,481
2.9% 5/5/27	400,000	373,348
		6,370,323
Household Products - 0.1%
Colgate-Palmolive Co. 3.1% 8/15/27	410,000	390,408
Kimberly-Clark Corp.:
1.05% 9/15/27	184,000	158,880
3.2% 7/30/46	100,000	72,397
6.625% 8/1/37	140,000	160,722
Procter & Gamble Co.:
1.2% 10/29/30	710,000	567,496
1.95% 4/23/31	200,000	167,759
2.85% 8/11/27	140,000	131,184
3% 3/25/30	100,000	91,374
		1,740,220
Personal Care Products - 0.0%
Estee Lauder Companies, Inc.:
1.95% 3/15/31	330,000	266,309
3.125% 12/1/49	130,000	90,015
3.15% 3/15/27	260,000	245,912
Kenvue, Inc.:
4.9% 3/22/33 (c)	140,000	139,222
5.05% 3/22/28 (c)	140,000	140,372
5.05% 3/22/53 (c)	200,000	195,847
5.35% 3/22/26 (c)	140,000	140,726
		1,218,403
Tobacco - 0.3%
Altria Group, Inc.:
2.45% 2/4/32	440,000	343,419
3.4% 2/4/41	180,000	122,646
3.875% 9/16/46	204,000	140,473
4.8% 2/14/29	30,000	29,068
5.8% 2/14/39	330,000	321,535
5.95% 2/14/49	240,000	223,467
BAT Capital Corp.:
3.215% 9/6/26	100,000	93,377
3.222% 8/15/24	200,000	195,039
3.557% 8/15/27	450,000	417,456
3.984% 9/25/50	100,000	66,127
4.39% 8/15/37	370,000	293,007
4.54% 8/15/47	128,000	93,081
4.7% 4/2/27	270,000	261,859
4.742% 3/16/32	170,000	153,702
4.758% 9/6/49	260,000	192,704
5.282% 4/2/50	100,000	80,119
6.421% 8/2/33	200,000	199,644
BAT International Finance PLC 5.931% 2/2/29	70,000	69,724
Philip Morris International, Inc.:
4.125% 3/4/43	330,000	262,141
4.25% 11/10/44	110,000	89,246
4.875% 2/15/28	170,000	167,805
4.875% 11/15/43	224,000	196,923
5.125% 11/17/27	170,000	169,681
5.375% 2/15/33	170,000	167,869
5.75% 11/17/32	120,000	121,707
Reynolds American, Inc.:
4.45% 6/12/25	140,000	136,965
5.7% 8/15/35	110,000	101,741
		4,710,525
TOTAL CONSUMER STAPLES		29,264,453
ENERGY - 1.7%
Energy Equipment & Services - 0.0%
Baker Hughes Co. 4.08% 12/15/47	290,000	230,760
Halliburton Co.:
5% 11/15/45	210,000	189,013
6.7% 9/15/38	100,000	110,037
7.45% 9/15/39	120,000	139,627
		669,437
Oil, Gas & Consumable Fuels - 1.7%
Apache Corp. 5.25% 2/1/42	250,000	205,141
Boardwalk Pipelines LP:
4.45% 7/15/27	140,000	133,475
4.95% 12/15/24	102,000	100,526
Burlington Resources LLC 5.95% 10/15/36	110,000	115,725
Canadian Natural Resources Ltd.:
3.85% 6/1/27	152,000	143,796
3.9% 2/1/25	100,000	97,184
4.95% 6/1/47	160,000	138,913
6.45% 6/30/33	140,000	144,130
Cenovus Energy, Inc. 5.4% 6/15/47	286,000	257,086
Cheniere Corpus Christi Holdings LLC 2.742% 12/31/39	160,000	123,839
Cheniere Energy Partners LP:
3.25% 1/31/32	160,000	132,213
4% 3/1/31	280,000	247,199
Chevron Corp.:
1.554% 5/11/25	70,000	65,847
1.995% 5/11/27	70,000	63,462
2.236% 5/11/30	70,000	59,946
2.954% 5/16/26	231,000	220,154
2.978% 5/11/40	70,000	51,870
3.078% 5/11/50	70,000	49,705
Chevron U.S.A., Inc.:
4.95% 8/15/47	100,000	91,907
5.05% 11/15/44	70,000	64,383
ConocoPhillips Co.:
3.8% 3/15/52	100,000	77,000
4.025% 3/15/62	230,000	175,968
5.05% 9/15/33	50,000	49,690
5.3% 5/15/53	130,000	126,936
5.55% 3/15/54	50,000	50,124
6.5% 2/1/39	120,000	133,832
DCP Midstream Operating LP 5.6% 4/1/44	80,000	74,630
Devon Energy Corp. 5% 6/15/45	315,000	269,505
Diamondback Energy, Inc.:
4.25% 3/15/52	160,000	120,132
4.4% 3/24/51	100,000	77,627
Eastern Gas Transmission & Storage, Inc. 3.9% 11/15/49	90,000	62,848
Enbridge Energy Partners LP 7.375% 10/15/45	110,000	124,074
Enbridge, Inc.:
2.5% 8/1/33	180,000	139,735
3.4% 8/1/51	190,000	127,365
3.5% 6/10/24	164,000	161,022
4.5% 6/10/44	120,000	98,082
5.7% 3/8/33	200,000	200,092
Energy Transfer LP:
3.75% 5/15/30	180,000	160,763
3.9% 5/15/24 (b)	210,000	206,889
4.4% 3/15/27	170,000	163,042
4.95% 6/15/28	567,000	549,135
5% 5/15/50	330,000	271,634
5.25% 4/15/29	310,000	302,879
5.3% 4/15/47	50,000	42,402
5.4% 10/1/47	80,000	68,908
5.8% 6/15/38	50,000	47,395
6% 6/15/48	330,000	305,047
6.25% 4/15/49	130,000	124,450
7.5% 7/1/38	210,000	227,668
Enterprise Products Operating LP:
3.2% 2/15/52	290,000	195,891
3.3% 2/15/53	100,000	68,382
3.95% 2/15/27	214,000	205,764
4.2% 1/31/50	370,000	295,631
4.25% 2/15/48	270,000	220,050
4.8% 2/1/49	56,000	49,204
4.85% 8/15/42	170,000	152,611
5.35% 1/31/33	500,000	502,785
EOG Resources, Inc. 4.95% 4/15/50	100,000	94,554
EQT Corp. 5.7% 4/1/28	154,000	153,317
Equinor ASA:
2.375% 5/22/30	310,000	266,261
2.875% 4/6/25	400,000	385,866
3.625% 9/10/28	130,000	123,393
4.8% 11/8/43	130,000	119,850
5.1% 8/17/40	180,000	175,091
Exxon Mobil Corp.:
2.995% 8/16/39	350,000	269,305
3.452% 4/15/51	610,000	453,874
4.114% 3/1/46	200,000	170,026
4.327% 3/19/50	100,000	86,654
Hess Corp.:
5.6% 2/15/41	120,000	112,824
7.125% 3/15/33	170,000	185,261
Kinder Morgan Energy Partners LP:
4.25% 9/1/24	340,000	334,443
6.55% 9/15/40	100,000	99,354
6.95% 1/15/38	100,000	107,066
Kinder Morgan, Inc.:
3.6% 2/15/51	170,000	114,245
4.8% 2/1/33	600,000	559,275
5.05% 2/15/46	50,000	42,127
5.2% 3/1/48	264,000	227,351
5.55% 6/1/45	300,000	271,126
Magellan Midstream Partners LP:
3.95% 3/1/50	35,000	24,519
4.85% 2/1/49	130,000	105,296
5% 3/1/26	147,000	145,270
Marathon Oil Corp. 6.6% 10/1/37	120,000	120,987
Marathon Petroleum Corp.:
4.5% 4/1/48	280,000	217,335
4.7% 5/1/25	370,000	363,535
MPLX LP:
4.125% 3/1/27	60,000	57,447
4.5% 4/15/38	480,000	406,663
4.7% 4/15/48	226,000	181,363
5% 3/1/33	500,000	471,965
Occidental Petroleum Corp.:
4.2% 3/15/48	290,000	212,908
6.375% 9/1/28	980,000	996,611
ONEOK Partners LP 6.65% 10/1/36	350,000	361,249
ONEOK, Inc.:
4% 7/13/27	80,000	75,699
4.45% 9/1/49	50,000	37,572
5.2% 7/15/48	22,000	18,814
5.65% 11/1/28	60,000	60,088
6.1% 11/15/32	340,000	345,368
6.625% 9/1/53	130,000	131,107
Ovintiv, Inc.:
5.65% 5/15/28	250,000	248,087
6.5% 2/1/38	70,000	68,762
6.625% 8/15/37	100,000	99,623
Phillips 66 Co.:
3.3% 3/15/52	180,000	120,161
3.9% 3/15/28	380,000	359,820
4.65% 11/15/34	220,000	206,424
4.68% 2/15/45	100,000	84,445
Pioneer Natural Resources Co. 1.9% 8/15/30	210,000	169,429
Plains All American Pipeline LP/PAA Finance Corp. 3.8% 9/15/30	580,000	513,249
Sabine Pass Liquefaction LLC:
4.5% 5/15/30	200,000	188,211
5.75% 5/15/24	109,000	108,838
Schlumberger Investment SA 4.5% 5/15/28	200,000	196,330
Shell International Finance BV:
2% 11/7/24	1,770,000	1,701,875
2.375% 11/7/29	100,000	86,867
2.5% 9/12/26	270,000	251,147
2.875% 11/26/41	440,000	315,451
3% 11/26/51	100,000	66,943
3.125% 11/7/49	100,000	69,719
3.75% 9/12/46	106,000	83,380
4.55% 8/12/43	100,000	90,385
5.5% 3/25/40	190,000	193,286
Spectra Energy Partners LP 4.75% 3/15/24	151,000	150,044
Suncor Energy, Inc.:
4% 11/15/47	234,000	175,415
6.8% 5/15/38	130,000	135,780
Targa Resources Corp. 6.125% 3/15/33	250,000	254,553
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 6.875% 1/15/29	620,000	628,513
The Williams Companies, Inc.:
3.75% 6/15/27	460,000	433,008
4.85% 3/1/48	50,000	42,561
5.1% 9/15/45	100,000	88,098
5.4% 3/2/26	160,000	159,745
5.65% 3/15/33	80,000	80,445
5.8% 11/15/43	100,000	95,892
Total Capital International SA:
3.386% 6/29/60	100,000	68,972
3.461% 7/12/49	140,000	104,209
3.7% 1/15/24	110,000	109,253
3.75% 4/10/24	465,000	459,705
Total Capital SA 3.883% 10/11/28	470,000	448,027
TransCanada PipeLines Ltd.:
1% 10/12/24	340,000	322,442
4.1% 4/15/30	270,000	247,329
4.875% 5/15/48	80,000	67,952
5% 10/16/43	350,000	303,104
6.1% 6/1/40	170,000	171,254
Transcontinental Gas Pipe Line Co. LLC:
3.25% 5/15/30	535,000	471,545
3.95% 5/15/50	100,000	74,701
4.6% 3/15/48	190,000	158,554
Valero Energy Corp.:
3.4% 9/15/26	110,000	104,115
3.65% 12/1/51	110,000	75,028
4.35% 6/1/28	70,000	66,981
6.625% 6/15/37	200,000	212,869
Western Gas Partners LP:
4.05% 2/1/30	230,000	205,161
5.3% 3/1/48	150,000	122,951
		28,681,390
TOTAL ENERGY		29,350,827
FINANCIALS - 8.8%
Banks - 4.8%
Banco Bilbao Vizcaya Argentaria SA 1.125% 9/18/25	200,000	182,454
Banco Santander SA:
U.S. TREASURY 1 YEAR INDEX + 0.450% 5.742% 6/30/24 (b)(d)	200,000	199,385
3.306% 6/27/29	200,000	177,160
3.8% 2/23/28	600,000	549,382
5.179% 11/19/25	400,000	390,981
5.294% 8/18/27	200,000	196,065
6.921% 8/8/33	200,000	199,934
Bank of America Corp.:
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.290% 5.08% 1/20/27 (b)(d)	1,000,000	986,855
0.981% 9/25/25 (b)	800,000	757,085
1.658% 3/11/27 (b)	340,000	307,223
1.734% 7/22/27 (b)	510,000	456,343
2.087% 6/14/29 (b)	1,210,000	1,032,377
2.299% 7/21/32 (b)	110,000	86,752
2.572% 10/20/32 (b)	1,690,000	1,354,648
2.651% 3/11/32 (b)	340,000	277,924
2.676% 6/19/41 (b)	1,480,000	1,019,116
2.687% 4/22/32 (b)	410,000	335,467
2.831% 10/24/51 (b)	140,000	89,749
2.972% 7/21/52 (b)	110,000	72,547
3.093% 10/1/25 (b)	400,000	387,454
3.194% 7/23/30 (b)	270,000	237,038
3.419% 12/20/28 (b)	445,000	408,068
3.946% 1/23/49 (b)	110,000	86,435
3.97% 3/5/29 (b)	780,000	728,921
3.974% 2/7/30 (b)	65,000	59,845
4% 1/22/25	512,000	498,746
4.078% 4/23/40 (b)	100,000	84,050
4.083% 3/20/51 (b)	100,000	80,362
4.244% 4/24/38 (b)	480,000	418,284
4.271% 7/23/29 (b)	360,000	339,736
4.33% 3/15/50 (b)	200,000	169,421
4.376% 4/27/28 (b)	1,000,000	959,903
5.202% 4/25/29 (b)	200,000	196,976
6.11% 1/29/37	508,000	526,191
6.204% 11/10/28 (b)	400,000	409,195
6.22% 9/15/26	480,000	489,849
7.75% 5/14/38	120,000	140,419
Bank of Montreal:
2.65% 3/8/27	460,000	419,560
3.088% 1/10/37 (b)	110,000	84,862
3.3% 2/5/24	580,000	573,635
3.803% 12/15/32 (b)	100,000	88,537
Bank of Nova Scotia:
2.45% 2/2/32	110,000	89,127
3.4% 2/11/24	560,000	553,800
4.85% 2/1/30	210,000	203,294
5.25% 6/12/28	140,000	138,769
Barclays PLC:
2.279% 11/24/27 (b)	300,000	266,411
2.894% 11/24/32 (b)	520,000	406,121
3.564% 9/23/35 (b)	240,000	190,727
3.932% 5/7/25 (b)	200,000	197,076
4.337% 1/10/28	320,000	301,736
4.375% 1/12/26	210,000	202,431
4.95% 1/10/47	200,000	172,620
5.2% 5/12/26	360,000	349,324
5.304% 8/9/26 (b)	250,000	246,309
5.501% 8/9/28 (b)	240,000	234,124
5.829% 5/9/27 (b)	400,000	396,332
BB&T Corp. 3.75% 12/6/23	350,000	348,020
Canadian Imperial Bank of Commerce 3.6% 4/7/32	270,000	240,469
Citigroup, Inc.:
1.122% 1/28/27 (b)	600,000	537,724
1.462% 6/9/27 (b)	300,000	267,138
2.561% 5/1/32 (b)	600,000	483,412
3.2% 10/21/26	80,000	74,608
3.52% 10/27/28 (b)	2,060,000	1,901,119
3.785% 3/17/33 (b)	100,000	86,943
3.878% 1/24/39 (b)	470,000	385,987
3.887% 1/10/28 (b)	140,000	132,255
3.98% 3/20/30 (b)	150,000	138,141
4.65% 7/30/45	267,000	229,950
4.65% 7/23/48	195,000	169,253
4.75% 5/18/46	208,000	174,450
5.316% 3/26/41 (b)	500,000	475,005
5.61% 9/29/26 (b)	500,000	497,718
5.875% 2/22/33	310,000	309,602
6.27% 11/17/33 (b)	100,000	104,276
6.625% 6/15/32	100,000	104,395
6.675% 9/13/43	200,000	209,951
Export-Import Bank of Korea:
0.625% 2/9/26	400,000	356,816
1.25% 9/21/30	680,000	530,926
Fifth Third Bancorp:
2.55% 5/5/27	100,000	89,393
3.95% 3/14/28	50,000	46,347
6.361% 10/27/28 (b)	380,000	383,030
8.25% 3/1/38	90,000	101,609
HSBC Holdings PLC:
1.589% 5/24/27 (b)	240,000	213,241
2.013% 9/22/28 (b)	630,000	541,433
2.206% 8/17/29 (b)	550,000	460,767
2.633% 11/7/25 (b)	600,000	575,384
2.804% 5/24/32 (b)	340,000	271,570
3.973% 5/22/30 (b)	214,000	192,644
4.292% 9/12/26 (b)	1,600,000	1,543,299
4.375% 11/23/26	400,000	381,169
4.762% 3/29/33 (b)	210,000	186,626
5.402% 8/11/33 (b)	680,000	649,122
6.1% 1/14/42	240,000	251,188
6.5% 5/2/36	100,000	101,753
6.5% 9/15/37	170,000	166,527
6.5% 9/15/37	140,000	143,560
6.8% 6/1/38	100,000	102,964
8.113% 11/3/33 (b)	290,000	315,305
Huntington Bancshares, Inc.:
2.55% 2/4/30	100,000	81,653
4.443% 8/4/28 (b)	290,000	272,800
6.208% 8/21/29 (b)	100,000	100,656
ING Groep NV:
2.727% 4/1/32 (b)	200,000	163,364
3.95% 3/29/27	200,000	189,717
4.017% 3/28/28 (b)	200,000	188,176
Japan Bank International Cooperation:
1.25% 1/21/31	1,012,000	793,517
2.5% 5/23/24	1,510,000	1,475,927
JPMorgan Chase & Co.:
0.768% 8/9/25 (b)	700,000	665,022
0.969% 6/23/25 (b)	720,000	690,167
1.045% 11/19/26 (b)	1,200,000	1,081,947
1.47% 9/22/27 (b)	360,000	317,991
1.578% 4/22/27 (b)	300,000	269,384
1.953% 2/4/32 (b)	300,000	236,452
2.069% 6/1/29 (b)	340,000	291,625
2.525% 11/19/41 (b)	340,000	229,269
2.545% 11/8/32 (b)	350,000	282,745
2.58% 4/22/32 (b)	300,000	245,583
2.95% 10/1/26	190,000	177,529
2.956% 5/13/31 (b)	360,000	306,007
3.109% 4/22/41 (b)	220,000	162,461
3.109% 4/22/51 (b)	50,000	33,843
3.22% 3/1/25 (b)	1,640,000	1,617,316
3.328% 4/22/52 (b)	320,000	224,837
4.323% 4/26/28 (b)	550,000	528,858
4.452% 12/5/29 (b)	630,000	600,555
4.586% 4/26/33 (b)	1,230,000	1,150,231
4.95% 6/1/45	190,000	174,636
5.35% 6/1/34 (b)	820,000	810,245
5.5% 10/15/40	430,000	432,597
5.6% 7/15/41	325,000	329,467
5.625% 8/16/43	247,000	245,879
KeyCorp 2.25% 4/6/27	280,000	240,880
Korea Development Bank 1.625% 1/19/31	250,000	198,638
Lloyds Banking Group PLC:
3.369% 12/14/46 (b)	200,000	130,913
4.375% 3/22/28	656,000	621,685
4.976% 8/11/33 (b)	200,000	185,126
7.953% 11/15/33 (b)	200,000	214,226
M&T Bank Corp. 5.053% 1/27/34 (b)	190,000	172,782
Mitsubishi UFJ Financial Group, Inc.:
1 year U.S. Treasury Index + 1.630% 5.441% 2/22/34 (b)(d)	240,000	237,519
1.538% 7/20/27 (b)	550,000	490,319
2.309% 7/20/32 (b)	550,000	435,550
2.757% 9/13/26	1,050,000	967,997
2.801% 7/18/24	200,000	194,684
3.195% 7/18/29	400,000	353,561
3.961% 3/2/28	100,000	95,170
4.153% 3/7/39	150,000	129,683
Mizuho Financial Group, Inc.:
0.849% 9/8/24 (b)	400,000	399,862
1.554% 7/9/27 (b)	200,000	177,566
1.979% 9/8/31 (b)	280,000	218,142
2.226% 5/25/26 (b)	200,000	186,996
2.839% 7/16/25 (b)	200,000	194,098
5.669% 9/13/33 (b)	200,000	198,149
5.778% 7/6/29 (b)	430,000	430,698
Morgan Stanley Bank, West Valley City Utah 4.754% 4/21/26	1,710,000	1,687,856
National Australia Bank Ltd. 4.9% 6/13/28	300,000	296,441
NatWest Group PLC:
3.032% 11/28/35 (b)	200,000	154,282
3.754% 11/1/29 (b)	400,000	381,699
5.847% 3/2/27 (b)	480,000	477,150
Oesterreichische Kontrollbank AG 0.375% 9/17/25	100,000	91,215
PNC Financial Services Group, Inc.:
1.15% 8/13/26	400,000	354,674
2.2% 11/1/24	250,000	239,939
3.45% 4/23/29	710,000	640,680
4.626% 6/6/33 (b)	220,000	199,193
5.068% 1/24/34 (b)	160,000	151,552
5.582% 6/12/29 (b)	80,000	79,344
5.939% 8/18/34 (b)	200,000	202,294
Rabobank Nederland:
3.75% 7/21/26	250,000	234,628
4.375% 8/4/25	290,000	281,091
Rabobank Nederland New York Branch:
0.375% 1/12/24	550,000	539,837
3.875% 8/22/24	610,000	598,959
Royal Bank of Canada:
1.2% 4/27/26	270,000	241,952
2.05% 1/21/27	300,000	269,681
3.625% 5/4/27	410,000	386,525
4.24% 8/3/27	390,000	375,359
4.65% 1/27/26	210,000	205,971
5% 5/2/33	200,000	193,509
Santander Holdings U.S.A., Inc.:
4.4% 7/13/27	110,000	104,153
4.5% 7/17/25	406,000	396,176
6.565% 6/12/29 (b)	100,000	99,561
Santander UK Group Holdings PLC:
1.532% 8/21/26 (b)	250,000	226,920
4.796% 11/15/24 (b)	340,000	338,977
6.534% 1/10/29 (b)	250,000	251,969
Sumitomo Mitsui Financial Group, Inc.:
1.474% 7/8/25	650,000	601,777
2.142% 9/23/30	260,000	205,587
2.174% 1/14/27	1,010,000	905,901
2.75% 1/15/30	200,000	170,074
3.05% 1/14/42	260,000	190,858
3.936% 10/16/23	120,000	119,722
5.52% 1/13/28	500,000	499,810
The Toronto-Dominion Bank:
0.55% 3/4/24	1,100,000	1,071,633
3.2% 3/10/32	190,000	161,861
5.156% 1/10/28	620,000	614,181
Truist Financial Corp.:
1.267% 3/2/27 (b)	950,000	848,404
4.916% 7/28/33 (b)	250,000	222,845
5.867% 6/8/34 (b)	300,000	297,245
U.S. Bancorp:
2.491% 11/3/36 (b)	100,000	73,696
2.677% 1/27/33 (b)	190,000	151,284
3.9% 4/26/28	550,000	516,178
4.839% 2/1/34 (b)	490,000	454,450
4.967% 7/22/33 (b)	150,000	136,807
5.775% 6/12/29 (b)	100,000	99,782
Wachovia Corp. 5.5% 8/1/35	350,000	337,845
Wells Fargo & Co.:
0.805% 5/19/25 (b)	2,910,000	2,801,097
2.406% 10/30/25 (b)	550,000	527,400
3% 10/23/26	100,000	92,625
3.068% 4/30/41 (b)	380,000	272,002
3.75% 1/24/24	40,000	39,681
3.9% 5/1/45	310,000	242,660
3.908% 4/25/26 (b)	630,000	609,071
4.54% 8/15/26 (b)	500,000	488,237
4.611% 4/25/53 (b)	100,000	84,605
4.75% 12/7/46	508,000	422,340
4.897% 7/25/33 (b)	200,000	188,187
4.9% 11/17/45	97,000	83,274
5.013% 4/4/51 (b)	280,000	252,833
5.375% 11/2/43	100,000	92,088
5.389% 4/24/34 (b)	580,000	564,924
5.557% 7/25/34 (b)	400,000	394,739
5.574% 7/25/29 (b)	400,000	398,343
5.606% 1/15/44	360,000	338,873
Westpac Banking Corp.:
U.S. TREASURY 1 YEAR INDEX + 2.680% 5.405% 8/10/33 (b)(d)	100,000	94,052
2.894% 2/4/30 (b)	390,000	368,312
3.02% 11/18/36 (b)	130,000	99,589
3.35% 3/8/27	670,000	632,045
4.043% 8/26/27	230,000	223,453
4.11% 7/24/34 (b)	270,000	236,537
4.322% 11/23/31 (b)	270,000	252,146
		82,507,564
Capital Markets - 1.7%
Ameriprise Financial, Inc. 3% 4/2/25	210,000	201,940
Ares Capital Corp.:
2.875% 6/15/27	100,000	87,971
3.2% 11/15/31	100,000	77,701
3.875% 1/15/26	200,000	187,071
4.2% 6/10/24	180,000	176,845
4.25% 3/1/25	100,000	96,196
Bank of New York Mellon Corp.:
0.35% 12/7/23	830,000	818,499
1.8% 7/28/31	170,000	133,629
2.1% 10/24/24	370,000	356,675
4.414% 7/24/26 (b)	500,000	488,801
4.543% 2/1/29 (b)	560,000	543,616
BlackRock, Inc.:
2.4% 4/30/30	200,000	171,458
3.2% 3/15/27	220,000	208,884
3.5% 3/18/24	120,000	118,698
Brookfield Capital Finance LLC 6.087% 6/14/33	100,000	100,246
Brookfield Finance, Inc.:
2.724% 4/15/31	330,000	269,089
3.5% 3/30/51	100,000	65,252
3.9% 1/25/28	190,000	177,509
Charles Schwab Corp.:
0.75% 3/18/24	640,000	623,109
0.9% 3/11/26	460,000	410,822
1.65% 3/11/31	197,000	150,791
2% 3/20/28	120,000	103,391
2.9% 3/3/32	160,000	132,170
6.136% 8/24/34 (b)	240,000	244,104
CI Financial Corp. 3.2% 12/17/30	220,000	169,703
CME Group, Inc.:
3.75% 6/15/28	140,000	134,767
5.3% 9/15/43	100,000	101,232
Credit Suisse AG:
0.495% 2/2/24	700,000	682,921
1.25% 8/7/26	1,010,000	884,811
Credit Suisse U.S.A., Inc. 7.125% 7/15/32	100,000	111,584
Deutsche Bank AG 4.1% 1/13/26	700,000	667,766
Deutsche Bank AG New York Branch:
2.311% 11/16/27 (b)	250,000	219,191
3.547% 9/18/31 (b)	150,000	125,887
3.7% 5/30/24	360,000	352,943
3.729% 1/14/32 (b)	250,000	193,504
4.1% 1/13/26	154,000	146,896
Goldman Sachs Group, Inc.:
0.855% 2/12/26 (b)	110,000	102,037
1.093% 12/9/26 (b)	1,000,000	897,617
1.948% 10/21/27 (b)	600,000	533,949
2.383% 7/21/32 (b)	1,250,000	988,062
2.615% 4/22/32 (b)	460,000	372,208
2.908% 7/21/42 (b)	470,000	324,547
3.102% 2/24/33 (b)	140,000	116,444
3.85% 1/26/27	960,000	911,139
4.017% 10/31/38 (b)	100,000	83,154
4.223% 5/1/29 (b)	960,000	904,469
4.482% 8/23/28 (b)	820,000	788,986
4.8% 7/8/44	120,000	106,948
5.15% 5/22/45	330,000	303,333
6.25% 2/1/41	220,000	232,412
6.75% 10/1/37	362,000	383,777
Intercontinental Exchange, Inc.:
1.85% 9/15/32	160,000	121,447
2.65% 9/15/40	160,000	111,274
3% 9/15/60	100,000	61,392
3.1% 9/15/27	150,000	138,905
3.75% 9/21/28	100,000	94,370
4.25% 9/21/48	120,000	101,011
4.6% 3/15/33	100,000	95,519
5.2% 6/15/62	210,000	197,586
Invesco Finance PLC 3.75% 1/15/26	240,000	230,957
Jefferies Financial Group, Inc.:
2.75% 10/15/32	110,000	84,233
4.15% 1/23/30	127,000	114,376
4.85% 1/15/27	110,000	106,941
5.875% 7/21/28	130,000	128,546
Lazard Group LLC 4.5% 9/19/28	100,000	94,935
Moody's Corp.:
2% 8/19/31	140,000	112,600
2.55% 8/18/60	100,000	52,972
4.875% 12/17/48	120,000	109,095
Morgan Stanley:
0.79% 5/30/25 (b)	150,000	143,817
1.164% 10/21/25 (b)	100,000	94,308
1.512% 7/20/27 (b)	470,000	417,281
1.593% 5/4/27 (b)	1,100,000	986,853
1.794% 2/13/32 (b)	260,000	199,941
2.188% 4/28/26 (b)	200,000	188,490
2.239% 7/21/32 (b)	470,000	369,716
2.484% 9/16/36 (b)	290,000	218,708
3.625% 1/20/27	160,000	151,176
3.772% 1/24/29 (b)	180,000	166,956
4.21% 4/20/28 (b)	575,000	549,731
4.375% 1/22/47	324,000	277,229
4.457% 4/22/39 (b)	250,000	220,112
5.123% 2/1/29 (b)	500,000	490,065
5.164% 4/20/29 (b)	630,000	617,923
5.25% 4/21/34 (b)	630,000	611,931
5.297% 4/20/37 (b)	330,000	307,171
5.597% 3/24/51 (b)	190,000	191,229
6.375% 7/24/42	528,000	576,832
NASDAQ, Inc.:
1.65% 1/15/31	160,000	125,267
2.5% 12/21/40	100,000	65,673
5.35% 6/28/28	100,000	100,041
5.95% 8/15/53	168,000	167,305
Nomura Holdings, Inc.:
1.851% 7/16/25	666,000	615,421
2.679% 7/16/30	210,000	170,253
2.999% 1/22/32	290,000	231,953
6.07% 7/12/28	200,000	200,782
Northern Trust Corp.:
1.95% 5/1/30	150,000	123,564
6.125% 11/2/32	100,000	102,101
S&P Global, Inc.:
1.25% 8/15/30	120,000	94,398
2.45% 3/1/27	300,000	276,610
2.95% 1/22/27	220,000	206,079
3.9% 3/1/62	200,000	156,809
4.25% 5/1/29	110,000	105,896
State Street Corp.:
1.684% 11/18/27 (b)	515,000	462,213
3.031% 11/1/34 (b)	170,000	146,130
4.164% 8/4/33 (b)	110,000	99,904
4.821% 1/26/34 (b)	100,000	94,883
		29,065,664
Consumer Finance - 0.7%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
1.75% 10/29/24	240,000	228,069
2.45% 10/29/26	400,000	359,899
2.875% 8/14/24	150,000	145,433
3% 10/29/28	250,000	216,641
3.4% 10/29/33	250,000	198,196
3.85% 10/29/41	250,000	185,523
4.45% 10/1/25	300,000	290,438
4.625% 10/15/27	270,000	256,346
Ally Financial, Inc.:
2.2% 11/2/28	100,000	80,670
4.75% 6/9/27	100,000	93,735
5.125% 9/30/24	510,000	502,134
5.8% 5/1/25	150,000	147,750
6.992% 6/13/29 (b)	50,000	49,916
8% 11/1/31	100,000	103,398
American Express Co.:
2.5% 7/30/24	464,000	450,619
3.3% 5/3/27	510,000	475,367
3.95% 8/1/25	400,000	388,114
4.989% 5/26/33 (b)	150,000	142,246
5.043% 5/1/34 (b)	200,000	192,174
Capital One Financial Corp.:
2.359% 7/29/32 (b)	110,000	78,469
3.3% 10/30/24	230,000	223,384
3.8% 1/31/28	438,000	401,626
4.2% 10/29/25	100,000	96,115
5.247% 7/26/30 (b)	470,000	447,105
6.312% 6/8/29 (b)	270,000	269,852
6.377% 6/8/34 (b)	150,000	148,166
Discover Financial Services 4.5% 1/30/26	208,000	199,807
John Deere Capital Corp.:
1.45% 1/15/31	170,000	134,674
2.35% 3/8/27	200,000	183,501
2.8% 9/8/27	290,000	268,273
3.45% 1/10/24	1,150,000	1,141,400
4.35% 9/15/32	320,000	310,538
4.95% 7/14/28	280,000	280,926
Synchrony Financial:
3.95% 12/1/27	380,000	339,507
4.375% 3/19/24	100,000	98,793
5.15% 3/19/29	109,000	99,971
Toyota Motor Credit Corp.:
1.15% 8/13/27	470,000	406,756
1.65% 1/10/31	180,000	143,802
1.9% 9/12/31	210,000	168,035
2.9% 4/17/24	750,000	736,995
3.2% 1/11/27	810,000	764,666
		11,449,029
Financial Services - 0.9%
AB Svensk Exportkredit 0.25% 9/29/23	200,000	199,251
Aon Corp. / Aon Global Holdings PLC:
2.85% 5/28/27	100,000	92,063
3.9% 2/28/52	150,000	115,078
Berkshire Hathaway, Inc.:
3.125% 3/15/26	222,000	212,858
4.5% 2/11/43	110,000	103,074
Blackstone Private Credit Fund:
2.7% 1/15/25	280,000	264,937
3.25% 3/15/27	140,000	121,911
4.7% 3/24/25	350,000	340,207
BP Capital Markets America, Inc.:
2.939% 6/4/51	220,000	143,638
3% 2/24/50	130,000	86,602
3.001% 3/17/52	100,000	65,621
3.06% 6/17/41	400,000	293,415
3.379% 2/8/61	110,000	74,064
4.234% 11/6/28	830,000	801,174
4.812% 2/13/33	150,000	145,190
Brixmor Operating Partnership LP:
4.05% 7/1/30	48,000	43,364
4.125% 6/15/26	170,000	161,331
4.125% 5/15/29	44,000	40,024
CNH Industrial Capital LLC 4.55% 4/10/28	180,000	174,110
Corebridge Financial, Inc.:
3.9% 4/5/32	110,000	96,183
4.4% 4/5/52	190,000	146,960
DH Europe Finance II SARL:
2.2% 11/15/24	110,000	105,812
2.6% 11/15/29	110,000	96,970
3.4% 11/15/49	80,000	59,738
Equitable Holdings, Inc.:
4.35% 4/20/28	180,000	170,309
5% 4/20/48	120,000	100,940
Fedex Corp. 2020-1 Class AA pass-thru Trust equipment trust certificate 1.875% 8/20/35	209,896	171,365
Fidelity National Information Services, Inc.:
1.15% 3/1/26	246,000	221,377
2.25% 3/1/31	200,000	161,447
5.625% 7/15/52	100,000	94,899
Fiserv, Inc.:
2.25% 6/1/27	100,000	89,655
2.75% 7/1/24	370,000	360,798
3.5% 7/1/29	520,000	474,591
4.4% 7/1/49	190,000	155,299
5.375% 8/21/28	300,000	300,805
Global Payments, Inc.:
1.2% 3/1/26	350,000	313,077
2.9% 5/15/30	310,000	261,871
4.45% 6/1/28	170,000	160,221
5.95% 8/15/52	100,000	95,414
Jackson Financial, Inc.:
3.125% 11/23/31	64,000	50,305
5.17% 6/8/27	110,000	107,818
5.67% 6/8/32	85,000	80,960
Japan International Cooperation Agency 1.75% 4/28/31	200,000	160,712
KfW:
0.25% 10/19/23	600,000	596,110
0.375% 7/18/25	208,000	191,125
0.625% 1/22/26	900,000	816,929
2.5% 11/20/24	280,000	270,722
3% 5/20/27	2,200,000	2,087,714
Landwirtschaftliche Rentenbank 3.125% 11/14/23	170,000	169,238
MasterCard, Inc.:
3.85% 3/26/50	310,000	257,486
3.95% 2/26/48	100,000	84,993
4.85% 3/9/33	160,000	160,707
4.875% 3/9/28	210,000	210,652
National Rural Utilities Cooperative Finance Corp.:
4.15% 12/15/32	340,000	310,628
5.05% 9/15/28	300,000	299,365
5.8% 1/15/33	110,000	113,541
PayPal Holdings, Inc.:
1.65% 6/1/25	80,000	74,946
2.3% 6/1/30	130,000	109,221
2.85% 10/1/29	280,000	247,535
5.05% 6/1/52	160,000	154,924
The Western Union Co.:
2.75% 3/15/31	110,000	86,444
2.85% 1/10/25	100,000	95,820
Visa, Inc.:
2% 8/15/50	100,000	59,134
2.05% 4/15/30	430,000	364,881
2.7% 4/15/40	120,000	89,370
3.15% 12/14/25	160,000	153,441
4.3% 12/14/45	402,000	363,427
Voya Financial, Inc. 3.65% 6/15/26	170,000	160,558
		15,044,349
Insurance - 0.7%
ACE INA Holdings, Inc.:
1.375% 9/15/30	380,000	299,077
2.85% 12/15/51	100,000	66,413
3.15% 3/15/25	310,000	299,708
3.35% 5/15/24	110,000	108,161
4.35% 11/3/45	74,000	64,675
AFLAC, Inc. 3.6% 4/1/30	200,000	182,313
Allstate Corp.:
3 month U.S. LIBOR + 2.930% 8.5642% 8/15/53 (b)(d)	160,000	157,800
1.45% 12/15/30	500,000	383,396
American International Group, Inc.:
4.375% 6/30/50	170,000	140,872
4.5% 7/16/44	115,000	97,067
4.7% 7/10/35	200,000	175,258
4.75% 4/1/48	40,000	35,164
5.75% 4/1/48 (b)	190,000	179,408
Aon Corp. 4.5% 12/15/28	310,000	299,913
Aon PLC 4.75% 5/15/45	140,000	121,801
Arch Capital Group Ltd. 3.635% 6/30/50	187,000	134,955
Arthur J. Gallagher & Co. 5.75% 3/2/53	100,000	97,973
Assured Guaranty U.S. Holdings, Inc. 6.125% 9/15/28	180,000	182,216
Athene Holding Ltd.:
3.5% 1/15/31	170,000	142,247
6.65% 2/1/33	100,000	102,597
Baylor Scott & White Holdings Series 2021, 2.839% 11/15/50	250,000	164,368
Berkshire Hathaway Finance Corp.:
1.45% 10/15/30	900,000	724,129
2.85% 10/15/50	180,000	121,018
3.85% 3/15/52	140,000	111,527
4.2% 8/15/48	130,000	113,197
4.25% 1/15/49	100,000	88,023
5.75% 1/15/40	100,000	108,010
Brighthouse Financial, Inc. 5.625% 5/15/30	309,000	298,732
Brown & Brown, Inc. 4.2% 3/17/32	140,000	125,294
CNA Financial Corp.:
3.45% 8/15/27	190,000	177,366
3.95% 5/15/24	180,000	177,638
Fairfax Financial Holdings Ltd. 4.625% 4/29/30	240,000	220,791
Globe Life, Inc. 2.15% 8/15/30	100,000	79,991
Hartford Financial Services Group, Inc.:
2.8% 8/19/29	490,000	428,823
4.4% 3/15/48	30,000	24,931
Lincoln National Corp. 4.35% 3/1/48	210,000	152,511
Manulife Financial Corp. 4.15% 3/4/26	510,000	495,414
Markel Group, Inc.:
3.35% 9/17/29	100,000	89,468
3.5% 11/1/27	150,000	139,978
5% 5/20/49	120,000	105,028
Marsh & McLennan Companies, Inc.:
3.5% 3/10/25	190,000	184,480
3.875% 3/15/24	170,000	168,229
4.2% 3/1/48	40,000	32,956
4.375% 3/15/29	120,000	116,179
4.75% 3/15/39	120,000	111,028
4.9% 3/15/49	270,000	247,614
MetLife, Inc.:
4.125% 8/13/42	180,000	149,206
4.55% 3/23/30	110,000	106,940
4.6% 5/13/46	272,000	238,619
5% 7/15/52	120,000	109,716
5.375% 7/15/33	130,000	129,410
6.375% 6/15/34	100,000	107,378
6.4% 12/15/66 (b)	100,000	98,932
Principal Financial Group, Inc.:
2.125% 6/15/30	160,000	130,467
3.4% 5/15/25	390,000	375,628
3.7% 5/15/29	180,000	164,757
Progressive Corp.:
2.5% 3/15/27	270,000	248,345
3% 3/15/32	160,000	139,039
3.2% 3/26/30	200,000	178,661
4.2% 3/15/48	100,000	83,864
Prudential Financial, Inc.:
3% 3/10/40	110,000	81,112
3.878% 3/27/28	45,000	42,852
4.35% 2/25/50	180,000	149,635
4.418% 3/27/48	100,000	84,253
4.6% 5/15/44	110,000	97,017
5.125% 3/1/52 (b)	140,000	125,075
5.7% 12/14/36	120,000	122,440
5.7% 9/15/48 (b)	74,000	70,066
6% 9/1/52 (b)	180,000	171,929
Prudential Funding Asia PLC 3.125% 4/14/30	100,000	88,122
Reinsurance Group of America, Inc. 3.9% 5/15/29	120,000	109,649
The Chubb Corp. 6.5% 5/15/38	58,000	64,584
The Travelers Companies, Inc.:
2.55% 4/27/50	100,000	62,284
3.05% 6/8/51	100,000	69,155
4.05% 3/7/48	74,000	60,925
6.25% 6/15/37	256,000	279,047
Travelers Property Casualty Corp. 6.375% 3/15/33	160,000	175,808
Unum Group 5.75% 8/15/42	110,000	100,142
Willis Group North America, Inc. 4.5% 9/15/28	504,000	480,377
		12,773,171
TOTAL FINANCIALS		150,839,777
HEALTH CARE - 2.6%
Biotechnology - 0.5%
AbbVie, Inc.:
2.6% 11/21/24	120,000	115,782
2.95% 11/21/26	100,000	93,607
3.2% 11/21/29	1,230,000	1,108,664
4.05% 11/21/39	210,000	179,994
4.25% 11/14/28	92,000	89,071
4.25% 11/21/49	470,000	395,815
4.3% 5/14/36	25,000	22,903
4.45% 5/14/46	280,000	242,216
4.55% 3/15/35	50,000	47,295
4.75% 3/15/45	420,000	377,273
4.85% 6/15/44	340,000	310,827
Amgen, Inc.:
1.65% 8/15/28	550,000	469,169
1.9% 2/21/25	100,000	95,093
2.8% 8/15/41	200,000	137,948
3.15% 2/21/40	320,000	238,747
3.2% 11/2/27	70,000	65,064
3.375% 2/21/50	210,000	146,938
4.2% 3/1/33	130,000	119,685
4.4% 5/1/45	188,000	158,187
4.4% 2/22/62	110,000	87,120
4.563% 6/15/48	120,000	102,125
4.663% 6/15/51	100,000	86,243
4.875% 3/1/53	130,000	115,369
4.95% 10/1/41	100,000	91,388
5.15% 3/2/28	400,000	399,582
5.25% 3/2/30	600,000	600,831
5.25% 3/2/33	310,000	308,388
5.6% 3/2/43	250,000	245,305
5.65% 3/2/53	460,000	456,019
Biogen, Inc.:
2.25% 5/1/30	100,000	82,323
3.15% 5/1/50	100,000	65,289
3.25% 2/15/51	150,000	99,825
Gilead Sciences, Inc.:
1.65% 10/1/30	590,000	473,995
2.8% 10/1/50	180,000	115,837
2.95% 3/1/27	430,000	400,830
4.15% 3/1/47	112,000	93,721
4.6% 9/1/35	100,000	94,900
4.75% 3/1/46	240,000	218,534
Regeneron Pharmaceuticals, Inc. 1.75% 9/15/30	120,000	95,502
		8,647,404
Health Care Equipment & Supplies - 0.2%
Abbott Laboratories:
4.75% 4/15/43	170,000	162,690
5.3% 5/27/40	390,000	399,837
Baxter International, Inc.:
1.915% 2/1/27	330,000	293,611
2.539% 2/1/32	330,000	264,891
Becton, Dickinson & Co.:
3.7% 6/6/27	60,000	56,889
4.669% 6/6/47	290,000	257,330
4.693% 2/13/28	130,000	127,678
Boston Scientific Corp.:
4% 3/1/29	100,000	94,374
4.7% 3/1/49	230,000	206,180
GE Healthcare Holding LLC:
5.65% 11/15/27	120,000	121,442
5.905% 11/22/32	230,000	235,872
6.377% 11/22/52	100,000	107,648
Medtronic, Inc.:
4.375% 3/15/35	280,000	264,960
4.625% 3/15/45	110,000	103,281
Stryker Corp.:
1.95% 6/15/30	100,000	82,682
2.9% 6/15/50	200,000	133,340
Zimmer Biomet Holdings, Inc.:
3.55% 4/1/25	175,000	169,262
3.55% 3/20/30	194,000	169,960
		3,251,927
Health Care Providers & Services - 1.1%
Aetna, Inc.:
3.875% 8/15/47	180,000	135,048
4.75% 3/15/44	100,000	86,121
AHS Hospital Corp. 2.78% 7/1/51	250,000	156,869
Allina Health System, Inc. 3.887% 4/15/49	40,000	31,678
Banner Health:
2.907% 1/1/42	400,000	283,896
2.913% 1/1/51	150,000	97,213
Baptist Healthcare System Obli 3.54% 8/15/50	125,000	89,298
Bon Secours Mercy Health, Inc. 2.095% 6/1/31	89,000	71,315
Cardinal Health, Inc.:
3.41% 6/15/27	290,000	271,601
4.368% 6/15/47	30,000	24,024
Cencora, Inc.:
2.7% 3/15/31	170,000	142,999
2.8% 5/15/30	140,000	120,868
Centene Corp.:
2.5% 3/1/31	110,000	87,609
2.625% 8/1/31	300,000	238,659
3.375% 2/15/30	400,000	342,319
4.25% 12/15/27	410,000	383,517
Children's Hospital of Philadelphia 2.704% 7/1/50	98,000	62,528
Cigna Group:
3.4% 3/1/27	790,000	742,756
4.125% 11/15/25	99,000	96,467
4.375% 10/15/28	100,000	96,304
4.8% 8/15/38	290,000	267,327
4.8% 7/15/46	230,000	204,210
4.9% 12/15/48	300,000	267,518
5.4% 3/15/33	300,000	301,018
CommonSpirit Health:
3.91% 10/1/50	150,000	112,743
4.35% 11/1/42	160,000	133,477
CVS Health Corp.:
1.75% 8/21/30	735,000	582,751
2.7% 8/21/40	400,000	268,641
2.875% 6/1/26	60,000	56,211
3% 8/15/26	38,000	35,598
3.25% 8/15/29	250,000	223,454
4.125% 4/1/40	100,000	81,479
4.3% 3/25/28	1,000,000	960,461
4.78% 3/25/38	512,000	458,526
5.05% 3/25/48	250,000	219,278
5.125% 7/20/45	420,000	374,142
5.3% 6/1/33	100,000	97,940
5.3% 12/5/43	310,000	284,071
6.125% 9/15/39	100,000	101,323
Elevance Health, Inc.:
2.375% 1/15/25	1,100,000	1,051,772
4.101% 3/1/28	130,000	124,493
4.55% 3/1/48	80,000	68,862
4.625% 5/15/42	150,000	133,255
5.1% 1/15/44	132,000	121,024
6.1% 10/15/52	440,000	467,836
Franciscan Missionaries of Our Lady Health System, Inc. 3.914% 7/1/49	120,000	86,667
HCA Holdings, Inc.:
4.125% 6/15/29	242,000	223,537
5.125% 6/15/39	100,000	90,710
5.25% 6/15/49	120,000	104,734
5.5% 6/15/47	610,000	555,352
Humana, Inc.:
1.35% 2/3/27	170,000	149,527
2.15% 2/3/32	170,000	133,338
3.125% 8/15/29	100,000	88,893
3.95% 8/15/49	100,000	77,327
5.875% 3/1/33	170,000	176,010
Indiana University Health, Inc. 2.852% 11/1/51	200,000	127,459
INTEGRIS Baptist Medical Center, Inc. 3.875% 8/15/50	104,000	76,042
Kaiser Foundation Hospitals:
2.81% 6/1/41	290,000	206,060
3.266% 11/1/49	110,000	78,909
4.15% 5/1/47	60,000	51,204
Memorial Sloan-Kettring Cancer Center 2.955% 1/1/50	160,000	107,819
MidMichigan Health 3.409% 6/1/50	42,000	28,886
Novant Health, Inc. 3.168% 11/1/51	110,000	75,532
Orlando Health Obligated Group 3.327% 10/1/50	68,000	48,154
Piedmont Healthcare, Inc. 2.719% 1/1/42	150,000	99,542
Providence St. Joseph Health Obligated Group 2.7% 10/1/51	280,000	163,713
Quest Diagnostics, Inc. 2.8% 6/30/31	200,000	169,504
Sabra Health Care LP 3.2% 12/1/31	100,000	76,380
Sutter Health 3.361% 8/15/50	170,000	119,538
Trinity Health Corp. 2.632% 12/1/40	50,000	34,928
UnitedHealth Group, Inc.:
1.25% 1/15/26	223,000	203,995
2% 5/15/30	170,000	141,826
2.3% 5/15/31	270,000	225,692
2.375% 8/15/24	100,000	97,125
2.875% 8/15/29	150,000	134,777
2.9% 5/15/50	307,000	203,881
3.05% 5/15/41	100,000	74,673
3.25% 5/15/51	100,000	71,018
3.375% 4/15/27	220,000	208,637
3.45% 1/15/27	370,000	353,244
3.5% 2/15/24	100,000	99,151
3.7% 8/15/49	90,000	69,871
3.85% 6/15/28	240,000	230,053
3.875% 8/15/59	170,000	131,489
4.25% 1/15/29	300,000	290,990
4.45% 12/15/48	68,000	59,675
4.75% 7/15/45	182,000	169,161
4.95% 5/15/62	160,000	147,819
5.05% 4/15/53	250,000	238,635
5.25% 2/15/28	100,000	101,930
5.35% 2/15/33	100,000	102,628
5.95% 2/15/41	100,000	104,910
6.05% 2/15/63	320,000	348,588
6.625% 11/15/37	310,000	350,307
6.875% 2/15/38	126,000	146,558
West Virginia University Health System Obligated Group 3.129% 6/1/50	70,000	44,417
		18,059,314
Life Sciences Tools & Services - 0.0%
Danaher Corp. 2.6% 10/1/50	245,000	156,343
Revvity, Inc.:
0.85% 9/15/24	100,000	94,791
2.25% 9/15/31	100,000	78,733
Thermo Fisher Scientific, Inc.:
2.6% 10/1/29	300,000	263,202
2.8% 10/15/41	180,000	129,652
5.086% 8/10/33	120,000	120,614
		843,335
Pharmaceuticals - 0.8%
AstraZeneca Finance LLC:
1.2% 5/28/26	170,000	153,471
2.25% 5/28/31	170,000	141,435
4.875% 3/3/33	380,000	380,113
AstraZeneca PLC:
1.375% 8/6/30	240,000	190,890
3.125% 6/12/27	140,000	131,141
4% 9/18/42	100,000	86,083
6.45% 9/15/37	149,000	167,600
Bayer U.S. Finance II LLC 2.85% 4/15/25 (c)	177,000	167,461
Bristol-Myers Squibb Co.:
2.35% 11/13/40	210,000	141,888
2.55% 11/13/50	410,000	251,451
2.9% 7/26/24	160,000	156,357
3.2% 6/15/26	66,000	62,960
3.4% 7/26/29	31,000	28,715
3.7% 3/15/52	230,000	176,884
3.9% 2/20/28	270,000	259,207
3.9% 3/15/62	120,000	90,939
4.125% 6/15/39	100,000	88,318
4.25% 10/26/49	100,000	84,518
4.35% 11/15/47	100,000	86,507
4.55% 2/20/48	159,000	140,912
Eli Lilly & Co.:
2.25% 5/15/50	200,000	123,446
3.95% 3/15/49	100,000	86,068
4.15% 3/15/59	100,000	84,638
4.875% 2/27/53	60,000	59,010
4.95% 2/27/63	110,000	107,452
GlaxoSmithKline Capital PLC 3% 6/1/24	310,000	304,255
GlaxoSmithKline Capital, Inc. 6.375% 5/15/38	261,000	296,937
GSK Consumer Healthcare Capital 3.125% 3/24/25	340,000	327,021
GSK Consumer Healthcare Capital U.S. LLC:
3.375% 3/24/27	250,000	235,053
3.625% 3/24/32	250,000	222,084
Johnson & Johnson:
0.55% 9/1/25	100,000	91,546
1.3% 9/1/30	100,000	81,068
2.1% 9/1/40	440,000	301,308
2.25% 9/1/50	100,000	63,019
2.45% 9/1/60	310,000	190,308
3.4% 1/15/38	238,000	202,100
4.5% 12/5/43	100,000	96,085
Merck & Co., Inc.:
2.15% 12/10/31	380,000	310,593
2.35% 6/24/40	210,000	147,002
2.45% 6/24/50	200,000	124,302
2.75% 12/10/51	150,000	98,435
3.6% 9/15/42	130,000	106,417
3.7% 2/10/45	322,000	262,755
4.5% 5/17/33	400,000	389,848
4.9% 5/17/44	300,000	291,094
Mylan NV:
5.2% 4/15/48	74,000	57,589
5.4% 11/29/43	100,000	83,036
Novartis Capital Corp.:
2.2% 8/14/30	290,000	247,095
2.75% 8/14/50	150,000	102,881
4.4% 5/6/44	120,000	110,986
Pfizer Investment Enterprises:
4.45% 5/19/28	500,000	490,519
4.65% 5/19/30	300,000	295,311
4.75% 5/19/33	360,000	354,259
5.11% 5/19/43	200,000	194,663
5.3% 5/19/53	878,000	878,319
Pfizer, Inc.:
2.55% 5/28/40	120,000	85,998
2.7% 5/28/50	100,000	67,824
3.2% 9/15/23	80,000	79,940
3.45% 3/15/29	100,000	93,780
3.9% 3/15/39	70,000	60,700
4% 12/15/36	190,000	172,417
4% 3/15/49	300,000	257,749
4.3% 6/15/43	106,000	95,557
4.4% 5/15/44	110,000	100,152
7.2% 3/15/39	230,000	278,021
Pharmacia LLC 6.6% 12/1/28 (b)	190,000	204,652
Royalty Pharma PLC 3.35% 9/2/51	290,000	179,906
Shire Acquisitions Investments Ireland DAC 3.2% 9/23/26	444,000	417,053
Takeda Pharmaceutical Co. Ltd.:
3.025% 7/9/40	330,000	239,855
5% 11/26/28	210,000	208,312
Viatris, Inc.:
2.7% 6/22/30	428,000	347,593
3.85% 6/22/40	100,000	69,991
4% 6/22/50	70,000	46,368
Wyeth LLC 5.95% 4/1/37	50,000	53,599
Zoetis, Inc.:
3% 9/12/27	50,000	46,530
3.95% 9/12/47	180,000	143,280
		13,652,629
TOTAL HEALTH CARE		44,454,609
INDUSTRIALS - 1.9%
Aerospace & Defense - 0.5%
General Dynamics Corp.:
3.25% 4/1/25	1,040,000	1,007,673
3.75% 5/15/28	100,000	95,473
4.25% 4/1/40	104,000	92,557
4.25% 4/1/50	30,000	26,406
Huntington Ingalls Industries, Inc. 3.483% 12/1/27	170,000	156,568
L3Harris Technologies, Inc.:
1.8% 1/15/31	435,000	342,404
5.6% 7/31/53	100,000	100,637
Lockheed Martin Corp.:
4.07% 12/15/42	110,000	95,472
4.09% 9/15/52	119,000	99,980
4.15% 6/15/53	150,000	126,434
4.7% 5/15/46	136,000	127,189
5.1% 11/15/27	210,000	212,299
5.7% 11/15/54	100,000	107,224
5.9% 11/15/63	150,000	165,176
6.15% 9/1/36	100,000	108,671
Northrop Grumman Corp.:
2.93% 1/15/25	120,000	115,969
3.25% 1/15/28	100,000	93,155
4.03% 10/15/47	328,000	269,928
4.75% 6/1/43	110,000	99,914
5.15% 5/1/40	150,000	143,878
RTX Corp.:
1.9% 9/1/31	470,000	368,036
2.82% 9/1/51	210,000	131,286
3.75% 11/1/46	100,000	76,092
3.95% 8/16/25	80,000	77,777
4.125% 11/16/28	400,000	381,738
4.35% 4/15/47	100,000	84,134
4.45% 11/16/38	360,000	318,562
4.5% 6/1/42	40,000	34,886
4.875% 10/15/40	210,000	192,077
5.15% 2/27/33	100,000	98,860
5.7% 4/15/40	160,000	160,151
Textron, Inc. 4% 3/15/26	200,000	193,101
The Boeing Co.:
2.75% 2/1/26	140,000	131,385
2.95% 2/1/30	220,000	190,450
3.2% 3/1/29	320,000	287,558
3.375% 6/15/46	120,000	82,548
3.75% 2/1/50	70,000	51,039
3.9% 5/1/49	130,000	97,204
4.875% 5/1/25	1,090,000	1,074,931
5.705% 5/1/40	700,000	680,529
5.805% 5/1/50	320,000	311,323
5.93% 5/1/60	230,000	222,014
6.875% 3/15/39	160,000	176,280
		9,008,968
Air Freight & Logistics - 0.1%
FedEx Corp.:
2.4% 5/15/31	200,000	165,045
3.25% 5/15/41	180,000	130,854
4.05% 2/15/48	80,000	62,302
4.1% 2/1/45	130,000	102,674
4.25% 5/15/30	130,000	123,383
4.9% 1/15/34	100,000	96,588
4.95% 10/17/48	80,000	71,560
5.25% 5/15/50	98,000	91,149
United Parcel Service, Inc.:
3.05% 11/15/27	150,000	140,439
3.75% 11/15/47	160,000	129,405
3.9% 4/1/25	350,000	342,773
4.45% 4/1/30	150,000	147,669
5.2% 4/1/40	100,000	99,965
5.3% 4/1/50	82,000	83,216
6.2% 1/15/38	234,000	261,566
		2,048,588
Building Products - 0.1%
Carrier Global Corp.:
2.242% 2/15/25	300,000	285,373
2.493% 2/15/27	100,000	90,844
2.722% 2/15/30	100,000	85,743
3.377% 4/5/40	150,000	112,742
3.577% 4/5/50	100,000	71,622
Johnson Controls International PLC/Tyco Fire & Security Finance SCA:
1.75% 9/15/30	300,000	240,308
2% 9/16/31	180,000	141,878
Masco Corp.:
2% 2/15/31	90,000	71,058
3.125% 2/15/51	50,000	30,705
Owens Corning:
3.4% 8/15/26	100,000	94,556
4.3% 7/15/47	110,000	88,330
		1,313,159
Commercial Services & Supplies - 0.1%
Republic Services, Inc.:
1.45% 2/15/31	500,000	386,959
3.95% 5/15/28	200,000	189,913
Waste Management, Inc.:
1.5% 3/15/31	140,000	109,124
2.5% 11/15/50	150,000	91,922
2.95% 6/1/41	130,000	93,381
3.15% 11/15/27	50,000	46,628
4.15% 4/15/32	220,000	206,347
		1,124,274
Electrical Equipment - 0.0%
Emerson Electric Co. 2.8% 12/21/51	220,000	142,560
Hubbell, Inc. 3.35% 3/1/26	110,000	104,832
Regal Rexnord Corp. 6.3% 2/15/30 (c)	290,000	288,722
Rockwell Automation, Inc. 4.2% 3/1/49	100,000	86,399
		622,513
Ground Transportation - 0.4%
Burlington Northern Santa Fe LLC:
2.875% 6/15/52	100,000	66,005
3.05% 2/15/51	30,000	20,513
3.25% 6/15/27	550,000	522,030
3.3% 9/15/51	140,000	100,576
4.05% 6/15/48	182,000	149,565
4.15% 12/15/48	100,000	83,665
4.45% 3/15/43	151,000	133,548
5.15% 9/1/43	100,000	97,075
5.2% 4/15/54	240,000	236,140
5.75% 5/1/40	100,000	104,394
Canadian National Railway Co.:
2.45% 5/1/50	290,000	177,502
2.75% 3/1/26	150,000	141,705
3.65% 2/3/48	100,000	78,430
Canadian Pacific Railway Co.:
1.75% 12/2/26	200,000	179,730
2.45% 12/2/31	200,000	177,402
3.1% 12/2/51	200,000	135,766
3.5% 5/1/50	160,000	117,673
4.8% 8/1/45	230,000	205,968
CSX Corp.:
2.5% 5/15/51	110,000	66,766
3.35% 11/1/25	250,000	240,221
3.8% 3/1/28	50,000	47,593
4.25% 3/15/29	150,000	144,814
4.3% 3/1/48	210,000	176,805
4.65% 3/1/68	230,000	197,194
4.75% 11/15/48	160,000	142,706
6.15% 5/1/37	100,000	106,570
Norfolk Southern Corp.:
2.9% 6/15/26	370,000	348,675
3.155% 5/15/55	100,000	65,926
3.8% 8/1/28	72,000	67,997
3.95% 10/1/42	305,000	244,666
4.1% 5/15/21	200,000	140,630
4.15% 2/28/48	100,000	82,180
5.35% 8/1/54	60,000	58,329
Union Pacific Corp.:
2.15% 2/5/27	120,000	109,666
2.75% 3/1/26	360,000	340,468
2.891% 4/6/36	390,000	308,011
3.25% 2/5/50	270,000	195,117
3.375% 2/14/42	150,000	117,103
3.646% 2/15/24	180,000	178,252
3.799% 4/6/71	330,000	242,352
3.85% 2/14/72	230,000	170,283
4% 4/15/47	90,000	72,690
5.15% 1/20/63	150,000	143,669
		6,736,370
Industrial Conglomerates - 0.1%
3M Co.:
2.25% 9/19/26	330,000	303,764
2.375% 8/26/29	270,000	232,686
2.875% 10/15/27	210,000	193,298
3.25% 8/26/49	100,000	69,261
3.375% 3/1/29	110,000	100,736
3.7% 4/15/50	96,000	73,645
5.7% 3/15/37	100,000	106,255
General Electric Co.:
4.25% 5/1/40	50,000	39,902
4.35% 5/1/50	170,000	140,983
4.5% 3/11/44	200,000	175,379
Honeywell International, Inc.:
1.35% 6/1/25	100,000	93,729
1.95% 6/1/30	100,000	83,311
2.3% 8/15/24	190,000	184,468
2.7% 8/15/29	210,000	186,932
2.8% 6/1/50	200,000	142,551
5% 2/15/33	210,000	211,671
		2,338,571
Machinery - 0.3%
Caterpillar Financial Services Corp.:
0.45% 9/14/23	190,000	189,750
0.45% 5/17/24	670,000	646,396
1.1% 9/14/27	540,000	467,073
Caterpillar, Inc.:
2.6% 4/9/30	210,000	184,537
3.25% 9/19/49	170,000	128,140
3.25% 4/9/50	130,000	98,451
3.803% 8/15/42	200,000	169,522
Cummins, Inc. 1.5% 9/1/30	190,000	152,526
Deere & Co. 2.875% 9/7/49	190,000	137,594
Eaton Corp.:
4.15% 3/15/33	340,000	320,568
4.15% 11/2/42	100,000	86,807
Illinois Tool Works, Inc.:
3.5% 3/1/24	450,000	445,850
3.9% 9/1/42	100,000	86,049
Ingersoll Rand, Inc. 5.4% 8/14/28	220,000	220,496
Ingersoll-Rand Luxembourg Finance SA 3.8% 3/21/29	180,000	167,979
Otis Worldwide Corp.:
2.293% 4/5/27	170,000	154,375
2.565% 2/15/30	220,000	188,138
3.362% 2/15/50	80,000	57,539
Parker Hannifin Corp.:
2.7% 6/14/24	300,000	292,823
3.25% 6/14/29	210,000	189,874
4% 6/14/49	110,000	89,203
4.25% 9/15/27	170,000	164,912
Stanley Black & Decker, Inc.:
2.75% 11/15/50	151,000	87,866
3% 5/15/32	120,000	100,911
6% 3/6/28	100,000	102,135
Westinghouse Air Brake Tech Co. 3.45% 11/15/26	200,000	188,033
		5,117,547
Passenger Airlines - 0.1%
American Airlines Pass Through Trust equipment trust certificate 2.875% 1/11/36	198,739	164,537
Southwest Airlines Co.:
5.125% 6/15/27	251,000	248,022
5.25% 5/4/25	130,000	129,159
United Airlines 2020-1 Class B Pass Through Trust 4.875% 7/15/27	126,714	122,945
United Airlines Pass-Through Trust Series 2023-1 Class A, 5.8% 7/15/37	260,000	259,091
		923,754
Professional Services - 0.1%
Leidos, Inc. 5.75% 3/15/33	140,000	139,123
Thomson Reuters Corp. 4.3% 11/23/23	1,200,000	1,194,306
		1,333,429
Trading Companies & Distributors - 0.1%
Air Lease Corp.:
0.7% 2/15/24	680,000	663,581
2.1% 9/1/28	190,000	159,963
2.2% 1/15/27	140,000	125,104
3.625% 12/1/27	140,000	128,634
4.625% 10/1/28	350,000	329,745
W.W. Grainger, Inc. 3.75% 5/15/46	120,000	95,409
		1,502,436
TOTAL INDUSTRIALS		32,069,609
INFORMATION TECHNOLOGY - 2.2%
Communications Equipment - 0.0%
Cisco Systems, Inc.:
5.5% 1/15/40	192,000	199,253
5.9% 2/15/39	100,000	108,438
Motorola Solutions, Inc.:
2.3% 11/15/30	330,000	262,974
4.6% 2/23/28	110,000	106,644
		677,309
Electronic Equipment, Instruments & Components - 0.1%
Amphenol Corp. 2.2% 9/15/31	140,000	113,191
Corning, Inc. 5.35% 11/15/48	300,000	282,000
Dell International LLC/EMC Corp.:
4.9% 10/1/26	450,000	441,947
5.3% 10/1/29	90,000	88,859
8.1% 7/15/36	310,000	356,154
8.35% 7/15/46	92,000	112,834
Keysight Technologies, Inc. 4.55% 10/30/24	130,000	127,866
Teledyne Technologies, Inc.:
2.25% 4/1/28	100,000	87,185
2.75% 4/1/31	100,000	83,451
Tyco Electronics Group SA:
2.5% 2/4/32	110,000	91,675
4.5% 2/13/26	200,000	196,682
Vontier Corp. 1.8% 4/1/26	180,000	161,320
		2,143,164
IT Services - 0.2%
CDW LLC/CDW Finance Corp. 2.67% 12/1/26	430,000	389,780
IBM Corp.:
1.95% 5/15/30	100,000	82,467
2.85% 5/15/40	110,000	78,267
2.95% 5/15/50	100,000	64,241
3% 5/15/24	100,000	98,165
3.5% 5/15/29	170,000	156,833
3.625% 2/12/24	1,460,000	1,446,384
4.15% 5/15/39	200,000	171,831
4.5% 2/6/28	170,000	166,538
4.7% 2/19/46	204,000	180,831
5.6% 11/30/39	180,000	181,287
		3,016,624
Semiconductors & Semiconductor Equipment - 0.7%
Advanced Micro Devices, Inc. 4.393% 6/1/52	70,000	61,379
Analog Devices, Inc.:
1.7% 10/1/28	150,000	128,644
2.1% 10/1/31	140,000	114,564
2.8% 10/1/41	150,000	106,522
2.95% 4/1/25	240,000	231,687
Applied Materials, Inc.:
3.3% 4/1/27	190,000	180,371
4.35% 4/1/47	90,000	81,273
5.1% 10/1/35	120,000	121,684
Broadcom Corp./Broadcom Cayman LP 3.875% 1/15/27	100,000	95,016
Broadcom, Inc.:
2.45% 2/15/31 (c)	160,000	128,991
2.6% 2/15/33 (c)	100,000	77,313
3.137% 11/15/35 (c)	200,000	152,649
3.15% 11/15/25	230,000	218,897
3.419% 4/15/33 (c)	190,000	157,439
3.459% 9/15/26	432,000	409,249
3.469% 4/15/34 (c)	230,000	187,935
3.75% 2/15/51 (c)	530,000	380,090
4.15% 4/15/32 (c)	100,000	89,571
4.3% 11/15/32	410,000	370,648
4.926% 5/15/37 (c)	100,000	90,083
5% 4/15/30	292,000	287,725
Intel Corp.:
2% 8/12/31	50,000	40,403
2.45% 11/15/29	720,000	625,245
2.8% 8/12/41	220,000	152,677
3.05% 8/12/51	50,000	32,377
3.25% 11/15/49	180,000	122,788
3.734% 12/8/47	110,000	83,477
4.15% 8/5/32	110,000	103,516
4.6% 3/25/40	110,000	100,058
4.75% 3/25/50	390,000	342,637
4.875% 2/10/28	120,000	119,284
5.05% 8/5/62	370,000	328,664
5.2% 2/10/33	540,000	539,561
5.7% 2/10/53	120,000	118,835
KLA Corp.:
4.1% 3/15/29	160,000	153,778
4.65% 7/15/32	270,000	265,308
5.25% 7/15/62	120,000	116,472
Lam Research Corp.:
2.875% 6/15/50	150,000	100,209
4% 3/15/29	210,000	201,322
Marvell Technology, Inc.:
1.65% 4/15/26	230,000	208,728
2.45% 4/15/28	120,000	105,242
Microchip Technology, Inc. 0.983% 9/1/24	170,000	161,899
Micron Technology, Inc.:
4.663% 2/15/30	120,000	112,483
5.327% 2/6/29	310,000	303,923
5.375% 4/15/28	300,000	294,924
5.875% 9/15/33	100,000	98,050
NVIDIA Corp.:
2% 6/15/31	480,000	397,656
3.5% 4/1/50	167,000	131,511
NXP BV/NXP Funding LLC/NXP U.S.A., Inc.:
2.65% 2/15/32	300,000	239,235
3.25% 5/11/41	190,000	134,963
3.875% 6/18/26	140,000	134,057
4.3% 6/18/29	100,000	93,384
Qualcomm, Inc.:
2.15% 5/20/30	380,000	323,028
4.3% 5/20/47	313,000	270,791
4.5% 5/20/52	180,000	157,088
4.8% 5/20/45	130,000	122,685
Texas Instruments, Inc.:
2.9% 11/3/27	160,000	148,864
3.875% 3/15/39	210,000	181,949
4.9% 3/14/33	270,000	271,289
5.05% 5/18/63	100,000	95,808
		11,205,898
Software - 0.6%
Adobe, Inc. 2.15% 2/1/27	240,000	220,413
Autodesk, Inc. 2.85% 1/15/30	140,000	122,117
Microsoft Corp.:
2.4% 8/8/26	520,000	487,721
2.525% 6/1/50	280,000	185,094
2.675% 6/1/60	200,000	128,650
2.921% 3/17/52	170,000	120,552
3.041% 3/17/62	240,000	166,161
3.3% 2/6/27	1,650,000	1,585,794
3.45% 8/8/36	610,000	542,558
3.5% 2/12/35	180,000	163,917
3.75% 2/12/45	100,000	85,319
5.3% 2/8/41	280,000	296,490
Oracle Corp.:
2.5% 4/1/25	1,290,000	1,228,260
2.65% 7/15/26	100,000	92,877
2.875% 3/25/31	820,000	692,797
3.25% 11/15/27	600,000	556,078
3.6% 4/1/40	340,000	257,310
3.6% 4/1/50	210,000	145,144
3.8% 11/15/37	340,000	274,189
3.85% 4/1/60	340,000	231,072
3.9% 5/15/35	100,000	85,387
3.95% 3/25/51	200,000	146,176
4% 11/15/47	388,000	289,431
4.1% 3/25/61	720,000	511,495
4.125% 5/15/45	110,000	85,026
4.375% 5/15/55	200,000	153,660
5.375% 7/15/40	270,000	251,668
6.125% 7/8/39	114,000	115,731
6.25% 11/9/32	150,000	157,000
Roper Technologies, Inc.:
1% 9/15/25	60,000	54,956
1.4% 9/15/27	60,000	51,946
1.75% 2/15/31	60,000	47,096
2% 6/30/30	400,000	326,060
Salesforce, Inc.:
1.5% 7/15/28	140,000	120,438
1.95% 7/15/31	100,000	81,484
2.9% 7/15/51	300,000	200,897
3.7% 4/11/28	140,000	134,147
VMware, Inc. 1.4% 8/15/26	690,000	611,832
		11,006,943
Technology Hardware, Storage & Peripherals - 0.6%
Apple, Inc.:
0.7% 2/8/26	2,500,000	2,263,164
1.125% 5/11/25	500,000	467,570
1.7% 8/5/31	280,000	227,853
2.05% 9/11/26	290,000	267,948
2.375% 2/8/41	440,000	314,461
2.55% 8/20/60	110,000	69,173
2.65% 5/11/50	250,000	166,511
2.85% 8/5/61	490,000	318,991
2.95% 9/11/49	180,000	128,416
3% 2/9/24	650,000	642,879
3% 11/13/27	890,000	835,625
3.35% 2/9/27	240,000	229,415
3.75% 11/13/47	90,000	74,896
4% 5/10/28	500,000	488,665
4.3% 5/10/33	1,000,000	981,589
4.375% 5/13/45	120,000	110,470
4.45% 5/6/44	100,000	95,093
4.5% 2/23/36	110,000	109,961
4.65% 2/23/46	201,000	192,538
Hewlett Packard Enterprise Co.:
1.75% 4/1/26	180,000	164,132
4.9% 10/15/25 (b)	1,108,000	1,093,447
HP, Inc.:
2.2% 6/17/25	190,000	179,004
2.65% 6/17/31	210,000	170,165
3.4% 6/17/30	250,000	218,299
4.2% 4/15/32	140,000	125,011
5.5% 1/15/33	100,000	97,080
		10,032,356
TOTAL INFORMATION TECHNOLOGY		38,082,294
MATERIALS - 0.8%
Chemicals - 0.5%
Air Products & Chemicals, Inc.:
1.5% 10/15/25	100,000	92,758
2.05% 5/15/30	40,000	33,761
2.7% 5/15/40	40,000	29,106
2.8% 5/15/50	40,000	27,281
4.8% 3/3/33	120,000	119,247
Albemarle Corp.:
4.65% 6/1/27	160,000	154,649
5.05% 6/1/32	130,000	122,372
Celanese U.S. Holdings LLC:
6.165% 7/15/27	650,000	650,348
6.7% 11/15/33	140,000	140,589
CF Industries Holdings, Inc. 5.375% 3/15/44	130,000	115,004
DuPont de Nemours, Inc.:
4.493% 11/15/25	320,000	313,292
4.725% 11/15/28	240,000	236,795
5.319% 11/15/38	310,000	303,892
Eastman Chemical Co. 4.5% 12/1/28	406,000	388,210
Ecolab, Inc.:
1.3% 1/30/31	400,000	311,395
2.125% 8/15/50	150,000	85,368
Huntsman International LLC 4.5% 5/1/29	120,000	111,127
International Flavors & Fragrances, Inc. 4.45% 9/26/28	130,000	121,567
Linde, Inc.:
2% 8/10/50	100,000	54,603
3.2% 1/30/26	230,000	221,404
LYB International Finance II BV 3.5% 3/2/27	680,000	641,229
LYB International Finance III LLC:
3.375% 10/1/40	110,000	79,057
3.625% 4/1/51	110,000	74,142
3.8% 10/1/60	100,000	65,116
5.625% 5/15/33	160,000	158,464
Nutrien Ltd.:
3.95% 5/13/50	170,000	127,080
4.125% 3/15/35	150,000	130,234
4.2% 4/1/29	32,000	30,098
4.9% 3/27/28	380,000	371,340
5% 4/1/49	56,000	48,736
PPG Industries, Inc. 2.4% 8/15/24	180,000	174,332
Rohm & Haas Co. 7.85% 7/15/29	120,000	132,639
RPM International, Inc. 4.55% 3/1/29	120,000	112,531
Sherwin-Williams Co.:
2.95% 8/15/29	120,000	105,714
3.125% 6/1/24	160,000	156,845
3.45% 6/1/27	210,000	197,931
3.8% 8/15/49	80,000	60,003
4.5% 6/1/47	200,000	170,512
The Dow Chemical Co.:
2.1% 11/15/30	450,000	366,869
3.6% 11/15/50	170,000	121,488
4.375% 11/15/42	100,000	82,490
5.25% 11/15/41	130,000	120,984
5.55% 11/30/48	80,000	76,297
The Mosaic Co.:
4.05% 11/15/27	170,000	162,252
5.45% 11/15/33	100,000	97,414
Westlake Corp. 3.6% 8/15/26	858,000	813,732
		8,310,297
Construction Materials - 0.0%
Martin Marietta Materials, Inc.:
2.5% 3/15/30	110,000	92,428
4.25% 12/15/47	120,000	97,435
		189,863
Containers & Packaging - 0.1%
Avery Dennison Corp. 2.65% 4/30/30	140,000	116,790
Bemis Co., Inc. 4% 5/17/25	200,000	193,907
International Paper Co. 5% 9/15/35	328,000	315,371
WRKCo, Inc.:
3.9% 6/1/28	170,000	157,739
4.65% 3/15/26	400,000	389,346
		1,173,153
Metals & Mining - 0.2%
ArcelorMittal SA 6.8% 11/29/32	270,000	277,387
Barrick North America Finance LLC 5.7% 5/30/41	142,000	141,079
Barrick PD Australia Finance Pty Ltd. 5.95% 10/15/39	100,000	101,470
BHP Billiton Financial (U.S.A.) Ltd.:
4.125% 2/24/42	100,000	87,282
4.75% 2/28/28	400,000	396,516
5% 9/30/43	151,000	145,930
Freeport-McMoRan, Inc.:
4.375% 8/1/28	110,000	102,054
4.625% 8/1/30	190,000	175,597
5.45% 3/15/43	160,000	143,607
Newmont Corp.:
2.25% 10/1/30	160,000	130,015
4.875% 3/15/42	100,000	89,741
5.45% 6/9/44	100,000	94,971
Nucor Corp.:
2.979% 12/15/55	110,000	67,079
3.125% 4/1/32	200,000	170,664
Rio Tinto Finance (U.S.A.) Ltd.:
2.75% 11/2/51	110,000	71,252
5.2% 11/2/40	324,000	318,204
Rio Tinto Finance (U.S.A.) PLC 5% 3/9/33	200,000	198,729
Southern Copper Corp.:
3.875% 4/23/25	210,000	202,388
5.875% 4/23/45	178,000	173,947
7.5% 7/27/35	110,000	124,506
Vale Overseas Ltd.:
3.75% 7/8/30	500,000	437,090
6.125% 6/12/33	70,000	69,302
6.875% 11/21/36	120,000	124,498
		3,843,308
Paper & Forest Products - 0.0%
Suzano Austria GmbH:
2.5% 9/15/28	320,000	271,533
6% 1/15/29	230,000	227,459
		498,992
TOTAL MATERIALS		14,015,613
REAL ESTATE - 0.9%
Equity Real Estate Investment Trusts (REITs) - 0.8%
Agree LP 2.9% 10/1/30	100,000	82,961
Alexandria Real Estate Equities, Inc.:
2% 5/18/32	250,000	189,541
3.375% 8/15/31	340,000	293,561
4.5% 7/30/29	100,000	94,742
4.85% 4/15/49	140,000	114,225
American Homes 4 Rent LP 3.375% 7/15/51	110,000	70,270
American Tower Corp.:
1.3% 9/15/25	120,000	110,062
2.1% 6/15/30	120,000	95,742
3.1% 6/15/50	120,000	74,876
3.6% 1/15/28	70,000	64,606
3.8% 8/15/29	100,000	90,945
5.25% 7/15/28	470,000	462,857
5.65% 3/15/33	370,000	368,548
AvalonBay Communities, Inc.:
2.3% 3/1/30	408,000	340,693
3.35% 5/15/27	170,000	158,937
Boston Properties, Inc.:
2.75% 10/1/26	100,000	90,171
3.25% 1/30/31	227,000	184,794
3.65% 2/1/26	130,000	122,449
4.5% 12/1/28	280,000	258,372
Camden Property Trust 2.8% 5/15/30	170,000	147,568
Corporate Office Properties LP 2.75% 4/15/31	110,000	84,781
Crown Castle International Corp.:
1.35% 7/15/25	90,000	83,074
2.25% 1/15/31	100,000	80,287
3.25% 1/15/51	190,000	123,330
3.65% 9/1/27	464,000	432,259
5.1% 5/1/33	180,000	173,212
EPR Properties 4.5% 6/1/27	210,000	189,149
Equinix, Inc.:
1.45% 5/15/26	200,000	179,751
2.5% 5/15/31	210,000	170,116
ERP Operating LP:
1.85% 8/1/31	240,000	187,778
2.5% 2/15/30	160,000	135,571
3.5% 3/1/28	160,000	149,088
Federal Realty OP LP 1.25% 2/15/26	200,000	180,017
GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25	310,000	304,289
Healthpeak OP, LLC:
2.875% 1/15/31	430,000	359,584
3% 1/15/30	320,000	276,897
Highwoods/Forsyth LP 4.125% 3/15/28	140,000	125,817
Hudson Pacific Properties LP 4.65% 4/1/29	100,000	76,199
Invitation Homes Operating Partnership LP 2.3% 11/15/28	170,000	144,449
Kilroy Realty LP 2.65% 11/15/33	100,000	69,431
Kimco Realty Op LLC:
1.9% 3/1/28	610,000	516,564
2.8% 10/1/26	216,000	198,652
NNN (REIT), Inc. 3% 4/15/52	200,000	121,163
Office Properties Income Trust 2.4% 2/1/27	100,000	67,641
Omega Healthcare Investors, Inc.:
4.5% 4/1/27	140,000	132,422
4.75% 1/15/28	201,000	188,756
Prologis LP:
1.625% 3/15/31	150,000	116,601
1.75% 2/1/31	340,000	268,217
2.125% 4/15/27	170,000	153,094
2.125% 10/15/50	100,000	53,955
4.875% 6/15/28	100,000	98,964
5.125% 1/15/34	100,000	98,441
5.25% 6/15/53	100,000	95,364
Public Storage 5.1% 8/1/33	320,000	317,281
Realty Income Corp.:
2.85% 12/15/32	338,000	273,941
3.25% 1/15/31	238,000	205,805
4.9% 7/15/33	150,000	142,434
Regency Centers LP 3.7% 6/15/30	150,000	134,455
Simon Property Group LP:
2% 9/13/24	420,000	403,966
2.2% 2/1/31	250,000	199,166
2.65% 7/15/30	138,000	116,385
3.375% 12/1/27	150,000	138,777
3.5% 9/1/25	230,000	221,566
4.25% 11/30/46	116,000	89,245
4.75% 3/15/42	110,000	93,409
5.85% 3/8/53	130,000	127,434
Spirit Realty LP 3.2% 2/15/31	160,000	131,900
Store Capital Corp. 4.5% 3/15/28	110,000	98,327
Sun Communities Operating LP 2.3% 11/1/28	170,000	142,921
UDR, Inc.:
2.1% 6/15/33	100,000	73,442
3% 8/15/31	100,000	83,922
Ventas Realty LP:
4% 3/1/28	184,000	170,928
4.875% 4/15/49	160,000	130,866
VICI Properties LP:
4.75% 2/15/28	330,000	313,809
5.125% 5/15/32	140,000	129,755
Welltower OP LLC:
2.05% 1/15/29	390,000	326,806
2.75% 1/15/32	110,000	88,935
4.25% 4/15/28	174,000	164,741
Weyerhaeuser Co. 4% 11/15/29	270,000	249,161
WP Carey, Inc. 2.4% 2/1/31	140,000	111,897
		13,732,107
Real Estate Management & Development - 0.1%
Brandywine Operating Partnership LP 7.55% 3/15/28	100,000	93,766
CBRE Group, Inc. 5.95% 8/15/34	100,000	98,913
Digital Realty Trust LP 3.7% 8/15/27	370,000	344,728
Essex Portfolio LP:
2.65% 3/15/32	210,000	167,279
3.875% 5/1/24	120,000	117,988
Mid-America Apartments LP 4.2% 6/15/28	260,000	247,161
Tanger Properties LP 3.125% 9/1/26	100,000	90,747
		1,160,582
TOTAL REAL ESTATE		14,892,689
UTILITIES - 2.1%
Electric Utilities - 1.6%
AEP Texas, Inc.:
3.45% 5/15/51	70,000	47,269
4.15% 5/1/49	120,000	92,501
AEP Transmission Co. LLC:
2.75% 8/15/51	100,000	61,907
3.65% 4/1/50	139,000	104,822
5.4% 3/15/53	100,000	99,253
Alabama Power Co.:
1.45% 9/15/30	800,000	627,913
3% 3/15/52	170,000	110,105
American Electric Power Co., Inc.:
3.25% 3/1/50	174,000	114,270
4.3% 12/1/28	194,000	184,840
Appalachian Power Co.:
4.5% 8/1/32	140,000	129,907
7% 4/1/38	100,000	110,780
Arizona Public Service Co.:
2.6% 8/15/29	160,000	138,557
3.35% 5/15/50	200,000	133,220
5.55% 8/1/33	100,000	100,089
Avangrid, Inc. 3.2% 4/15/25	170,000	162,687
Baltimore Gas & Electric Co.:
2.9% 6/15/50	120,000	76,919
3.75% 8/15/47	210,000	158,663
CenterPoint Energy Houston Electric LLC:
3.35% 4/1/51	70,000	50,167
4.25% 2/1/49	185,000	154,617
4.95% 4/1/33	230,000	226,134
Cincinnati Gas & Electric Co.:
3.65% 2/1/29	210,000	195,794
4.3% 2/1/49	65,000	52,710
Commonwealth Edison Co.:
2.75% 9/1/51	200,000	122,673
4% 3/1/48	208,000	167,502
6.45% 1/15/38	240,000	258,158
Connecticut Light & Power Co. 5.25% 1/15/53	120,000	117,200
Dominion Energy South Carolina:
2.3% 12/1/31	230,000	184,720
5.3% 5/15/33	100,000	100,531
DTE Electric Co.:
3% 3/1/32	180,000	153,697
3.65% 3/1/52	190,000	141,765
3.95% 3/1/49	56,000	44,346
4.05% 5/15/48	100,000	81,019
Duke Energy Carolinas LLC:
3.75% 6/1/45	150,000	113,753
3.875% 3/15/46	240,000	184,743
3.95% 3/15/48	210,000	164,928
4% 9/30/42	179,000	145,191
4.25% 12/15/41	130,000	110,041
Duke Energy Corp.:
2.45% 6/1/30	200,000	166,365
3.15% 8/15/27	352,000	325,457
3.3% 6/15/41	390,000	279,552
3.75% 9/1/46	110,000	80,498
4.2% 6/15/49	310,000	241,026
5% 8/15/52	100,000	87,643
Duke Energy Florida LLC:
3.2% 1/15/27	240,000	226,889
4.2% 7/15/48	140,000	114,629
6.4% 6/15/38	160,000	172,203
Duke Energy Industries, Inc. 6.35% 8/15/38	170,000	181,554
Duke Energy Progress LLC:
2% 8/15/31	270,000	214,950
4.1% 5/15/42	130,000	107,124
4.2% 8/15/45	180,000	145,666
5.25% 3/15/33	100,000	100,075
Edison International 4.125% 3/15/28	100,000	93,523
Entergy Corp.:
0.9% 9/15/25	500,000	454,275
2.4% 6/15/31	120,000	95,789
3.75% 6/15/50	190,000	133,883
Entergy Louisiana LLC:
3.12% 9/1/27	310,000	286,938
4% 3/15/33	190,000	170,471
Entergy Mississippi LLC 5% 9/1/33	100,000	96,866
Entergy, Inc.:
3.35% 6/15/52	100,000	68,256
3.55% 9/30/49	194,000	137,297
5.3% 9/15/33	70,000	69,853
Eversource Energy:
2.55% 3/15/31	200,000	164,330
3.45% 1/15/50	120,000	84,402
5.45% 3/1/28	250,000	250,839
Exelon Corp.:
3.95% 6/15/25	163,000	158,134
4.05% 4/15/30	370,000	341,878
4.7% 4/15/50	110,000	93,328
5.1% 6/15/45	160,000	145,686
FirstEnergy Corp.:
1.6% 1/15/26	97,000	88,080
2.25% 9/1/30	150,000	120,392
5.1% 7/15/47	150,000	130,536
Florida Power & Light Co.:
2.875% 12/4/51	190,000	124,142
3.95% 3/1/48	160,000	129,916
3.99% 3/1/49	133,000	107,580
4.05% 6/1/42	210,000	176,501
4.05% 10/1/44	170,000	142,929
4.125% 2/1/42	240,000	203,386
Georgia Power Co.:
2.65% 9/15/29	360,000	310,207
4.65% 5/16/28	170,000	165,780
4.95% 5/17/33	340,000	328,982
Indiana Michigan Power Co.:
3.25% 5/1/51	80,000	54,380
3.75% 7/1/47	120,000	90,375
Interstate Power and Light Co. 2.3% 6/1/30	104,000	85,303
Kentucky Utilities Co. 5.125% 11/1/40	170,000	159,244
MidAmerican Energy Co.:
3.65% 8/1/48	280,000	208,558
3.95% 8/1/47	100,000	78,277
4.25% 7/15/49	100,000	82,208
Mississippi Power Co. 3.95% 3/30/28	120,000	113,057
Nevada Power Co. 3.125% 8/1/50	150,000	95,206
NextEra Energy Capital Holdings, Inc.:
1.875% 1/15/27	300,000	268,127
2.44% 1/15/32	400,000	320,099
3% 1/15/52	110,000	69,949
4.9% 2/28/28	900,000	884,418
Northern States Power Co.:
2.6% 6/1/51	300,000	183,293
3.2% 4/1/52	80,000	54,274
4% 8/15/45	110,000	87,150
NSTAR Electric Co. 4.95% 9/15/52	100,000	92,981
Oglethorpe Power Corp.:
3.75% 8/1/50	100,000	71,212
5.95% 11/1/39	110,000	108,657
Ohio Power Co. 4% 6/1/49	100,000	78,135
Oncor Electric Delivery Co. LLC:
3.1% 9/15/49	100,000	67,911
3.8% 6/1/49	280,000	216,255
4.55% 9/15/32	150,000	142,881
4.6% 6/1/52	150,000	133,520
Pacific Gas & Electric Co.:
2.5% 2/1/31	320,000	249,713
3.15% 1/1/26	110,000	102,491
3.3% 8/1/40	100,000	67,018
3.5% 6/15/25	506,000	481,978
3.75% 2/15/24	320,000	316,322
4.2% 3/1/29	200,000	179,846
4.55% 7/1/30	603,000	542,256
4.75% 2/15/44	100,000	76,461
4.95% 7/1/50	230,000	177,842
5.9% 6/15/32	300,000	287,159
6.7% 4/1/53	90,000	87,501
6.75% 1/15/53	170,000	165,231
PacifiCorp:
2.9% 6/15/52	100,000	58,969
4.15% 2/15/50	250,000	183,387
6% 1/15/39	330,000	327,753
PECO Energy Co. 4.6% 5/15/52	210,000	183,890
PG&E Wildfire Recovery:
5.099% 6/1/54	150,000	144,750
5.212% 12/1/49	260,000	250,412
PPL Capital Funding, Inc. 4% 9/15/47	90,000	61,745
PPL Electric Utilities Corp.:
3% 10/1/49	70,000	47,411
5% 5/15/33	100,000	98,951
5.25% 5/15/53	100,000	97,121
Progress Energy, Inc. 7.75% 3/1/31	100,000	112,164
Public Service Co. of Colorado:
3.2% 3/1/50	110,000	74,209
5.25% 4/1/53	120,000	110,814
6.25% 9/1/37	130,000	135,189
Public Service Co. of Oklahoma 5.25% 1/15/33	100,000	98,129
Public Service Electric & Gas Co.:
2.45% 1/15/30	80,000	68,500
3% 5/15/25	220,000	211,688
3.15% 1/1/50	300,000	210,436
3.2% 8/1/49	110,000	77,534
3.7% 5/1/28	120,000	113,828
5.2% 8/1/33	190,000	191,775
Puget Sound Energy, Inc.:
4.223% 6/15/48	70,000	56,821
4.3% 5/20/45	130,000	105,765
Southern California Edison Co.:
2.95% 2/1/51	250,000	158,764
3.5% 10/1/23	566,000	564,650
3.65% 2/1/50	220,000	159,531
3.65% 6/1/51	110,000	77,960
3.9% 3/15/43	230,000	176,657
4.05% 3/15/42	100,000	79,008
4.125% 3/1/48	140,000	110,337
4.65% 10/1/43	158,000	135,902
6.05% 3/15/39	100,000	100,763
Southern Co.:
3.25% 7/1/26	765,000	723,732
4.4% 7/1/46	253,000	208,351
Southwestern Electric Power Co. 5.3% 4/1/33	190,000	185,992
Southwestern Public Service Co. 4.5% 8/15/41	160,000	134,340
Tampa Electric Co. 4.45% 6/15/49	140,000	115,198
Tucson Electric Power Co. 1.5% 8/1/30	100,000	78,049
Union Electric Co.:
2.625% 3/15/51	140,000	85,458
3.9% 4/1/52	120,000	94,291
Virginia Electric & Power Co.:
2.4% 3/30/32	110,000	88,640
2.45% 12/15/50	100,000	57,776
3.8% 4/1/28	90,000	85,126
3.8% 9/15/47	180,000	135,069
4.6% 12/1/48	208,000	178,501
4.625% 5/15/52	100,000	85,485
5% 4/1/33	100,000	97,255
6% 5/15/37	120,000	123,207
Wisconsin Electric Power Co. 1.7% 6/15/28	490,000	421,560
Wisconsin Power & Light Co. 4.95% 4/1/33	170,000	164,704
Xcel Energy, Inc.:
3.35% 12/1/26	316,000	295,933
3.4% 6/1/30	73,000	64,709
3.5% 12/1/49	100,000	69,567
		27,098,245
Gas Utilities - 0.1%
Atmos Energy Corp.:
2.85% 2/15/52	100,000	64,667
4.125% 10/15/44	210,000	172,475
5.45% 10/15/32	140,000	143,230
CenterPoint Energy Resources Corp.:
1.75% 10/1/30	100,000	79,339
5.4% 3/1/33	120,000	120,044
Dominion Gas Holdings LLC 2.5% 11/15/24	80,000	76,961
ONE Gas, Inc. 2% 5/15/30	260,000	213,055
Piedmont Natural Gas Co., Inc.:
2.5% 3/15/31	120,000	97,209
3.35% 6/1/50	100,000	65,464
Southern California Gas Co.:
2.55% 2/1/30	210,000	178,561
4.3% 1/15/49	130,000	105,695
5.2% 6/1/33	180,000	176,758
Southern Co. Gas Capital Corp. 3.15% 9/30/51	250,000	161,556
Southwest Gas Corp.:
3.18% 8/15/51	100,000	61,510
5.45% 3/23/28	165,000	164,521
		1,881,045
Independent Power and Renewable Electricity Producers - 0.0%
Constellation Energy Generation, LLC:
3.25% 6/1/25	100,000	95,717
5.6% 6/15/42	130,000	122,553
5.8% 3/1/33	100,000	101,868
Emera U.S. Finance LP 4.75% 6/15/46	100,000	78,269
		398,407
Multi-Utilities - 0.4%
Ameren Corp. 3.5% 1/15/31	250,000	220,672
Ameren Illinois Co. 4.5% 3/15/49	210,000	184,463
Berkshire Hathaway Energy Co.:
1.65% 5/15/31	160,000	123,825
3.25% 4/15/28	250,000	229,962
4.45% 1/15/49	100,000	81,792
4.5% 2/1/45	180,000	151,098
4.6% 5/1/53	100,000	82,393
5.95% 5/15/37	120,000	122,045
6.125% 4/1/36	110,000	115,125
CenterPoint Energy, Inc. 2.95% 3/1/30	120,000	103,298
Consolidated Edison Co. of New York, Inc.:
3.35% 4/1/30	270,000	243,463
3.7% 11/15/59	100,000	70,576
3.85% 6/15/46	100,000	76,287
3.95% 4/1/50	245,000	193,942
4.5% 5/15/58	220,000	179,227
4.65% 12/1/48	80,000	68,789
5.2% 3/1/33	110,000	109,843
6.15% 11/15/52	100,000	107,205
6.75% 4/1/38	110,000	120,630
Consumers Energy Co.:
2.65% 8/15/52	115,000	71,341
3.1% 8/15/50	200,000	137,553
4.35% 4/15/49	130,000	111,266
Dominion Energy, Inc.:
3.375% 4/1/30	340,000	299,807
4.85% 8/15/52	280,000	238,734
DTE Energy Co.:
2.85% 10/1/26	200,000	185,153
3.8% 3/15/27	90,000	84,626
NiSource, Inc.:
0.95% 8/15/25	700,000	641,656
1.7% 2/15/31	370,000	285,776
3.49% 5/15/27	442,000	414,593
5.95% 6/15/41	110,000	110,663
Public Service Enterprise Group, Inc.:
1.6% 8/15/30	100,000	78,747
5.85% 11/15/27	100,000	101,922
Puget Energy, Inc. 4.1% 6/15/30	253,000	226,286
San Diego Gas & Electric Co.:
4.1% 6/15/49	130,000	102,842
5.35% 4/1/53	170,000	164,657
Sempra:
3.4% 2/1/28	50,000	46,268
3.8% 2/1/38	270,000	219,838
4% 2/1/48	136,000	104,078
WEC Energy Group, Inc. 4.75% 1/15/28	100,000	97,930
		6,308,371
Water Utilities - 0.0%
American Water Capital Corp.:
2.3% 6/1/31	220,000	180,423
2.95% 9/1/27	430,000	395,962
3.75% 9/1/47	213,000	165,272
4.3% 12/1/42	100,000	85,450
		827,107
TOTAL UTILITIES		36,513,175
TOTAL NONCONVERTIBLE BONDS (Cost $507,922,823)		449,582,916

U.S. Government and Government Agency Obligations - 44.0%
	Principal Amount (a)	Value ($)
U.S. Government Agency Obligations - 1.0%
Fannie Mae:
0.375% 8/25/25	238,000	217,591
0.5% 6/17/25	650,000	600,594
0.54% 10/27/25	500,000	454,336
0.625% 4/22/25	90,000	83,830
0.75% 10/8/27	250,000	216,283
0.875% 8/5/30	108,000	85,664
1.75% 7/2/24	930,000	901,600
2.875% 9/12/23	150,000	149,882
6.625% 11/15/30	1,650,000	1,878,187
Federal Farm Credit Bank:
1.4% 3/10/28	2,230,000	1,938,148
3.8% 4/5/32	1,000,000	909,292
Federal Home Loan Bank:
0.375% 9/4/25	175,000	160,129
0.5% 4/14/25	390,000	363,095
0.9% 2/26/27	3,290,000	2,883,250
0.96% 3/5/26	1,300,000	1,178,808
1.5% 8/15/24	125,000	120,476
2.5% 2/13/24	230,000	226,899
3.25% 6/9/28	210,000	200,152
3.25% 11/16/28	30,000	28,559
Freddie Mac:
0.25% 12/4/23	958,000	944,106
0.375% 7/21/25	480,000	440,968
0.375% 9/23/25	370,000	337,602
1.5% 2/12/25	630,000	598,245
6.25% 7/15/32	830,000	949,247
6.75% 3/15/31	870,000	1,002,283
Tennessee Valley Authority:
0.75% 5/15/25	560,000	520,065
2.875% 2/1/27	145,000	137,214
4.25% 9/15/65	210,000	181,735
5.25% 9/15/39	420,000	431,741
5.88% 4/1/36	110,000	122,241
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS		18,262,222
U.S. Treasury Obligations - 43.0%
U.S. Treasury Bonds:
1.125% 5/15/40	2,000	1,239
1.125% 8/15/40	76,000	46,660
1.25% 5/15/50	238,000	124,401
1.375% 11/15/40	4,356,000	2,780,864
1.375% 8/15/50	2,390,000	1,291,814
1.625% 11/15/50	6,241,000	3,610,028
1.75% 8/15/41	6,137,000	4,123,537
1.875% 2/15/41	14,910,000	10,347,307
1.875% 2/15/51	9,063,000	5,591,092
1.875% 11/15/51	4,704,000	2,890,387
2% 11/15/41	5,180,000	3,624,584
2% 2/15/50	683,000	437,360
2% 8/15/51	8,892,000	5,645,378
2.25% 5/15/41	12,975,000	9,560,446
2.25% 8/15/46	148,000	101,947
2.25% 8/15/49	267,000	181,633
2.25% 2/15/52	1,610,000	1,086,121
2.375% 11/15/49	38,000	26,575
2.375% 5/15/51	6,825,000	4,743,642
2.5% 2/15/45	273,000	200,474
2.5% 2/15/46	329,000	239,193
2.5% 5/15/46	122,000	88,588
2.75% 11/15/42	329,000	257,957
2.75% 8/15/47	177,000	134,154
2.75% 11/15/47	157,000	118,878
2.875% 8/15/45	268,000	209,700
2.875% 11/15/46	359,000	279,249
2.875% 5/15/49	361,000	279,817
2.875% 5/15/52	2,960,000	2,297,816
3% 5/15/42	238,000	195,225
3% 11/15/44	1,614,000	1,298,324
3% 11/15/45	76,000	60,717
3% 2/15/47	83,000	65,982
3% 5/15/47	197,000	156,561
3% 2/15/48	121,000	96,048
3% 8/15/48	188,000	149,188
3% 2/15/49	264,000	209,560
3% 8/15/52	9,800,000	7,809,758
3.125% 11/15/41	229,000	193,192
3.125% 2/15/42	264,000	221,843
3.125% 8/15/44	1,405,000	1,156,052
3.125% 5/15/48	48,000	38,985
3.25% 5/15/42	6,160,000	5,260,303
3.375% 8/15/42	14,240,000	12,357,094
3.375% 5/15/44	856,000	734,020
3.375% 11/15/48	68,000	57,789
3.625% 8/15/43	86,000	76,866
3.625% 2/15/44	1,464,000	1,305,934
3.625% 2/15/53	9,520,000	8,576,925
3.625% 5/15/53	6,910,000	6,231,956
3.75% 8/15/41	225,000	208,424
3.75% 11/15/43	94,000	85,507
3.875% 8/15/40	126,000	119,606
3.875% 2/15/43	10,190,000	9,481,477
3.875% 5/15/43	7,160,000	6,657,355
4% 11/15/42	10,370,000	9,838,943
4% 11/15/52	6,250,000	6,030,518
4.125% 8/15/53	1,670,000	1,647,559
4.375% 2/15/38	81,000	82,924
4.375% 11/15/39	5,000	5,068
4.375% 5/15/41	433,000	436,298
4.375% 8/15/43	1,070,000	1,067,158
4.5% 2/15/36	223,000	233,018
4.5% 5/15/38	69,000	71,442
5% 5/15/37	391,000	427,427
U.S. Treasury Notes:
0.125% 9/15/23	2,000	1,996
0.125% 10/15/23	130,000	129,167
0.125% 12/15/23	684,000	673,900
0.125% 1/15/24	1,625,000	1,593,896
0.25% 5/31/25	3,401,000	3,133,968
0.25% 6/30/25	4,190,000	3,850,545
0.25% 7/31/25	2,494,000	2,284,640
0.25% 8/31/25	7,956,000	7,264,201
0.25% 9/30/25	4,049,000	3,689,019
0.375% 8/15/24	2,010,000	1,916,252
0.375% 9/15/24	2,850,000	2,707,834
0.375% 4/30/25	4,471,000	4,143,185
0.375% 11/30/25	3,807,000	3,455,447
0.375% 12/31/25	8,153,000	7,387,382
0.375% 1/31/26	9,105,000	8,217,618
0.375% 7/31/27	3,005,000	2,575,614
0.375% 9/30/27	3,744,000	3,191,468
0.5% 3/31/25	6,279,000	5,848,790
0.5% 2/28/26	5,602,000	5,057,993
0.5% 4/30/27	546,000	474,338
0.5% 5/31/27	43,000	37,249
0.5% 6/30/27	856,000	739,671
0.5% 8/31/27	2,377,000	2,042,363
0.625% 10/15/24	8,700,000	8,261,262
0.625% 7/31/26	3,960,000	3,541,261
0.625% 3/31/27	884,000	773,707
0.625% 11/30/27	2,407,000	2,062,686
0.625% 12/31/27	1,696,000	1,449,881
0.625% 5/15/30	4,618,000	3,663,553
0.625% 8/15/30	644,000	507,427
0.75% 11/15/24	3,910,000	3,706,405
0.75% 3/31/26	6,314,000	5,730,448
0.75% 4/30/26	3,206,000	2,899,426
0.75% 5/31/26	3,183,000	2,870,668
0.75% 8/31/26	5,654,000	5,061,876
0.75% 1/31/28	4,807,000	4,122,941
0.875% 6/30/26	894,000	808,127
0.875% 9/30/26	6,070,000	5,447,114
1% 12/15/24	2,830,000	2,682,862
1.125% 1/15/25	14,200,000	13,446,180
1.125% 2/28/25	748,000	705,545
1.125% 10/31/26	8,680,000	7,824,884
1.125% 2/29/28	5,030,000	4,379,047
1.125% 8/31/28	5,215,000	4,482,252
1.25% 11/30/26	429,000	387,457
1.25% 12/31/26	7,670,000	6,917,381
1.25% 3/31/28	4,619,000	4,036,753
1.25% 4/30/28	3,357,000	2,927,671
1.25% 5/31/28	2,807,000	2,443,515
1.25% 6/30/28	3,624,000	3,148,633
1.25% 9/30/28	2,821,000	2,434,545
1.25% 8/15/31	3,247,000	2,621,953
1.375% 1/31/25	975,000	925,222
1.375% 8/31/26	366,000	333,918
1.375% 10/31/28	12,960,000	11,234,194
1.375% 12/31/28	2,240,000	1,934,887
1.5% 9/30/24	3,446,000	3,308,698
1.5% 11/30/24	2,663,000	2,543,685
1.5% 2/15/25	3,310,000	3,142,690
1.5% 8/15/26	283,000	259,398
1.5% 1/31/27	5,829,000	5,287,313
1.5% 11/30/28	1,062,000	925,060
1.5% 2/15/30	724,000	614,184
1.625% 2/15/26	702,000	652,531
1.625% 9/30/26	1,345,000	1,235,246
1.625% 11/30/26	454,000	415,091
1.625% 8/15/29	2,954,000	2,558,210
1.625% 5/15/31	9,580,000	8,024,373
1.75% 7/31/24	1,867,000	1,806,031
1.75% 12/31/24	3,742,000	3,577,410
1.75% 3/15/25	3,230,000	3,071,474
1.75% 1/31/29	4,210,000	3,701,840
1.875% 8/31/24	501,000	484,013
1.875% 7/31/26	800,000	742,094
1.875% 2/28/29	820,000	725,091
2% 6/30/24	210,000	204,233
2% 11/15/26	562,000	520,289
2.125% 2/29/24	1,000	984
2.125% 3/31/24	612,000	600,501
2.125% 7/31/24	150,000	145,623
2.125% 11/30/24	320,000	308,013
2.25% 12/31/23	50,000	49,482
2.25% 12/31/24	30,000	28,871
2.25% 2/15/27	817,000	759,714
2.25% 8/15/27	1,371,000	1,265,872
2.25% 11/15/27	255,000	234,490
2.375% 2/29/24	490,000	482,669
2.375% 5/15/27	1,576,000	1,466,665
2.375% 3/31/29	2,590,000	2,348,907
2.375% 5/15/29	473,000	428,435
2.5% 1/31/24	1,044,000	1,031,439
2.5% 4/30/24	520,000	510,189
2.5% 1/31/25	37,000	35,669
2.5% 2/28/26	273,000	259,190
2.5% 3/31/27	11,290,000	10,579,083
2.625% 12/31/25	118,000	112,575
2.625% 1/31/26	420,000	400,198
2.625% 5/31/27	3,110,000	2,919,270
2.625% 2/15/29	1,038,000	955,609
2.625% 7/31/29	18,080,000	16,558,738
2.75% 2/15/24	70,000	69,158
2.75% 2/28/25	280,000	270,561
2.75% 5/15/25	100,000	96,355
2.75% 6/30/25	237,000	228,001
2.75% 8/31/25	304,000	291,816
2.75% 4/30/27	1,920,000	1,812,225
2.75% 7/31/27	4,190,000	3,944,329
2.75% 2/15/28	629,000	589,294
2.75% 8/15/32	13,225,000	11,870,987
2.875% 4/30/25	81,000	78,238
2.875% 6/15/25	1,170,000	1,128,547
2.875% 7/31/25	258,000	248,496
2.875% 11/30/25	288,000	276,548
2.875% 5/15/28	231,000	217,095
2.875% 8/15/28	1,186,000	1,111,968
2.875% 4/30/29	290,000	269,915
3% 6/30/24	510,000	500,059
3% 7/15/25	910,000	878,932
3% 10/31/25	535,000	515,355
3.125% 8/15/25	6,350,000	6,143,377
3.125% 8/31/27	3,090,000	2,948,536
3.125% 11/15/28	331,000	313,403
3.125% 8/31/29	2,250,000	2,117,725
3.25% 6/30/27	3,320,000	3,187,200
3.25% 6/30/29	1,750,000	1,659,629
3.375% 5/15/33	6,930,000	6,528,277
3.5% 9/15/25	4,490,000	4,373,190
3.5% 1/31/28	5,420,000	5,241,098
3.5% 4/30/28	4,370,000	4,223,682
3.5% 1/31/30	5,650,000	5,419,807
3.5% 4/30/30	5,020,000	4,812,925
3.5% 2/15/33	7,930,000	7,552,086
3.625% 5/15/26	9,550,000	9,312,051
3.625% 3/31/28	6,910,000	6,717,276
3.625% 5/31/28	13,510,000	13,139,530
3.625% 3/31/30	410,000	396,034
3.75% 5/31/30	7,190,000	6,995,926
3.75% 6/30/30	6,970,000	6,781,592
3.875% 3/31/25	170,000	166,925
3.875% 1/15/26	10,260,000	10,066,022
3.875% 12/31/27	5,110,000	5,015,389
3.875% 9/30/29	5,080,000	4,978,202
3.875% 11/30/29	3,970,000	3,890,445
3.875% 12/31/29	5,560,000	5,448,148
3.875% 8/15/33	1,110,000	1,090,228
4% 12/15/25	4,400,000	4,328,844
4% 2/15/26	540,000	531,478
4% 2/29/28	3,620,000	3,575,457
4% 6/30/28	9,110,000	9,001,107
4% 10/31/29	10,290,000	10,152,130
4% 2/28/30	2,170,000	2,142,366
4% 7/31/30	3,450,000	3,409,031
4.125% 1/31/25	9,320,000	9,190,030
4.125% 6/15/26	13,790,000	13,630,553
4.125% 10/31/27	7,580,000	7,509,234
4.125% 11/15/32	9,650,000	9,645,477
4.25% 12/31/24	10,860,000	10,727,220
4.25% 5/31/25	16,470,000	16,268,629
4.25% 10/15/25	10,580,000	10,461,388
4.375% 10/31/24	5,950,000	5,888,408
4.375% 8/31/28	1,630,000	1,640,060
4.5% 11/30/24	8,450,000	8,374,082
4.5% 11/15/25	2,900,000	2,882,328
4.5% 7/15/26	10,340,000	10,321,420
4.625% 2/28/25	7,510,000	7,458,075
4.625% 3/15/26	8,780,000	8,773,484
4.75% 7/31/25	4,000,000	3,989,219
5% 8/31/25	250,000	250,713
TOTAL U.S. TREASURY OBLIGATIONS		735,504,559
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $818,750,568)		753,766,781

U.S. Government Agency - Mortgage Securities - 27.6%
	Principal Amount (a)	Value ($)
Fannie Mae - 11.0%
1.5% 10/1/36 to 4/1/52	18,250,103	14,606,495
2% 6/1/27 to 6/1/52	58,398,431	47,651,175
2.5% 4/1/30 to 7/1/52	34,366,306	29,071,720
3% 12/1/26 to 7/1/52	39,391,493	34,762,730
3.5% 5/1/24 to 8/1/52	25,568,580	23,250,551
4% 4/1/26 to 9/1/53	15,752,885	14,688,895
4.5% 10/1/39 to 11/1/52	6,563,029	6,270,549
5% 11/1/44 to 5/1/53	7,662,066	7,485,711
5.5% 7/1/24 to 8/1/53	4,956,881	4,906,353
6% 12/1/52 to 7/1/53	3,283,341	3,294,986
6.5% 3/1/29 to 5/1/53	1,448,673	1,474,362
TOTAL FANNIE MAE		187,463,527
Freddie Mac - 7.8%
1.5% 10/1/36 to 2/1/52	7,847,655	6,343,959
2% 3/1/28 to 4/1/52	45,089,374	36,750,404
2% 9/1/35	1,215,560	1,071,562
2% 11/1/35	281,067	247,771
2% 11/1/35	357,845	315,454
2.5% 2/1/30 to 11/1/52	45,386,812	37,986,764
3% 2/1/29 to 4/1/52	8,286,177	7,283,664
3.5% 12/1/25 to 4/1/53	11,030,801	9,992,529
4% 6/1/34 to 12/1/52	11,160,159	10,415,871
4% 4/1/48	879	825
4.5% 11/1/40 to 4/1/53 (e)	8,824,800	8,428,689
5% 8/1/48 to 6/1/53	6,219,993	6,045,953
5.5% 6/1/49 to 7/1/53	5,777,957	5,711,080
6% 10/1/28 to 6/1/53	2,126,627	2,133,950
6.5% 1/1/53 to 8/1/53	716,009	727,415
TOTAL FREDDIE MAC		133,455,890
Ginnie Mae - 6.1%
1.5% 4/20/51 to 5/20/51	184,772	145,111
1.5% 11/20/51	400,000	318,186
2% 2/20/51 to 8/20/52	19,183,250	15,852,352
2% 9/1/53 (f)	1,600,000	1,320,001
2% 9/1/53 (f)	300,000	247,500
2% 9/1/53 (f)	450,000	371,250
2% 9/1/53 (f)	700,000	577,500
2% 9/1/53 (f)	600,000	495,000
2% 9/1/53 (f)	800,000	660,000
2% 9/1/53 (f)	1,250,000	1,031,251
2% 10/1/53 (f)	150,000	123,879
2% 10/1/53 (f)	2,100,000	1,734,305
2.5% 3/20/47 to 6/20/52	20,037,342	17,110,869
2.5% 9/1/53 (f)	1,000,000	851,174
2.5% 9/1/53 (f)	1,000,000	851,174
2.5% 9/1/53 (f)	1,050,000	893,732
2.5% 9/1/53 (f)	800,000	680,939
2.5% 9/1/53 (f)	550,000	468,145
2.5% 9/1/53 (f)	1,000,000	851,174
2.5% 10/1/53 (f)	500,000	425,997
3% 7/20/42 to 7/20/52	16,190,096	14,317,425
3% 9/1/53 (f)	650,000	571,541
3% 9/1/53 (f)	450,000	395,682
3% 9/1/53 (f)	600,000	527,576
3% 9/1/53 (f)	75,000	65,947
3% 9/1/53 (f)	700,000	615,506
3% 10/1/53 (f)	650,000	571,922
3.5% 5/20/44 to 11/20/52	12,190,081	11,160,100
3.5% 9/1/53 (f)	125,000	113,494
3.5% 9/1/53 (f)	350,000	317,784
3.5% 9/1/53 (f)	250,000	226,989
3.5% 9/1/53 (f)	250,000	226,989
3.5% 9/1/53 (f)	250,000	226,989
3.5% 9/1/53 (f)	400,000	363,182
3.5% 10/1/53 (f)	200,000	181,630
4% 12/20/45 to 8/20/53	9,070,644	8,488,307
4.5% 6/20/45 to 7/20/53	6,737,886	6,436,780
4.5% 9/1/53 (f)	700,000	667,088
5% 11/20/45 to 7/20/53	5,700,669	5,558,410
5% 9/1/53 (f)	800,000	778,478
5.5% 12/20/44 to 8/20/53	3,791,292	3,757,541
5.5% 9/1/53 (f)	600,000	594,094
6% 12/20/52 to 6/20/53	2,165,186	2,172,584
6% 9/1/53 (f)	600,000	601,896
6.5% 12/20/52 to 7/20/53	1,285,048	1,302,266
TOTAL GINNIE MAE		105,249,739
Uniform Mortgage Backed Securities - 2.7%
1.5% 9/1/38 (f)	600,000	511,585
1.5% 9/1/53 (f)	600,000	452,322
2% 9/1/38 (f)	400,000	350,810
2% 9/1/53 (f)	2,150,000	1,711,539
2% 9/1/53 (f)	5,350,000	4,258,945
2% 9/1/53 (f)	600,000	477,639
2% 9/1/53 (f)	3,125,000	2,487,702
2% 9/1/53 (f)	2,200,000	1,751,342
2% 9/1/53 (f)	1,800,000	1,432,916
2% 9/1/53 (f)	950,000	756,261
2% 9/1/53 (f)	675,000	537,344
2% 9/1/53 (f)	2,100,000	1,671,735
2% 9/1/53 (f)	2,800,000	2,228,981
2% 9/1/53 (f)	2,550,000	2,029,964
2% 10/1/53 (f)	4,850,000	3,866,407
2% 10/1/53 (f)	1,950,000	1,554,535
2% 10/1/53 (f)	1,950,000	1,554,535
2% 10/1/53 (f)	2,900,000	2,311,872
2.5% 9/1/38 (f)	400,000	360,203
2.5% 9/1/53 (f)	1,550,000	1,284,623
2.5% 9/1/53 (f)	1,050,000	870,229
2.5% 9/1/53 (f)	1,050,000	870,229
2.5% 9/1/53 (f)	1,050,000	870,229
2.5% 9/1/53 (f)	1,600,000	1,326,063
3% 9/1/38 (f)	400,000	369,594
3% 9/1/53 (f)	550,000	473,838
3% 9/1/53 (f)	1,150,000	990,752
3% 9/1/53 (f)	200,000	172,305
3% 9/1/53 (f)	1,200,000	1,033,828
3.5% 9/1/53 (f)	1,000,000	893,555
4% 9/1/53 (f)	600,000	553,875
4.5% 9/1/53 (f)	900,000	853,453
4.5% 9/1/53 (f)	600,000	568,969
5% 9/1/53 (f)	1,200,000	1,163,578
5.5% 9/1/53 (f)	1,600,000	1,580,500
6% 9/1/53 (f)	1,200,000	1,203,234
6.5% 9/1/53 (f)	1,000,000	1,015,578
TOTAL UNIFORM MORTGAGE BACKED SECURITIES		46,401,069
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $528,778,789)		472,570,225

Asset-Backed Securities - 0.3%
	Principal Amount (a)	Value ($)
Capital One Multi-Asset Execution Trust:
Series 2019-A3 Class A3, 2.06% 8/15/28	111,000	101,901
1.39% 7/15/30	280,000	237,124
Capital One Prime Auto Receivables Series 2023-1 Class A3, 4.87% 2/15/28	120,000	118,856
CarMax Auto Owner Trust:
Series 2021-1 Class A3, 0.34% 12/15/25	149,928	146,135
Series 2022-3 Class A2A, 3.97% 4/15/27	630,000	615,286
Carmax Auto Owner Trust Series 2023 2 Class A3, 5.05% 1/18/28	480,000	476,555
Citibank Credit Card Issuance Trust:
Series 2007-A3 Class A3, 6.15% 6/15/39	200,000	215,264
Series 2018-A7 Class A7, 3.96% 10/13/30	250,000	239,034
Ford Credit Auto Owner Trust Series 2023-A Class A3, 4.65% 2/15/28	339,000	333,912
Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30	60,000	56,663
GM Financial Consumer Automobile Re Series 2023 2 Class A3, 4.47% 2/16/28	480,000	471,880
GM Financial Consumer Automobile Receivables Trust Series 2021-1 Class A3, 0.35% 10/16/25	124,512	121,548
Hyundai Auto Receivables Trust:
Series 2022-C Class A3, 5.39% 6/15/27	300,000	299,454
Series 2023 A Class A3, 4.58% 4/15/27	480,000	473,906
3.72% 11/16/26	425,000	414,587
TOTAL ASSET-BACKED SECURITIES (Cost $4,464,375)		4,322,105

Commercial Mortgage Securities - 1.3%
	Principal Amount (a)	Value ($)
BANK sequential payer:
Series 2017-BNK4 Class ASB, 3.419% 5/15/50	195,222	186,477
Series 2020-BN25 Class A5, 2.649% 1/15/63	240,000	202,148
Series 2020-BN28 Class A4, 1.844% 3/15/63	380,000	299,960
Series 2021-BN35 Class A5, 2.285% 6/15/64	700,000	557,803
Series 2022-BNK39 Class A4, 2.928% 2/15/55	300,000	249,159
Series 2022-BNK41 Class A4, 3.7901% 4/15/65 (b)	950,000	842,914
Series 2023-BNK45 Class A5, 5.203% 2/15/56 (b)	1,440,000	1,410,990
BBCMS Mortgage Trust sequential payer:
Series 2021-C10 Class A5, 2.492% 7/15/54	450,000	367,843
Series 2021-C11 Class A5, 2.322% 9/15/54	450,000	359,559
Series 2021-C9 Class A5, 2.299% 2/15/54	550,000	444,144
Benchmark 2023-B39 C Mtg Trust sequential payer Series 2023-B39 Class A5, 5.7536% 7/15/56	500,000	510,418
Benchmark Mortgage Trust:
sequential payer:
Series 2020-B19 Class A5, 1.85% 9/15/53	350,000	267,129
Series 2021-B24 Class A5, 2.5843% 3/15/54	450,000	356,522
Series 2019-B12 Class A5, 3.1156% 8/15/52	235,000	204,799
Series 2019-B9 Class A5, 4.0156% 3/15/52	160,000	144,936
BMO Mortgage Trust sequential payer Series 2022-C1 Class A5, 3.374% 2/15/55	300,000	257,593
Citigroup Commercial Mortgage Trust sequential payer:
Series 2015-GC29 Class A4, 3.192% 4/10/48	500,000	475,540
Series 2016-C1 Class A4, 3.209% 5/10/49	480,000	447,581
Series 2018-B2 Class A4, 4.009% 3/10/51	250,000	230,667
CSAIL Commercial Mortgage Trust sequential payer Series 2019-C17:
Class A4, 2.7628% 9/15/52	200,000	169,109
Class A5, 3.0161% 9/15/52	200,000	172,076
Freddie Mac:
sequential payer:
Series 2016-K057 Class A2, 2.57% 7/25/26	330,000	309,048
Series 2020-K104 Class A2, 2.253% 1/25/30	760,000	656,229
Series 2020-K116 Class A2, 1.378% 7/25/30	640,000	512,845
Series 2020-K117 Class A2, 1.406% 8/25/30	710,000	568,305
Series 2020-K118 Class A2, 1.493% 9/25/30	430,000	345,657
Series 2020-K121 Class A2, 1.547% 10/25/30	70,000	56,280
Series 2021-K125 Class A2, 1.846% 1/25/31	450,000	367,808
Series 2021-K126 Class A2, 2.074% 1/25/31	180,000	149,637
Series 2021-K128 Class A2, 2.02% 3/25/31	540,000	447,290
Series 2021-K129 Class A2, 1.914% 5/25/31	540,000	441,590
Series 2021-K130 Class A2, 1.723% 6/25/31	650,000	521,884
Series 2021-K136 Class A2, 2.127% 11/25/31	1,090,000	893,136
Series 2022-K145 Class A2, 2.58% 5/25/32	2,500,000	2,105,113
Series 2023-154 Class A2, 4.35% 1/25/33	500,000	482,568
Series 2023-157 Class A2, 4.2% 5/25/33	600,000	572,191
Series 2023-K751 Class A2, 4.412% 3/25/30	500,000	487,738
Series 2017-K064 Class A2, 3.224% 3/25/27	250,000	236,092
Series 2017-K068 Class A2, 3.244% 8/25/27	570,000	535,622
Series 2017-K727 Class A2, 2.946% 7/25/24	50,923	49,812
Series 2018-K730 Class A2, 3.59% 1/25/25	47,778	46,561
Series 2019-K094 Class A2, 2.903% 6/25/29	430,000	389,786
Series 2019-K1510 Class A2, 3.718% 1/25/31	165,000	153,178
Series 2021-K123 Class A2, 1.621% 12/25/30	540,000	435,339
GS Mortgage Securities Trust sequential payer:
Series 2014-GC26 Class A4, 3.364% 11/10/47	195,999	190,070
Series 2020-GC45 Class A5, 2.9106% 2/13/53	300,000	258,028
JPMBB Commercial Mortgage Securities Trust sequential payer:
Series 2014-C21 Class A5, 3.7748% 8/15/47	50,000	48,837
Series 2014-C24 Class A5, 3.6385% 11/15/47	400,000	384,762
JPMDB Commercial Mortgage Securities Trust sequential payer Series 2020-COR7 Class A5, 2.1798% 5/13/53	500,000	393,775
Morgan Stanley Capital I Trust sequential payer Series 2020-L4 Class A3, 2.698% 2/15/53	150,000	125,725
UBS Commercial Mortgage Trust sequential payer Series 2019-C16 Class A4, 3.6048% 4/15/52	350,000	313,272
Wells Fargo Commercial Mortgage Trust:
sequential payer:
Series 2019-C52 Class A5, 2.892% 8/15/52	200,000	171,963
Series 2019-C54 Class A4, 3.146% 12/15/52	500,000	433,737
Series 2018-C48 Class A5, 4.302% 1/15/52	240,000	224,934
Wells Fargo Commercial Mtg Trust 2020-C sequential payer Series 2020-C55 Class A5, 2.725% 2/15/53	135,000	114,124
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $24,669,047)		21,580,303

Municipal Securities - 0.3%
	Principal Amount (a)	Value ($)
American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 7.834% 2/15/41	170,000	208,901
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev.:
Series 2009 F2, 6.263% 4/1/49	55,000	63,077
Series 2010 S1, 7.043% 4/1/50	55,000	67,942
California Gen. Oblig.:
Series 2009, 7.55% 4/1/39	160,000	197,419
Series 2010, 7.6% 11/1/40	350,000	435,191
Series 2018, 3.5% 4/1/28	175,000	165,508
California State Univ. Rev. Series 2021 B, 2.719% 11/1/52	280,000	187,444
Charlotte-Mecklenburg Hosp. Auth. Health Care Sys. Rev. Series 2021 A, 3.204% 1/15/51	150,000	101,873
Chicago O'Hare Int'l. Arpt. Rev. Series 2010 B, 6.395% 1/1/40	300,000	335,026
Dallas Area Rapid Transit Sales Tax Rev. Series 2021 A, 2.613% 12/1/48	300,000	202,629
Dallas Fort Worth Int'l. Arpt. Rev.:
Series 2019 A, 3.144% 11/1/45	20,000	15,016
Series 2021 C, 2.843% 11/1/46	250,000	178,795
Series 2022 A, 4.507% 11/1/51	100,000	89,549
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 B:
2.746% 6/1/34	112,000	90,296
3.293% 6/1/42	60,000	44,250
Idaho Energy Resources Auth. Series 2021, 2.861% 9/1/46	75,000	52,631
Illinois Gen. Oblig.:
Series 2003, 5.1% 6/1/33	750,000	727,725
Series 2010-3, 7.35% 7/1/35	85,714	91,375
Kansas St Dev. Fin. Auth. Rev. Series 2015 H, 4.927% 4/15/45	140,000	134,790
Los Angeles Dept. of Aiports (Consolidated Rental Car Facility Proj.) Series 2022 A, 4.242% 5/15/48 (Assured Guaranty Muni. Corp. Insured)	300,000	255,250
Massachusetts Gen. Oblig. Series 2009 E, 5.456% 12/1/39	145,000	150,176
Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Series 2019 B, 3.395% 10/15/40	250,000	201,171
Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev. Series 2021 C, 2.823% 8/1/41	300,000	227,433
Michigan Strategic Fund Ltd. Oblig. Rev. Series 2021 A, 3.225% 9/1/47	100,000	74,343
New Jersey Tpk. Auth. Tpk. Rev. Series 2010 A, 7.102% 1/1/41	140,000	167,191
New York Metropolitan Trans. Auth. Rev. Series 2010 E, 6.814% 11/15/40	130,000	140,623
New York State Dorm. Auth. Series 2021 C, 2.202% 3/15/34	300,000	236,120
Port Auth. of New York & New Jersey:
Series 180, 4.96% 8/1/46	70,000	66,671
Series 225, 3.175% 7/15/60	300,000	196,932
Texas Gen. Oblig. Series 2015 C, 3.738% 10/1/31	190,000	176,831
Univ. of California Regents Med. Ctr. Pool Rev. Series N:
3.006% 5/15/50	150,000	102,100
3.256% 5/15/60	150,000	101,033
Univ. of Virginia Gen. Rev. Series 2021 B, 2.584% 11/1/51	210,000	137,308
TOTAL MUNICIPAL SECURITIES (Cost $7,183,099)		5,622,619

Foreign Government and Government Agency Obligations - 1.4%
	Principal Amount (a)	Value ($)
Alberta Province:
1% 5/20/25	260,000	242,354
2.95% 1/23/24	120,000	118,860
3.3% 3/15/28	225,000	212,776
British Columbia Province 2.25% 6/2/26	350,000	327,579
Chilean Republic:
2.55% 7/27/33	1,330,000	1,067,072
3.125% 3/27/25	840,000	813,548
3.24% 2/6/28	200,000	186,584
3.625% 10/30/42	394,000	305,252
4.95% 1/5/36	290,000	279,334
Export Development Canada 2.625% 2/21/24	500,000	493,565
Hungarian Republic:
5.375% 3/25/24	24,000	23,907
7.625% 3/29/41	110,000	121,439
Indonesian Republic:
2.85% 2/14/30	200,000	175,426
3.4% 9/18/29	360,000	326,290
3.5% 2/14/50	400,000	295,024
3.85% 10/15/30	750,000	693,345
4.35% 1/11/48	250,000	214,025
4.45% 4/15/70	150,000	122,384
Israeli State:
3.25% 1/17/28	760,000	705,950
3.375% 1/15/50	275,000	194,278
4.5% 1/30/43	200,000	175,780
Italian Republic:
1.25% 2/17/26	1,161,000	1,044,113
2.375% 10/17/24	400,000	384,204
2.875% 10/17/29	400,000	347,840
3.875% 5/6/51	200,000	139,878
Korean Republic 2.75% 1/19/27	570,000	534,939
Manitoba Province 2.6% 4/16/24	870,000	856,298
Ontario Province:
1.125% 10/7/30	1,111,000	881,045
2.3% 6/15/26	70,000	65,540
2.5% 4/27/26	300,000	282,702
3.05% 1/29/24	100,000	99,037
Panamanian Republic:
3.16% 1/23/30	800,000	696,256
3.87% 7/23/60	200,000	127,900
4.5% 4/16/50	400,000	298,516
6.4% 2/14/35	480,000	492,341
6.7% 1/26/36	240,000	251,827
Peruvian Republic:
1.862% 12/1/32	300,000	226,272
2.78% 12/1/60	300,000	175,683
3.55% 3/10/51	250,000	179,685
4.125% 8/25/27	250,000	241,633
6.55% 3/14/37	275,000	299,247
7.35% 7/21/25	430,000	445,588
Philippine Republic:
2.65% 12/10/45	610,000	394,902
2.95% 5/5/45	370,000	255,071
3% 2/1/28	200,000	184,012
3.95% 1/20/40	300,000	252,807
5.17% 10/13/27	1,200,000	1,205,184
6.375% 10/23/34	130,000	142,286
9.5% 2/2/30	70,000	86,282
Polish Government:
5.5% 4/4/53	260,000	252,574
5.75% 11/16/32	200,000	207,766
Quebec Province:
1.9% 4/21/31	600,000	499,416
2.5% 4/9/24	130,000	127,647
2.5% 4/20/26	590,000	556,258
2.75% 4/12/27	320,000	299,472
United Mexican States:
3.25% 4/16/30	400,000	354,116
3.5% 2/12/34	1,226,000	1,016,428
4.6% 2/10/48	270,000	216,464
4.75% 4/27/32	200,000	189,292
5% 4/27/51	1,195,000	1,009,918
5.4% 2/9/28	200,000	201,790
5.55% 1/21/45	250,000	232,460
6.05% 1/11/40	120,000	119,707
6.35% 2/9/35	430,000	444,844
Uruguay Republic:
4.125% 11/20/45	130,000	114,781
4.375% 10/27/27	140,000	139,493
4.975% 4/20/55	462,000	436,257
7.625% 3/21/36	130,000	157,275
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $27,412,909)		24,261,818

Supranational Obligations - 1.0%
	Principal Amount (a)	Value ($)
African Development Bank:
0.875% 7/22/26	200,000	179,471
3% 9/20/23	80,000	79,920
Asian Development Bank:
0.375% 9/3/25	700,000	640,064
0.75% 10/8/30	150,000	117,397
1.5% 10/18/24	200,000	191,697
1.875% 1/24/30	1,139,000	981,711
2.5% 11/2/27	20,000	18,545
2.625% 1/30/24	430,000	424,995
4% 1/12/33	500,000	489,462
Asian Infrastructure Investment Bank 0.25% 9/29/23	600,000	597,955
Council of Europe Development Bank 1.375% 2/27/25	2,279,000	2,155,905
European Investment Bank:
0.25% 9/15/23	1,623,000	1,620,883
0.75% 9/23/30	400,000	315,255
0.875% 5/17/30	80,000	64,230
1.25% 2/14/31	630,000	510,928
2.25% 6/24/24	210,000	204,675
3.125% 12/14/23	110,000	109,281
4.875% 2/15/36	400,000	419,510
Inter-American Development Bank:
0.625% 7/15/25	140,000	129,268
0.875% 4/20/26	400,000	362,499
1.5% 1/13/27	1,000,000	905,156
4% 1/12/28	1,500,000	1,474,524
4.375% 1/24/44	190,000	181,244
International Bank for Reconstruction & Development:
0.375% 7/28/25	350,000	321,239
0.5% 10/28/25	364,000	332,051
0.75% 8/26/30	1,433,000	1,125,485
0.875% 5/14/30	1,054,000	842,479
1.5% 8/28/24	90,000	86,671
1.625% 1/15/25	110,000	104,836
1.875% 10/27/26	320,000	294,641
2.5% 3/19/24	300,000	295,095
2.5% 3/29/32	530,000	464,769
4% 7/25/30	750,000	733,706
International Finance Corp.:
0.375% 7/16/25	160,000	147,061
0.75% 8/27/30	100,000	78,505
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $18,525,423)		17,001,113

Bank Notes - 0.1%
	Principal Amount (a)	Value ($)
Citizens Bank NA:
2.25% 4/28/25	250,000	231,954
3.75% 2/18/26	250,000	232,677
Discover Bank 2.7% 2/6/30	500,000	401,557
KeyBank NA 5.85% 11/15/27	360,000	347,247
Wells Fargo Bank NA 5.45% 8/7/26	800,000	802,536
TOTAL BANK NOTES (Cost $2,172,391)		2,015,971

Money Market Funds - 1.1%
	Shares	Value ($)
Fidelity Cash Central Fund 5.43% (g) (Cost $19,067,420)	19,063,608	19,067,420

TOTAL INVESTMENT IN SECURITIES - 103.4% (Cost $1,958,946,844)	1,769,791,271
NET OTHER ASSETS (LIABILITIES) - (3.4)%	(58,206,427)
NET ASSETS - 100.0%	1,711,584,844

TBA Sale Commitments
	Principal Amount (a)	Value ($)
Ginnie Mae
2% 9/1/53	(150,000)	(123,750)
2% 9/1/53	(2,100,000)	(1,732,501)
2.5% 9/1/53	(500,000)	(425,587)
3% 9/1/53	(650,000)	(571,541)
3.5% 9/1/53	(200,000)	(181,591)

TOTAL GINNIE MAE		(3,034,970)

Uniform Mortgage Backed Securities
2% 9/1/53	(4,850,000)	(3,860,913)
2% 9/1/53	(1,950,000)	(1,552,326)
2% 9/1/53	(1,950,000)	(1,552,326)
2% 9/1/53	(2,100,000)	(1,671,735)
2% 9/1/53	(2,900,000)	(2,308,587)
3.5% 9/1/53	(1,100,000)	(982,910)
3.5% 9/1/53	(2,450,000)	(2,189,209)
4% 9/1/53	(1,150,000)	(1,061,594)
5.5% 9/1/53	(225,000)	(222,258)

TOTAL UNIFORM MORTGAGE BACKED SECURITIES		(15,401,858)

TOTAL TBA SALE COMMITMENTS (Proceeds $18,222,403)		(18,436,828)

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)	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 $2,336,421 or 0.1% of net assets.

(d)	Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(e)	Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $344,864.

(f)	Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(g)

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 5.43%	7,345,963	349,518,391	337,796,934	554,528	-	-	19,067,420	0.0%
Total	7,345,963	349,518,391	337,796,934	554,528	-	-	19,067,420

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

Investment Valuation

Valuation Inputs at Reporting Date:
Description	Total ($)	Level 1 ($)	Level 2 ($)	Level 3 ($)
Investments in Securities:

Corporate Bonds	449,582,916	-	449,582,916	-

U.S. Government and Government Agency Obligations	753,766,781	-	753,766,781	-

U.S. Government Agency - Mortgage Securities	472,570,225	-	472,570,225	-

Asset-Backed Securities	4,322,105	-	4,322,105	-

Commercial Mortgage Securities	21,580,303	-	21,580,303	-

Municipal Securities	5,622,619	-	5,622,619	-

Foreign Government and Government Agency Obligations	24,261,818	-	24,261,818	-

Supranational Obligations	17,001,113	-	17,001,113	-

Bank Notes	2,015,971	-	2,015,971	-

Money Market Funds	19,067,420	19,067,420	-	-
Total Investments in Securities:	1,769,791,271	19,067,420	1,750,723,851	-
Other Financial Instruments:

TBA Sale Commitments	(18,436,828)	-	(18,436,828)	-
Total Other Financial Instruments:	(18,436,828)	-	(18,436,828)	-

Financial Statements

Statement of Assets and Liabilities
				August 31, 2023

Assets
Investment in securities, at value - See accompanying schedule:
Unaffiliated issuers (cost $1,939,879,424)	$	1,750,723,851
Fidelity Central Funds (cost $19,067,420)		19,067,420


Total Investment in Securities (cost $1,958,946,844)			$	1,769,791,271
Cash				176,295
Receivable for investments sold				1,462,579
Receivable for TBA sale commitments				18,222,403
Receivable for fund shares sold				2,559,363
Interest receivable				11,143,043
Distributions receivable from Fidelity Central Funds				95,305
Receivable from investment adviser for expense reductions				43,313
Total assets				1,803,493,572
Liabilities
Payable for investments purchased
Regular delivery	$	7,186,537
Delayed delivery		65,291,688
TBA sale commitments, at value		18,436,828
Payable for fund shares redeemed		904,099
Distributions payable		2,613
Other payables and accrued expenses		86,963
Total Liabilities				91,908,728
Net Assets			$	1,711,584,844
Net Assets consist of:
Paid in capital			$	1,924,733,154
Total accumulated earnings (loss)				(213,148,310)
Net Assets			$	1,711,584,844
Net Asset Value, offering price and redemption price per share ($1,711,584,844 ÷ 191,665,272 shares)			$	8.93

Statement of Operations
				Year ended August 31, 2023
Investment Income
Interest			$	42,338,970
Income from Fidelity Central Funds				554,528
Total Income				42,893,498
Expenses
Independent trustees' fees and expenses	$	5,024
Proxy		86,961
Total expenses before reductions		91,985
Expense reductions		(48,318)
Total expenses after reductions				43,667
Net Investment income (loss)				42,849,831
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment Securities:
Unaffiliated issuers		(18,088,582)
Total net realized gain (loss)				(18,088,582)
Change in net unrealized appreciation (depreciation) on:
Investment Securities:
Unaffiliated issuers		(41,499,921)
TBA Sale commitments		(214,425)
Total change in net unrealized appreciation (depreciation)				(41,714,346)
Net gain (loss)				(59,802,928)
Net increase (decrease) in net assets resulting from operations			$	(16,953,097)

Statement of Changes in Net Assets

		Year ended August 31, 2023		Year ended August 31, 2022
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	42,849,831	$	22,572,531
Net realized gain (loss)		(18,088,582)		(8,627,130)
Change in net unrealized appreciation (depreciation)		(41,714,346)		(169,634,618)
Net increase (decrease) in net assets resulting from operations		(16,953,097)		(155,689,217)
Distributions to shareholders		(39,909,969)		(21,745,579)

Share transactions
Proceeds from sales of shares		747,761,429		695,081,615
Reinvestment of distributions		39,882,158		21,726,836
Cost of shares redeemed		(334,569,503)		(370,645,357)

Net increase (decrease) in net assets resulting from share transactions		453,074,084		346,163,094
Total increase (decrease) in net assets		396,211,018		168,728,298

Net Assets
Beginning of period		1,315,373,826		1,146,645,528
End of period	$	1,711,584,844	$	1,315,373,826

Other Information
Shares
Sold		82,718,597		69,448,630
Issued in reinvestment of distributions		4,416,360		2,196,901
Redeemed		(37,071,844)		(37,388,337)
Net increase (decrease)		50,063,113		34,257,194

Financial Highlights

Fidelity Flex® U.S. Bond Index Fund

Years ended August 31,		2023		2022		2021		2020		2019
Selected Per-Share Data
Net asset value, beginning of period	$	9.29	$	10.68	$	10.97	$	10.57	$	9.86
Income from Investment Operations
Net investment income (loss) A,B		.266		.180		.159		.256		.306
Net realized and unrealized gain (loss)		(.380)		(1.397)		(.192)		.420		.688
Total from investment operations		(.114)		(1.217)		(.033)		.676		.994
Distributions from net investment income		(.246)		(.173)		(.163)		(.256)		(.284)
Distributions from net realized gain		-		-		(.094)		(.020)		-
Total distributions		(.246)		(.173)		(.257)		(.276)		(.284)
Net asset value, end of period	$	8.93	$	9.29	$	10.68	$	10.97	$	10.57
Total Return C		(1.22)%		(11.49)%		(.29)%		6.50%		10.28%
Ratios to Average Net Assets B,D,E
Expenses before reductions		.01%		-% F		-% F		-% F		-% F
Expenses net of fee waivers, if any F		-%		-%		-%		-%		-%
Expenses net of all reductions F		-%		-%		-%		-%		-%
Net investment income (loss)		2.95%		1.81%		1.50%		2.40%		3.06%
Supplemental Data
Net assets, end of period (000 omitted)	$	1,711,585	$	1,315,374	$	1,146,646	$	584,965	$	354,791
Portfolio turnover rate G		49%		55%		115%		79%		85%

ACalculated based on average shares outstanding during the period.

CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

FAmount represents less than $.0005 per share.

GAmount 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, 2023

1. Organization.

Fidelity Flex U.S. Bond Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund is available only to certain fee-based accounts and advisory programs offered by Fidelity.

2. Investments in Fidelity Central Funds.

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%