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As Of Filer Filing For·On·As Docs:Size Issuer Agent 1/26/18 Fidelity Income Fund/MA N-Q 11/30/17 2:1.2M Publishing Data … Inc/FA → Fidelity Flex Core Bond Fund ⇒ FLXCX → Fidelity Government Income Fund ⇒ 5 Classes/Contracts → Fidelity Intermediate Government Income Fund ⇒ FSTGX → Fidelity Total Bond Fund ⇒ 6 Classes/Contracts → Fidelity Total Bond K6 Fund ⇒ FTKFX |
Document/Exhibit Description Pages Size 1: N-Q Quarterly Schedule of Portfolio Holdings of a HTML 998K Management Investment Company 2: EX-99.CERT Miscellaneous Exhibit -- ex99 HTML 13K
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-4085
Fidelity Income Fund
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Marc Bryant, Secretary
245 Summer St.
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | August 31 |
Date of reporting period: |
Item 1.
Schedule of Investments
Quarterly Holdings Report
for
Fidelity® Government Income Fund
Investments November 30, 2017 (Unaudited)
Showing Percentage of Net Assets
U.S. Government and Government Agency Obligations - 47.9% | |||
Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency Obligations - 0.2% | |||
Fannie Mae: | |||
0.875% 8/2/19 | $131 | $129 | |
1% 2/26/19 | 326 | 323 | |
1.125% 12/14/18 | 240 | 239 | |
Tennessee Valley Authority: | |||
5.25% 9/15/39 | 2,807 | 3,724 | |
5.375% 4/1/56 | 3,438 | 4,767 | |
9,182 | |||
U.S. Treasury Obligations - 45.8% | |||
U.S. Treasury Bonds: | |||
2.5% 2/15/46 | 28,232 | 26,354 | |
2.75% 8/15/47 | 33,542 | 32,928 | |
2.75% 11/15/47 | 8,000 | 7,859 | |
2.875% 8/15/45 | 112,441 | 113,284 | |
3% 11/15/44 | 29,032 | 29,982 | |
3% 11/15/45 | 40,000 | 41,267 | |
3% 2/15/47 | 27,506 | 28,376 | |
3% 5/15/47 | 15,900 | 16,403 | |
3.625% 2/15/44 | 45,031 | 51,789 | |
4.375% 5/15/40 | 3,000 | 3,819 | |
4.75% 2/15/37 | 62,168 | 82,173 | |
5% 5/15/37 (a)(b) | 36,142 | 49,193 | |
U.S. Treasury Notes: | |||
1.125% 9/30/21 | 119,876 | 115,831 | |
1.375% 2/29/20 | 33,681 | 33,344 | |
1.375% 4/30/20 | 75,553 | 74,694 | |
1.375% 8/31/20 | 5,000 | 4,932 | |
1.375% 1/31/21 | 27,500 | 27,013 | |
1.375% 4/30/21 | 20,000 | 19,593 | |
1.375% 5/31/21 | 20,000 | 19,578 | |
1.5% 4/15/20 | 48,153 | 47,764 | |
1.5% 7/15/20 | 55,155 | 54,629 | |
1.5% 8/15/26 | 9,629 | 8,949 | |
1.625% 6/30/20 | 4,710 | 4,681 | |
1.625% 7/31/20 | 30,000 | 29,802 | |
1.625% 11/15/20 | 64,884 | 64,603 | |
1.625% 8/31/22 | 35,000 | 34,200 | |
1.75% 10/31/20 | 18,000 | 17,921 | |
1.75% 12/31/20 | 56,701 | 56,380 | |
1.75% 6/30/22 | 56,910 | 55,979 | |
1.875% 1/31/22 | 45,770 | 45,378 | |
1.875% 3/31/22 | 56,661 | 56,121 | |
1.875% 7/31/22 | 86,000 | 85,016 | |
1.875% 9/30/22 | 28,814 | 28,463 | |
1.875% 8/31/24 | 6,800 | 6,620 | |
2% 9/30/20 | 31,153 | 31,244 | |
2% 12/31/21 | 78,894 | 78,660 | |
2% 7/31/22 | 18,845 | 18,743 | |
2% 10/31/22 | 10,000 | 9,936 | |
2% 11/30/22 | 10,000 | 9,931 | |
2% 8/15/25 (a) | 38,778 | 37,796 | |
2% 11/15/26 | 70,025 | 67,705 | |
2.125% 6/30/21 | 22,000 | 22,090 | |
2.125% 12/31/21 | 2,000 | 2,005 | |
2.125% 6/30/22 | 146 | 146 | |
2.125% 7/31/24 | 94,525 | 93,484 | |
2.125% 11/30/24 | 95,348 | 94,134 | |
2.125% 5/15/25 | 18,702 | 18,422 | |
2.25% 7/31/21 | 26,021 | 26,227 | |
2.25% 10/31/24 | 21,323 | 21,237 | |
2.25% 2/15/27 | 3,000 | 2,957 | |
2.25% 8/15/27 | 3,900 | 3,838 | |
2.25% 11/15/27 | 5,000 | 4,925 | |
2.375% 5/15/27 | 25,946 | 25,831 | |
1,944,229 | |||
Other Government Related - 1.9% | |||
National Credit Union Administration Guaranteed Notes Series 2010-A1 Class A, 1 month U.S. LIBOR + 0.350% 1.5917% 12/7/20 (NCUA Guaranteed) (c)(d) | 2,452 | 2,454 | |
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) | 74,000 | 76,846 | |
79,300 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $2,043,479) | 2,032,711 | ||
U.S. Government Agency - Mortgage Securities - 3.1% | |||
Fannie Mae - 1.9% | |||
12 month U.S. LIBOR + 1.415% 2.915% 11/1/33 (c)(d) | 78 | 81 | |
12 month U.S. LIBOR + 1.480% 3.312% 7/1/34 (c)(d) | 89 | 93 | |
12 month U.S. LIBOR + 1.523% 3.218% 3/1/36 (c)(d) | 344 | 360 | |
12 month U.S. LIBOR + 1.551% 2.494% 2/1/44 (c)(d) | 330 | 343 | |
12 month U.S. LIBOR + 1.553% 2.593% 5/1/44 (c)(d) | 1,013 | 1,052 | |
12 month U.S. LIBOR + 1.553% 3.322% 6/1/36 (c)(d) | 82 | 84 | |
12 month U.S. LIBOR + 1.558% 2.449% 2/1/44 (c)(d) | 400 | 417 | |
12 month U.S. LIBOR + 1.565% 3.315% 3/1/37 (c)(d) | 112 | 118 | |
12 month U.S. LIBOR + 1.570% 2.559% 5/1/44 (c)(d) | 627 | 651 | |
12 month U.S. LIBOR + 1.574% 2.666% 4/1/44 (c)(d) | 1,522 | 1,583 | |
12 month U.S. LIBOR + 1.580% 2.46% 4/1/44 (c)(d) | 560 | 582 | |
12 month U.S. LIBOR + 1.580% 2.58% 1/1/44 (c)(d) | 625 | 651 | |
12 month U.S. LIBOR + 1.725% 2.588% 6/1/42 (c)(d) | 246 | 256 | |
12 month U.S. LIBOR + 1.728% 3.407% 11/1/36 (c)(d) | 58 | 61 | |
12 month U.S. LIBOR + 1.741% 3.376% 3/1/40 (c)(d) | 1,208 | 1,280 | |
12 month U.S. LIBOR + 1.745% 3.397% 7/1/35 (c)(d) | 144 | 151 | |
12 month U.S. LIBOR + 1.800% 2.748% 1/1/42 (c)(d) | 882 | 925 | |
12 month U.S. LIBOR + 1.800% 3.562% 7/1/41 (c)(d) | 216 | 225 | |
12 month U.S. LIBOR + 1.805% 3.029% 10/1/41 (c)(d) | 69 | 72 | |
12 month U.S. LIBOR + 1.815% 2.941% 11/1/40 (c)(d) | 72 | 76 | |
12 month U.S. LIBOR + 1.818% 2.688% 2/1/42 (c)(d) | 1,266 | 1,327 | |
12 month U.S. LIBOR + 1.818% 3.023% 9/1/41 (c)(d) | 141 | 150 | |
12 month U.S. LIBOR + 1.818% 3.252% 7/1/41 (c)(d) | 181 | 189 | |
12 month U.S. LIBOR + 1.830% 3.36% 10/1/41 (c)(d) | 116 | 121 | |
12 month U.S. LIBOR + 1.851% 3.573% 5/1/36 (c)(d) | 95 | 100 | |
6 month U.S. LIBOR + 1.475% 2.892% 10/1/33 (c)(d) | 71 | 73 | |
6 month U.S. LIBOR + 1.510% 2.915% 2/1/33 (c)(d) | 48 | 49 | |
6 month U.S. LIBOR + 1.535% 2.939% 12/1/34 (c)(d) | 106 | 110 | |
6 month U.S. LIBOR + 1.535% 2.958% 3/1/35 (c)(d) | 54 | 56 | |
6 month U.S. LIBOR + 1.556% 3.014% 10/1/33 (c)(d) | 39 | 41 | |
6 month U.S. LIBOR + 1.565% 2.94% 7/1/35 (c)(d) | 54 | 56 | |
U.S. TREASURY 1 YEAR INDEX + 1.965% 2.84% 2/1/36 (c)(d) | 46 | 48 | |
U.S. TREASURY 1 YEAR INDEX + 2.208% 3.083% 3/1/35 (c)(d) | 50 | 53 | |
U.S. TREASURY 1 YEAR INDEX + 2.295% 3.471% 10/1/33 (c)(d) | 89 | 94 | |
4% 5/1/29 to 7/1/47 | 52,962 | 55,345 | |
4.5% 11/1/25 to 6/1/41 | 7,801 | 8,275 | |
6% 1/1/34 to 6/1/36 | 4,680 | 5,307 | |
6.5% 3/1/22 to 5/1/27 | 234 | 259 | |
9.5% 10/1/20 | 4 | 4 | |
11.5% 1/15/21 | 1 | 1 | |
80,719 | |||
Freddie Mac - 0.6% | |||
12 month U.S. LIBOR + 1.754% 3.111% 9/1/41 (c)(d) | 1,196 | 1,237 | |
12 month U.S. LIBOR + 1.874% 3.619% 10/1/42 (c)(d) | 743 | 777 | |
12 month U.S. LIBOR + 1.877% 3.214% 4/1/41 (c)(d) | 125 | 132 | |
12 month U.S. LIBOR + 1.880% 3.045% 10/1/41 (c)(d) | 1,872 | 1,938 | |
12 month U.S. LIBOR + 1.880% 3.219% 9/1/41 (c)(d) | 145 | 154 | |
12 month U.S. LIBOR + 1.910% 3.273% 6/1/41 (c)(d) | 149 | 155 | |
12 month U.S. LIBOR + 1.910% 3.411% 5/1/41 (c)(d) | 137 | 146 | |
12 month U.S. LIBOR + 1.910% 3.604% 5/1/41 (c)(d) | 180 | 188 | |
12 month U.S. LIBOR + 1.910% 3.673% 6/1/41 (c)(d) | 167 | 174 | |
12 month U.S. LIBOR + 2.045% 3.811% 7/1/36 (c)(d) | 243 | 258 | |
12 month U.S. LIBOR + 2.197% 3.772% 3/1/33 (c)(d) | 6 | 7 | |
6 month U.S. LIBOR + 1.445% 2.945% 3/1/35 (c)(d) | 191 | 196 | |
6 month U.S. LIBOR + 1.746% 2.967% 5/1/37 (c)(d) | 111 | 115 | |
6 month U.S. LIBOR + 2.755% 4.144% 10/1/35 (c)(d) | 129 | 137 | |
U.S. TREASURY 1 YEAR INDEX + 2.383% 3.075% 2/1/36 (c)(d) | 15 | 16 | |
U.S. TREASURY 1 YEAR INDEX + 2.548% 3.548% 7/1/35 (c)(d) | 556 | 591 | |
3% 2/1/31 | 9,798 | 9,994 | |
4% 5/1/47 to 7/1/47 | 4,587 | 4,795 | |
4.5% 5/1/39 to 10/1/41 | 2,457 | 2,647 | |
5.5% 7/1/29 | 17 | 19 | |
6% 1/1/24 | 870 | 927 | |
9.5% 11/1/19 to 8/1/21 | 2 | 3 | |
24,606 | |||
Ginnie Mae - 0.6% | |||
6% 6/15/36 | 3,733 | 4,351 | |
4.313% 8/20/61 (c)(e) | 1,877 | 1,901 | |
4.643% 2/20/62 (c)(e) | 2,030 | 2,080 | |
4.676% 2/20/62 (c)(e) | 2,710 | 2,765 | |
4.69% 1/20/62 (c)(e) | 15,813 | 16,127 | |
5.47% 8/20/59 (c)(e) | 22 | 22 | |
27,246 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $133,157) | 132,571 | ||
Asset-Backed Securities - 1.0% | |||
Goal Capital Funding Trust Series 2005-2 Class A3, 3 month U.S. LIBOR + 0.170% 1.6321% 5/28/30 (c)(d) | $4,127 | $4,124 | |
Illinois Student Assistance Commission Student Loan Rev. Series 2010-1 Class A2, 3 month U.S. LIBOR + 1.050% 2.3644% 4/25/22 (c)(d) | 1,325 | 1,329 | |
Navient Student Loan Trust Series 2017-3A: | |||
Class A1, 1 month U.S. LIBOR + 0.300% 1.6275% 7/26/66 (c)(d)(f) | 11,240 | 11,253 | |
Class A2, 1 month U.S. LIBOR + 0.600% 1.9275% 7/26/66 (c)(d)(f) | 14,550 | 14,663 | |
Nelnet Student Loan Trust 3 month U.S. LIBOR + 0.100% 1.4674% 1/25/30 (c)(d) | 10,001 | 9,993 | |
Small Business Administration guaranteed development participation certificates: | |||
Series 2002-20J Class 1, 4.75% 10/1/22 | 558 | 574 | |
Series 2002-20K Class 1, 5.08% 11/1/22 | 834 | 868 | |
Series 2004-20H Class 1, 5.17% 8/1/24 | 424 | 445 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $43,051) | 43,249 | ||
Collateralized Mortgage Obligations - 16.7% | |||
U.S. Government Agency - 16.7% | |||
Fannie Mae: | |||
floater: | $ | $ | |
Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 2.3075% 8/25/31 (c)(d) | 81 | 83 | |
Series 2002-49 Class FB, 1 month U.S. LIBOR + 0.600% 1.8827% 11/18/31 (c)(d) | 76 | 77 | |
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 2.3275% 4/25/32 (c)(d) | 32 | 33 | |
Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 2.3275% 11/25/32 (c)(d) | 66 | 68 | |
Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 2.2575% 6/25/36 (c)(d) | 4,966 | 5,047 | |
planned amortization class: | |||
Series 2005-19 Class PA, 5.5% 7/25/34 | 1,114 | 1,152 | |
Series 2005-27 Class NE, 5.5% 5/25/34 | 132 | 133 | |
Series 2005-64 Class PX, 5.5% 6/25/35 | 1,368 | 1,462 | |
Series 2005-68 Class CZ, 5.5% 8/25/35 | 3,964 | 4,397 | |
Series 2006-45 Class OP 6/25/36 (g) | 685 | 599 | |
Series 2010-118 Class PB, 4.5% 10/25/40 | 5,706 | 5,964 | |
sequential payer: | |||
Series 2003-117 Class MD, 5% 12/25/23 | 715 | 750 | |
Series 2004-91 Class Z, 5% 12/25/34 | 4,732 | 5,135 | |
Series 2005-117 Class JN, 4.5% 1/25/36 | 407 | 429 | |
Series 2005-14 Class ZB, 5% 3/25/35 | 1,452 | 1,576 | |
Series 2006-72 Class CY, 6% 8/25/26 | 2,962 | 3,176 | |
Series 2009-59 Class HB, 5% 8/25/39 | 2,158 | 2,341 | |
Series 201-75 Class AL, 3.5% 8/25/26 | 11,851 | 12,257 | |
Series 2010-97 Class CX, 4.5% 9/25/25 | 10,927 | 11,554 | |
Series 2011-80: | |||
Class HE, 3.5% 8/25/26 | 4,160 | 4,330 | |
Class KB, 3.5% 8/25/26 | 6,462 | 6,696 | |
Series 2009-85 Class IB, 4.5% 8/25/24 (h) | 189 | 7 | |
Series 2009-93 Class IC, 4.5% 9/25/24 (h) | 269 | 10 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (h) | 3,117 | 341 | |
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 2.2475% 3/25/36 (c)(d) | 3,062 | 3,132 | |
Series 2010-97 Class CI, 4.5% 8/25/25 (h) | 730 | 40 | |
Series 2012-27 Class EZ, 4.25% 3/25/42 | 7,017 | 7,458 | |
Series 2016-26 Class CG, 3% 5/25/46 | 19,748 | 20,005 | |
Freddie Mac: | |||
floater: | |||
Series 2530 Class FE, 1 month U.S. LIBOR + 0.600% 1.8503% 2/15/32 (c)(d) | 43 | 44 | |
Series 2630 Class FL, 1 month U.S. LIBOR + 0.500% 1.7503% 6/15/18 (c)(d) | 6 | 6 | |
Series 2682 Class FB, 1 month U.S. LIBOR + 0.900% 2.1503% 10/15/33 (c)(d) | 2,414 | 2,452 | |
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 2.1503% 2/15/33 (c)(d) | 1,453 | 1,481 | |
planned amortization class: | |||
Series 1141 Class G, 9% 9/15/21 | 28 | 30 | |
Series 2682 Class LD, 4.5% 10/15/33 | 628 | 666 | |
Series 3415 Class PC, 5% 12/15/37 | 429 | 463 | |
Series 3763 Class QA, 4% 4/15/34 | 46 | 46 | |
Series 3840 Class VA, 4.5% 9/15/27 | 3,786 | 3,853 | |
Series 3857 Class ZP, 5% 5/15/41 | 3,029 | 3,533 | |
sequential payer: | |||
Series 2004-2802 Class ZG, 5.5% 5/15/34 | 6,955 | 7,706 | |
Series 2587 Class AD, 4.71% 3/15/33 | 2,537 | 2,666 | |
Series 2773 Class HC, 4.5% 4/15/19 | 84 | 85 | |
Series 2877 Class ZD, 5% 10/15/34 | 5,779 | 6,274 | |
Series 3007 Class EW, 5.5% 7/15/25 | 4,612 | 4,928 | |
Series 3745 Class KV, 4.5% 12/15/26 | 6,156 | 6,536 | |
Series 3806 Class L, 3.5% 2/15/26 | 8,900 | 9,277 | |
Series 3862 Class MB, 3.5% 5/15/26 | 6,893 | 7,141 | |
Series 3871 Class KB, 5.5% 6/15/41 | 13,870 | 15,871 | |
Series 3889 Class DZ, 4% 1/15/41 | 35,144 | 37,183 | |
Series 3843 Class PZ, 5% 4/15/41 | 2,591 | 2,983 | |
Freddie Mac Multi-family Structured pass-thru certificates sequential payer: | |||
Series 4335 Class AL, 4.25% 3/15/40 | 6,480 | 6,733 | |
Series 4341 Class ML, 3.5% 11/15/31 | 9,311 | 9,624 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 1.7627% 1/20/38 (c)(d) | 227 | 228 | |
Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 2.1427% 8/20/38 (c)(d) | 1,708 | 1,737 | |
Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 2.1827% 9/20/38 (c)(d) | 1,481 | 1,514 | |
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 1.8635% 11/16/39 (c)(d) | 975 | 983 | |
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 1.7833% 9/20/61 (c)(d)(e) | 8,456 | 8,459 | |
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 1.8333% 10/20/61 (c)(d)(e) | 5,559 | 5,569 | |
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 1.9333% 11/20/61 (c)(d)(e) | 4,723 | 4,746 | |
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 1.9333% 1/20/62 (c)(d)(e) | 3,065 | 3,080 | |
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 1.8633% 1/20/62 (c)(d)(e) | 4,465 | 4,477 | |
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 1.8633% 3/20/62 (c)(d)(e) | 2,774 | 2,781 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 1.8833% 5/20/61 (c)(d)(e) | 2,975 | 2,980 | |
Series 2013-H19: | |||
Class FC, 1 month U.S. LIBOR + 0.600% 1.8333% 8/20/63 (c)(d)(e) | 1,128 | 1,130 | |
Class FD, 1 month U.S. LIBOR + 0.600% 1.8333% 8/20/63 (c)(d)(e) | 2,825 | 2,830 | |
Series 2014-H02 Class FB, 1 month U.S. LIBOR + 0.650% 1.8833% 12/20/63 (c)(d)(e) | 35,998 | 36,135 | |
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 1.8333% 1/20/64 (c)(d)(e) | 13,566 | 13,591 | |
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 1.5333% 3/20/65 (c)(d)(e) | 9,390 | 9,388 | |
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 1.5133% 5/20/63 (c)(d)(e) | 10,593 | 10,590 | |
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 1.4333% 4/20/63 (c)(d)(e) | 11,418 | 11,406 | |
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 1.6306% 12/20/62 (c)(d)(e) | 12,246 | 12,252 | |
planned amortization class Series 2010-31 Class BP, 5% 3/20/40 | 11,191 | 12,492 | |
sequential payer: | |||
Series 2011-69 Class GX, 4.5% 5/16/40 | 10,205 | 10,930 | |
Series 2013-H06 Class HA, 1.65% 1/20/63 (e) | 4,587 | 4,555 | |
Series 2013-H26 Class HA, 3.5% 9/20/63 (e) | 39,105 | 39,819 | |
Series 2014-H04 Class HA, 2.75% 2/20/64 (e) | 9,203 | 9,273 | |
Series 2014-H12 Class KA, 2.75% 5/20/64 (e) | 5,376 | 5,386 | |
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 1.7333% 9/20/62 (c)(d)(e) | 19,360 | 19,404 | |
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 1.8833% 11/20/65 (c)(d)(e) | 3,779 | 3,790 | |
Series 2004-22 Class M1, 5.5% 4/20/34 | 592 | 744 | |
Series 2010-169 Class Z, 4.5% 12/20/40 | 6,902 | 7,453 | |
Series 2010-H15 Class TP, 5.15% 8/20/60 (e) | 11,594 | 11,931 | |
Series 2010-H17 Class XP, 5.295% 7/20/60 (c)(e) | 12,163 | 12,549 | |
Series 2010-H18 Class PL, 5.01% 9/20/60 (c)(e) | 10,958 | 11,235 | |
Series 2012-64 Class KI, 3.5% 11/20/36 (h) | 1,051 | 76 | |
Series 2013-124: | |||
Class ES, 8.667% - 1 month U.S. LIBOR 6.9564% 4/20/39 (c)(i) | 4,052 | 4,214 | |
Class ST, 8.800% - 1 month U.S. LIBOR 7.0898% 8/20/39 (c)(i) | 10,308 | 10,886 | |
Series 2013-H07 Class JA, 1.75% 3/20/63 (e) | 25,278 | 25,077 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (e) | 13,208 | 13,246 | |
Series 2015-H21: | |||
Class HA, 2.5% 6/20/63 (e) | 38,553 | 38,652 | |
Class JA, 2.5% 6/20/65 (e) | 4,510 | 4,522 | |
Series 2015-H30 Class HA, 1.75% 9/20/62 (c)(e) | 39,701 | 39,459 | |
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 1.65% 5/20/66 (c)(d)(e) | 24,324 | 24,472 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 1.66% 8/20/66 (c)(d)(e) | 21,590 | 21,652 | |
Series 2090-118 Class XZ, 5% 12/20/39 | 14,269 | 15,977 | |
709,503 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $715,416) | 709,503 | ||
Commercial Mortgage Securities - 6.6% | |||
Fannie Mae Series 2017-T1 Class A, 2.898% 6/25/27 | 46,890 | 46,390 | |
Freddie Mac: | |||
floater: | |||
Series KP04 Class AG1, 1 month U.S. LIBOR + 0.220% 1.46% 7/25/20 (c)(d) | 10,600 | 10,600 | |
Series KP04, Class AG2, 1 month U.S. LIBOR + 0.200% 1.42% 10/25/19 (c)(d) | 21,200 | 21,200 | |
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 | 3,740 | 3,919 | |
sequential payer: | |||
Series K009 Class A2, 3.808% 8/25/20 | 5,591 | 5,810 | |
Series K034 Class A1, 2.669% 2/25/23 | 11,376 | 11,448 | |
Series K708 Class A2, 2.13% 1/25/19 | 23,707 | 23,748 | |
Series K709 Class A2, 2.086% 3/25/19 | 17,210 | 17,232 | |
Series K710 Class A2, 1.883% 5/25/19 | 16,814 | 16,797 | |
Series K713 Class A2, 2.313% 3/25/20 | 5,437 | 5,461 | |
Series K717 Class A2, 2.991% 9/25/21 | 12,968 | 13,225 | |
Series K032 Class A1, 3.016% 2/25/23 | 19,205 | 19,587 | |
Series K504 Class A2, 2.566% 9/25/20 | 3,629 | 3,662 | |
Series K704 Class A2, 2.412% 8/25/18 | 4,806 | 4,813 | |
Series K706 Class A2, 2.323% 10/25/18 | 9,420 | 9,413 | |
Series K724 Class A1, 2.776% 3/25/23 | 15,967 | 16,214 | |
Series K726 Class A1, 2.596% 8/25/23 | 4,837 | 4,866 | |
Freddie Mac Multi-family floater Series 2017-KT01 Class A, 1 month U.S. LIBOR + 0.320% 1.5561% 2/25/20 (c)(d) | 43,722 | 43,819 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $279,355) | 278,204 | ||
Foreign Government and Government Agency Obligations - 3.4% | |||
Israeli State: | |||
(guaranteed by U.S. Government through Agency for International Development): | |||
5.5% 9/18/23 | 72,266 | 84,445 | |
5.5% 12/4/23 | 48 | 56 | |
5.5% 4/26/24 | 6,065 | 7,168 | |
Jordanian Kingdom 3% 6/30/25 | 19,267 | 19,864 | |
Ukraine Government 1.471% 9/29/21 | 34,809 | 33,960 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $135,877) | 145,493 | ||
Shares | Value (000s) | ||
Fixed-Income Funds - 21.0% | |||
Fidelity Mortgage Backed Securities Central Fund (j) | |||
(Cost $864,237) | 8,288,763 | 892,617 | |
Money Market Funds - 0.0% | |||
Fidelity Cash Central Fund, 1.13% (k) | |||
(Cost $1,614) | 1,613,350 | 1,614 |
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount (000s) | Value (000s) | ||
Put Options - 0.0% | ||||
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.495% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2027 | 10/5/20 | 13,400 | $435 | |
Call Options - 0.0% | ||||
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.495% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2027 | 10/5/20 | 13,400 | 381 | |
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $1,012) | 816 | |||
TOTAL INVESTMENT IN SECURITIES - 99.7% | ||||
(Cost $4,217,198) | 4,236,778 | |||
NET OTHER ASSETS (LIABILITIES) - 0.3% | 11,839 | |||
NET ASSETS - 100% | $4,248,617 |
TBA Sale Commitments | ||
Principal Amount (000s) | Value (000s) | |
Fannie Mae | ||
3.5% 12/1/47 | $(98,100) | $(100,558) |
(Proceeds $100,874) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount (000s) | Value (000s) | Unrealized Appreciation/(Depreciation) (000s) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 745 | March 2018 | $92,415 | $(513) | $(513) |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 991 | March 2018 | 212,477 | (116) | (116) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 330 | March 2018 | 38,393 | (135) | (135) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 238 | March 2018 | 36,109 | (196) | (196) |
TOTAL FUTURES CONTRACTS | $(960) |
The notional amount of futures purchased as a percentage of Net Assets is 8.9%
Swaps
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount (000s)(1) | Value (000s) | Upfront Premium Received/(Paid) (000s)(2) | Unrealized Appreciation/(Depreciation) (000s) |
Interest Rate Swaps | |||||||||
2.75% | Semi - annual | 3-month LIBOR (3) | Quarterly | CME | Dec. 2047 | $1,200 | $(50) | $0 | $(50) |
(1) Swaps with CME Group (CME) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(3) Represents floating rate
Values shown as $0 may reflect amounts less than $500.
Legend
(a) 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 $2,026,000.
(b) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $101,000.
(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) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(f) 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 $25,916,000 or 0.6% of net assets.
(g) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.
(h) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(i) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
(j) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(k) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
(Amounts in thousands) | |
Fidelity Cash Central Fund | $73 |
Fidelity Mortgage Backed Securities Central Fund | 5,709 |
Total | $5,782 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:
Fund (Amounts in thousands) | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Mortgage Backed Securities Central Fund | $939,005 | $5,712 | $43,000 | $1,823 | $(10,923) | $892,617 | 12.8% |
Total | $939,005 | $5,712 | $43,000 | $1,823 | $(10,923) | $892,617 |
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2017, 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. Additional information on valuation inputs, and their aggregation into the levels used below, is provided later in this section.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
(Amounts in thousands) | ||||
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | $2,032,711 | $-- | $2,032,711 | $-- |
U.S. Government Agency - Mortgage Securities | 132,571 | -- | 132,571 | -- |
Asset-Backed Securities | 89,639 | -- | 89,639 | -- |
Collateralized Mortgage Obligations | 709,503 | -- | 709,503 | -- |
Commercial Mortgage Securities | 231,814 | -- | 231,814 | -- |
Foreign Government and Government Agency Obligations | 145,493 | -- | 145,493 | -- |
Fixed-Income Funds | 892,617 | 892,617 | -- | -- |
Money Market Funds | 1,614 | 1,614 | -- | -- |
Purchased Swaptions | 816 | -- | 816 | -- |
Total Investments in Securities: | $4,236,778 | $894,231 | $3,342,547 | $-- |
Derivative Instruments: | ||||
Liabilities | ||||
Futures Contracts | $(960) | $(960) | $-- | $-- |
Swaps | (50) | -- | (50) | -- |
Total Liabilities | $(1,010) | $(960) | $(50) | $-- |
Total Derivative Instruments: | $(1,010) | $(960) | $(50) | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(100,558) | $-- | $(100,558) | $-- |
Total Other Financial Instruments: | $(100,558) | $-- | $(100,558) | $-- |
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund’s valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Foreign government and government agency obligations and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.
Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Options traded over-the-counter are valued using vendor or broker-supplied valuations 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 each business day and are categorized as Level 1 in the hierarchy.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.
Quarterly Holdings Report
for
Fidelity® Intermediate Government Income Fund
Investments November 30, 2017 (Unaudited)
Showing Percentage of Net Assets
U.S. Government and Government Agency Obligations - 62.4% | |||
Principal Amount (000s) | Value (000s) | ||
U.S. Treasury Obligations - 59.8% | |||
U.S. Treasury Bonds 3% 2/15/47 | 35 | 36 | |
U.S. Treasury Notes: | |||
1.125% 9/30/21 | $22,860 | $22,088 | |
1.375% 1/31/21 | 10,000 | 9,823 | |
1.5% 4/15/20 | 14,767 | 14,648 | |
1.5% 7/15/20 | 19,038 | 18,857 | |
1.5% 8/15/26 | 174 | 162 | |
1.625% 7/31/20 | 3,000 | 2,980 | |
1.625% 11/15/20 | 13,042 | 12,985 | |
1.625% 8/31/22 | 7,000 | 6,840 | |
1.75% 10/31/20 | 5,000 | 4,978 | |
1.75% 12/31/20 | 12,412 | 12,342 | |
1.75% 4/30/22 | 2,240 | 2,207 | |
1.75% 6/30/22 | 3,000 | 2,951 | |
1.875% 1/31/22 | 29,140 | 28,891 | |
1.875% 3/31/22 | 22,608 | 22,393 | |
1.875% 7/31/22 | 15,520 | 15,342 | |
1.875% 8/31/24 | 900 | 876 | |
2% 12/31/21 | 1,226 | 1,222 | |
2% 10/31/22 | 8,250 | 8,197 | |
2% 11/30/22 | 6,500 | 6,455 | |
2% 8/15/25 (a) | 41,631 | 40,572 | |
2.125% 6/30/22 | 327 | 327 | |
2.125% 7/31/24 | 18,117 | 17,917 | |
2.125% 11/30/24 | 21,515 | 21,241 | |
2.125% 5/15/25 | 1,053 | 1,037 | |
2.25% 7/31/21 | 35,982 | 36,267 | |
2.25% 10/31/24 | 4,811 | 4,792 | |
2.25% 2/15/27 | 1,920 | 1,893 | |
2.25% 8/15/27 | 8,155 | 8,026 | |
2.375% 5/15/27 | 4,000 | 3,982 | |
330,327 | |||
Other Government Related - 2.6% | |||
National Credit Union Administration Guaranteed Notes: | |||
Series 2010-A1 Class A, 1 month U.S. LIBOR + 0.350% 1.5917% 12/7/20 (NCUA Guaranteed) (b)(c) | 578 | 579 | |
Series 2011-R1 Class 1A, 1 month U.S. LIBOR + 0.450% 1.6921% 1/8/20 (NCUA Guaranteed) (b)(c) | 1,294 | 1,298 | |
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) | 12,000 | 12,462 | |
14,339 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $348,195) | 344,666 | ||
U.S. Government Agency - Mortgage Securities - 3.4% | |||
Fannie Mae - 1.9% | |||
12 month U.S. LIBOR + 1.365% 3.115% 10/1/35 (b)(c) | 9 | 9 | |
12 month U.S. LIBOR + 1.415% 2.915% 11/1/33 (b)(c) | 8 | 9 | |
12 month U.S. LIBOR + 1.480% 3.312% 7/1/34 (b)(c) | 10 | 11 | |
12 month U.S. LIBOR + 1.495% 3.081% 1/1/35 (b)(c) | 39 | 40 | |
12 month U.S. LIBOR + 1.551% 2.494% 2/1/44 (b)(c) | 54 | 56 | |
12 month U.S. LIBOR + 1.553% 2.593% 5/1/44 (b)(c) | 164 | 171 | |
12 month U.S. LIBOR + 1.553% 3.322% 6/1/36 (b)(c) | 8 | 8 | |
12 month U.S. LIBOR + 1.558% 2.449% 2/1/44 (b)(c) | 65 | 68 | |
12 month U.S. LIBOR + 1.565% 3.315% 3/1/37 (b)(c) | 11 | 11 | |
12 month U.S. LIBOR + 1.570% 2.559% 5/1/44 (b)(c) | 102 | 106 | |
12 month U.S. LIBOR + 1.574% 2.666% 4/1/44 (b)(c) | 247 | 257 | |
12 month U.S. LIBOR + 1.580% 2.46% 4/1/44 (b)(c) | 91 | 94 | |
12 month U.S. LIBOR + 1.580% 2.58% 1/1/44 (b)(c) | 101 | 106 | |
12 month U.S. LIBOR + 1.617% 3.267% 3/1/33 (b)(c) | 25 | 26 | |
12 month U.S. LIBOR + 1.643% 3.315% 9/1/36 (b)(c) | 13 | 14 | |
12 month U.S. LIBOR + 1.645% 3.31% 6/1/47 (b)(c) | 26 | 28 | |
12 month U.S. LIBOR + 1.728% 3.407% 11/1/36 (b)(c) | 58 | 61 | |
12 month U.S. LIBOR + 1.741% 3.376% 3/1/40 (b)(c) | 280 | 296 | |
12 month U.S. LIBOR + 1.745% 3.397% 7/1/35 (b)(c) | 11 | 12 | |
12 month U.S. LIBOR + 1.760% 3.336% 2/1/37 (b)(c) | 116 | 120 | |
12 month U.S. LIBOR + 1.800% 2.748% 1/1/42 (b)(c) | 233 | 245 | |
12 month U.S. LIBOR + 1.818% 2.688% 2/1/42 (b)(c) | 343 | 360 | |
12 month U.S. LIBOR + 1.851% 3.573% 5/1/36 (b)(c) | 9 | 10 | |
12 month U.S. LIBOR + 1.885% 3.637% 4/1/36 (b)(c) | 65 | 69 | |
12 month U.S. LIBOR + 2.176% 3.784% 8/1/35 (b)(c) | 92 | 96 | |
6 month U.S. LIBOR + 1.510% 2.915% 2/1/33 (b)(c) | 5 | 5 | |
6 month U.S. LIBOR + 1.535% 2.939% 12/1/34 (b)(c) | 10 | 11 | |
6 month U.S. LIBOR + 1.535% 2.958% 3/1/35 (b)(c) | 7 | 7 | |
6 month U.S. LIBOR + 1.556% 3.014% 10/1/33 (b)(c) | 5 | 5 | |
6 month U.S. LIBOR + 1.565% 2.94% 7/1/35 (b)(c) | 6 | 7 | |
U.S. TREASURY 1 YEAR INDEX + 1.965% 2.84% 2/1/36 (b)(c) | 4 | 5 | |
U.S. TREASURY 1 YEAR INDEX + 2.146% 3.189% 7/1/36 (b)(c) | 50 | 52 | |
U.S. TREASURY 1 YEAR INDEX + 2.208% 3.083% 3/1/35 (b)(c) | 6 | 6 | |
U.S. TREASURY 1 YEAR INDEX + 2.295% 3.471% 10/1/33 (b)(c) | 11 | 12 | |
4% 5/1/29 | 3,591 | 3,757 | |
4.5% 11/1/25 to 6/1/41 | 1,600 | 1,703 | |
5% 1/1/22 to 4/1/22 | 16 | 17 | |
5.5% 10/1/20 to 8/1/25 | 596 | 623 | |
6% 1/1/34 to 6/1/36 | 928 | 1,051 | |
6.5% 2/1/22 to 8/1/36 | 946 | 1,078 | |
10,622 | |||
Freddie Mac - 0.4% | |||
12 month U.S. LIBOR + 1.325% 2.95% 3/1/37 (b)(c) | 7 | 7 | |
12 month U.S. LIBOR + 1.515% 3.099% 11/1/35 (b)(c) | 40 | 42 | |
12 month U.S. LIBOR + 1.600% 3.35% 7/1/35 (b)(c) | 43 | 45 | |
12 month U.S. LIBOR + 1.754% 3.111% 9/1/41 (b)(c) | 337 | 348 | |
12 month U.S. LIBOR + 1.793% 3.32% 4/1/37 (b)(c) | 15 | 16 | |
12 month U.S. LIBOR + 1.874% 3.619% 10/1/42 (b)(c) | 201 | 210 | |
12 month U.S. LIBOR + 1.880% 3.045% 10/1/41 (b)(c) | 303 | 314 | |
12 month U.S. LIBOR + 2.045% 3.811% 7/1/36 (b)(c) | 24 | 25 | |
12 month U.S. LIBOR + 2.197% 3.772% 3/1/33 (b)(c) | 1 | 1 | |
6 month U.S. LIBOR + 1.445% 2.945% 3/1/35 (b)(c) | 19 | 19 | |
6 month U.S. LIBOR + 1.647% 3.04% 2/1/37 (b)(c) | 17 | 17 | |
6 month U.S. LIBOR + 1.665% 3.087% 7/1/35 (b)(c) | 316 | 329 | |
6 month U.S. LIBOR + 1.675% 3.05% 6/1/37 (b)(c) | 11 | 12 | |
6 month U.S. LIBOR + 1.720% 3.095% 8/1/37 (b)(c) | 22 | 23 | |
6 month U.S. LIBOR + 1.746% 2.967% 5/1/37 (b)(c) | 11 | 11 | |
6 month U.S. LIBOR + 1.932% 3.275% 10/1/36 (b)(c) | 77 | 79 | |
6 month U.S. LIBOR + 1.976% 3.39% 10/1/35 (b)(c) | 50 | 52 | |
6 month U.S. LIBOR + 2.010% 3.385% 5/1/37 (b)(c) | 74 | 78 | |
6 month U.S. LIBOR + 2.010% 3.433% 5/1/37 (b)(c) | 144 | 149 | |
6 month U.S. LIBOR + 2.040% 3.415% 6/1/37 (b)(c) | 30 | 31 | |
6 month U.S. LIBOR + 2.755% 4.144% 10/1/35 (b)(c) | 13 | 13 | |
U.S. TREASURY 1 YEAR INDEX + 2.035% 2.904% 6/1/33 (b)(c) | 69 | 72 | |
U.S. TREASURY 1 YEAR INDEX + 2.230% 2.988% 4/1/34 (b)(c) | 216 | 227 | |
U.S. TREASURY 1 YEAR INDEX + 2.383% 3.075% 2/1/36 (b)(c) | 2 | 2 | |
U.S. TREASURY 1 YEAR INDEX + 2.548% 3.548% 7/1/35 (b)(c) | 56 | 60 | |
6% 1/1/24 | 185 | 197 | |
6.5% 12/1/21 | 48 | 51 | |
9.5% 5/1/20 to 6/1/21 | 5 | 5 | |
10% 11/1/18 to 3/1/21 | 5 | 5 | |
10.5% 1/1/21 | 0 | 0 | |
11% 9/1/20 | 0 | 0 | |
2,440 | |||
Ginnie Mae - 1.1% | |||
6% 6/15/36 | 775 | 904 | |
8% 12/15/23 | 53 | 58 | |
10.5% 11/15/18 to 10/15/21 | 18 | 18 | |
4.313% 8/20/61 (b)(d) | 392 | 397 | |
4.643% 2/20/62 (b)(d) | 427 | 438 | |
4.676% 2/20/62 (b)(d) | 566 | 578 | |
4.69% 1/20/62 (b)(d) | 3,404 | 3,471 | |
5.47% 8/20/59 (b)(d) | 5 | 5 | |
11% 7/20/18 to 1/20/21 | 4 | 4 | |
5,873 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $18,761) | 18,935 | ||
Asset-Backed Securities - 1.0% | |||
Goal Capital Funding Trust Series 2005-2 Class A3, 3 month U.S. LIBOR + 0.170% 1.6321% 5/28/30 (b)(c) | $570 | $569 | |
Illinois Student Assistance Commission Student Loan Rev. Series 2010-1 Class A2, 3 month U.S. LIBOR + 1.050% 2.3644% 4/25/22 (b)(c) | 181 | 181 | |
Navient Student Loan Trust Series 2017-3A: | |||
Class A1, 1 month U.S. LIBOR + 0.300% 1.6275% 7/26/66 (b)(c)(e) | 1,555 | 1,557 | |
Class A2, 1 month U.S. LIBOR + 0.600% 1.9275% 7/26/66 (b)(c)(e) | 2,013 | 2,029 | |
Nelnet Student Loan Trust 3 month U.S. LIBOR + 0.100% 1.4674% 1/25/30 (b)(c) | 1,312 | 1,311 | |
Small Business Administration guaranteed development participation certificates Series 2004-20H Class 1, 5.17% 8/1/24 | 82 | 86 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $5,711) | 5,733 | ||
Collateralized Mortgage Obligations - 21.4% | |||
U.S. Government Agency - 21.4% | |||
Fannie Mae: | |||
floater: | $ | $ | |
Series 1994-42 Class FK, 10-Year Treasury Constant Maturity Rate - 0.500% 1.76% 4/25/24 (b)(c) | 357 | 358 | |
Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 2.3075% 8/25/31 (b)(c) | 76 | 78 | |
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 2.3275% 4/25/32 (b)(c) | 16 | 17 | |
Series 2002-74 Class FV, 1 month U.S. LIBOR + 0.450% 1.7775% 11/25/32 (b)(c) | 853 | 857 | |
Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 2.3275% 11/25/32 (b)(c) | 33 | 34 | |
Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 2.2575% 6/25/36 (b)(c) | 1,075 | 1,092 | |
planned amortization class: | |||
Series 1988-21 Class G, 9.5% 8/25/18 | 0 | 0 | |
Series 2003-28 Class KG, 5.5% 4/25/23 | 149 | 157 | |
Series 2005-19 Class PA, 5.5% 7/25/34 | 240 | 248 | |
Series 2005-27 Class NE, 5.5% 5/25/34 | 28 | 28 | |
Series 2005-64 Class PX, 5.5% 6/25/35 | 295 | 315 | |
Series 2005-68 Class CZ, 5.5% 8/25/35 | 808 | 897 | |
sequential payer: | |||
Series 2003-117 Class MD, 5% 12/25/23 | 150 | 158 | |
Series 2004-52 Class KZ, 5.5% 7/25/34 | 1,827 | 2,018 | |
Series 2004-91 Class Z, 5% 12/25/34 | 1,047 | 1,136 | |
Series 2009-59 Class HB, 5% 8/25/39 | 451 | 490 | |
Series 201-75 Class AL, 3.5% 8/25/26 | 1,561 | 1,614 | |
Series 2010-97 Class CX, 4.5% 9/25/25 | 1,693 | 1,790 | |
Series 2011-80: | |||
Class HE, 3.5% 8/25/26 | 548 | 570 | |
Class KB, 3.5% 8/25/26 | 851 | 882 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (f) | 719 | 79 | |
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 2.2475% 3/25/36 (b)(c) | 660 | 675 | |
Series 2011-67 Class AI, 4% 7/25/26 (f) | 188 | 18 | |
Series 2016-26 Class CG, 3% 5/25/46 | 2,523 | 2,556 | |
Freddie Mac: | |||
floater: | |||
Series 2526 Class FC, 1 month U.S. LIBOR + 0.400% 1.6503% 11/15/32 (b)(c) | 139 | 140 | |
Series 2630 Class FL, 1 month U.S. LIBOR + 0.500% 1.7503% 6/15/18 (b)(c) | 1 | 1 | |
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 2.1503% 2/15/33 (b)(c) | 314 | 320 | |
floater planned amortization class Series 2770 Class FH, 1 month U.S. LIBOR + 0.400% 1.6503% 3/15/34 (b)(c) | 328 | 330 | |
planned amortization class: | |||
Series 2802 Class OB, 6% 5/15/34 | 378 | 409 | |
Series 3415 Class PC, 5% 12/15/37 | 121 | 130 | |
Series 3763 Class QA, 4% 4/15/34 | 10 | 10 | |
Series 3840 Class VA, 4.5% 9/15/27 | 634 | 645 | |
sequential payer: | |||
Series 1929 Class EZ, 7.5% 2/17/27 | 428 | 462 | |
Series 2004-2802 Class ZG, 5.5% 5/15/34 | 1,458 | 1,616 | |
Series 2004-2862 Class NE, 5% 9/15/24 | 2,699 | 2,830 | |
Series 2145 Class MZ, 6.5% 4/15/29 | 452 | 509 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 255 | 291 | |
Series 2877 Class ZD, 5% 10/15/34 | 1,274 | 1,383 | |
Series 2998 Class LY, 5.5% 7/15/25 | 134 | 143 | |
Series 3007 Class EW, 5.5% 7/15/25 | 585 | 625 | |
Series 3745 Class KV, 4.5% 12/15/26 | 1,053 | 1,118 | |
Series 3806 Class L, 3.5% 2/15/26 | 1,400 | 1,459 | |
Series 3862 Class MB, 3.5% 5/15/26 | 908 | 941 | |
Freddie Mac Multi-family Structured pass-thru certificates sequential payer: | |||
Series 4335 Class AL, 4.25% 3/15/40 | 982 | 1,020 | |
Series 4341 Class ML, 3.5% 11/15/31 | 1,360 | 1,406 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-59 Class FC, 1 month U.S. LIBOR + 0.500% 1.7827% 7/20/37 (b)(c) | 192 | 193 | |
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 1.7627% 1/20/38 (b)(c) | 48 | 48 | |
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 1.8635% 11/16/39 (b)(c) | 202 | 204 | |
Series 2009-116 Class KF, 1 month U.S. LIBOR + 0.530% 1.7935% 12/16/39 (b)(c) | 148 | 149 | |
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 1.57% 7/20/60 (b)(c)(d) | 2,299 | 2,284 | |
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 1.5333% 9/20/60 (b)(c)(d) | 2,725 | 2,705 | |
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 1.5333% 8/20/60 (b)(c)(d) | 3,061 | 3,039 | |
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 1.6133% 12/20/60 (b)(c)(d) | 814 | 809 | |
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 1.7333% 12/20/60 (b)(c)(d) | 1,539 | 1,537 | |
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 1.7333% 2/20/61 (b)(c)(d) | 3,022 | 3,019 | |
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 1.7233% 2/20/61 (b)(c)(d) | 3,424 | 3,420 | |
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 1.7333% 4/20/61 (b)(c)(d) | 1,176 | 1,175 | |
Series 2011-H14: | |||
Class FB, 1 month U.S. LIBOR + 0.500% 1.7333% 5/20/61 (b)(c)(d) | 1,382 | 1,380 | |
Class FC, 1 month U.S. LIBOR + 0.500% 1.7333% 5/20/61 (b)(c)(d) | 1,261 | 1,260 | |
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 1.7633% 6/20/61 (b)(c)(d) | 1,588 | 1,588 | |
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 1.8333% 10/20/61 (b)(c)(d) | 1,596 | 1,599 | |
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 1.9333% 11/20/61 (b)(c)(d) | 1,356 | 1,362 | |
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 1.9333% 1/20/62 (b)(c)(d) | 883 | 887 | |
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 1.8633% 1/20/62 (b)(c)(d) | 1,280 | 1,283 | |
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 1.8633% 3/20/62 (b)(c)(d) | 799 | 801 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 1.8833% 5/20/61 (b)(c)(d) | 438 | 439 | |
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 1.5133% 5/20/63 (b)(c)(d) | 1,826 | 1,826 | |
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 1.4333% 4/20/63 (b)(c)(d) | 1,956 | 1,954 | |
planned amortization class: | |||
Series 2010-31 Class BP, 5% 3/20/40 | 1,810 | 2,020 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (f) | 412 | 49 | |
Series 2011-68 Class EC, 3.5% 4/20/41 | 899 | 927 | |
sequential payer: | |||
Series 2013-H06 Class HA, 1.65% 1/20/63 (d) | 742 | 737 | |
Series 2014-H12 Class KA, 2.75% 5/20/64 (d) | 901 | 903 | |
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 1.7333% 9/20/62 (b)(c)(d) | 2,939 | 2,946 | |
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 1.8833% 11/20/65 (b)(c)(d) | 732 | 734 | |
Series 2010-169 Class Z, 4.5% 12/20/40 | 1,008 | 1,088 | |
Series 2010-H15 Class TP, 5.15% 8/20/60 (d) | 2,507 | 2,580 | |
Series 2010-H17 Class XP, 5.295% 7/20/60 (b)(d) | 2,574 | 2,656 | |
Series 2010-H18 Class PL, 5.01% 9/20/60 (b)(d) | 2,307 | 2,365 | |
Series 2012-64 Class KI, 3.5% 11/20/36 (f) | 226 | 16 | |
Series 2013-124: | |||
Class ES, 8.667% - 1 month U.S. LIBOR 6.9564% 4/20/39 (b)(g) | 827 | 860 | |
Class ST, 8.800% - 1 month U.S. LIBOR 7.0898% 8/20/39 (b)(g) | 2,103 | 2,221 | |
Series 2013-H04 Class BA, 1.65% 2/20/63 (d) | 1,300 | 1,288 | |
Series 2013-H07 Class JA, 1.75% 3/20/63 (d) | 3,512 | 3,484 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (d) | 2,985 | 2,994 | |
Series 2015-H21: | |||
Class HA, 2.5% 6/20/63 (d) | 8,341 | 8,363 | |
Class JA, 2.5% 6/20/65 (d) | 764 | 766 | |
Series 2015-H30 Class HA, 1.75% 9/20/62 (b)(d) | 6,638 | 6,598 | |
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 1.65% 5/20/66 (b)(c)(d) | 3,718 | 3,741 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 1.66% 8/20/66 (b)(c)(d) | 3,399 | 3,409 | |
Series 2090-118 Class XZ, 5% 12/20/39 | 2,261 | 2,531 | |
118,092 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $118,752) | 118,092 | ||
Commercial Mortgage Securities - 7.1% | |||
Fannie Mae Series 2017-T1 Class A, 2.898% 6/25/27 | 6,499 | 6,429 | |
Freddie Mac: | |||
floater: | |||
Series KP04 Class AG1, 1 month U.S. LIBOR + 0.220% 1.46% 7/25/20 (b)(c) | 1,400 | 1,400 | |
Series KP04, Class AG2, 1 month U.S. LIBOR + 0.200% 1.42% 10/25/19 (b)(c) | 2,800 | 2,800 | |
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 | 780 | 817 | |
sequential payer: | |||
Series K034 Class A1, 2.669% 2/25/23 | 2,422 | 2,437 | |
Series K708 Class A2, 2.13% 1/25/19 | 3,109 | 3,115 | |
Series K709 Class A2, 2.086% 3/25/19 | 2,390 | 2,393 | |
Series K710 Class A2, 1.883% 5/25/19 | 2,438 | 2,436 | |
Series K713 Class A2, 2.313% 3/25/20 | 804 | 807 | |
Series K717 Class A2, 2.991% 9/25/21 | 670 | 683 | |
Series K032 Class A1, 3.016% 2/25/23 | 4,088 | 4,170 | |
Series K504 Class A2, 2.566% 9/25/20 | 367 | 370 | |
Series K704 Class A2, 2.412% 8/25/18 | 659 | 660 | |
Series K706 Class A2, 2.323% 10/25/18 | 1,287 | 1,286 | |
Series K724 Class A1, 2.776% 3/25/23 | 2,348 | 2,384 | |
Series K726 Class A1, 2.596% 8/25/23 | 660 | 664 | |
Freddie Mac Multi-family floater Series 2017-KT01 Class A, 1 month U.S. LIBOR + 0.320% 1.5561% 2/25/20 (b)(c) | 6,130 | 6,144 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $39,141) | 38,995 | ||
Foreign Government and Government Agency Obligations - 4.3% | |||
Israeli State: | |||
(guaranteed by U.S. Government through Agency for International Development): | |||
5.5% 9/18/23 | 4,551 | 5,318 | |
5.5% 12/4/23 | 10,710 | 12,573 | |
5.5% 4/26/24 | 1,100 | 1,300 | |
Jordanian Kingdom 3% 6/30/25 | 3,329 | 3,432 | |
Ukraine Government 1.471% 9/29/21 | 1,400 | 1,366 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $22,660) | 23,989 | ||
Shares | Value (000s) | ||
Money Market Funds - 0.2% | |||
Fidelity Cash Central Fund, 1.13% (h) | |||
(Cost $1,300) | 1,299,596 | 1,300 |
Purchased Swaptions - 0.1% | ||||
Expiration Date | Notional Amount (000s) | Value (000s) | ||
Put Options - 0.1% | ||||
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.495% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2027 | 10/5/20 | 5,300 | $172 | |
Option on an interest rate swap with JPMorgan Chase Bank NA to pay semi-annually a fixed rate of 2.5575% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2027 | 10/6/20 | 3,600 | 110 | |
TOTAL PUT OPTIONS | 282 | |||
Call Options - 0.0% | ||||
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.495% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2027 | 10/5/20 | 5,300 | 151 | |
Option on an interest rate swap with JPMorgan Chase Bank NA to receive semi-annually a fixed rate of 2.5575% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2027 | 10/6/20 | 3,600 | 109 | |
TOTAL CALL OPTIONS | 260 | |||
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $590) | 542 | |||
TOTAL INVESTMENT IN SECURITIES - 99.9% | ||||
(Cost $555,110) | 552,252 | |||
NET OTHER ASSETS (LIABILITIES) - 0.1% | 517 | |||
NET ASSETS - 100% | $552,769 |
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) | 196 | March 2018 | $42,024 | $(34) | $(34) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 51 | March 2018 | 5,934 | (21) | (21) |
TOTAL FUTURES CONTRACTS | $(55) |
The notional amount of futures purchased as a percentage of Net Assets is 8.7%
Values shown as $0 may reflect amounts less than $500.
Legend
(a) 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 $129,000.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $3,586,000 or 0.6% of net assets.
(f) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(g) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
(h) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
(Amounts in thousands) | |
Fidelity Cash Central Fund | $20 |
Total | $20 |
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2017, 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. Additional information on valuation inputs, and their aggregation into the levels used below, is provided later in this section.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
(Amounts in thousands) | ||||
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | $344,666 | $-- | $344,666 | $-- |
U.S. Government Agency - Mortgage Securities | 18,935 | -- | 18,935 | -- |
Asset-Backed Securities | 5,733 | -- | 5,733 | -- |
Collateralized Mortgage Obligations | 118,092 | -- | 118,092 | -- |
Commercial Mortgage Securities | 38,995 | -- | 38,995 | -- |
Foreign Government and Government Agency Obligations | 23,989 | -- | 23,989 | -- |
Money Market Funds | 1,300 | 1,300 | -- | -- |
Purchased Swaptions | 542 | -- | 542 | -- |
Total Investments in Securities: | $552,252 | $1,300 | $550,952 | $-- |
Derivative Instruments: | ||||
Liabilities | ||||
Futures Contracts | $(55) | $(55) | $-- | $-- |
Total Liabilities | $(55) | $(55) | $-- | $-- |
Total Derivative Instruments: | $(55) | $(55) | $-- | $-- |
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund’s valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Foreign government and government agency obligations and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.
When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.
Quarterly Holdings Report
for
Fidelity® Total Bond Fund
Investments November 30, 2017 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 31.2% | |||
Principal Amount(a) | Value | ||
CONSUMER DISCRETIONARY - 3.1% | |||
Auto Components - 0.1% | |||
Delphi Jersey Holdings PLC 5% 10/1/25 (b) | $2,215,000 | $2,249,620 | |
J.B. Poindexter & Co., Inc. 9% 4/1/22 (b) | 2,442,000 | 2,548,838 | |
Metalsa SA de CV 4.9% 4/24/23 (b) | 4,850,000 | 4,862,125 | |
Samvardhana Motherson Automotive Systems Group BV 1.8% 7/6/24 (Reg. S) | EUR | 2,100,000 | 2,467,931 |
Tenedora Nemak SA de CV 5.5% 2/28/23 (b) | 3,210,000 | 3,298,275 | |
Tupy Overseas SA 6.625% 7/17/24 (b) | 530,000 | 563,178 | |
15,989,967 | |||
Automobiles - 0.6% | |||
General Motors Co. 3.5% 10/2/18 | 9,215,000 | 9,321,938 | |
General Motors Financial Co., Inc.: | |||
3.15% 1/15/20 | 27,252,000 | 27,585,515 | |
3.2% 7/13/20 | 20,200,000 | 20,493,799 | |
3.25% 5/15/18 | 4,810,000 | 4,839,763 | |
3.5% 7/10/19 | 10,761,000 | 10,942,048 | |
4% 1/15/25 | 18,085,000 | 18,425,252 | |
4.2% 3/1/21 | 26,269,000 | 27,382,128 | |
4.25% 5/15/23 | 5,420,000 | 5,657,104 | |
4.375% 9/25/21 | 47,963,000 | 50,513,419 | |
Volkswagen International Finance NV: | |||
1.125% 10/2/23 (Reg. S) | EUR | 2,600,000 | 3,180,941 |
2.7%(Reg. S) (c)(d) | EUR | 1,800,000 | 2,207,795 |
180,549,702 | |||
Distributors - 0.0% | |||
American Tire Distributors, Inc. 10.25% 3/1/22 (b) | 1,740,000 | 1,779,150 | |
Diversified Consumer Services - 0.0% | |||
Ingersoll-Rand Global Holding Co. Ltd.: | |||
2.875% 1/15/19 | 1,206,000 | 1,212,535 | |
4.25% 6/15/23 | 8,466,000 | 9,029,178 | |
Laureate Education, Inc. 8.25% 5/1/25 (b) | 4,615,000 | 4,883,224 | |
15,124,937 | |||
Hotels, Restaurants & Leisure - 0.4% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
4.25% 5/15/24 (b) | 5,035,000 | 5,042,553 | |
5% 10/15/25 (b) | 8,415,000 | 8,620,116 | |
Aramark Services, Inc.: | |||
4.75% 6/1/26 | 7,225,000 | 7,486,906 | |
5.125% 1/15/24 | 2,520,000 | 2,658,600 | |
Carlson Travel, Inc. 9.5% 12/15/24 (b) | 3,895,000 | 3,544,450 | |
ESH Hospitality, Inc. 5.25% 5/1/25 (b) | 1,100,000 | 1,119,250 | |
FelCor Lodging LP 5.625% 3/1/23 | 135,000 | 139,050 | |
Golden Nugget, Inc. 6.75% 10/15/24 (b) | 4,660,000 | 4,759,025 | |
Hilton Escrow Issuer LLC 4.25% 9/1/24 | 7,280,000 | 7,389,200 | |
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc. 6.125% 12/1/24 (b) | 1,380,000 | 1,504,200 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.: | |||
4.625% 4/1/25 | 2,580,000 | 2,667,075 | |
4.875% 4/1/27 | 1,530,000 | 1,612,773 | |
KFC Holding Co./Pizza Hut Holding LLC: | |||
4.75% 6/1/27 (b) | 1,580,000 | 1,616,972 | |
5% 6/1/24 (b) | 4,515,000 | 4,729,463 | |
5.25% 6/1/26 (b) | 1,790,000 | 1,892,925 | |
McDonald's Corp.: | |||
2.75% 12/9/20 | 3,638,000 | 3,681,645 | |
3.7% 1/30/26 | 9,591,000 | 9,968,968 | |
MCE Finance Ltd. 4.875% 6/6/25 (b) | 9,515,000 | 9,584,311 | |
MGM Growth Properties Operating Partnership LP: | |||
4.5% 9/1/26 | 13,345,000 | 13,445,088 | |
4.5% 1/15/28 (b) | 3,775,000 | 3,751,406 | |
RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/23 | 540,000 | 554,850 | |
Scientific Games Corp.: | |||
5% 10/15/25 (b) | 585,000 | 591,581 | |
6.625% 5/15/21 | 6,270,000 | 6,458,100 | |
7% 1/1/22 (b) | 1,700,000 | 1,793,500 | |
Silversea Cruises 7.25% 2/1/25 (b) | 1,395,000 | 1,503,113 | |
Station Casinos LLC 5% 10/1/25 (b) | 4,290,000 | 4,288,413 | |
Studio City Co. Ltd.: | |||
5.875% 11/30/19 (b) | 2,555,000 | 2,654,006 | |
7.25% 11/30/21 (b) | 4,925,000 | 5,220,500 | |
Times Square Hotel Trust 8.528% 8/1/26 (b) | 1,004,701 | 1,176,722 | |
Viking Cruises Ltd. 5.875% 9/15/27 (b) | 1,945,000 | 1,966,881 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (b) | 4,730,000 | 4,821,620 | |
Wynn Macau Ltd.: | |||
4.875% 10/1/24 (b) | 1,475,000 | 1,497,125 | |
5.5% 10/1/27 (b) | 4,440,000 | 4,495,500 | |
Yum! Brands, Inc. 5.35% 11/1/43 | 3,280,000 | 3,157,000 | |
135,392,887 | |||
Household Durables - 0.2% | |||
Beazer Homes U.S.A., Inc. 5.875% 10/15/27 (b) | 3,770,000 | 3,779,425 | |
CalAtlantic Group, Inc.: | |||
5% 6/15/27 | 3,810,000 | 3,943,350 | |
5.25% 6/1/26 | 4,285,000 | 4,499,250 | |
5.875% 11/15/24 | 1,775,000 | 1,972,469 | |
Lennar Corp.: | |||
4.125% 1/15/22 | 2,950,000 | 3,016,375 | |
4.75% 11/29/27 (b) | 2,660,000 | 2,719,850 | |
M.D.C. Holdings, Inc. 6% 1/15/43 | 1,300,000 | 1,283,750 | |
M/I Homes, Inc.: | |||
5.625% 8/1/25 | 1,060,000 | 1,075,900 | |
6.75% 1/15/21 | 4,265,000 | 4,424,938 | |
PulteGroup, Inc. 5% 1/15/27 | 2,625,000 | 2,762,288 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | |||
3 month U.S. LIBOR + 3.500% 4.8592% 7/15/21 (b)(d)(e) | 3,930,000 | 3,998,775 | |
5.125% 7/15/23 (b) | 5,170,000 | 5,363,875 | |
5.75% 10/15/20 | 2,935,000 | 2,984,528 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (b) | 1,495,000 | 1,585,627 | |
Toll Brothers Finance Corp. 4.875% 3/15/27 | 683,000 | 706,905 | |
TRI Pointe Homes, Inc. 5.25% 6/1/27 | 2,800,000 | 2,859,220 | |
William Lyon Homes, Inc.: | |||
5.75% 4/15/19 | 4,175,000 | 4,206,313 | |
7% 8/15/22 | 4,250,000 | 4,388,125 | |
55,570,963 | |||
Internet & Direct Marketing Retail - 0.1% | |||
Netflix, Inc.: | |||
4.375% 11/15/26 | 5,750,000 | 5,642,188 | |
4.875% 4/15/28 (b) | 4,690,000 | 4,637,238 | |
Zayo Group LLC/Zayo Capital, Inc.: | |||
5.75% 1/15/27 (b) | 5,975,000 | 6,154,250 | |
6.375% 5/15/25 | 8,115,000 | 8,612,044 | |
25,045,720 | |||
Media - 1.7% | |||
21st Century Fox America, Inc.: | |||
6.15% 3/1/37 | 4,759,000 | 5,838,769 | |
7.75% 12/1/45 | 3,932,000 | 5,794,290 | |
Altice SA: | |||
7.25% 5/15/22 (Reg. S) | EUR | 700,000 | 806,100 |
7.75% 5/15/22 (b) | 28,085,000 | 26,750,963 | |
Altice U.S. Finance SA: | |||
5.375% 7/15/23 (b) | 2,560,000 | 2,604,800 | |
5.5% 5/15/26 (b) | 5,035,000 | 5,097,938 | |
AMC Entertainment Holdings, Inc. 5.875% 11/15/26 | 1,560,000 | 1,526,850 | |
AMC Networks, Inc.: | |||
4.75% 12/15/22 | 1,675,000 | 1,714,111 | |
4.75% 8/1/25 | 3,780,000 | 3,751,650 | |
Cablevision SA 6.5% 6/15/21 (b) | 430,000 | 456,376 | |
Cablevision Systems Corp. 7.75% 4/15/18 | 2,110,000 | 2,146,925 | |
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.: | |||
5.625% 2/15/24 | 1,265,000 | 1,328,250 | |
5.875% 3/15/25 | 565,000 | 596,075 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4% 3/1/23 (b) | 6,395,000 | 6,391,003 | |
5% 2/1/28 (b) | 11,610,000 | 11,377,800 | |
5.125% 2/15/23 | 1,130,000 | 1,158,250 | |
5.125% 5/1/23 (b) | 7,520,000 | 7,783,200 | |
5.125% 5/1/27 (b) | 9,395,000 | 9,306,922 | |
5.5% 5/1/26 (b) | 9,005,000 | 9,216,077 | |
5.75% 2/15/26 (b) | 3,370,000 | 3,496,375 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.464% 7/23/22 | 20,419,000 | 21,283,631 | |
4.908% 7/23/25 | 20,419,000 | 21,568,184 | |
5.375% 5/1/47 | 51,316,000 | 51,870,213 | |
6.484% 10/23/45 | 8,199,000 | 9,426,788 | |
Comcast Corp. 6.45% 3/15/37 | 2,196,000 | 2,917,119 | |
CSC Holdings LLC 6.75% 11/15/21 | 8,225,000 | 8,841,875 | |
CSC Holdings, Inc. 5.5% 4/15/27 (b) | 4,045,000 | 4,100,619 | |
E.W. Scripps Co. 5.125% 5/15/25 (b) | 1,685,000 | 1,680,788 | |
Globo Comunicacao e Participacoes SA: | |||
4.843% 6/8/25 (b) | 1,820,000 | 1,865,500 | |
4.875% 4/11/22 (b) | 565,000 | 590,425 | |
5.125% 3/31/27 (b) | 580,000 | 590,875 | |
Gray Television, Inc. 5.875% 7/15/26 (b) | 1,700,000 | 1,725,500 | |
Grupo Televisa SA de CV 6.625% 3/18/25 | 440,000 | 522,833 | |
Lagardere S.C.A. 1.625% 6/21/24 (Reg. S) | EUR | 4,500,000 | 5,343,752 |
MDC Partners, Inc. 6.5% 5/1/24 (b) | 7,880,000 | 7,919,400 | |
MHGE Parent LLC/MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (b)(d) | 9,210,000 | 9,210,000 | |
Myriad International Holding BV 5.5% 7/21/25 (b) | 1,040,000 | 1,129,544 | |
NBCUniversal, Inc. 5.15% 4/30/20 | 11,614,000 | 12,414,316 | |
New Cotai LLC/New Cotai Capital Corp. 10.625% 5/1/19 pay-in-kind (b)(d) | 4,958,504 | 4,859,334 | |
Sirius XM Radio, Inc.: | |||
3.875% 8/1/22 (b) | 6,090,000 | 6,136,893 | |
5% 8/1/27 (b) | 5,730,000 | 5,794,463 | |
SKY PLC 2.25% 11/17/25 (Reg. S) | EUR | 2,650,000 | 3,385,716 |
Time Warner Cable, Inc.: | |||
4% 9/1/21 | 20,277,000 | 20,836,240 | |
4.5% 9/15/42 | 30,539,000 | 28,247,374 | |
5.5% 9/1/41 | 12,973,000 | 13,520,157 | |
5.875% 11/15/40 | 16,544,000 | 17,796,850 | |
6.55% 5/1/37 | 38,302,000 | 43,852,323 | |
6.75% 7/1/18 | 13,763,000 | 14,122,149 | |
7.3% 7/1/38 | 38,728,000 | 47,700,413 | |
8.25% 4/1/19 | 24,391,000 | 26,228,826 | |
Time Warner, Inc.: | |||
3.6% 7/15/25 | 6,406,000 | 6,428,010 | |
6.2% 3/15/40 | 11,792,000 | 13,987,833 | |
TV Azteca SA de CV 8.25% 8/9/24 (Reg. S) | 3,089,000 | 3,266,618 | |
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5% 1/15/25 (b) | 2,920,000 | 3,018,550 | |
Virgin Media Secured Finance PLC: | |||
5.5% 1/15/25 (b) | 2,500,000 | 2,606,250 | |
5.5% 8/15/26 (b) | 4,335,000 | 4,526,607 | |
VTR Finance BV 6.875% 1/15/24 (b) | 2,630,000 | 2,781,225 | |
Ziggo Bond Finance BV: | |||
5.875% 1/15/25 (b) | 3,100,000 | 3,100,000 | |
6% 1/15/27 (b) | 5,605,000 | 5,518,123 | |
Ziggo Secured Finance BV 5.5% 1/15/27 (b) | 4,540,000 | 4,581,087 | |
552,439,127 | |||
Multiline Retail - 0.0% | |||
JC Penney Corp., Inc.: | |||
5.65% 6/1/20 | 3,445,000 | 3,186,625 | |
5.875% 7/1/23 (b) | 980,000 | 922,425 | |
7.4% 4/1/37 | 12,160,000 | 7,660,800 | |
11,769,850 | |||
Specialty Retail - 0.0% | |||
Jaguar Land Rover PLC 4.5% 10/1/27 (b) | 3,915,000 | 3,878,297 | |
PetSmart, Inc. 5.875% 6/1/25 (b) | 1,000,000 | 860,000 | |
4,738,297 | |||
TOTAL CONSUMER DISCRETIONARY | 998,400,600 | ||
CONSUMER STAPLES - 1.7% | |||
Beverages - 0.7% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
2.65% 2/1/21 | 38,614,000 | 38,901,480 | |
3.3% 2/1/23 | 41,589,000 | 42,641,129 | |
4.7% 2/1/36 | 42,171,000 | 46,691,187 | |
4.9% 2/1/46 | 45,032,000 | 50,747,894 | |
Anheuser-Busch InBev SA NV 1.75% 3/7/25 (Reg. S) | GBP | 3,600,000 | 4,767,338 |
Anheuser-Busch InBev Worldwide, Inc. 3.75% 1/15/22 | 10,217,000 | 10,661,801 | |
Central American Bottling Corp. 5.75% 1/31/27 (b) | 450,000 | 473,400 | |
Constellation Brands, Inc.: | |||
3.875% 11/15/19 | 2,360,000 | 2,428,266 | |
4.25% 5/1/23 | 5,205,000 | 5,522,633 | |
6% 5/1/22 | 21,795,000 | 24,547,625 | |
Cott Holdings, Inc. 5.5% 4/1/25 (b) | 2,025,000 | 2,086,763 | |
229,469,516 | |||
Food & Staples Retailing - 0.2% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
5.75% 3/15/25 | 4,430,000 | 3,941,371 | |
6.625% 6/15/24 | 2,215,000 | 2,093,175 | |
Albertsons, Inc.: | |||
6.625% 6/1/28 | 705,000 | 546,375 | |
7.45% 8/1/29 | 645,000 | 537,769 | |
7.75% 6/15/26 | 765,000 | 665,550 | |
8% 5/1/31 | 4,040,000 | 3,449,796 | |
8.7% 5/1/30 | 560,000 | 497,000 | |
C&S Group Enterprises LLC 5.375% 7/15/22 (b) | 3,335,000 | 3,084,875 | |
CVS Health Corp.: | |||
2.8% 7/20/20 | 15,202,000 | 15,289,689 | |
3.5% 7/20/22 | 8,944,000 | 9,109,497 | |
4% 12/5/23 | 8,525,000 | 8,877,987 | |
ESAL GmbH 6.25% 2/5/23 (b) | 645,000 | 620,813 | |
FAGE International SA/FAGE U.S.A. Dairy Industry, Inc. 5.625% 8/15/26 (b) | 845,000 | 840,775 | |
Minerva Luxembourg SA: | |||
6.5% 9/20/26 (b) | 1,500,000 | 1,554,705 | |
7.75% 1/31/23 (Reg. S) | 2,144,000 | 2,235,120 | |
Tesco PLC: | |||
5% 3/24/23 | GBP | 1,100,000 | 1,667,595 |
6.125% 2/24/22 | GBP | 550,000 | 856,608 |
Tops Holding LLC/Tops Markets II Corp. 8% 6/15/22 (b) | 5,155,000 | 2,938,350 | |
Walgreens Boots Alliance, Inc.: | |||
2.7% 11/18/19 | 8,473,000 | 8,532,504 | |
3.3% 11/18/21 | 10,050,000 | 10,228,373 | |
77,567,927 | |||
Food Products - 0.1% | |||
CF Industries Holdings, Inc.: | |||
3.4% 12/1/21 (b) | 1,915,000 | 1,938,634 | |
3.45% 6/1/23 | 3,115,000 | 3,068,742 | |
4.5% 12/1/26 (b) | 1,380,000 | 1,441,480 | |
5.15% 3/15/34 | 280,000 | 282,100 | |
Gruma S.A.B. de CV 4.875% 12/1/24 (Reg. S) | 800,000 | 860,800 | |
Lamb Weston Holdings, Inc.: | |||
4.625% 11/1/24 (b) | 2,145,000 | 2,217,394 | |
4.875% 11/1/26 (b) | 1,555,000 | 1,636,638 | |
Post Holdings, Inc.: | |||
5% 8/15/26 (b) | 3,240,000 | 3,211,650 | |
5.625% 1/15/28 (b) | 3,245,000 | 3,269,338 | |
5.75% 3/1/27 (b) | 2,690,000 | 2,744,607 | |
20,671,383 | |||
Tobacco - 0.7% | |||
Altria Group, Inc.: | |||
2.85% 8/9/22 | 9,573,000 | 9,621,784 | |
4% 1/31/24 | 6,408,000 | 6,823,000 | |
Bat Capital Corp. 2.125% 8/15/25 | GBP | 3,050,000 | 4,054,809 |
Imperial Tobacco Finance PLC: | |||
2.05% 2/11/18 (b) | 19,975,000 | 19,978,795 | |
2.05% 7/20/18 (b) | 8,743,000 | 8,742,074 | |
2.95% 7/21/20 (b) | 20,000,000 | 20,191,031 | |
3.75% 7/21/22 (b) | 20,300,000 | 20,990,220 | |
4.25% 7/21/25 (b) | 18,467,000 | 19,305,301 | |
8.125% 3/15/24 | GBP | 1,850,000 | 3,335,787 |
Reynolds American, Inc.: | |||
2.3% 6/12/18 | 7,358,000 | 7,372,818 | |
3.25% 6/12/20 | 3,274,000 | 3,333,301 | |
4% 6/12/22 | 11,386,000 | 11,879,332 | |
4.45% 6/12/25 | 14,753,000 | 15,747,065 | |
5.7% 8/15/35 | 4,237,000 | 4,984,564 | |
5.85% 8/15/45 | 35,690,000 | 43,463,121 | |
6.15% 9/15/43 | 4,511,000 | 5,693,781 | |
7.25% 6/15/37 | 5,056,000 | 6,975,053 | |
Vector Group Ltd. 6.125% 2/1/25 (b) | 7,705,000 | 8,032,463 | |
220,524,299 | |||
TOTAL CONSUMER STAPLES | 548,233,125 | ||
ENERGY - 6.4% | |||
Energy Equipment & Services - 0.4% | |||
Borets Finance DAC 6.5% 4/7/22 (b) | 1,345,000 | 1,434,550 | |
Calfrac Holdings LP 7.5% 12/1/20 (b) | 3,560,000 | 3,506,600 | |
Diamond Offshore Drilling, Inc. 7.875% 8/15/25 | 2,910,000 | 3,033,675 | |
El Paso Pipeline Partners Operating Co. LLC: | |||
5% 10/1/21 | 18,884,000 | 20,171,474 | |
6.5% 4/1/20 | 738,000 | 799,874 | |
Ensco PLC: | |||
4.5% 10/1/24 | 5,165,000 | 4,190,106 | |
5.2% 3/15/25 | 16,510,000 | 13,538,200 | |
5.75% 10/1/44 | 7,801,000 | 5,148,660 | |
8% 1/31/24 | 3,943,000 | 3,864,140 | |
Exterran Energy Solutions LP 8.125% 5/1/25 (b) | 1,920,000 | 2,044,800 | |
Exterran Partners LP/EXLP Finance Corp.: | |||
6% 4/1/21 | 3,210,000 | 3,193,950 | |
6% 10/1/22 | 995,000 | 992,513 | |
Forum Energy Technologies, Inc. 6.25% 10/1/21 | 3,780,000 | 3,761,100 | |
FTS International, Inc.: | |||
3 month U.S. LIBOR + 7.500% 8.82% 6/15/20 (b)(d)(e) | 1,625,000 | 1,657,500 | |
6.25% 5/1/22 | 1,780,000 | 1,722,150 | |
Halliburton Co.: | |||
3.8% 11/15/25 | 9,790,000 | 10,085,058 | |
4.85% 11/15/35 | 8,550,000 | 9,336,247 | |
Jonah Energy LLC 7.25% 10/15/25 (b) | 2,755,000 | 2,782,550 | |
Nabors Industries, Inc. 5.5% 1/15/23 | 9,992,000 | 9,667,260 | |
Noble Holding International Ltd.: | |||
4.625% 3/1/21 | 3,493,000 | 3,204,828 | |
5.25% 3/15/42 | 1,890,000 | 1,124,550 | |
5.75% 3/16/18 | 1,187,000 | 1,186,288 | |
7.7% 4/1/25 (d) | 10,335,000 | 8,707,238 | |
7.75% 1/15/24 | 5,390,000 | 4,662,350 | |
8.7% 4/1/45 (d) | 7,307,000 | 5,735,995 | |
Precision Drilling Corp.: | |||
5.25% 11/15/24 | 1,290,000 | 1,209,375 | |
6.5% 12/15/21 | 838,000 | 852,665 | |
7.125% 1/15/26 (b) | 1,620,000 | 1,632,166 | |
7.75% 12/15/23 | 4,985,000 | 5,147,013 | |
SESI LLC 7.75% 9/15/24 (b) | 1,220,000 | 1,256,600 | |
Southern Gas Corridor CJSC 6.875% 3/24/26 (b) | 2,555,000 | 2,888,090 | |
Summit Midstream Holdings LLC 5.75% 4/15/25 | 3,385,000 | 3,393,463 | |
The Oil and Gas Holding Co. 7.5% 10/25/27 (b) | 870,000 | 894,360 | |
142,825,388 | |||
Oil, Gas & Consumable Fuels - 6.0% | |||
Abu Dhabi Crude Oil Pipeline 4.6% 11/2/47 (b) | 365,000 | 372,300 | |
Afren PLC: | |||
6.625% 12/9/20 (b)(f)(g) | 770,910 | 278 | |
10.25% 4/8/19 (Reg. S) (f)(g) | 2,024,860 | 364 | |
Anadarko Finance Co. 7.5% 5/1/31 | 29,585,000 | 37,787,694 | |
Anadarko Petroleum Corp.: | |||
4.85% 3/15/21 | 6,730,000 | 7,124,943 | |
5.55% 3/15/26 | 13,807,000 | 15,347,999 | |
6.45% 9/15/36 | 4,370,000 | 5,262,339 | |
6.6% 3/15/46 | 22,460,000 | 28,146,817 | |
Antero Resources Corp.: | |||
5% 3/1/25 | 7,605,000 | 7,738,088 | |
5.125% 12/1/22 | 8,335,000 | 8,543,375 | |
5.625% 6/1/23 (Reg. S) | 4,310,000 | 4,493,175 | |
Antero Resources Finance Corp. 5.375% 11/1/21 | 3,675,000 | 3,766,875 | |
California Resources Corp. 8% 12/15/22 (b) | 5,050,000 | 3,737,000 | |
Canadian Natural Resources Ltd.: | |||
1.75% 1/15/18 | 6,049,000 | 6,046,413 | |
3.9% 2/1/25 | 24,997,000 | 25,575,730 | |
5.85% 2/1/35 | 10,897,000 | 12,657,826 | |
Cenovus Energy, Inc. 4.25% 4/15/27 (b) | 31,079,000 | 30,740,814 | |
Cheniere Corpus Christi Holdings LLC: | |||
5.125% 6/30/27 (b) | 3,595,000 | 3,707,344 | |
5.875% 3/31/25 | 5,295,000 | 5,738,456 | |
7% 6/30/24 | 4,155,000 | 4,715,925 | |
Chesapeake Energy Corp.: | |||
4.875% 4/15/22 | 3,735,000 | 3,473,550 | |
5.75% 3/15/23 | 5,580,000 | 5,133,600 | |
6.125% 2/15/21 | 3,783,000 | 3,811,373 | |
8% 12/15/22 (b) | 5,875,000 | 6,271,563 | |
8% 1/15/25 (b) | 2,890,000 | 2,875,550 | |
8% 6/15/27 (b) | 3,295,000 | 3,155,951 | |
Columbia Pipeline Group, Inc.: | |||
2.45% 6/1/18 | 3,149,000 | 3,154,284 | |
3.3% 6/1/20 | 15,490,000 | 15,740,624 | |
4.5% 6/1/25 | 4,707,000 | 5,003,030 | |
Consolidated Energy Finance SA: | |||
3 month U.S. LIBOR + 3.750% 5.07% 6/15/22 (b)(d)(e) | 12,775,000 | 12,721,247 | |
6.875% 6/15/25 (b) | 4,700,000 | 4,993,750 | |
Continental Resources, Inc.: | |||
3.8% 6/1/24 | 4,150,000 | 4,087,750 | |
4.5% 4/15/23 | 8,290,000 | 8,455,800 | |
4.9% 6/1/44 | 1,255,000 | 1,192,250 | |
Covey Park Energy LLC 7.5% 5/15/25 (b) | 3,920,000 | 4,096,400 | |
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 | 8,710,000 | 8,949,525 | |
DCP Midstream LLC: | |||
4.75% 9/30/21 (b) | 11,333,000 | 11,644,658 | |
5.85% 5/21/43 (b)(d) | 6,758,000 | 6,284,940 | |
DCP Midstream Operating LP 3.875% 3/15/23 | 5,532,000 | 5,518,170 | |
Denbury Resources, Inc. 9% 5/15/21 (b) | 4,000,000 | 3,850,000 | |
Dolphin Energy Ltd. 5.5% 12/15/21 (b) | 550,000 | 598,125 | |
Duke Energy Field Services 6.45% 11/3/36 (b) | 13,741,000 | 14,702,870 | |
El Paso Corp. 6.5% 9/15/20 | 16,140,000 | 17,711,662 | |
Empresa Nacional de Petroleo 4.375% 10/30/24 (b) | 9,045,000 | 9,438,888 | |
Enable Midstream Partners LP: | |||
2.4% 5/15/19 (d) | 4,028,000 | 4,005,509 | |
3.9% 5/15/24 (d) | 4,249,000 | 4,263,486 | |
Enbridge Energy Partners LP: | |||
4.2% 9/15/21 | 13,331,000 | 13,911,833 | |
4.375% 10/15/20 | 11,319,000 | 11,807,586 | |
Enbridge, Inc.: | |||
4.25% 12/1/26 | 7,730,000 | 8,052,379 | |
5.5% 12/1/46 | 8,922,000 | 10,280,972 | |
Endeavor Energy Resources LP/EER Finance, Inc.: | |||
5.5% 1/30/26 (b) | 860,000 | 870,750 | |
5.75% 1/30/28 (b) | 865,000 | 874,731 | |
7% 8/15/21 (b) | 8,190,000 | 8,476,650 | |
Energy Transfer Equity LP 4.25% 3/15/23 | 3,880,000 | 3,909,100 | |
Enterprise Products Operating LP: | |||
2.55% 10/15/19 | 2,971,000 | 2,981,491 | |
3.75% 2/15/25 | 9,982,000 | 10,259,102 | |
EP Energy LLC/Everest Acquisition Finance, Inc. 8% 11/29/24 (b) | 6,325,000 | 6,325,000 | |
Extraction Oil & Gas, Inc. 7.375% 5/15/24 (b) | 2,770,000 | 2,950,050 | |
Georgian Oil & Gas Corp. 6.75% 4/26/21 (b) | 1,875,000 | 2,007,422 | |
Global Partners LP/GLP Finance Corp.: | |||
6.25% 7/15/22 | 5,165,000 | 5,268,300 | |
7% 6/15/23 | 9,970,000 | 10,219,250 | |
Hess Infrastructure Partners LP 5.625% 2/15/26 (b) | 2,575,000 | 2,642,594 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
5% 12/1/24 (b) | 3,855,000 | 3,864,638 | |
5.75% 10/1/25 (b) | 2,135,000 | 2,199,691 | |
Indika Energy Capital II Pte. Ltd. 6.875% 4/10/22 (b) | 2,030,000 | 2,110,090 | |
KazMunaiGaz Finance Sub BV 4.875% 5/7/25 (b) | 700,000 | 717,444 | |
Kinder Morgan Energy Partners LP: | |||
3.5% 3/1/21 | 11,339,000 | 11,584,656 | |
5.5% 3/1/44 | 42,953,000 | 45,176,983 | |
6.55% 9/15/40 | 1,889,000 | 2,193,451 | |
Kinder Morgan, Inc.: | |||
5% 2/15/21 (b) | 10,606,000 | 11,296,590 | |
5.05% 2/15/46 | 4,854,000 | 4,893,584 | |
Kosmos Energy Ltd.: | |||
7.875% 8/1/21 (b) | 1,775,000 | 1,814,938 | |
7.875% 8/1/21 (b) | 1,500,000 | 1,533,750 | |
Marathon Petroleum Corp. 5.125% 3/1/21 | 10,178,000 | 10,943,188 | |
Nakilat, Inc. 6.067% 12/31/33 (b) | 1,975,000 | 2,291,000 | |
Newfield Exploration Co. 5.375% 1/1/26 | 1,260,000 | 1,341,900 | |
NGL Energy Partners LP/NGL Energy Finance Corp. 6.125% 3/1/25 | 925,000 | 897,250 | |
NGPL PipeCo LLC: | |||
4.375% 8/15/22 (b) | 505,000 | 517,625 | |
4.875% 8/15/27 (b) | 505,000 | 524,276 | |
Nostrum Oil & Gas Finance BV: | |||
6.375% 2/14/19 (b) | 5,475,000 | 5,488,600 | |
8% 7/25/22 (b) | 4,340,000 | 4,521,846 | |
Pacific Exploration and Production Corp.: | |||
10% 11/2/21 pay-in-kind (d) | 1,204,000 | 1,369,550 | |
10% 11/2/21 pay-in-kind (b)(d) | 1,040,000 | 1,183,000 | |
Pan American Energy LLC 7.875% 5/7/21 (b) | 2,858,000 | 3,078,981 | |
Parsley Energy LLC/Parsley: | |||
5.25% 8/15/25 (b) | 715,000 | 718,575 | |
5.375% 1/15/25 (b) | 1,170,000 | 1,184,625 | |
PBF Holding Co. LLC/PBF Finance Corp. 7% 11/15/23 | 655,000 | 687,750 | |
PBF Logistics LP/PBF Logistics Finance, Inc.: | |||
6.875% 5/15/23 | 4,365,000 | 4,517,775 | |
6.875% 5/15/23 (b) | 3,080,000 | 3,187,800 | |
PDC Energy, Inc. 5.75% 5/15/26 (b) | 3,995,000 | 4,134,825 | |
Pemex Project Funding Master Trust 6.625% 6/15/35 | 4,605,000 | 4,966,032 | |
Petro-Canada 6.05% 5/15/18 | 3,850,000 | 3,917,490 | |
Petrobras Energia SA 7.375% 7/21/23 (b) | 1,555,000 | 1,696,007 | |
Petrobras Global Finance BV: | |||
4.375% 5/20/23 | 20,096,000 | 19,854,848 | |
4.75% 1/14/25 | EUR | 450,000 | 591,156 |
5.625% 5/20/43 | 18,504,000 | 16,584,210 | |
5.999% 1/27/28 (b) | 59,620,000 | 59,977,720 | |
6.125% 1/17/22 | 12,075,000 | 12,859,875 | |
6.25% 3/17/24 | 21,380,000 | 22,734,423 | |
7.25% 3/17/44 | 45,050,000 | 47,020,938 | |
7.375% 1/17/27 | 41,110,000 | 45,303,220 | |
8.75% 5/23/26 | 55,990,000 | 66,838,063 | |
Petrobras International Finance Co. Ltd.: | |||
5.375% 1/27/21 | 44,755,000 | 46,545,200 | |
5.875% 3/7/22 | EUR | 200,000 | 276,135 |
6.875% 1/20/40 | 1,220,000 | 1,239,825 | |
Petroleos de Venezuela SA: | |||
5.375% 4/12/27 | 975,000 | 233,025 | |
5.5% 4/12/37 | 1,520,000 | 349,600 | |
6% 5/16/24 (b) | 2,930,000 | 673,900 | |
6% 11/15/26 (b) | 2,810,000 | 618,200 | |
8.5% 10/27/20 (b) | 693,750 | 541,125 | |
9.75% 5/17/35 (b) | 4,785,000 | 1,291,950 | |
12.75% 2/17/22 (b) | 270,000 | 76,950 | |
Petroleos Mexicanos: | |||
2.5% 8/21/21 (Reg. S) | EUR | 6,200,000 | 7,719,969 |
3.5% 7/23/20 | 13,960,000 | 14,184,198 | |
3.5% 1/30/23 | 11,169,000 | 10,956,789 | |
4.5% 1/23/26 | 46,043,000 | 46,033,791 | |
4.625% 9/21/23 | 80,440,000 | 83,054,300 | |
4.875% 1/24/22 | 12,482,000 | 13,049,806 | |
4.875% 1/18/24 | 13,597,000 | 14,140,880 | |
5.5% 1/21/21 | 12,189,000 | 13,011,758 | |
5.5% 6/27/44 | 10,807,000 | 10,109,949 | |
5.625% 1/23/46 | 35,710,000 | 33,388,850 | |
6% 3/5/20 | 6,145,000 | 6,553,643 | |
6.375% 2/4/21 | 785,000 | 857,613 | |
6.375% 1/23/45 | 29,907,000 | 30,505,140 | |
6.5% 3/13/27 (b) | 33,960,000 | 37,449,390 | |
6.5% 3/13/27 (b) | 57,927,000 | 63,878,999 | |
6.5% 6/2/41 | 27,982,000 | 29,163,120 | |
6.625% (b)(c) | 2,510,000 | 2,543,132 | |
6.75% 9/21/47 (b) | 24,580,000 | 25,990,892 | |
6.75% 9/21/47 | 25,666,000 | 27,139,228 | |
6.875% 8/4/26 | 41,650,000 | 47,522,650 | |
8% 5/3/19 | 8,600,000 | 9,262,200 | |
Phillips 66 Co. 4.3% 4/1/22 | 12,618,000 | 13,402,564 | |
Phillips 66 Partners LP 2.646% 2/15/20 | 1,316,000 | 1,317,187 | |
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22 | 5,217,000 | 5,248,672 | |
PT Pertamina Persero 6.5% 5/27/41 (b) | 510,000 | 612,180 | |
Range Resources Corp.: | |||
4.875% 5/15/25 | 2,960,000 | 2,886,000 | |
5% 8/15/22 | 1,725,000 | 1,718,531 | |
5% 3/15/23 | 9,650,000 | 9,553,500 | |
Sabine Pass Liquefaction LLC 5.75% 5/15/24 | 1,440,000 | 1,597,384 | |
SemGroup Corp. 7.25% 3/15/26 (b) | 1,885,000 | 1,927,413 | |
Sinopec Group Overseas Development 2.5% 9/13/22 (Reg. S) | 6,750,000 | 6,605,726 | |
Sinopec Group Overseas Development (2015) Ltd. 1% 4/28/22 (Reg. S) | EUR | 2,675,000 | 3,231,458 |
Southwestern Energy Co.: | |||
4.1% 3/15/22 | 1,540,000 | 1,513,050 | |
6.7% 1/23/25 (d) | 34,312,000 | 35,684,480 | |
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 | 43,401,000 | 43,212,011 | |
Sunoco LP/Sunoco Finance Corp.: | |||
5.5% 8/1/20 | 1,445,000 | 1,485,460 | |
6.375% 4/1/23 | 6,650,000 | 7,024,063 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
5% 1/15/28 (b) | 5,175,000 | 5,136,188 | |
5.125% 2/1/25 | 1,210,000 | 1,237,225 | |
5.25% 5/1/23 | 685,000 | 702,125 | |
6.75% 3/15/24 | 4,420,000 | 4,751,500 | |
The Williams Companies, Inc.: | |||
3.7% 1/15/23 | 3,730,000 | 3,730,000 | |
4.55% 6/24/24 | 41,276,000 | 42,772,255 | |
5.75% 6/24/44 | 19,187,000 | 20,218,301 | |
Transportadora de Gas del Sur SA 9.625% 5/14/20 (b) | 3,316,317 | 3,566,533 | |
Tullow Oil PLC 6% 11/1/20 (b) | 810,000 | 816,075 | |
Western Gas Partners LP: | |||
4.65% 7/1/26 | 4,876,000 | 5,060,567 | |
5.375% 6/1/21 | 44,065,000 | 46,873,192 | |
Whiting Petroleum Corp.: | |||
5% 3/15/19 | 2,595,000 | 2,614,463 | |
5.75% 3/15/21 | 1,350,000 | 1,356,750 | |
6.25% 4/1/23 | 1,780,000 | 1,780,000 | |
Williams Partners LP: | |||
3.6% 3/15/22 | 10,817,000 | 11,069,771 | |
3.9% 1/15/25 | 26,667,000 | 27,161,101 | |
4% 11/15/21 | 6,716,000 | 6,961,937 | |
4% 9/15/25 | 3,000,000 | 3,056,774 | |
4.125% 11/15/20 | 2,399,000 | 2,490,673 | |
4.3% 3/4/24 | 40,932,000 | 42,896,269 | |
4.5% 11/15/23 | 7,325,000 | 7,756,847 | |
WPX Energy, Inc.: | |||
5.25% 9/15/24 | 4,250,000 | 4,175,625 | |
6% 1/15/22 | 2,480,000 | 2,554,400 | |
7.5% 8/1/20 | 4,492,000 | 4,873,820 | |
YPF SA: | |||
8.5% 3/23/21 (b) | 4,985,000 | 5,643,020 | |
8.5% 3/23/21 (Reg. S) | 1,500,000 | 1,698,000 | |
8.75% 4/4/24 (b) | 5,445,000 | 6,260,117 | |
8.875% 12/19/18 (Reg. S) | 2,150,000 | 2,276,205 | |
Zhaikmunai International BV 7.125% 11/13/19 (b) | 650,000 | 657,574 | |
1,905,323,076 | |||
TOTAL ENERGY | 2,048,148,464 | ||
FINANCIALS - 10.5% | |||
Banks - 4.7% | |||
ABN AMRO Bank NV 4.4% 3/27/28 (Reg. S) (d) | 5,400,000 | 5,575,678 | |
Access Bank PLC 10.5% 10/19/21 (b) | 795,000 | 894,773 | |
Akbank T.A.S. 6.5% 3/9/18 (Reg. S) | 3,100,000 | 3,123,250 | |
Akbank TAS/Ak Finansal Kiralama A/S 7.2% 3/16/27 (b)(d) | 695,000 | 722,348 | |
Allied Irish Banks PLC 4.125% 11/26/25 (Reg. S) (d) | EUR | 3,450,000 | 4,460,331 |
Banco de Bogota SA 6.25% 5/12/26 (b) | 690,000 | 747,960 | |
Banco de Reservas de La Republica Dominicana 7% 2/1/23 (b) | 1,675,000 | 1,765,475 | |
Banco Do Brasil SA 4.625% 1/15/25 (b) | 2,490,000 | 2,452,650 | |
Banco Espirito Santo SA 4% 1/21/19 (Reg. S) (f) | EUR | 1,300,000 | 433,251 |
Banco Hipotecario SA 9.75% 11/30/20 (b) | 5,205,000 | 5,927,975 | |
Banco Macro SA 6.75% 11/4/26 (b)(d) | 1,970,000 | 2,036,488 | |
Banco Nacional de Desenvolvimento Economico e Social: | |||
4% 4/14/19 (b) | 500,000 | 508,000 | |
6.369% 6/16/18 (b) | 1,125,000 | 1,145,689 | |
Bank of America Corp.: | |||
1.776% 5/4/27 (Reg. S) (d) | EUR | 4,350,000 | 5,396,185 |
2% 1/11/18 | 50,000,000 | 50,013,464 | |
2.25% 4/21/20 | 66,694,000 | 66,522,174 | |
2.6% 1/15/19 | 8,068,000 | 8,112,261 | |
3.3% 1/11/23 | 901,000 | 919,791 | |
3.5% 4/19/26 | 20,559,000 | 20,891,278 | |
3.705% 4/24/28 (d) | 32,549,000 | 33,336,750 | |
3.875% 8/1/25 | 22,129,000 | 23,195,675 | |
3.95% 4/21/25 | 17,156,000 | 17,637,088 | |
4.1% 7/24/23 | 11,481,000 | 12,167,393 | |
4.2% 8/26/24 | 40,532,000 | 42,564,087 | |
4.25% 10/22/26 | 14,724,000 | 15,447,673 | |
5.65% 5/1/18 | 8,780,000 | 8,915,659 | |
5.75% 12/1/17 | 21,955,000 | 21,955,000 | |
5.875% 1/5/21 | 6,530,000 | 7,177,849 | |
Banque Centrale de Tunisie 5.75% 1/30/25 (b) | 905,000 | 897,078 | |
Barclays Bank PLC 6.75% 1/16/23 (d) | GBP | 1,250,000 | 1,701,793 |
Barclays PLC: | |||
2.75% 11/8/19 | 12,249,000 | 12,308,444 | |
3.25% 1/12/21 | 21,116,000 | 21,382,209 | |
4.375% 1/12/26 | 25,086,000 | 26,065,558 | |
BBVA Bancomer SA: | |||
7.25% 4/22/20 (b) | 975,000 | 1,060,313 | |
7.25% 4/22/20 (Reg. S) | 3,300,000 | 3,588,750 | |
BTA Bank JSC 5.5% 12/21/22 (b) | 1,115,000 | 1,112,436 | |
CaixaBank SA: | |||
2.75% 7/14/28 (Reg. S) (d) | EUR | 1,400,000 | 1,702,267 |
5% 11/14/23 (Reg. S) (d) | EUR | 2,700,000 | 3,349,774 |
CBOM Finance PLC 7.5% 10/5/27 (b)(d) | 3,950,000 | 3,643,875 | |
Citigroup, Inc.: | |||
1.8% 2/5/18 | 33,287,000 | 33,290,828 | |
2.4% 2/18/20 | 60,588,000 | 60,550,029 | |
2.65% 10/26/20 | 20,000,000 | 20,072,287 | |
2.75% 4/25/22 | 25,000,000 | 24,939,656 | |
4.05% 7/30/22 | 5,303,000 | 5,526,762 | |
4.4% 6/10/25 | 40,790,000 | 42,841,159 | |
4.45% 9/29/27 | 10,000,000 | 10,505,177 | |
5.125% 12/12/18 | GBP | 1,875,000 | 2,635,882 |
5.5% 9/13/25 | 20,027,000 | 22,531,332 | |
Citizens Bank NA 2.55% 5/13/21 | 6,564,000 | 6,543,150 | |
Citizens Financial Group, Inc. 4.15% 9/28/22 (b) | 15,987,000 | 16,551,042 | |
Credit Suisse Group Funding Guernsey Ltd.: | |||
2.75% 3/26/20 | 19,455,000 | 19,556,363 | |
3.75% 3/26/25 | 19,450,000 | 19,863,673 | |
3.8% 9/15/22 | 30,700,000 | 31,700,905 | |
3.8% 6/9/23 | 36,648,000 | 37,869,971 | |
CYBG PLC 3.125% 6/22/25 (Reg. S) (d) | GBP | 1,300,000 | 1,783,258 |
Discover Bank: | |||
4.2% 8/8/23 | 17,852,000 | 18,805,190 | |
7% 4/15/20 | 2,030,000 | 2,223,544 | |
Fidelity Bank PLC 10.5% 10/16/22 (b) | 800,000 | 808,160 | |
Fifth Third Bancorp: | |||
4.5% 6/1/18 | 798,000 | 807,781 | |
8.25% 3/1/38 | 4,667,000 | 7,023,531 | |
HBOS PLC 6.75% 5/21/18 (b) | 6,067,000 | 6,197,063 | |
HSBC Bank PLC 5% 3/20/23 (d) | GBP | 967,000 | 1,322,159 |
HSBC Holdings PLC: | |||
2.256% 11/13/26 (Reg. S) (d) | GBP | 3,250,000 | 4,358,590 |
4.25% 3/14/24 | 6,192,000 | 6,439,535 | |
HSBC U.S.A., Inc. 1.625% 1/16/18 | 11,125,000 | 11,125,098 | |
Huntington Bancshares, Inc. 7% 12/15/20 | 2,851,000 | 3,203,882 | |
Intesa Sanpaolo SpA 5.71% 1/15/26 (b) | 28,396,000 | 30,100,564 | |
Itau Unibanco Holding SA: | |||
5.125% 5/13/23 (Reg. S) | 1,650,000 | 1,705,605 | |
5.5% 8/6/22 (b) | 1,155,000 | 1,208,130 | |
6.2% 12/21/21 (Reg. S) | 980,000 | 1,055,460 | |
JPMorgan Chase & Co.: | |||
1.625% 5/15/18 | 12,580,000 | 12,572,633 | |
2.2% 10/22/19 | 7,268,000 | 7,270,431 | |
2.25% 1/23/20 | 40,000,000 | 39,989,889 | |
2.35% 1/28/19 | 6,857,000 | 6,882,122 | |
2.95% 10/1/26 | 18,480,000 | 18,048,782 | |
3.25% 9/23/22 | 18,423,000 | 18,836,523 | |
3.875% 9/10/24 | 35,791,000 | 37,278,018 | |
4.125% 12/15/26 | 32,416,000 | 33,768,690 | |
4.25% 10/15/20 | 6,995,000 | 7,341,061 | |
4.35% 8/15/21 | 20,267,000 | 21,534,253 | |
4.5% 1/24/22 | 22,046,000 | 23,560,584 | |
4.625% 5/10/21 | 6,879,000 | 7,347,684 | |
4.95% 3/25/20 | 22,079,000 | 23,383,055 | |
JSC BGEO Group 6% 7/26/23 (b) | 2,110,000 | 2,189,125 | |
Kazkommertsbank Jsc Mtn Bank Ent 8.5% 5/11/18 (b) | 2,470,000 | 2,521,450 | |
Nykredit Realkredit A/S 4% 6/3/36 (Reg. S) (d) | EUR | 3,952,000 | 5,121,336 |
Rabobank Nederland 4.375% 8/4/25 | 25,937,000 | 27,312,958 | |
Regions Bank 6.45% 6/26/37 | 24,618,000 | 30,774,790 | |
Regions Financial Corp. 3.2% 2/8/21 | 11,916,000 | 12,135,017 | |
Royal Bank of Scotland Group PLC: | |||
4.8% 4/5/26 | 50,452,000 | 53,884,388 | |
5.125% 5/28/24 | 64,006,000 | 67,975,471 | |
6% 12/19/23 | 36,682,000 | 40,575,332 | |
6.1% 6/10/23 | 31,961,000 | 35,271,964 | |
6.125% 12/15/22 | 42,557,000 | 46,916,042 | |
SB Capital SA 5.5% 2/26/24 (b)(d) | 1,160,000 | 1,184,360 | |
Trade and Development Bank of Mongolia LLC 9.375% 5/19/20 (b) | 1,905,000 | 2,085,937 | |
Turkiye Garanti Bankasi A/S 6.125% 5/24/27 (b)(d) | 1,020,000 | 1,007,882 | |
Turkiye Halk Bankasi A/S 3.875% 2/5/20 (b) | 960,000 | 908,966 | |
Turkiye Is Bankasi A/S: | |||
5.5% 4/21/19 (b) | 415,000 | 421,503 | |
5.5% 4/21/22 (b) | 1,725,000 | 1,716,389 | |
Turkiye Vakiflar Bankasi TAO 6.875% 2/3/25 (Reg. S) (d) | 2,665,000 | 2,666,322 | |
UniCredit SpA 6.375% 5/2/23 (Reg. S) (d) | 1,350,000 | 1,371,435 | |
Zenith Bank PLC: | |||
6.25% 4/22/19 (b) | 4,520,000 | 4,630,740 | |
7.375% 5/30/22 (b) | 3,095,000 | 3,207,410 | |
1,495,697,000 | |||
Capital Markets - 3.3% | |||
Affiliated Managers Group, Inc.: | |||
3.5% 8/1/25 | 21,008,000 | 21,092,249 | |
4.25% 2/15/24 | 14,661,000 | 15,385,328 | |
Argos Merger Sub, Inc. 7.125% 3/15/23 (b) | 2,080,000 | 1,518,400 | |
Compass Group International BV 0.625% 7/3/24 (Reg. S) | EUR | 3,200,000 | 3,790,769 |
Credit Suisse AG 6% 2/15/18 | 18,058,000 | 18,205,705 | |
Credit Suisse Group AG 5.75% 9/18/25 (Reg. S) (d) | EUR | 5,950,000 | 8,038,339 |
Deutsche Bank AG: | |||
4.25% 10/14/21 | 9,738,000 | 10,134,187 | |
4.5% 4/1/25 | 80,571,000 | 81,731,441 | |
Deutsche Bank AG London Branch 1.875% 2/13/18 | 37,777,000 | 37,779,441 | |
Deutsche Bank AG New York Branch 3.3% 11/16/22 | 37,857,000 | 37,776,019 | |
Goldman Sachs Group, Inc.: | |||
1.25% 5/1/25 (Reg. S) | EUR | 2,100,000 | 2,524,243 |
2% 7/27/23 (Reg. S) | EUR | 5,550,000 | 7,039,828 |
2.876% 10/31/22 (d) | 100,974,000 | 100,815,400 | |
3.691% 6/5/28 (d) | 200,926,000 | 202,722,516 | |
3.75% 5/22/25 | 20,000,000 | 20,500,256 | |
5.25% 7/27/21 | 17,105,000 | 18,599,442 | |
5.95% 1/18/18 | 4,975,000 | 5,000,323 | |
IntercontinentalExchange, Inc. 2.75% 12/1/20 | 6,489,000 | 6,572,928 | |
Lazard Group LLC 4.25% 11/14/20 | 10,151,000 | 10,631,181 | |
Merrill Lynch & Co., Inc. 5.5% 11/22/21 | GBP | 1,100,000 | 1,688,387 |
Moody's Corp.: | |||
3.25% 1/15/28 (b) | 11,520,000 | 11,353,819 | |
4.875% 2/15/24 | 10,818,000 | 11,878,488 | |
Morgan Stanley: | |||
1% 12/2/22 | EUR | 2,350,000 | 2,864,931 |
2.125% 4/25/18 | 12,586,000 | 12,597,672 | |
2.375% 3/31/21 (Reg. S) | EUR | 3,000,000 | 3,830,315 |
2.8% 6/16/20 | 30,000,000 | 30,263,208 | |
3.125% 7/27/26 | 108,849,000 | 106,817,685 | |
3.7% 10/23/24 | 37,479,000 | 38,688,516 | |
4.875% 11/1/22 | 26,240,000 | 28,252,985 | |
5% 11/24/25 | 3,189,000 | 3,484,228 | |
5.5% 1/26/20 | 88,000,000 | 93,579,994 | |
5.625% 9/23/19 | 12,714,000 | 13,439,479 | |
5.75% 1/25/21 | 19,879,000 | 21,759,599 | |
MSCI, Inc.: | |||
4.75% 8/1/26 (b) | 4,145,000 | 4,382,509 | |
5.25% 11/15/24 (b) | 4,420,000 | 4,674,150 | |
Thomson Reuters Corp. 3.85% 9/29/24 | 11,394,000 | 11,802,658 | |
UBS Group Funding Ltd. 4.125% 9/24/25 (b) | 18,881,000 | 19,798,651 | |
1,031,015,269 | |||
Consumer Finance - 0.8% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 3.5% 5/26/22 | 7,478,000 | 7,610,114 | |
Capital One Financial Corp. 2.45% 4/24/19 | 10,550,000 | 10,577,991 | |
Credito Real S.A.B. de CV 7.5% 3/13/19 (b) | 1,465,000 | 1,501,625 | |
Discover Financial Services: | |||
3.85% 11/21/22 | 34,849,000 | 35,893,869 | |
3.95% 11/6/24 | 14,738,000 | 15,097,560 | |
4.1% 2/9/27 | 24,223,000 | 24,623,966 | |
5.2% 4/27/22 | 12,545,000 | 13,564,618 | |
Ford Motor Credit Co. LLC: | |||
1.724% 12/6/17 | 18,742,000 | 18,742,000 | |
2.24% 6/15/18 | 19,162,000 | 19,190,017 | |
2.597% 11/4/19 | 52,209,000 | 52,394,409 | |
2.875% 10/1/18 | 13,000,000 | 13,087,069 | |
Hyundai Capital America 2.875% 8/9/18 (b) | 5,276,000 | 5,293,165 | |
SLM Corp.: | |||
5.5% 1/15/19 | 725,000 | 742,763 | |
5.5% 1/25/23 | 2,640,000 | 2,643,300 | |
Synchrony Financial: | |||
3% 8/15/19 | 4,907,000 | 4,953,601 | |
3.75% 8/15/21 | 7,409,000 | 7,604,736 | |
4.25% 8/15/24 | 7,458,000 | 7,764,380 | |
241,285,183 | |||
Diversified Financial Services - 0.6% | |||
1MDB Global Investments Ltd. 4.4% 3/9/23 | 1,000,000 | 963,933 | |
Annington Funding PLC 2.646% 7/12/25 (Reg. S) | GBP | 2,100,000 | 2,857,012 |
Brixmor Operating Partnership LP: | |||
3.25% 9/15/23 | 25,518,000 | 25,005,279 | |
3.85% 2/1/25 | 14,325,000 | 14,302,468 | |
3.875% 8/15/22 | 21,027,000 | 21,590,323 | |
4.125% 6/15/26 | 8,647,000 | 8,700,583 | |
Chobani LLC/Finance Corp., Inc. 7.5% 4/15/25 (b) | 2,820,000 | 3,066,750 | |
Cimpor Financial Operations BV 5.75% 7/17/24 (b) | 1,725,000 | 1,673,250 | |
CRC Escrow Issuer LLC/CRC Finance LLC 5.25% 10/15/25 (b) | 5,880,000 | 5,887,350 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.875% 3/15/19 | 12,570,000 | 12,617,138 | |
5.875% 2/1/22 | 24,766,000 | 25,323,235 | |
6% 8/1/20 | 2,810,000 | 2,894,300 | |
6.25% 2/1/22 | 2,105,000 | 2,189,200 | |
6.75% 2/1/24 | 2,000,000 | 2,100,000 | |
ILFC E-Capital Trust I 3 month U.S. LIBOR + 1.550% 4.36% 12/21/65 (b)(d)(e) | 11,760,000 | 11,289,600 | |
ILFC E-Capital Trust II 3 month U.S. LIBOR + 1.800% 4.61% 12/21/65 (b)(d)(e) | 6,710,000 | 6,458,375 | |
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 8.625% 11/15/24 (b) | 610,000 | 654,225 | |
j2 Cloud Services LLC/j2 Global Communications, Inc. 6% 7/15/25 (b) | 1,375,000 | 1,430,000 | |
James Hardie International Finance Ltd.: | |||
4.75% 1/15/25 (b)(h) | 1,455,000 | 1,480,463 | |
5% 1/15/28 (b)(h) | 1,470,000 | 1,495,725 | |
PT Bukit Makmur Mandiri Utama 7.75% 2/13/22 (b) | 1,695,000 | 1,815,535 | |
Radiate Holdco LLC/Radiate Financial Service Ltd. 6.625% 2/15/25 (b) | 2,080,000 | 1,991,600 | |
Sistema International Funding SA 6.95% 5/17/19 (b) | 2,285,000 | 2,225,659 | |
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (b) | 6,270,000 | 7,053,750 | |
Sparc Em Spc 0% 12/5/22 (b) | 205,000 | 187,575 | |
Tempo Acquisition LLC: | |||
6.75% 6/1/25 (b) | 3,205,000 | 3,225,031 | |
6.75% 6/1/25 (b) | 1,815,000 | 1,826,344 | |
TMK Capital SA 6.75% 4/3/20 (Reg. S) | 560,000 | 590,262 | |
Voya Financial, Inc. 3.125% 7/15/24 | 13,804,000 | 13,680,202 | |
184,575,167 | |||
Insurance - 1.1% | |||
Acrisure LLC 7% 11/15/25 (b) | 2,970,000 | 2,929,163 | |
AIA Group Ltd. 2.25% 3/11/19 (b) | 2,566,000 | 2,552,927 | |
American International Group, Inc.: | |||
2.3% 7/16/19 | 6,461,000 | 6,463,778 | |
3.3% 3/1/21 | 9,614,000 | 9,822,897 | |
3.875% 1/15/35 | 19,041,000 | 18,616,797 | |
4.875% 6/1/22 | 18,193,000 | 19,717,525 | |
Aon Corp. 5% 9/30/20 | 3,854,000 | 4,123,512 | |
Aquarius + Investments PLC for Swiss Reinsurance Co. Ltd. 6.375% 9/1/24 (d) | 4,650,000 | 4,902,095 | |
Assicurazioni Generali SpA 5.5% 10/27/47 (Reg. S) (d) | EUR | 600,000 | 860,194 |
AXA SA 3.941%(Reg. S) (c)(d) | EUR | 720,000 | 971,608 |
Demeter Investments BV 5.625% 8/15/52 (Reg. S) (d) | 2,250,000 | 2,458,303 | |
Great-West Life & Annuity Insurance Co. 3 month U.S. LIBOR + 2.538% 3.957% 5/16/46 (b)(d)(e) | 1,859,000 | 1,845,058 | |
Hartford Financial Services Group, Inc. 5.125% 4/15/22 | 14,787,000 | 16,188,982 | |
Liberty Mutual Group, Inc. 5% 6/1/21 (b) | 12,644,000 | 13,572,482 | |
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 | 7,090,000 | 7,607,145 | |
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (b) | 30,523,000 | 31,708,664 | |
MetLife, Inc.: | |||
1.903% 12/15/17 (d) | 2,987,000 | 2,986,916 | |
3.048% 12/15/22 (d) | 12,433,000 | 12,622,859 | |
4.75% 2/8/21 | 4,032,000 | 4,323,632 | |
Metropolitan Life Global Funding I 3% 1/10/23 (b) | 7,896,000 | 7,977,507 | |
Pacific LifeCorp 5.125% 1/30/43 (b) | 33,774,000 | 37,576,151 | |
Pricoa Global Funding I 5.375% 5/15/45 (d) | 17,492,000 | 18,803,900 | |
Prudential Financial, Inc.: | |||
2.3% 8/15/18 | 1,622,000 | 1,627,311 | |
6.2% 11/15/40 | 4,318,000 | 5,861,082 | |
7.375% 6/15/19 | 3,230,000 | 3,478,630 | |
QBE Insurance Group Ltd. 5.25% (Reg. S) (c)(d) | 1,000,000 | 1,019,068 | |
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b) | 18,083,000 | 20,378,694 | |
TIAA Asset Management Finance LLC: | |||
2.95% 11/1/19 (b) | 4,172,000 | 4,215,554 | |
4.125% 11/1/24 (b) | 6,048,000 | 6,365,859 | |
Unum Group: | |||
3.875% 11/5/25 | 21,587,000 | 22,054,314 | |
4% 3/15/24 | 20,000,000 | 20,767,222 | |
5.625% 9/15/20 | 8,386,000 | 9,062,028 | |
5.75% 8/15/42 | 25,545,000 | 30,747,831 | |
USIS Merger Sub, Inc. 6.875% 5/1/25 (b) | 5,555,000 | 5,624,438 | |
359,834,126 | |||
Mortgage Real Estate Investment Trusts - 0.0% | |||
Starwood Property Trust, Inc.: | |||
4.75% 3/15/25 (b) | 1,925,000 | 1,920,188 | |
5% 12/15/21 | 4,120,000 | 4,289,950 | |
6,210,138 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Leeds Building Society 0.5% 7/3/24 (Reg. S) | EUR | 4,800,000 | 5,708,327 |
Prime Securities Services Borrower LLC/Prime Finance, Inc. 9.25% 5/15/23 (b) | 1,000,000 | 1,103,750 | |
6,812,077 | |||
TOTAL FINANCIALS | 3,325,428,960 | ||
HEALTH CARE - 1.5% | |||
Biotechnology - 0.2% | |||
AbbVie, Inc.: | |||
2.9% 11/6/22 | 24,855,000 | 24,849,333 | |
4.5% 5/14/35 | 23,238,000 | 24,847,041 | |
AMAG Pharmaceuticals, Inc. 7.875% 9/1/23 (b) | 3,815,000 | 3,738,700 | |
53,435,074 | |||
Health Care Equipment & Supplies - 0.0% | |||
Becton, Dickinson & Co. 2.675% 12/15/19 | 3,954,000 | 3,971,913 | |
Ortho-Clinical Diagnostics, Inc. 6.625% 5/15/22 (b) | 1,415,000 | 1,400,850 | |
Teleflex, Inc.: | |||
4.625% 11/15/27 | 825,000 | 844,594 | |
4.875% 6/1/26 | 6,975,000 | 7,225,333 | |
13,442,690 | |||
Health Care Providers & Services - 0.5% | |||
Aetna, Inc. 2.75% 11/15/22 | 2,010,000 | 1,987,408 | |
Community Health Systems, Inc.: | |||
6.25% 3/31/23 | 4,705,000 | 4,399,175 | |
6.875% 2/1/22 | 14,070,000 | 8,477,175 | |
HCA Holdings, Inc.: | |||
3.75% 3/15/19 | 18,722,000 | 18,956,025 | |
4.25% 10/15/19 | 7,590,000 | 7,789,238 | |
4.5% 2/15/27 | 5,270,000 | 5,343,780 | |
4.75% 5/1/23 | 595,000 | 621,031 | |
5% 3/15/24 | 6,375,000 | 6,693,750 | |
5.25% 6/15/26 | 11,470,000 | 12,179,706 | |
5.875% 3/15/22 | 715,000 | 774,881 | |
5.875% 2/15/26 | 3,820,000 | 4,063,525 | |
6.5% 2/15/20 | 30,303,000 | 32,537,846 | |
HealthSouth Corp. 5.125% 3/15/23 | 4,745,000 | 4,855,084 | |
Kindred Healthcare, Inc.: | |||
8% 1/15/20 | 1,145,000 | 1,153,588 | |
8.75% 1/15/23 | 1,565,000 | 1,565,000 | |
Medco Health Solutions, Inc. 4.125% 9/15/20 | 7,486,000 | 7,785,742 | |
Polaris Intermediate Corp. 8.5% 12/1/22 pay-in-kind (b)(d) | 3,790,000 | 3,943,116 | |
Sabra Health Care LP/Sabra Capital Corp.: | |||
5.375% 6/1/23 | 500,000 | 516,250 | |
5.5% 2/1/21 | 1,555,000 | 1,603,594 | |
Tenet Healthcare Corp.: | |||
4.375% 10/1/21 | 3,825,000 | 3,825,000 | |
4.625% 7/15/24 (b) | 5,540,000 | 5,456,900 | |
7.5% 1/1/22 (b) | 775,000 | 817,625 | |
THC Escrow Corp. III 5.125% 5/1/25 (b) | 4,400,000 | 4,235,000 | |
Wellcare Health Plans, Inc. 5.25% 4/1/25 | 3,335,000 | 3,530,931 | |
WellPoint, Inc. 3.3% 1/15/23 | 6,442,000 | 6,537,918 | |
149,649,288 | |||
Life Sciences Tools & Services - 0.0% | |||
Thermo Fisher Scientific, Inc.: | |||
2.4% 2/1/19 | 1,959,000 | 1,963,744 | |
4.15% 2/1/24 | 3,010,000 | 3,183,095 | |
5,146,839 | |||
Pharmaceuticals - 0.8% | |||
Actavis Funding SCS: | |||
3% 3/12/20 | 13,777,000 | 13,902,953 | |
3.45% 3/15/22 | 48,347,000 | 49,151,710 | |
Catalent Pharma Solutions 4.875% 1/15/26 (b) | 2,585,000 | 2,617,313 | |
Mylan N.V.: | |||
2.25% 11/22/24 (Reg. S) | EUR | 1,650,000 | 2,054,040 |
2.5% 6/7/19 | 16,423,000 | 16,410,471 | |
3.15% 6/15/21 | 21,235,000 | 21,352,378 | |
3.95% 6/15/26 | 11,126,000 | 11,092,204 | |
Perrigo Finance PLC: | |||
3.5% 12/15/21 | 1,541,000 | 1,566,808 | |
3.9% 12/15/24 | 5,449,000 | 5,547,900 | |
Teva Pharmaceutical Finance IV BV 2.875% 4/15/19 | EUR | 1,050,000 | 1,270,384 |
Teva Pharmaceutical Finance Netherlands III BV: | |||
0.375% 7/25/20 (Reg. S) | EUR | 800,000 | 910,366 |
1.25% 3/31/23 (Reg. S) | EUR | 1,500,000 | 1,642,081 |
2.2% 7/21/21 | 15,311,000 | 14,069,435 | |
2.8% 7/21/23 | 38,972,000 | 34,405,585 | |
3.15% 10/1/26 | 12,782,000 | 10,661,329 | |
Valeant Pharmaceuticals International, Inc.: | |||
5.375% 3/15/20 (b) | 4,690,000 | 4,643,100 | |
5.5% 11/1/25 (b) | 3,645,000 | 3,690,927 | |
5.625% 12/1/21 (b) | 8,980,000 | 8,351,400 | |
5.875% 5/15/23 (b) | 11,660,000 | 10,200,168 | |
6.125% 4/15/25 (b) | 7,740,000 | 6,637,050 | |
6.5% 3/15/22 (b) | 2,500,000 | 2,625,000 | |
7% 3/15/24 (b) | 4,905,000 | 5,254,481 | |
VPI Escrow Corp. 6.375% 10/15/20 (b) | 1,141,000 | 1,139,574 | |
Zoetis, Inc.: | |||
3.25% 2/1/23 | 4,892,000 | 4,973,364 | |
3.45% 11/13/20 | 5,179,000 | 5,314,948 | |
239,484,969 | |||
TOTAL HEALTH CARE | 461,158,860 | ||
INDUSTRIALS - 1.0% | |||
Aerospace & Defense - 0.2% | |||
BAE Systems Holdings, Inc.: | |||
3.8% 10/7/24 (b) | 9,122,000 | 9,501,409 | |
6.375% 6/1/19 (b) | 8,071,000 | 8,542,729 | |
Bombardier, Inc.: | |||
6.125% 1/15/23 (b) | 4,680,000 | 4,606,056 | |
7.5% 12/1/24 (b) | 1,980,000 | 1,996,632 | |
DAE Funding LLC: | |||
4% 8/1/20 (b) | 1,425,000 | 1,431,056 | |
4.5% 8/1/22 (b) | 1,470,000 | 1,462,650 | |
5% 8/1/24 (b) | 7,625,000 | 7,625,000 | |
TransDigm, Inc.: | |||
5.5% 10/15/20 | 3,580,000 | 3,615,800 | |
6% 7/15/22 | 4,010,000 | 4,135,313 | |
6.375% 6/15/26 | 2,060,000 | 2,090,900 | |
6.5% 5/15/25 | 8,300,000 | 8,470,980 | |
53,478,525 | |||
Air Freight & Logistics - 0.0% | |||
Rumo Luxembourg Sarl 7.375% 2/9/24 (b) | 2,945,000 | 3,180,600 | |
Airlines - 0.1% | |||
Air Canada 7.75% 4/15/21 (b) | 1,470,000 | 1,679,475 | |
Air Canada Trust Series 2015-1 equipment trust certificate Class C, 5% 3/15/20 (b) | 5,685,000 | 5,834,231 | |
Allegiant Travel Co. 5.5% 7/15/19 | 4,985,000 | 5,140,781 | |
American Airlines Group, Inc. 4.625% 3/1/20 (b) | 1,650,000 | 1,680,608 | |
American Airlines, Inc. pass-thru trust certificates 5.625% 7/15/22 (b) | 184,258 | 193,931 | |
Azul Investments LLP 5.875% 10/26/24 (b) | 900,000 | 895,500 | |
Continental Airlines, Inc.: | |||
pass-thru trust certificates 9.798% 4/1/21 | 141,103 | 154,861 | |
6.9% 1/2/18 | 40,005 | 40,053 | |
U.S. Airways Group, Inc. 6.125% 6/1/18 | 895,000 | 910,663 | |
U.S. Airways pass-thru certificates: | |||
Series 2012-2C, 5.45% 6/3/18 | 1,690,000 | 1,723,800 | |
Series 2013-1 Class B, 5.375% 11/15/21 | 273,209 | 288,809 | |
U.S. Airways pass-thru trust certificates: | |||
6.85% 1/30/18 | 234,608 | 236,954 | |
8.36% 1/20/19 | 209,681 | 209,943 | |
United Air Lines, Inc. pass-thru trust certificates Class B, 7.336% 7/2/19 | 514,957 | 548,430 | |
United Continental Holdings, Inc.: | |||
4.25% 10/1/22 | 7,680,000 | 7,699,200 | |
6% 12/1/20 | 605,000 | 651,888 | |
27,889,127 | |||
Building Products - 0.0% | |||
Building Materials Corp. of America 5% 2/15/27 (b) | 4,295,000 | 4,466,800 | |
HD Supply, Inc. 5.75% 4/15/24 (b) | 2,440,000 | 2,598,600 | |
7,065,400 | |||
Commercial Services & Supplies - 0.2% | |||
APX Group, Inc.: | |||
6.375% 12/1/19 | 5,657,000 | 5,734,784 | |
7.625% 9/1/23 | 3,860,000 | 4,081,950 | |
7.875% 12/1/22 | 1,150,000 | 1,230,500 | |
8.75% 12/1/20 | 10,732,000 | 10,956,835 | |
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (b) | 3,845,000 | 4,076,854 | |
CD&R Waterworks Merger Sub LLC 6.125% 8/15/25 (b) | 795,000 | 811,139 | |
Cenveo Corp. 6% 8/1/19 (b) | 325,000 | 216,125 | |
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (b) | 3,420,000 | 3,556,800 | |
Multi-Color Corp. 4.875% 11/1/25 (b) | 4,685,000 | 4,720,138 | |
Prime Security One MS, Inc. 4.875% 7/15/32 (b) | 2,870,000 | 2,722,310 | |
Securitas AB 1.125% 2/20/24 (Reg. S) | EUR | 5,350,000 | 6,433,694 |
44,541,129 | |||
Construction & Engineering - 0.0% | |||
Cementos Progreso Trust 7.125% 11/6/23 (b) | 920,000 | 984,400 | |
Odebrecht Finance Ltd.: | |||
4.375% 4/25/25 (b) | 2,575,000 | 894,813 | |
7.125% 6/26/42 (b) | 1,425,000 | 491,625 | |
2,370,838 | |||
Electrical Equipment - 0.0% | |||
Sensata Technologies BV 5% 10/1/25 (b) | 4,285,000 | 4,574,238 | |
Vestas Wind Systems A/S 2.75% 3/11/22 (Reg. S) | EUR | 2,740,000 | 3,461,006 |
8,035,244 | |||
Industrial Conglomerates - 0.0% | |||
Alfa SA de CV 5.25% 3/25/24 (b) | 450,000 | 475,875 | |
Machinery - 0.0% | |||
Xerium Technologies, Inc. 9.5% 8/15/21 | 2,500,000 | 2,543,750 | |
Marine - 0.1% | |||
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (b) | 12,785,000 | 10,835,288 | |
Navios Maritime Holdings, Inc.: | |||
7.375% 1/15/22 (b) | 1,520,000 | 1,197,000 | |
11.25% 8/15/22 (b) | 3,190,000 | 3,082,338 | |
15,114,626 | |||
Professional Services - 0.0% | |||
IHS Markit Ltd. 4% 3/1/26 (b) | 890,000 | 896,675 | |
Road & Rail - 0.0% | |||
Alpha Trains Finance SA 2.064% 6/30/25 | EUR | 4,000,000 | 4,890,785 |
JSC Georgian Railway 7.75% 7/11/22 (b) | 650,000 | 725,685 | |
Lima Metro Line 2 Finance Ltd. 5.875% 7/5/34 (b) | 570,000 | 627,000 | |
6,243,470 | |||
Trading Companies & Distributors - 0.4% | |||
Air Lease Corp.: | |||
2.125% 1/15/18 | 7,271,000 | 7,273,782 | |
2.625% 9/4/18 | 16,438,000 | 16,492,604 | |
3% 9/15/23 | 3,204,000 | 3,184,511 | |
3.375% 6/1/21 | 10,493,000 | 10,733,167 | |
3.75% 2/1/22 | 26,396,000 | 27,365,198 | |
3.875% 4/1/21 | 11,610,000 | 12,072,238 | |
4.25% 9/15/24 | 12,030,000 | 12,646,954 | |
4.75% 3/1/20 | 11,796,000 | 12,382,902 | |
Ashtead Capital, Inc.: | |||
4.125% 8/15/25 (b) | 1,490,000 | 1,501,175 | |
4.375% 8/15/27 (b) | 1,575,000 | 1,605,508 | |
Avantor, Inc.: | |||
6% 10/1/24 (b) | 2,925,000 | 2,926,828 | |
9% 10/1/25 (b) | 5,300,000 | 5,207,250 | |
Brenntag Finance BV 1.125% 9/27/25 (Reg. S) | EUR | 1,750,000 | 2,073,773 |
FLY Leasing Ltd.: | |||
5.25% 10/15/24 | 1,590,000 | 1,593,975 | |
6.375% 10/15/21 | 6,000,000 | 6,262,500 | |
H&E Equipment Services, Inc. 5.625% 9/1/25 (b) | 2,605,000 | 2,728,738 | |
Travis Perkins PLC: | |||
4.375% 9/15/21 (Reg. S) | GBP | 203,000 | 288,244 |
4.5% 9/7/23 (Reg. S) | GBP | 1,950,000 | 2,744,645 |
129,083,992 | |||
Transportation Infrastructure - 0.0% | |||
Aeropuertos Argentina 2000 SA 6.875% 2/1/27 (b) | 1,960,000 | 2,113,037 | |
Global Ports Finance PLC 6.872% 1/25/22 (b) | 1,410,000 | 1,519,444 | |
Heathrow Funding Ltd. 6% 3/20/20 | GBP | 3,800,000 | 5,664,076 |
9,296,557 | |||
TOTAL INDUSTRIALS | 310,215,808 | ||
INFORMATION TECHNOLOGY - 0.3% | |||
Communications Equipment - 0.0% | |||
Banglalink Digital Communications Ltd.: | |||
8.625% 5/6/19(b) | 4,280,000 | 4,440,928 | |
8.625% 5/6/19 (Reg. S) | 200,000 | 207,520 | |
Proven Glory Capital Ltd. 3.25% 2/21/22 (Reg. S) | 3,300,000 | 3,300,195 | |
7,948,643 | |||
Electronic Equipment & Components - 0.0% | |||
Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | |||
3.48% 6/1/19 (b) | 796,000 | 806,228 | |
4.42% 6/15/21 (b) | 2,400,000 | 2,504,949 | |
Tyco Electronics Group SA 2.375% 12/17/18 | 2,244,000 | 2,251,177 | |
5,562,354 | |||
Internet Software & Services - 0.0% | |||
Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc. 12.5% 7/1/22 (b) | 5,620,000 | 6,378,700 | |
VeriSign, Inc.: | |||
4.75% 7/15/27 | 1,955,000 | 2,016,094 | |
5.25% 4/1/25 | 2,730,000 | 2,972,288 | |
11,367,082 | |||
IT Services - 0.0% | |||
Ceridian HCM Holding, Inc. 11% 3/15/21 (b) | 440,000 | 463,100 | |
Gartner, Inc. 5.125% 4/1/25 (b) | 1,335,000 | 1,395,075 | |
1,858,175 | |||
Semiconductors & Semiconductor Equipment - 0.2% | |||
Entegris, Inc. 4.625% 2/10/26 (b) | 1,765,000 | 1,798,094 | |
Micron Technology, Inc.: | |||
5.25% 1/15/24 (b) | 2,650,000 | 2,762,625 | |
5.5% 2/1/25 | 1,675,000 | 1,771,313 | |
5.625% 1/15/26 (b) | 1,285,000 | 1,355,675 | |
NXP BV/NXP Funding LLC: | |||
3.875% 9/1/22 (b) | 10,645,000 | 10,844,594 | |
4.125% 6/1/21 (b) | 9,955,000 | 10,234,935 | |
4.625% 6/15/22 (b) | 4,875,000 | 5,130,938 | |
4.625% 6/1/23(b) | 2,480,000 | 2,619,897 | |
Qorvo, Inc. 7% 12/1/25 | 5,885,000 | 6,679,475 | |
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (b) | 3,025,000 | 3,289,688 | |
Versum Materials, Inc. 5.5% 9/30/24 (b) | 2,715,000 | 2,905,050 | |
49,392,284 | |||
Software - 0.1% | |||
CDK Global, Inc. 4.875% 6/1/27 (b) | 1,820,000 | 1,874,600 | |
Ensemble S Merger Sub, Inc. 9% 9/30/23 (b) | 120,000 | 124,800 | |
Greeneden U.S. Holdings II LLC 10% 11/30/24 (b) | 2,445,000 | 2,738,400 | |
Nuance Communications, Inc. 5.375% 8/15/20 (b) | 1,939,000 | 1,966,146 | |
Open Text Corp. 5.875% 6/1/26 (b) | 11,080,000 | 12,021,800 | |
Symantec Corp. 5% 4/15/25 (b) | 4,470,000 | 4,691,265 | |
23,417,011 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Hewlett Packard Enterprise Co. 6.35% 10/15/45 (d) | 3,807,000 | 3,890,965 | |
TOTAL INFORMATION TECHNOLOGY | 103,436,514 | ||
MATERIALS - 0.9% | |||
Chemicals - 0.2% | |||
Braskem Finance Ltd.: | |||
5.375% 5/2/22 (b) | 1,560,000 | 1,665,300 | |
5.75% 4/15/21 (b) | 830,000 | 888,100 | |
6.45% 2/3/24 | 680,000 | 763,640 | |
Evolution Escrow Issuer LLC 7.5% 3/15/22 (b) | 3,730,000 | 3,897,850 | |
Kraton Polymers LLC/Kraton Polymers Capital Corp. 7% 4/15/25 (b) | 5,185,000 | 5,586,838 | |
NOVA Chemicals Corp.: | |||
4.875% 6/1/24 (b) | 3,820,000 | 3,867,750 | |
5.25% 6/1/27 (b) | 3,505,000 | 3,540,050 | |
Nufarm Australia Ltd. 6.375% 10/15/19 (b) | 2,175,000 | 2,207,625 | |
OCP SA 5.625% 4/25/24 (b) | 390,000 | 416,180 | |
Olin Corp. 5.125% 9/15/27 | 5,750,000 | 6,037,500 | |
Platform Specialty Products Corp. 5.875% 12/1/25 (b) | 2,075,000 | 2,090,563 | |
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. 7.5% 6/15/25 (b) | 9,290,000 | 9,789,338 | |
The Dow Chemical Co.: | |||
4.125% 11/15/21 | 10,888,000 | 11,438,336 | |
4.25% 11/15/20 | 3,653,000 | 3,826,317 | |
TPC Group, Inc. 8.75% 12/15/20 (b) | 9,265,000 | 9,195,513 | |
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 5.375% 9/1/25 (b) | 4,650,000 | 4,852,880 | |
Tronox Finance PLC 5.75% 10/1/25 (b) | 925,000 | 962,000 | |
Valvoline, Inc. 4.375% 8/15/25 (b) | 3,845,000 | 3,864,225 | |
74,890,005 | |||
Construction Materials - 0.1% | |||
CEMEX Finance LLC: | |||
4.625% 6/15/24 | EUR | 200,000 | 258,189 |
6% 4/1/24 (b) | 5,665,000 | 5,998,102 | |
CEMEX S.A.B. de CV: | |||
4.375% 3/5/23 (Reg. S) | EUR | 250,000 | 314,678 |
4.75% 1/11/22 (Reg. S) | EUR | 1,675,000 | 2,048,495 |
5.7% 1/11/25 (b) | 1,960,000 | 2,058,000 | |
7.75% 4/16/26 (b) | 4,100,000 | 4,642,430 | |
Eagle Materials, Inc. 4.5% 8/1/26 | 4,180,000 | 4,362,875 | |
Union Andina de Cementos SAA 5.875% 10/30/21 (b) | 635,000 | 665,163 | |
20,347,932 | |||
Containers & Packaging - 0.1% | |||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
4.25% 9/15/22 (b) | 3,145,000 | 3,215,369 | |
4.625% 5/15/23 (b) | 6,305,000 | 6,470,506 | |
6% 2/15/25 (b) | 9,765,000 | 10,376,289 | |
Crown Americas LLC/Crown Americas Capital Corp. V 4.25% 9/30/26 | 5,350,000 | 5,376,750 | |
Owens-Brockway Glass Container, Inc. 5.375% 1/15/25 (b) | 3,930,000 | 4,175,625 | |
Silgan Holdings, Inc. 4.75% 3/15/25 (b) | 2,945,000 | 3,018,625 | |
32,633,164 | |||
Metals & Mining - 0.5% | |||
Anglo American Capital PLC 2.5% 9/18/18 | EUR | 2,850,000 | 3,459,209 |
BHP Billiton Financial (U.S.A.) Ltd.: | |||
6.25% 10/19/75 (b)(d) | 7,018,000 | 7,614,530 | |
6.75% 10/19/75 (b)(d) | 17,432,000 | 20,439,020 | |
Big River Steel LLC/BRS Finance Corp. 7.25% 9/1/25 (b) | 1,585,000 | 1,684,063 | |
Cliffs Natural Resources, Inc. 5.75% 3/1/25 (b) | 4,720,000 | 4,587,840 | |
Commercial Metals Co. 5.375% 7/15/27 | 6,490,000 | 6,636,025 | |
Compania Minera Ares SAC 7.75% 1/23/21 (b) | 2,130,000 | 2,220,525 | |
Constellium NV 5.875% 2/15/26 (b) | 2,975,000 | 3,083,141 | |
Corporacion Nacional del Cobre de Chile (Codelco): | |||
3.625% 8/1/27 (b) | 8,277,000 | 8,255,894 | |
4.5% 8/1/47 (b) | 6,545,000 | 6,832,456 | |
EVRAZ Group SA: | |||
5.375% 3/20/23 (b) | 2,495,000 | 2,598,543 | |
8.25% 1/28/21 (Reg. S) | 1,860,000 | 2,101,800 | |
Ferrexpo Finance PLC: | |||
10.375% 4/7/19 (b) | 367,000 | 385,800 | |
10.375% 4/7/19 (b) | 90,000 | 94,610 | |
10.375% 4/7/19 (Reg. S) | 275,000 | 289,087 | |
First Quantum Minerals Ltd.: | |||
7.25% 5/15/22 (b) | 2,220,000 | 2,303,250 | |
7.25% 4/1/23 (b) | 8,820,000 | 9,327,150 | |
7.5% 4/1/25 (b) | 3,325,000 | 3,536,969 | |
FMG Resources (August 2006) Pty Ltd.: | |||
4.75% 5/15/22 (b) | 4,230,000 | 4,298,695 | |
5.125% 5/15/24 (b) | 3,895,000 | 3,992,375 | |
Freeport-McMoRan, Inc.: | |||
3.55% 3/1/22 | 10,100,000 | 9,961,125 | |
3.875% 3/15/23 | 3,080,000 | 3,044,888 | |
4.55% 11/14/24 | 9,320,000 | 9,296,700 | |
Gold Fields Orogen Holding BVI Ltd. 4.875% 10/7/20 (b) | 580,000 | 599,761 | |
GTL Trade Finance, Inc. 5.893% 4/29/24 (b) | 850,000 | 923,313 | |
Metalloinvest Finance Designated Activity Co. 4.85% 5/2/24 (b) | 620,000 | 634,944 | |
Metinvest BV 9.3725% 12/31/21 pay-in-kind (d) | 4,740,018 | 5,002,141 | |
Polyus Finance PLC 5.25% 2/7/23 (b) | 590,000 | 621,813 | |
Southern Copper Corp. 7.5% 7/27/35 | 1,210,000 | 1,636,412 | |
Steel Dynamics, Inc.: | |||
4.125% 9/15/25 (b) | 4,225,000 | 4,235,563 | |
5.125% 10/1/21 | 2,205,000 | 2,262,881 | |
5.25% 4/15/23 | 3,040,000 | 3,132,112 | |
Stillwater Mining Co.: | |||
6.125% 6/27/22 (b) | 2,875,000 | 2,941,125 | |
7.125% 6/27/25 (b) | 1,700,000 | 1,765,450 | |
Vale Overseas Ltd.: | |||
4.375% 1/11/22 | 13,150,000 | 13,655,618 | |
5.875% 6/10/21 | 575,000 | 630,344 | |
6.875% 11/21/36 | 740,000 | 903,177 | |
Vedanta Resources PLC: | |||
6.375% 7/30/22 (b) | 2,300,000 | 2,409,250 | |
8.25% 6/7/21 (b) | 1,275,000 | 1,421,625 | |
VM Holding SA 5.375% 5/4/27 (b) | 1,295,000 | 1,366,225 | |
160,185,449 | |||
Paper & Forest Products - 0.0% | |||
Sino-Forest Corp. 6.25% 10/21/17 (b)(f)(g) | 1,365,000 | 0 | |
TOTAL MATERIALS | 288,056,550 | ||
REAL ESTATE - 2.6% | |||
Equity Real Estate Investment Trusts (REITs) - 1.4% | |||
Alexandria Real Estate Equities, Inc.: | |||
2.75% 1/15/20 | 2,884,000 | 2,898,885 | |
4.6% 4/1/22 | 4,896,000 | 5,202,744 | |
alstria office REIT-AG: | |||
1.5% 11/15/27 (Reg. S) | EUR | 7,400,000 | 8,616,015 |
2.125% 4/12/23 (Reg. S) | EUR | 2,400,000 | 3,077,361 |
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 3,491,000 | 3,589,719 | |
AvalonBay Communities, Inc. 3.625% 10/1/20 | 5,005,000 | 5,167,180 | |
Boston Properties, Inc. 3.85% 2/1/23 | 5,829,000 | 6,097,090 | |
Camden Property Trust: | |||
2.95% 12/15/22 | 6,621,000 | 6,642,301 | |
4.25% 1/15/24 | 9,191,000 | 9,658,372 | |
CBL & Associates LP 4.6% 10/15/24 | 272,000 | 244,521 | |
CommonWealth REIT 5.875% 9/15/20 | 2,130,000 | 2,258,025 | |
Corporate Office Properties LP 5% 7/1/25 | 12,377,000 | 13,222,960 | |
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 | 4,820,000 | 4,928,450 | |
DDR Corp.: | |||
3.625% 2/1/25 | 9,949,000 | 9,649,543 | |
3.9% 8/15/24 | 3,606,000 | 3,591,001 | |
4.25% 2/1/26 | 22,796,000 | 22,827,744 | |
4.625% 7/15/22 | 20,268,000 | 21,261,339 | |
4.7% 6/1/27 | 840,000 | 864,519 | |
Duke Realty LP: | |||
3.625% 4/15/23 | 6,287,000 | 6,447,630 | |
3.75% 12/1/24 | 5,408,000 | 5,565,044 | |
3.875% 10/15/22 | 17,388,000 | 18,109,268 | |
Equinix, Inc. 5.375% 5/15/27 | 1,680,000 | 1,817,592 | |
Equity One, Inc. 3.75% 11/15/22 | 18,100,000 | 18,564,810 | |
ERP Operating LP: | |||
2.375% 7/1/19 | 8,777,000 | 8,805,706 | |
4.75% 7/15/20 | 7,700,000 | 8,134,579 | |
Federal Realty Investment Trust 5.9% 4/1/20 | 2,504,000 | 2,698,489 | |
Health Care REIT, Inc. 2.25% 3/15/18 | 5,151,000 | 5,158,289 | |
iStar Financial, Inc. 6% 4/1/22 | 775,000 | 803,094 | |
Lexington Corporate Properties Trust 4.4% 6/15/24 | 4,608,000 | 4,646,022 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
5% 10/15/27 | 2,235,000 | 2,329,988 | |
5.25% 8/1/26 | 4,930,000 | 5,194,988 | |
6.375% 3/1/24 | 2,250,000 | 2,430,000 | |
Omega Healthcare Investors, Inc.: | |||
4.375% 8/1/23 | 42,087,000 | 42,790,122 | |
4.5% 1/15/25 | 10,686,000 | 10,640,849 | |
4.5% 4/1/27 | 50,980,000 | 49,866,654 | |
4.75% 1/15/28 | 29,482,000 | 29,135,944 | |
4.95% 4/1/24 | 17,495,000 | 18,268,761 | |
5.25% 1/15/26 | 29,233,000 | 30,478,324 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 3,376,000 | 3,329,263 | |
5% 12/15/23 | 2,030,000 | 2,123,485 | |
SBA Communications Corp. 4.875% 9/1/24 | 2,205,000 | 2,282,175 | |
Senior Housing Properties Trust 6.75% 4/15/20 | 250,000 | 266,746 | |
VEREIT Operating Partnership LP: | |||
4.125% 6/1/21 | 1,770,000 | 1,840,159 | |
4.875% 6/1/26 | 1,770,000 | 1,888,493 | |
VICI Properties 1 LLC/VICI FC, Inc. 3 month U.S. LIBOR + 3.500% 4.8467% 10/15/22 (d)(e) | 5,255,000 | 5,274,706 | |
Weingarten Realty Investors 3.375% 10/15/22 | 2,729,000 | 2,762,439 | |
WP Carey, Inc. 4% 2/1/25 | 34,017,000 | 34,146,701 | |
455,598,089 | |||
Real Estate Management & Development - 1.2% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 29,103,000 | 29,755,931 | |
3.95% 11/15/27 | 18,049,000 | 17,857,185 | |
4.1% 10/1/24 | 15,881,000 | 16,180,174 | |
4.55% 10/1/29 | 17,155,000 | 17,512,050 | |
4.95% 4/15/18 | 12,690,000 | 12,797,084 | |
CBRE Group, Inc. 5% 3/15/23 | 465,000 | 477,861 | |
Deutsche Annington Finance BV 5% 10/2/23 (b) | 5,800,000 | 6,158,966 | |
Digital Realty Trust LP: | |||
3.4% 10/1/20 | 17,707,000 | 18,117,161 | |
3.625% 10/1/22 | 9,206,000 | 9,515,200 | |
3.95% 7/1/22 | 11,840,000 | 12,387,706 | |
4.75% 10/1/25 | 30,612,000 | 33,345,223 | |
5.25% 3/15/21 | 5,708,000 | 6,148,167 | |
Essex Portfolio LP 3.875% 5/1/24 | 8,802,000 | 9,107,131 | |
Greystar Real Estate Partners 5.75% 12/1/25 (b) | 720,000 | 741,600 | |
Host Hotels & Resorts LP 4.75% 3/1/23 | 150,000 | 159,664 | |
Howard Hughes Corp. 5.375% 3/15/25 (b) | 4,440,000 | 4,562,100 | |
Hunt Companies, Inc. 9.625% 3/1/21 (b) | 870,000 | 913,500 | |
Inversiones y Representaciones SA 11.5% 7/20/20 (Reg. S) | 5,000 | 5,756 | |
IRSA Propiedades Comerciales SA 8.75% 3/23/23 (b) | 770,000 | 868,406 | |
Liberty Property LP: | |||
3.375% 6/15/23 | 8,174,000 | 8,267,820 | |
4.125% 6/15/22 | 14,880,000 | 15,687,802 | |
4.4% 2/15/24 | 13,017,000 | 13,878,937 | |
4.75% 10/1/20 | 11,282,000 | 11,890,635 | |
Mack-Cali Realty LP: | |||
3.15% 5/15/23 | 14,735,000 | 13,684,642 | |
4.5% 4/18/22 | 17,365,000 | 17,432,870 | |
Mattamy Group Corp.: | |||
6.5% 10/1/25 (b) | 1,765,000 | 1,848,838 | |
6.875% 12/15/23 (b) | 850,000 | 892,543 | |
Post Apartment Homes LP 3.375% 12/1/22 | 2,570,000 | 2,608,060 | |
Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (b) | 235,000 | 239,113 | |
SELP Finance SARL 1.25% 10/25/23 (Reg. S) | EUR | 4,285,000 | 5,129,741 |
Tanger Properties LP: | |||
3.125% 9/1/26 | 11,019,000 | 10,399,359 | |
3.75% 12/1/24 | 21,455,000 | 21,481,674 | |
3.875% 12/1/23 | 4,812,000 | 4,858,375 | |
TLG Immobilien AG 1.375% 11/27/24 (Reg. S) | EUR | 800,000 | 955,464 |
Ventas Realty LP: | |||
3.125% 6/15/23 | 5,458,000 | 5,443,435 | |
3.5% 2/1/25 | 5,961,000 | 6,001,781 | |
3.75% 5/1/24 | 25,000,000 | 25,665,359 | |
4.125% 1/15/26 | 5,557,000 | 5,775,011 | |
Ventas Realty LP/Ventas Capital Corp.: | |||
2% 2/15/18 | 8,050,000 | 8,054,025 | |
4% 4/30/19 | 3,747,000 | 3,824,338 | |
4.25% 3/1/22 | 300,000 | 314,936 | |
380,945,623 | |||
TOTAL REAL ESTATE | 836,543,712 | ||
TELECOMMUNICATION SERVICES - 1.2% | |||
Diversified Telecommunication Services - 0.9% | |||
Altice Financing SA: | |||
6.5% 1/15/22 (b) | 6,250,000 | 6,453,125 | |
6.625% 2/15/23 (b) | 2,780,000 | 2,849,500 | |
7.5% 5/15/26 (b) | 3,905,000 | 4,080,725 | |
Altice Finco SA 7.625% 2/15/25 (b) | 2,685,000 | 2,691,713 | |
AT&T, Inc.: | |||
2.45% 6/30/20 | 11,294,000 | 11,279,092 | |
3% 6/30/22 | 12,546,000 | 12,526,828 | |
3.4% 5/15/25 | 39,520,000 | 38,704,649 | |
3.6% 2/17/23 | 44,557,000 | 45,572,635 | |
5.875% 10/1/19 | 5,944,000 | 6,330,973 | |
6.3% 1/15/38 | 16,665,000 | 19,472,476 | |
Axtel S.A.B. de CV 6.375% 11/14/24 (b) | 1,225,000 | 1,243,375 | |
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 40,000 | 51,488 | |
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) | 820,000 | 861,000 | |
Frontier Communications Corp. 10.5% 9/15/22 | 3,770,000 | 2,987,725 | |
GTH Finance BV: | |||
6.25% 4/26/20 (b) | 765,000 | 809,948 | |
7.25% 4/26/23 (b) | 4,335,000 | 4,920,901 | |
Sable International Finance Ltd. 6.875% 8/1/22 (b) | 4,575,000 | 4,895,250 | |
SFR Group SA: | |||
6% 5/15/22 (b) | 4,550,000 | 4,586,992 | |
6.25% 5/15/24 (b) | 3,140,000 | 3,085,050 | |
7.375% 5/1/26 (b) | 2,380,000 | 2,397,564 | |
Sprint Capital Corp. 6.875% 11/15/28 | 10,740,000 | 11,021,925 | |
TalkTalk Telecom Group PLC 5.375% 1/15/22 (Reg. S) | GBP | 560,000 | 751,967 |
TDC A/S 3.5% 2/26/3015 (Reg. S) (d) | EUR | 1,550,000 | 1,927,160 |
Telecom Italia Capital SA: | |||
6% 9/30/34 | 2,425,000 | 2,706,906 | |
6.375% 11/15/33 | 3,785,000 | 4,371,675 | |
Telecom Italia SpA 5.303% 5/30/24 (b) | 1,065,000 | 1,135,876 | |
Telefonica Celular del Paraguay SA 6.75% 12/13/22 (b) | 1,650,000 | 1,689,765 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b)(h) | 4,400,000 | 4,389,000 | |
Verizon Communications, Inc.: | |||
2.625% 2/21/20 | 12,550,000 | 12,635,742 | |
5.012% 4/15/49 | 2,831,000 | 2,931,958 | |
5.012% 8/21/54 | 55,038,000 | 55,504,244 | |
5.5% 3/16/47 | 18,149,000 | 20,287,561 | |
295,154,788 | |||
Wireless Telecommunication Services - 0.3% | |||
America Movil S.A.B. de CV 3.125% 7/16/22 | 9,218,000 | 9,360,879 | |
Comcel Trust 6.875% 2/6/24 (b) | 725,000 | 753,021 | |
Digicel Group Ltd. 6.75% 3/1/23 (b) | 560,000 | 543,200 | |
Inmarsat Finance PLC 4.875% 5/15/22 (b) | 2,105,000 | 2,139,206 | |
Millicom International Cellular SA 6% 3/15/25 (b) | 1,375,000 | 1,430,000 | |
MTN (Mauritius) Investments Ltd. 6.5% 10/13/26 (b) | 1,095,000 | 1,173,008 | |
Sprint Communications, Inc.: | |||
6% 11/15/22 | 7,235,000 | 7,307,350 | |
9% 11/15/18 (b) | 2,225,000 | 2,350,156 | |
Sprint Corp.: | |||
7.25% 9/15/21 | 7,925,000 | 8,440,125 | |
7.625% 2/15/25 | 4,740,000 | 5,033,880 | |
7.875% 9/15/23 | 12,075,000 | 13,010,813 | |
T-Mobile U.S.A., Inc.: | |||
4% 4/15/22 | 5,110,000 | 5,250,525 | |
6% 3/1/23 | 4,060,000 | 4,259,651 | |
6.375% 3/1/25 | 4,860,000 | 5,216,967 | |
6.5% 1/15/24 | 6,085,000 | 6,457,706 | |
6.625% 4/1/23 | 12,185,000 | 12,748,556 | |
Vodafone Group PLC 7.875% 2/15/30 | 1,850,000 | 2,512,018 | |
87,987,061 | |||
TOTAL TELECOMMUNICATION SERVICES | 383,141,849 | ||
UTILITIES - 2.0% | |||
Electric Utilities - 1.0% | |||
American Electric Power Co., Inc.: | |||
1.65% 12/15/17 | 5,213,000 | 5,213,003 | |
2.95% 12/15/22 | 4,935,000 | 4,974,214 | |
DPL, Inc. 6.75% 10/1/19 | 2,490,000 | 2,608,275 | |
Duquesne Light Holdings, Inc.: | |||
5.9% 12/1/21 (b) | 29,344,000 | 32,536,970 | |
6.4% 9/15/20 (b) | 25,897,000 | 28,439,392 | |
Eversource Energy: | |||
1.45% 5/1/18 | 3,325,000 | 3,320,138 | |
2.8% 5/1/23 | 15,104,000 | 15,076,388 | |
Exelon Corp. 2.85% 6/15/20 | 4,888,000 | 4,934,033 | |
FirstEnergy Corp.: | |||
4.25% 3/15/23 | 31,243,000 | 32,759,173 | |
7.375% 11/15/31 | 64,123,000 | 85,462,279 | |
FirstEnergy Solutions Corp. 6.05% 8/15/21 | 20,194,000 | 9,693,120 | |
InterGen NV 7% 6/30/23 (b) | 3,595,000 | 3,478,163 | |
IPALCO Enterprises, Inc.: | |||
3.45% 7/15/20 | 27,495,000 | 27,873,056 | |
3.7% 9/1/24 (b) | 10,462,000 | 10,416,275 | |
Israel Electric Corp. Ltd. 7.75% 12/15/27 (Reg. S) | 600,000 | 769,956 | |
LG&E and KU Energy LLC 3.75% 11/15/20 | 1,450,000 | 1,500,415 | |
Monongahela Power Co. 4.1% 4/15/24 (b) | 3,982,000 | 4,220,683 | |
Nevada Power Co. 6.5% 5/15/18 | 790,000 | 806,554 | |
NRG Yield Operating LLC 5% 9/15/26 | 3,945,000 | 4,014,038 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (b) | 8,546,353 | 9,358,256 | |
NV Energy, Inc. 6.25% 11/15/20 | 3,500,000 | 3,862,037 | |
Pampa Holding SA 7.5% 1/24/27 (b) | 1,975,000 | 2,147,813 | |
PG&E Corp. 2.4% 3/1/19 | 1,683,000 | 1,685,062 | |
PPL Capital Funding, Inc. 3.4% 6/1/23 | 7,184,000 | 7,343,891 | |
Progress Energy, Inc. 4.4% 1/15/21 | 12,059,000 | 12,624,565 | |
TECO Finance, Inc. 5.15% 3/15/20 | 3,761,000 | 3,979,983 | |
Western Power Distribution 3.875% 10/17/24 (Reg. S) | GBP | 1,200,000 | 1,801,496 |
Western Power Distribution Holdings Ltd. 5.25% 1/17/23 | GBP | 3,300,000 | 5,189,046 |
326,088,274 | |||
Gas Utilities - 0.0% | |||
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 3,646,000 | 3,827,994 | |
Independent Power and Renewable Electricity Producers - 0.5% | |||
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 | 67,644,000 | 74,915,730 | |
Dynegy, Inc.: | |||
7.625% 11/1/24 | 5,590,000 | 6,086,113 | |
8.125% 1/30/26 (b) | 3,095,000 | 3,443,188 | |
Emera U.S. Finance LP: | |||
2.15% 6/15/19 | 5,136,000 | 5,119,872 | |
2.7% 6/15/21 | 5,055,000 | 5,054,281 | |
3.55% 6/15/26 | 8,087,000 | 8,106,150 | |
Listrindo Capital BV 4.95% 9/14/26 (b) | 820,000 | 830,660 | |
NextEra Energy Partners LP: | |||
4.25% 9/15/24 (b) | 1,345,000 | 1,358,450 | |
4.5% 9/15/27 (b) | 935,000 | 935,000 | |
NRG Energy, Inc.: | |||
5.75% 1/15/28 (b) | 2,250,000 | 2,289,375 | |
6.25% 5/1/24 | 4,510,000 | 4,769,325 | |
6.625% 1/15/27 | 1,695,000 | 1,826,363 | |
TerraForm Power Operating LLC: | |||
4.25% 1/31/23 (b)(h) | 1,040,000 | 1,042,600 | |
5% 1/31/28 (b)(h) | 1,040,000 | 1,043,900 | |
6.375% 2/1/23 (b)(d) | 4,980,000 | 5,248,920 | |
The AES Corp.: | |||
4.875% 5/15/23 | 9,515,000 | 9,714,054 | |
5.125% 9/1/27 | 1,595,000 | 1,646,838 | |
6% 5/15/26 | 1,545,000 | 1,676,325 | |
Three Gorges Finance II (Cayman Islands) Ltd. 1.3% 6/21/24 (Reg. S) | EUR | 2,500,000 | 3,018,263 |
138,125,407 | |||
Multi-Utilities - 0.5% | |||
Berkshire Hathaway Energy Co. 2% 11/15/18 | 12,172,000 | 12,178,761 | |
Dominion Resources, Inc.: | |||
3 month U.S. LIBOR + 2.300% 3.6328% 9/30/66 (d)(e) | 35,229,000 | 33,115,260 | |
3 month U.S. LIBOR + 2.825% 4.16% 6/30/66 (d)(e) | 10,345,000 | 10,241,550 | |
NiSource Finance Corp.: | |||
5.25% 2/15/43 | 12,739,000 | 14,843,416 | |
5.8% 2/1/42 | 6,336,000 | 7,693,479 | |
5.95% 6/15/41 | 11,832,000 | 14,845,389 | |
6.8% 1/15/19 | 1,039,000 | 1,090,833 | |
Puget Energy, Inc.: | |||
6% 9/1/21 | 15,565,000 | 17,320,651 | |
6.5% 12/15/20 | 5,125,000 | 5,679,967 | |
Sempra Energy: | |||
2.875% 10/1/22 | 5,760,000 | 5,770,247 | |
6% 10/15/39 | 15,009,000 | 19,291,408 | |
Wind Tre SpA: | |||
3.125% 1/20/25 (Reg. S) | EUR | 1,177,000 | 1,379,630 |
5% 1/20/26 (b) | 6,960,000 | 6,666,984 | |
Wisconsin Energy Corp. 3 month U.S. LIBOR + 2.113% 3.5284% 5/15/67 (d)(e) | 3,860,000 | 3,707,646 | |
153,825,221 | |||
Water Utilities - 0.0% | |||
Pennon Group PLC 2.875% (Reg. S) (c)(d) | GBP | 1,450,000 | 1,971,381 |
TOTAL UTILITIES | 623,838,277 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $9,563,631,828) | 9,926,602,719 | ||
U.S. Government and Government Agency Obligations - 40.4% | |||
U.S. Treasury Inflation-Protected Obligations - 7.3% | |||
U.S. Treasury Inflation-Indexed Bonds: | |||
0.75% 2/15/45 | $235,833,750 | $228,061,167 | |
0.875% 2/15/47 | 170,979,106 | 170,857,227 | |
1% 2/15/46 | 147,271,305 | 151,462,006 | |
1.375% 2/15/44 | 140,301,619 | 156,580,241 | |
U.S. Treasury Inflation-Indexed Notes: | |||
0.125% 7/15/24 | 171,785,931 | 168,829,032 | |
0.125% 7/15/26 | 197,803,449 | 191,289,862 | |
0.25% 1/15/25 | 78,155,250 | 76,918,757 | |
0.375% 7/15/25 | 412,877,034 | 410,283,725 | |
0.375% 1/15/27 | 405,090,934 | 397,748,402 | |
0.375% 7/15/27 | 151,350,000 | 148,859,313 | |
0.625% 1/15/26 | 207,750,000 | 209,212,989 | |
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 2,310,102,721 | ||
U.S. Treasury Obligations - 33.1% | |||
U.S. Treasury Bonds: | |||
2.5% 2/15/45 (i)(j)(k) | 2,580,000 | 2,413,711 | |
2.5% 2/15/46 (i)(j) | 1,762,000 | 1,644,786 | |
3% 5/15/45 | 145,382,000 | 150,055,805 | |
3% 11/15/45 | 207,323,000 | 213,890,928 | |
3% 2/15/47 | 658,626,000 | 679,465,335 | |
3% 5/15/47 | 103,797,000 | 107,081,201 | |
5% 5/15/37 (i) | 440,000 | 598,881 | |
U.S. Treasury Notes: | |||
0.75% 2/15/19 (i)(j) | 7,650,000 | 7,560,949 | |
1.125% 6/30/21 | 1,125,000 | 1,090,723 | |
1.25% 3/31/21 | 1,180,775,000 | 1,153,100,586 | |
1.25% 10/31/21 | 453,470,000 | 439,848,187 | |
1.375% 9/30/19 | 250,000,000 | 248,183,595 | |
1.375% 4/30/21 | 484,800,000 | 474,933,564 | |
1.5% 5/15/20 | 408,760,000 | 405,263,185 | |
1.5% 8/15/26 | 218,742,000 | 203,293,346 | |
1.625% 7/31/20 (j) | 4,593,000 | 4,562,679 | |
1.625% 5/15/26 | 25,000,000 | 23,530,274 | |
1.75% 12/31/20 | 600,000,000 | 596,601,564 | |
1.75% 6/30/22 | 952,845,000 | 937,249,605 | |
1.875% 3/31/22 | 1,455,761,000 | 1,441,885,683 | |
1.875% 7/31/22 | 603,426,000 | 596,519,602 | |
1.875% 9/30/22 | 267,650,000 | 264,388,016 | |
2% 12/31/21 | 906,934,000 | 904,241,540 | |
2% 11/30/22 | 100,000,000 | 99,308,594 | |
2% 4/30/24 | 25,000,000 | 24,570,313 | |
2% 11/15/26 | 17,577,000 | 16,994,762 | |
2.125% 7/31/24 | 649,329,000 | 642,176,238 | |
2.125% 11/30/24 | 738,982,000 | 729,571,522 | |
2.25% 10/31/24 | 165,260,000 | 164,595,086 | |
TOTAL U.S. TREASURY OBLIGATIONS | 10,534,620,260 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $12,979,885,003) | 12,844,722,981 | ||
U.S. Government Agency - Mortgage Securities - 14.8% | |||
Fannie Mae - 7.8% | |||
12 month U.S. LIBOR + 1.445% 3.195% 4/1/37 (d)(e) | 57,945 | 60,541 | |
12 month U.S. LIBOR + 1.480% 3.312% 7/1/34 (d)(e) | 26,774 | 27,934 | |
12 month U.S. LIBOR + 1.495% 3.081% 1/1/35 (d)(e) | 92,530 | 95,233 | |
12 month U.S. LIBOR + 1.507% 3.2% 7/1/37 (d)(e) | 16,326 | 17,063 | |
12 month U.S. LIBOR + 1.553% 3.322% 6/1/36 (d)(e) | 72,715 | 75,036 | |
12 month U.S. LIBOR + 1.565% 3.315% 3/1/37 (d)(e) | 25,077 | 26,327 | |
12 month U.S. LIBOR + 1.594% 3.448% 5/1/36 (d)(e) | 119,347 | 124,925 | |
12 month U.S. LIBOR + 1.617% 3.267% 3/1/33 (d)(e) | 62,881 | 65,790 | |
12 month U.S. LIBOR + 1.641% 3.368% 9/1/36 (d)(e) | 48,110 | 49,712 | |
12 month U.S. LIBOR + 1.643% 3.315% 9/1/36 (d)(e) | 32,788 | 34,377 | |
12 month U.S. LIBOR + 1.645% 3.31% 6/1/47 (d)(e) | 61,688 | 65,318 | |
12 month U.S. LIBOR + 1.718% 3.45% 5/1/35 (d)(e) | 153,954 | 161,771 | |
12 month U.S. LIBOR + 1.725% 2.588% 6/1/42 (d)(e) | 200,646 | 209,158 | |
12 month U.S. LIBOR + 1.728% 3.407% 11/1/36 (d)(e) | 51,380 | 54,131 | |
12 month U.S. LIBOR + 1.741% 3.376% 3/1/40 (d)(e) | 266,208 | 282,045 | |
12 month U.S. LIBOR + 1.745% 3.397% 7/1/35 (d)(e) | 68,516 | 71,775 | |
12 month U.S. LIBOR + 1.750% 3.031% 8/1/41 (d)(e) | 587,522 | 621,390 | |
12 month U.S. LIBOR + 1.788% 3.413% 2/1/36 (d)(e) | 199,695 | 207,455 | |
12 month U.S. LIBOR + 1.800% 2.748% 1/1/42 (d)(e) | 951,263 | 998,096 | |
12 month U.S. LIBOR + 1.800% 3.562% 7/1/41 (d)(e) | 178,412 | 185,604 | |
12 month U.S. LIBOR + 1.805% 3.029% 10/1/41 (d)(e) | 55,782 | 58,572 | |
12 month U.S. LIBOR + 1.810% 3.435% 12/1/39 (d)(e) | 131,162 | 139,298 | |
12 month U.S. LIBOR + 1.812% 3.464% 12/1/40 (d)(e) | 6,327,679 | 6,637,634 | |
12 month U.S. LIBOR + 1.815% 2.941% 11/1/40 (d)(e) | 60,352 | 63,248 | |
12 month U.S. LIBOR + 1.815% 3.565% 9/1/41 (d)(e) | 194,600 | 202,493 | |
12 month U.S. LIBOR + 1.818% 2.688% 2/1/42 (d)(e) | 1,062,147 | 1,113,443 | |
12 month U.S. LIBOR + 1.818% 3.023% 9/1/41 (d)(e) | 117,639 | 124,654 | |
12 month U.S. LIBOR + 1.818% 3.252% 7/1/41 (d)(e) | 149,628 | 155,955 | |
12 month U.S. LIBOR + 1.820% 3.445% 12/1/35 (d)(e) | 205,460 | 217,457 | |
12 month U.S. LIBOR + 1.830% 3.36% 10/1/41 (d)(e) | 97,509 | 101,310 | |
12 month U.S. LIBOR + 1.851% 3.573% 5/1/36 (d)(e) | 99,065 | 104,955 | |
12 month U.S. LIBOR + 1.900% 3.718% 7/1/37 (d)(e) | 66,604 | 69,397 | |
6 month U.S. LIBOR + 1.375% 2.875% 10/1/34 (d)(e) | 1,282 | 1,322 | |
6 month U.S. LIBOR + 1.475% 2.892% 10/1/33 (d)(e) | 1,208 | 1,245 | |
6 month U.S. LIBOR + 1.505% 2.88% 1/1/35 (d)(e) | 175,153 | 180,798 | |
6 month U.S. LIBOR + 1.505% 2.88% 1/1/35 (d)(e) | 765 | 793 | |
6 month U.S. LIBOR + 1.510% 2.915% 2/1/33 (d)(e) | 763 | 787 | |
6 month U.S. LIBOR + 1.535% 2.939% 12/1/34 (d)(e) | 31,040 | 32,062 | |
6 month U.S. LIBOR + 1.535% 2.958% 3/1/35 (d)(e) | 15,437 | 15,953 | |
6 month U.S. LIBOR + 1.556% 3.014% 10/1/33 (d)(e) | 11,835 | 12,260 | |
6 month U.S. LIBOR + 1.565% 2.94% 7/1/35 (d)(e) | 16,463 | 17,038 | |
6 month U.S. LIBOR + 1.740% 3.115% 12/1/34 (d)(e) | 3,666 | 3,829 | |
6 month U.S. LIBOR + 1.960% 3.46% 9/1/35 (d)(e) | 25,522 | 26,859 | |
U.S. TREASURY 1 YEAR INDEX + 1.945% 2.866% 10/1/33 (d)(e) | 284,138 | 295,935 | |
U.S. TREASURY 1 YEAR INDEX + 2.208% 3.083% 3/1/35 (d)(e) | 36,793 | 38,880 | |
U.S. TREASURY 1 YEAR INDEX + 2.270% 3.181% 6/1/36 (d)(e) | 204,943 | 216,887 | |
U.S. TREASURY 1 YEAR INDEX + 2.295% 3.471% 10/1/33 (d)(e) | 71,176 | 75,243 | |
U.S. TREASURY 1 YEAR INDEX + 2.447% 3.452% 7/1/34 (d)(e) | 155,365 | 163,880 | |
2.5% 12/1/32 (h) | 129,700,000 | 129,396,009 | |
2.5% 12/1/42 to 8/1/43 | 12,380,923 | 12,003,483 | |
3% 11/1/23 to 2/1/47 | 707,663,146 | 714,355,086 | |
3% 12/1/32 (h) | 53,050,000 | 54,032,253 | |
3% 12/1/47 (h) | 20,600,000 | 20,537,907 | |
3.5% 3/1/25 to 10/1/56 | 507,716,476 | 523,628,261 | |
3.5% 12/1/47 (h) | 66,400,000 | 68,063,486 | |
3.5% 12/1/47 (h) | 66,400,000 | 68,063,486 | |
3.5% 12/1/47 (h) | 5,400,000 | 5,535,284 | |
3.5% 12/1/47 (h) | 6,000,000 | 6,150,315 | |
3.5% 12/1/47 (h) | 35,550,000 | 36,440,616 | |
3.5% 12/1/47 (h) | 35,550,000 | 36,440,616 | |
4% 9/1/24 to 10/1/46 | 328,574,946 | 345,678,004 | |
4% 12/1/47 (h) | 14,400,000 | 15,043,967 | |
4.5% 6/1/33 to 8/1/56 | 116,235,556 | 124,891,873 | |
5% 3/1/18 to 8/1/56 | 202,108,743 | 220,109,766 | |
5.255% 8/1/41 | 2,182,206 | 2,365,803 | |
5.5% 1/1/18 to 3/1/41 | 22,955,423 | 25,489,802 | |
6% 7/1/19 to 1/1/42 | 15,798,682 | 17,808,345 | |
6.309% 2/1/39 | 3,706,679 | 4,044,253 | |
6.5% 1/1/18 to 8/1/39 | 26,030,126 | 29,430,467 | |
7% 9/1/21 to 7/1/37 | 1,165,261 | 1,333,127 | |
7.5% 6/1/25 to 2/1/32 | 517,377 | 597,364 | |
8% 7/1/29 to 3/1/37 | 13,574 | 16,253 | |
8.5% 12/1/19 to 6/1/22 | 257 | 280 | |
9.5% 6/1/18 to 9/1/21 | 2,938 | 3,030 | |
TOTAL FANNIE MAE | 2,474,965,004 | ||
Freddie Mac - 4.1% | |||
12 month U.S. LIBOR + 1.325% 2.938% 1/1/36 (d)(e) | 51,267 | 53,002 | |
12 month U.S. LIBOR + 1.325% 2.95% 3/1/37 (d)(e) | 16,288 | 16,859 | |
12 month U.S. LIBOR + 1.375% 2.996% 3/1/36 (d)(e) | 134,827 | 140,091 | |
12 month U.S. LIBOR + 1.500% 3.129% 3/1/36 (d)(e) | 137,341 | 141,322 | |
12 month U.S. LIBOR + 1.515% 3.099% 11/1/35 (d)(e) | 78,485 | 81,940 | |
12 month U.S. LIBOR + 1.750% 3.249% 7/1/41 (d)(e) | 733,631 | 775,950 | |
12 month U.S. LIBOR + 1.750% 3.411% 12/1/40 (d)(e) | 3,429,693 | 3,560,911 | |
12 month U.S. LIBOR + 1.754% 3.111% 9/1/41 (d)(e) | 1,006,739 | 1,041,191 | |
12 month U.S. LIBOR + 1.793% 3.32% 4/1/37 (d)(e) | 35,763 | 37,836 | |
12 month U.S. LIBOR + 1.864% 3.614% 4/1/36 (d)(e) | 80,390 | 85,014 | |
12 month U.S. LIBOR + 1.874% 3.619% 10/1/42 (d)(e) | 1,022,547 | 1,068,427 | |
12 month U.S. LIBOR + 1.877% 3.214% 4/1/41 (d)(e) | 102,485 | 107,871 | |
12 month U.S. LIBOR + 1.880% 3.219% 9/1/41 (d)(e) | 121,179 | 128,389 | |
12 month U.S. LIBOR + 1.910% 3.273% 6/1/41 (d)(e) | 123,763 | 129,102 | |
12 month U.S. LIBOR + 1.910% 3.411% 5/1/41 (d)(e) | 112,394 | 119,366 | |
12 month U.S. LIBOR + 1.910% 3.604% 5/1/41 (d)(e) | 150,118 | 156,845 | |
12 month U.S. LIBOR + 1.910% 3.673% 6/1/41 (d)(e) | 137,105 | 143,277 | |
12 month U.S. LIBOR + 1.920% 3.67% 6/1/36 (d)(e) | 20,402 | 21,621 | |
12 month U.S. LIBOR + 1.993% 5.14% 4/1/38 (d)(e) | 109,549 | 115,812 | |
12 month U.S. LIBOR + 2.045% 3.811% 7/1/36 (d)(e) | 56,697 | 60,214 | |
12 month U.S. LIBOR + 2.197% 3.772% 3/1/33 (d)(e) | 1,806 | 1,910 | |
12 month U.S. LIBOR + 2.200% 3.7% 12/1/36 (d)(e) | 110,537 | 117,394 | |
6 month U.S. LIBOR + 1.125% 2.549% 8/1/37 (d)(e) | 33,641 | 34,240 | |
6 month U.S. LIBOR + 1.445% 2.945% 3/1/35 (d)(e) | 44,546 | 45,807 | |
6 month U.S. LIBOR + 1.608% 2.955% 12/1/35 (d)(e) | 68,601 | 70,971 | |
6 month U.S. LIBOR + 1.647% 3.04% 2/1/37 (d)(e) | 136,188 | 141,809 | |
6 month U.S. LIBOR + 1.675% 3.05% 6/1/37 (d)(e) | 27,973 | 29,160 | |
6 month U.S. LIBOR + 1.720% 3.095% 8/1/37 (d)(e) | 52,038 | 54,369 | |
6 month U.S. LIBOR + 1.746% 2.967% 5/1/37 (d)(e) | 25,919 | 26,931 | |
6 month U.S. LIBOR + 1.932% 3.275% 10/1/36 (d)(e) | 194,420 | 200,553 | |
6 month U.S. LIBOR + 1.976% 3.39% 10/1/35 (d)(e) | 117,006 | 122,778 | |
6 month U.S. LIBOR + 2.010% 3.385% 6/1/37 (d)(e) | 23,568 | 24,873 | |
6 month U.S. LIBOR + 2.040% 3.415% 6/1/37 (d)(e) | 71,780 | 74,437 | |
6 month U.S. LIBOR + 2.066% 3.454% 6/1/37 (d)(e) | 39,061 | 41,276 | |
6 month U.S. LIBOR + 2.755% 4.144% 10/1/35 (d)(e) | 114,080 | 121,157 | |
U.S. TREASURY 1 YEAR INDEX + 2.035% 2.904% 6/1/33 (d)(e) | 163,216 | 169,931 | |
U.S. TREASURY 1 YEAR INDEX + 2.267% 3.215% 6/1/33 (d)(e) | 394,599 | 415,979 | |
U.S. TREASURY 1 YEAR INDEX + 2.418% 3.243% 3/1/35 (d)(e) | 718,818 | 757,411 | |
2.5% 7/1/31 | 6,204,658 | 6,207,810 | |
3% 2/1/32 to 12/1/47 | 471,534,624 | 471,778,686 | |
3% 9/1/47 | 723,945 | 722,300 | |
3.5% 1/1/32 to 9/1/46 (i)(k)(l) | 400,563,064 | 413,711,072 | |
3.5% 8/1/47 | 37,117,984 | 38,079,782 | |
3.5% 12/1/47 (h) | 8,600,000 | 8,815,452 | |
4% 7/1/31 to 6/1/47 | 271,133,216 | 285,317,223 | |
4.5% 6/1/25 to 1/1/45 | 20,426,338 | 21,921,156 | |
5% 6/1/20 to 7/1/41 | 21,150,682 | 23,158,338 | |
5.5% 2/1/18 to 3/1/41 | 7,682,138 | 8,506,315 | |
6% 2/1/19 to 12/1/37 | 2,273,447 | 2,555,401 | |
6.5% 5/1/18 to 9/1/39 | 3,053,343 | 3,468,697 | |
7% 6/1/21 to 9/1/36 | 1,065,495 | 1,225,976 | |
7.5% 1/1/27 to 4/1/32 | 21,202 | 24,666 | |
8% 7/1/24 to 1/1/37 | 33,242 | 39,221 | |
8.5% 9/1/19 to 1/1/28 | 27,579 | 31,604 | |
9% 10/1/20 | 17 | 18 | |
9.5% 5/1/21 to 7/1/21 | 102 | 108 | |
10% 2/1/20 to 11/1/20 | 46 | 48 | |
11% 7/1/19 to 9/1/20 | 13 | 13 | |
TOTAL FREDDIE MAC | 1,295,999,912 | ||
Ginnie Mae - 2.9% | |||
3.5% 11/15/40 to 7/20/46 (i) | 265,084,604 | 275,269,031 | |
4% 5/20/33 to 4/20/47 | 127,569,605 | 134,754,720 | |
4.5% 6/20/33 to 8/15/41 | 52,127,862 | 56,040,091 | |
5% 12/15/32 to 9/15/41 | 22,430,439 | 24,703,274 | |
5.5% 7/15/33 to 9/15/39 | 1,822,634 | 2,047,330 | |
6% 10/15/30 to 11/15/39 | 554,057 | 630,068 | |
7% 10/15/22 to 3/15/33 | 1,065,466 | 1,238,840 | |
7.5% 8/15/21 to 9/15/31 | 465,871 | 531,272 | |
8% 11/15/21 to 11/15/29 | 148,252 | 167,488 | |
8.5% 10/15/21 to 1/15/31 | 28,420 | 33,223 | |
9% 9/15/19 to 1/15/23 | 746 | 794 | |
9.5% 12/15/20 to 2/15/25 | 295 | 317 | |
3% 5/20/42 to 5/20/47 | 326,098,227 | 329,065,232 | |
3% 12/1/47 (h) | 99,700,000 | 100,450,292 | |
3.5% 12/1/47 (h) | 80,000 | 82,706 | |
6.5% 3/20/31 to 11/15/37 | 319,006 | 366,522 | |
11% 9/20/19 | 283 | 297 | |
TOTAL GINNIE MAE | 925,381,497 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $4,735,422,148) | 4,696,346,413 | ||
Asset-Backed Securities - 1.0% | |||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1 month U.S. LIBOR + 0.705% 2.0336% 4/25/35 (d)(e) | $664,344 | $662,035 | |
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1 month U.S. LIBOR + 1.650% 2.9786% 3/25/34 (d)(e) | 195,152 | 196,630 | |
Airspeed Ltd. Series 2007-1A Class C1, 1 month U.S. LIBOR + 2.500% 3.7503% 6/15/32 (b)(d)(e)(g) | 2,782,943 | 1,653,502 | |
American Homes 4 Rent: | |||
Series 2014-SFR2 Class E, 6.231% 10/17/36 (b) | 147,000 | 164,345 | |
Series 2014-SFR3 Class E, 6.418% 12/17/36 (b) | 428,000 | 482,927 | |
Series 2015-SFR1 Class E, 5.639% 4/17/52 (b) | 599,438 | 652,818 | |
Series 2015-SFR2: | |||
Class E, 6.07% 10/17/45 (b) | 981,000 | 1,094,525 | |
Class XS, 0% 10/17/45 (b)(d)(g)(m) | 685,269 | 7 | |
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | |||
Series 2003-10 Class M1, 1 month U.S. LIBOR + 1.050% 2.3786% 12/25/33 (d)(e) | 33,323 | 32,547 | |
Series 2004-R2 Class M3, 1 month U.S. LIBOR + 0.825% 2.1536% 4/25/34 (d)(e) | 89,819 | 83,324 | |
Argent Securities, Inc. pass-thru certificates: | |||
Series 2003-W7 Class A2, 1 month U.S. LIBOR + 0.780% 2.1086% 3/25/34 (d)(e) | 47,932 | 45,802 | |
Series 2004-W11 Class M2, 1 month U.S. LIBOR + 1.050% 2.3786% 11/25/34 (d)(e) | 433,369 | 436,252 | |
Series 2004-W7 Class M1, 1 month U.S. LIBOR + 0.825% 2.1536% 5/25/34 (d)(e) | 1,160,417 | 1,162,855 | |
Series 2006-W4 Class A2C, 1 month U.S. LIBOR + 0.160% 1.4886% 5/25/36 (d)(e) | 1,077,474 | 413,568 | |
Asset Backed Securities Corp. Home Equity Loan Trust: | |||
Series 2004-HE2 Class M1, 1 month U.S. LIBOR + 0.825% 2.1536% 4/25/34 (d)(e) | 1,335,032 | 1,278,382 | |
Series 2006-HE2 Class M1, 1 month U.S. LIBOR + 0.370% 1.6079% 3/25/36 (d)(e) | 18,317 | 7,499 | |
Avis Budget Rental Car Funding (AESOP) LLC Series 2012-3A Class A, 2.1% 3/20/19 (b) | 6,133,333 | 6,136,767 | |
Blackbird Capital Aircraft Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (b) | 43,731,188 | 45,512,884 | |
Class AA, 2.487% 12/16/41 (b) | 9,938,375 | 9,868,511 | |
CAM Mortgage Trust Series 2017-1 Class A1, 3.22% 8/1/57 (b) | 14,859,382 | 14,850,950 | |
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 1 month U.S. LIBOR + 0.140% 1.3779% 12/25/36 (d)(e) | 1,802,588 | 1,519,595 | |
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 2.6775% 10/25/37 (b)(d)(e) | 19,159,993 | 19,254,886 | |
CLUB Credit Trust: | |||
Series 2017-NP1 Class A, 2.39% 4/17/23 (b) | 3,668,155 | 3,669,383 | |
Series 2017-P1 Class A, 2.54% 9/15/23 (b) | 4,762,330 | 4,763,720 | |
Countrywide Home Loans, Inc.: | |||
Series 2003-BC1 Class B1, 1 month U.S. LIBOR + 5.250% 6.5775% 3/25/32 (d)(e) | 3,192 | 3,287 | |
Series 2004-3 Class M4, 1 month U.S. LIBOR + 1.455% 2.7836% 4/25/34(d)(e) | 51,103 | 48,333 | |
Series 2004-4 Class M2, 1 month U.S. LIBOR + 0.795% 2.1236% 6/25/34 (d)(e) | 77,051 | 77,206 | |
Series 2004-7 Class AF5, 5.868% 1/25/35 | 1,122,600 | 1,137,170 | |
Series 2005-3 Class MV4, 1 month U.S. LIBOR + 0.620% 2.1679% 8/25/35 (d)(e) | 2,282,694 | 2,287,305 | |
Credit Suisse First Boston Mortgage Securities Corp. Series 2003-5 Class A2, 1 month U.S. LIBOR + 0.700% 1.9379% 12/25/33 (d)(e) | 32,929 | 31,990 | |
DB Master Finance LLC Series 2017-1A: | |||
Class A2I, 3.629% 11/20/47 (b) | 17,368,000 | 17,505,207 | |
Class A2II, 4.03% 11/20/47 (b) | 24,869,000 | 25,046,813 | |
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 | 157,163 | 161,292 | |
Exeter Automobile Receivables Trust Series 2017-2A Class A, 2.22% 6/15/21 (b) | 12,629,685 | 12,628,184 | |
Fannie Mae Series 2004-T5 Class AB3, 1 month U.S. LIBOR + 0.392% 2.0334% 5/28/35 (d)(e) | 38,916 | 37,503 | |
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 1 month U.S. LIBOR + 2.175% 3.5036% 8/25/34 (d)(e) | 207,736 | 200,985 | |
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.825% 2.1536% 3/25/34 (d)(e) | 2,512 | 2,230 | |
Flagship Credit Auto Trust Series 2015-3 Class A, 2.38% 10/15/20 (b) | 2,917,278 | 2,924,894 | |
Fremont Home Loan Trust Series 2005-A: | |||
Class M3, 1 month U.S. LIBOR + 0.735% 1.9729% 1/25/35 (d)(e) | 948,695 | 939,357 | |
Class M4, 1 month U.S. LIBOR + 1.020% 2.2579% 1/25/35 (d)(e) | 347,133 | 278,282 | |
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 3 month U.S. LIBOR + 0.380% 1.8421% 2/25/47 (b)(d)(e) | 1,269,593 | 1,212,505 | |
GE Business Loan Trust Series 2006-2A: | |||
Class A, 1 month U.S. LIBOR + 0.180% 1.4261% 11/15/34 (b)(d)(e) | 423,525 | 410,559 | |
Class B, 1 month U.S. LIBOR + 0.280% 1.5303% 11/15/34 (b)(d)(e) | 152,990 | 143,582 | |
Class C, 1 month U.S. LIBOR + 0.380% 1.6303% 11/15/34 (b)(d)(e) | 254,263 | 236,590 | |
Class D, 1 month U.S. LIBOR + 0.750% 2.0003% 11/15/34 (b)(d)(e) | 96,552 | 88,426 | |
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (b) | 75,390 | 6,361 | |
Home Equity Asset Trust: | |||
Series 2003-2 Class M1, 1 month U.S. LIBOR + 1.320% 2.5579% 8/25/33 (d)(e) | 203,577 | 205,880 | |
Series 2003-3 Class M1, 1 month U.S. LIBOR + 1.290% 2.6186% 8/25/33 (d)(e) | 324,671 | 320,469 | |
Home Partners of America Credit Trust Series 2017-1: | |||
Class E, 1 month U.S. LIBOR + 2.650% 3.8879% 7/17/34 (b)(d)(e) | 229,000 | 233,284 | |
Class F, 1 month U.S. LIBOR + 3.539% 4.7769% 7/17/34 (b)(d)(e) | 332,000 | 339,645 | |
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 1 month U.S. LIBOR + 0.190% 1.5186% 1/25/37 (d)(e) | 1,424,644 | 993,060 | |
Invitation Homes Trust: | |||
Series 2015-SFR2 Class E, 1 month U.S. LIBOR + 3.150% 4.3867% 6/17/32 (b)(d)(e) | 485,000 | 489,798 | |
Series 2015-SRF1 Class E, 1 month U.S. LIBOR + 4.300% 5.4367% 3/17/32 (b)(d)(e) | 624,000 | 631,464 | |
Series 2017-SFR2: | |||
Class E, 1 month U.S. LIBOR + 2.250% 3.5% 12/17/36 (b)(d)(e) | 525,000 | 532,162 | |
Class F, 1 month U.S. LIBOR + 3.000% 4.25% 12/17/36 (b)(d)(e) | 441,000 | 448,180 | |
Keycorp Student Loan Trust Series 2006-A Class 2C, 3 month U.S. LIBOR + 1.150% 2.4433% 3/27/42 (d)(e) | 3,243,000 | 2,383,621 | |
Long Beach Mortgage Loan Trust Series 2006-10 Class 2A3, 1 month U.S. LIBOR + 0.160% 1.4886% 11/25/36 (d)(e) | 4,161,008 | 2,083,636 | |
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 1 month U.S. LIBOR + 0.300% 1.5379% 5/25/37 (d)(e) | 279,555 | 59,100 | |
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1 month U.S. LIBOR + 0.750% 2.0786% 7/25/34 (d)(e) | 85,369 | 80,544 | |
Merrill Lynch Mortgage Investors Trust: | |||
Series 2003-OPT1 Class M1, 1 month U.S. LIBOR + 0.975% 2.3036% 7/25/34 (d)(e) | 129,022 | 127,023 | |
Series 2006-FF1 Class M2, 1 month U.S. LIBOR + 0.290% 1.5279% 8/25/36 (d)(e) | 13,300,000 | 13,289,577 | |
Series 2006-FM1 Class A2B, 1 month U.S. LIBOR + 0.110% 1.3479% 4/25/37 (d)(e) | 2,692 | 1,659 | |
Series 2006-OPT1 Class A1A, 1 month U.S. LIBOR + 0.520% 1.8486% 6/25/35 (d)(e) | 1,084,434 | 1,052,033 | |
Morgan Stanley ABS Capital I Trust: | |||
Series 2004-HE6 Class A2, 1 month U.S. LIBOR + 0.680% 2.0086% 8/25/34 (d)(e) | 57,368 | 55,587 | |
Series 2004-NC6 Class M3, 1 month U.S. LIBOR + 2.175% 3.5036% 7/25/34 (d)(e) | 12,147 | 11,965 | |
Series 2004-NC8 Class M6, 1 month U.S. LIBOR + 1.875% 3.2036% 9/25/34 (d)(e) | 14,317 | 14,395 | |
Series 2005-NC1 Class M1, 1 month U.S. LIBOR + 0.660% 1.9886% 1/25/35 (d)(e) | 101,204 | 99,748 | |
Series 2005-NC2 Class B1, 1 month U.S. LIBOR + 1.755% 3.0836% 3/25/35 (d)(e) | 115,478 | 4,993 | |
Nationstar HECM Loan Trust: | |||
Series 2017-1A Class A, 1.9679% 5/25/27 (b) | 18,299,986 | 18,283,516 | |
Series 2017-2A Class A1, 2.12% 9/25/27 (b) | 28,369,738 | 28,340,347 | |
Navient Student Loan Trust Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 1.9275% 7/26/66 (b)(d)(e) | 3,513,000 | 3,540,379 | |
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 1.8386% 9/25/35 (d)(e) | 1,426,957 | 1,415,526 | |
Park Place Securities, Inc.: | |||
Series 2004-WCW1: | |||
Class M3, 1 month U.S. LIBOR + 1.875% 3.2036% 9/25/34 (d)(e) | 466,217 | 469,755 | |
Class M4, 1 month U.S. LIBOR + 2.175% 3.5036% 9/25/34 (d)(e) | 683,353 | 546,142 | |
Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.245% 2.5736% 1/25/36 (d)(e) | 1,475,804 | 1,479,117 | |
Progress Residential Trust: | |||
Series 2015-SFR3 Class F, 6.643% 11/12/32 (b) | 168,000 | 177,646 | |
Series 2017-SFR1 Class F, 5.35% 8/17/34 (b) | 160,000 | 164,064 | |
Series 2017-SFR2 Class F, 1 month U.S. LIBOR + 2.750% 4.836% 12/17/34 (b)(e) | 134,000 | 133,598 | |
Prosper Marketplace Issuance Trust Series 2017-1A Class A, 2.56% 6/15/23 (b) | 9,659,727 | 9,695,735 | |
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1 month U.S. LIBOR + 0.800% 2.1286% 4/25/33 (d)(e) | 5,108 | 4,708 | |
Saxon Asset Securities Trust Series 2004-1 Class M1, 1 month U.S. LIBOR + 0.795% 2.1236% 3/25/35 (d)(e) | 465,044 | 459,749 | |
SLM Private Credit Student Loan Trust Series 2004-A Class C, 3 month U.S. LIBOR + 0.950% 2.27% 6/15/33 (d)(e) | 119,542 | 119,468 | |
Starwood Waypoint Homes Trust Series 2017-1: | |||
Class E, 1 month U.S. LIBOR + 2.600% 3.8367% 1/17/35 (b)(d)(e) | 1,040,000 | 1,044,801 | |
Class F, 1 month U.S. LIBOR + 3.400% 4.635% 1/17/35 (b)(d)(e) | 903,000 | 902,834 | |
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1 month U.S. LIBOR + 1.725% 3.0536% 9/25/34 (d)(e) | 32,414 | 31,815 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 2.1886% 9/25/34 (d)(e) | 28,819 | 27,562 | |
Thunderbolt Aircraft Lease Ltd. Series 2017-A Class A, 4.212% 5/17/32 (b) | 24,916,178 | 25,571,466 | |
Towd Point Mortgage Trust Series 2017-1 Class A1, 2.75% 10/25/56 (b)(d) | 29,653,458 | 29,713,619 | |
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 1.8621% 4/6/42 (b)(d)(e)(g) | 2,573,000 | 1,376,555 | |
Tricon American Homes Series 2017-SFR1 Class F, 5.151% 9/17/34 (b) | 1,092,000 | 1,099,258 | |
Tricon American Homes Trust Series 2016-SFR1: | |||
Class B, 2.989% 11/17/33 (b) | 517,000 | 510,821 | |
Class F, 5.769% 11/17/33 (b) | 456,000 | 466,681 | |
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A Class D, 3 month U.S. LIBOR + 0.850% 2.1664% 11/21/40 (b)(d)(e) | 305,000 | 283,498 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $316,880,505) | 328,668,258 | ||
Collateralized Mortgage Obligations - 2.1% | |||
Private Sponsor - 0.7% | |||
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 1.3772% 6/27/36 (b)(d)(e) | 9,382,092 | 9,234,805 | |
Banc of America Funding Trust sequential payer Series 2010-R3 Class 1A1, 3.6623% 12/26/35 (b)(d) | 1,212,511 | 1,216,547 | |
BCAP LLC Trust sequential payer: | |||
Series 2012-RR5 Class 8A5, 1.4361% 7/26/36 (b)(d) | 1,590,144 | 1,555,141 | |
Series 2013-RR4 Class 2A1, 3.6668% 5/26/47 (b)(d) | 2,562,941 | 2,573,907 | |
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1 month U.S. LIBOR + 0.560% 1.8886% 1/25/35 (d)(e) | 451,778 | 453,666 | |
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(d) | 7,273,139 | 7,292,996 | |
Citigroup Mortgage Loan Trust, Inc. sequential payer Series 2009-5 Class 5A1, 3.6858% 1/25/37 (b)(d) | 2,408,922 | 2,445,339 | |
Credit Suisse Mortgage Trust Series 2010-9R Class 2A5, 4% 2/27/38 (b) | 7,205,528 | 7,306,687 | |
CSMC: | |||
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 1.5172% 5/27/37 (b)(d)(e) | 7,693,019 | 7,368,109 | |
Series 2011-2R Class 2A1, 3.3391% 7/27/36 (b)(d) | 116,907 | 116,753 | |
Series 2014-3R Class 2A1, 1 month U.S. LIBOR + 0.700% 1.9372% 5/27/37 (b)(d)(e) | 796,864 | 770,005 | |
CSMC Trust Series 2009-5R Class 2A2, 3.3295% 7/26/49 (b)(d) | 1,419,023 | 1,420,998 | |
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 3.5992% 10/25/34 (d) | 307,518 | 310,637 | |
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (b)(d) | 16,107,919 | 16,224,363 | |
Freddie Mac Seasoned Credit Risk Transfer Series sequential payer Series 2017-1 Class MA, 3% 1/25/56 | 17,647,104 | 17,353,313 | |
FREMF Mortgage Trust: | |||
Series 2010-K6 Class B, 5.3671% 12/25/46 (b)(d) | 910,000 | 958,295 | |
Series 2010-K7 Class B, 5.6853% 4/25/20 (b)(d) | 1,000,000 | 1,059,796 | |
GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 3.0111% 3/25/37 (d) | 548,186 | 547,575 | |
JP Morgan Resecuritization Trust floater Series 2012-2 Class 6A1, 1 month U.S. LIBOR + 0.210% 1.4449% 6/21/36 (b)(d)(e) | 5,222,079 | 5,151,400 | |
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 3.4247% 8/25/36 (d) | 743,484 | 718,143 | |
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 1.4072% 2/25/37 (d)(e) | 1,480,340 | 1,450,520 | |
Mortgage Repurchase Agreement Funding Trust floater Series 2016-5 Class A, 1 month U.S. LIBOR + 1.170% 2.405% 6/10/19 (b)(d)(e) | 45,638,000 | 45,629,329 | |
Nomura Resecuritization Trust sequential payer Series 2011-3RA Class 2A1, 3.4668% 3/26/37 (b)(d) | 1,254,662 | 1,256,343 | |
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 1 month U.S. LIBOR + 0.290% 1.6186% 7/25/35 (d)(e) | 411,626 | 406,970 | |
RBSSP Resecuritization Trust sequential payer Series 2010-1 Class 2A1, 3.3192% 7/26/45 (b)(d) | 8,462,179 | 8,552,582 | |
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B: | |||
Class B5, 1 month U.S. LIBOR + 2.350% 3.585% 6/10/35 (b)(d)(e) | 202,779 | 143,714 | |
Class B6, 1 month U.S. LIBOR + 2.850% 4.085% 6/10/35 (b)(d)(e) | 45,212 | 25,621 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 2.3127% 7/20/34 (d)(e) | 17,836 | 17,622 | |
Structured Asset Securities Corp. Series 2003-15A Class 4A, 3.493% 4/25/33 (d) | 52,963 | 52,960 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 1.9686% 9/25/43 (d)(e) | 7,495,192 | 7,242,571 | |
Towd Point Mortgage Trust: | |||
Series 2015-5 Class A1B, 2.75% 5/25/55 (b) | 4,369,890 | 4,380,341 | |
Series 2017-2 Class A1, 2.75% 4/25/57 (b)(d) | 29,676,098 | 29,745,771 | |
Wells Fargo Mortgage Backed Securities Trust: | |||
Series 2004-BB Class A2, 3.167% 1/25/35 (d) | 1,613,804 | 1,620,693 | |
Series 2005-AR10 Class 2A15, 3.3694% 6/25/35 (d) | 8,769,923 | 8,892,651 | |
Series 2005-AR2: | |||
Class 1A2, 3.2174% 3/25/35 (d) | 1,110,629 | 1,111,623 | |
Class 3A1, 3.1699% 3/25/35 (d) | 14,778,089 | 15,013,845 | |
Wells Fargo Mortgage Loan Trust sequential payer Series 2011-RR4: | |||
Class 1A1, 3.408% 6/27/36 (b)(d) | 969,997 | 973,260 | |
Class 2A1, 3.4212% 6/27/36 (b)(d) | 1,296,441 | 1,299,993 | |
TOTAL PRIVATE SPONSOR | 211,894,884 | ||
U.S. Government Agency - 1.4% | |||
Fannie Mae: | |||
floater: | |||
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 2.1275% 2/25/32 (d)(e) | 21,071 | 21,407 | |
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 2.2827% 3/18/32 (d)(e) | 37,194 | 37,936 | |
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 2.3275% 4/25/32 (d)(e) | 45,500 | 46,448 | |
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 2.3275% 10/25/32 (d)(e) | 59,915 | 61,129 | |
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 2.0775% 1/25/32 (d)(e) | 21,711 | 22,042 | |
Series 2002-94 Class FB, 1 month U.S. LIBOR + 0.400% 1.7275% 1/25/18 (d)(e) | 181 | 181 | |
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 6.7725% 12/25/33 (d)(m)(n) | 713,215 | 164,112 | |
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 5.3525% 11/25/36 (d)(m)(n) | 531,488 | 93,627 | |
planned amortization class: | |||
Series 1992-168 Class KB, 7% 10/25/22 | 24,525 | 25,888 | |
Series 1993-207 Class H, 6.5% 11/25/23 | 351,824 | 380,610 | |
Series 1996-28 Class PK, 6.5% 7/25/25 | 114,141 | 123,839 | |
Series 1999-17 Class PG, 6% 4/25/29 | 330,303 | 360,801 | |
Series 1999-32 Class PL, 6% 7/25/29 | 314,004 | 343,422 | |
Series 1999-33 Class PK, 6% 7/25/29 | 223,789 | 245,076 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 27,419 | 31,167 | |
Series 2003-28 Class KG, 5.5% 4/25/23 | 201,754 | 212,924 | |
Series 2005-102 Class CO 11/25/35 (o) | 176,190 | 156,953 | |
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 14.0985% 8/25/35 (d)(n) | 60,290 | 73,305 | |
Series 2005-81 Class PC, 5.5% 9/25/35 | 425,059 | 460,025 | |
Series 2006-12 Class BO 10/25/35 (o) | 790,110 | 705,077 | |
Series 2006-37 Class OW 5/25/36 (o) | 74,487 | 64,986 | |
Series 2006-45 Class OP 6/25/36 (o) | 239,360 | 209,331 | |
Series 2006-62 Class KP 4/25/36 (o) | 388,639 | 339,604 | |
sequential payer: | |||
Series 1997-41 Class J, 7.5% 6/18/27 | 68,655 | 78,474 | |
Series 1999-25 Class Z, 6% 6/25/29 | 245,201 | 272,301 | |
Series 2001-20 Class Z, 6% 5/25/31 | 351,658 | 381,117 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 178,851 | 201,755 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 96,145 | 109,339 | |
Series 2002-74 Class SV, 7.550%- 1 month U.S. LIBOR 6.2225% 11/25/32 (d)(m)(n) | 457,988 | 69,676 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (m) | 2,183,295 | 228,765 | |
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 5.3125% 12/25/36 (d)(m)(n) | 343,828 | 69,042 | |
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 5.1125% 5/25/37 (d)(m)(n) | 199,544 | 34,647 | |
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 16.0449% 9/25/23 (d)(n) | 14,942 | 18,226 | |
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 6.7725% 3/25/33 (d)(m)(n) | 48,128 | 9,348 | |
Series 2003-35 Class TQ, 7.500% - 1 month U.S. LIBOR 6.1725% 5/25/18 (d)(m)(n) | 2,399 | 25 | |
Series 2005-72 Class ZC, 5.5% 8/25/35 | 2,583,730 | 2,790,106 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 1,626,707 | 1,844,717 | |
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 32.655% 6/25/37 (d)(n) | 169,977 | 328,523 | |
Series 2007-66: | |||
Class SA, 39.600% - 1 month U.S. LIBOR 31.635% 7/25/37 (d)(n) | 256,576 | 490,800 | |
Class SB, 39.600% - 1 month U.S. LIBOR 31.635% 7/25/37 (d)(n) | 107,001 | 184,949 | |
Series 2007-75 Class JI, 6.545%- 1 month U.S. LIBOR 5.2175% 8/25/37 (d)(m)(n) | 7,657,620 | 1,307,353 | |
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 5.0225% 3/25/38 (d)(m)(n) | 1,363,144 | 217,722 | |
Series 2009-16 Class SA, 6.250% - 1 month U.S. LIBOR 4.9225% 3/25/24 (d)(m)(n) | 164 | 1 | |
Series 2009-76 Class MI, 5.5% 9/25/24 (m) | 11,196 | 293 | |
Series 2009-85 Class IB, 4.5% 8/25/24 (m) | 79,799 | 3,168 | |
Series 2009-93 Class IC, 4.5% 9/25/24 (m) | 114,103 | 4,302 | |
Series 2010-112 Class SG, 6.360% - 1 month U.S. LIBOR 5.0325% 6/25/21 (d)(m)(n) | 68,621 | 1,954 | |
Series 2010-12 Class AI, 5% 12/25/18 (m) | 82,222 | 728 | |
Series 2010-135 Class LS, 6.050% - 1 month U.S. LIBOR 4.7225% 12/25/40 (d)(m)(n) | 1,282,696 | 194,853 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (m) | 1,169,285 | 127,733 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 5,461,315 | 5,998,973 | |
Series 2010-17 Class DI, 4.5% 6/25/21 (m) | 52,628 | 1,457 | |
Series 2010-23: | |||
Class AI, 5% 12/25/18 (m) | 19,783 | 191 | |
Class HI, 4.5% 10/25/18 (m) | 34,666 | 442 | |
Series 2010-29 Class LI, 4.5% 6/25/19 (m) | 82,101 | 876 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 11,337,312 | 12,525,453 | |
Series 2010-97 Class CI, 4.5% 8/25/25 (m) | 309,912 | 16,917 | |
Series 2011-110 Class SA, 6.610% - 1 month U.S. LIBOR 5.2825% 4/25/41 (d)(m)(n) | 3,370,397 | 469,037 | |
Series 2011-112 Class SA, 6.550% - 1 month U.S. LIBOR 5.2225% 11/25/41 (d)(m)(n) | 3,490,540 | 576,173 | |
Series 2011-123 Class SD, 6.600% - 1 month U.S. LIBOR 5.2725% 8/25/39 (d)(m)(n) | 2,882,359 | 357,543 | |
Series 2011-39 Class ZA, 6% 11/25/32 | 911,567 | 1,019,478 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 2,348,647 | 2,644,440 | |
Series 2011-67 Class AI, 4% 7/25/26 (m) | 363,024 | 34,080 | |
Series 2011-83 Class DI, 6% 9/25/26 (m) | 492,561 | 46,492 | |
Series 2012-100 Class WI, 3% 9/25/27 (m) | 5,716,493 | 535,580 | |
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 5.3225% 12/25/30 (d)(m)(n) | 1,906,451 | 235,482 | |
Series 2012-47 Class SD, 6.450% - 1 month U.S. LIBOR 5.1225% 5/25/42 (d)(m)(n) | 8,618,558 | 1,601,312 | |
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 5.2225% 6/25/41 (d)(m)(n) | 2,577,047 | 347,727 | |
Series 2013-133 Class IB, 3% 4/25/32 (m) | 3,609,889 | 326,768 | |
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 4.7225% 1/25/44 (d)(m)(n) | 1,913,298 | 303,000 | |
Series 2013-51 Class GI, 3% 10/25/32 (m) | 5,350,319 | 529,492 | |
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 5.3925% 6/25/35 (d)(m)(n) | 1,091,486 | 193,825 | |
Series 2015-42: | |||
Class IL, 6% 6/25/45 (m) | 8,096,532 | 1,903,377 | |
Class LS, 6.200% - 1 month U.S. LIBOR 4.8725% 6/25/45 (d)(m)(n) | 13,507,511 | 2,068,022 | |
Series 2015-70 Class JC, 3% 10/25/45 | 7,016,804 | 7,097,241 | |
Series 2016-78 Class CS, 6.100% - 1 month U.S. LIBOR 4.7725% 5/25/39 (d)(m)(n) | 15,749,630 | 2,563,177 | |
Series 2017-30 Class AI, 5.5% 5/25/47 | 4,222,301 | 959,898 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 339: | |||
Class 29, 5.5% 8/25/18 (m) | 2,074 | 14 | |
Class 5, 5.5% 7/25/33 (m) | 193,577 | 38,450 | |
Series 343 Class 16, 5.5% 5/25/34 (m) | 166,637 | 29,816 | |
Series 348 Class 14, 6.5% 8/25/34 (d)(m) | 119,352 | 27,645 | |
Series 351: | |||
Class 12, 5.5% 4/25/34 (d)(m) | 76,725 | 13,310 | |
Class 13, 6% 3/25/34 (m) | 104,520 | 20,608 | |
Series 359 Class 19, 6% 7/25/35 (d)(m) | 67,396 | 12,724 | |
Series 384 Class 6, 5% 7/25/37 (m) | 842,196 | 155,273 | |
Freddie Mac: | |||
floater: | |||
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 2.0503% 1/15/32 (d)(e) | 16,433 | 16,692 | |
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 2.1503% 3/15/32 (d)(e) | 22,954 | 23,378 | |
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 2.2503% 3/15/32 (d)(e) | 26,086 | 26,604 | |
Series 2432: | |||
Class FE, 1 month U.S. LIBOR + 0.900% 2.1503% 6/15/31 (d)(e) | 43,993 | 44,754 | |
Class FG, 1 month U.S. LIBOR + 0.900% 2.1503% 3/15/32 (d)(e) | 13,775 | 14,019 | |
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 1.5003% 5/15/37 (d)(e) | 989,882 | 988,633 | |
planned amortization class: | |||
Series 2006-15 Class OP 3/25/36 (o) | 702,321 | 613,652 | |
Series 2095 Class PE, 6% 11/15/28 | 364,003 | 398,931 | |
Series 2101 Class PD, 6% 11/15/28 | 33,144 | 35,225 | |
Series 2121 Class MG, 6% 2/15/29 | 149,676 | 164,030 | |
Series 2131 Class BG, 6% 3/15/29 | 1,025,471 | 1,125,820 | |
Series 2137 Class PG, 6% 3/15/29 | 162,045 | 175,839 | |
Series 2154 Class PT, 6% 5/15/29 | 262,651 | 288,527 | |
Series 2162 Class PH, 6% 6/15/29 | 60,900 | 65,718 | |
Series 2520 Class BE, 6% 11/15/32 | 330,181 | 352,695 | |
Series 2585 Class KS, 7.600% - 1 month U.S. LIBOR 6.3497% 3/15/23 (d)(m)(n) | 16,806 | 1,285 | |
Series 2693 Class MD, 5.5% 10/15/33 | 3,891,749 | 4,303,238 | |
Series 2802 Class OB, 6% 5/15/34 | 581,066 | 628,444 | |
Series 2937 Class KC, 4.5% 2/15/20 | 315,133 | 318,713 | |
Series 2962 Class BE, 4.5% 4/15/20 | 456,922 | 465,908 | |
Series 3002 Class NE, 5% 7/15/35 | 925,321 | 994,876 | |
Series 3110 Class OP 9/15/35 (o) | 442,692 | 406,098 | |
Series 3119 Class PO 2/15/36 (o) | 809,757 | 705,479 | |
Series 3121 Class KO 3/15/36 (o) | 142,857 | 125,487 | |
Series 3123 Class LO 3/15/36 (o) | 455,773 | 398,436 | |
Series 3145 Class GO 4/15/36 (o) | 427,895 | 374,126 | |
Series 3189 Class PD, 6% 7/15/36 | 857,553 | 966,897 | |
Series 3225 Class EO 10/15/36 (o) | 255,847 | 223,839 | |
Series 3258 Class PM, 5.5% 12/15/36 | 425,241 | 462,560 | |
Series 3415 Class PC, 5% 12/15/37 | 329,924 | 355,526 | |
Series 3786 Class HI, 4% 3/15/38 (m) | 1,091,476 | 85,668 | |
Series 3806 Class UP, 4.5% 2/15/41 | 2,517,488 | 2,652,296 | |
Series 3832 Class PE, 5% 3/15/41 | 2,375,210 | 2,605,425 | |
sequential payer: | |||
Series 2135 Class JE, 6% 3/15/29 | 74,309 | 81,617 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 84,344 | 95,004 | |
Series 2281 Class ZB, 6% 3/15/30 | 202,535 | 214,828 | |
Series 2303 Class ZV, 6% 4/15/31 | 86,194 | 94,842 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 620,524 | 707,878 | |
Series 2502 Class ZC, 6% 9/15/32 | 172,672 | 185,254 | |
Series 2519 Class ZD, 5.5% 11/15/32 | 284,352 | 301,698 | |
Series 2546 Class MJ, 5.5% 3/15/23 | 124,443 | 129,518 | |
Series 2601 Class TB, 5.5% 4/15/23 | 58,992 | 62,366 | |
Series 2998 Class LY, 5.5% 7/15/25 | 181,668 | 193,791 | |
Series 3871 Class KB, 5.5% 6/15/41 | 4,329,000 | 4,953,477 | |
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 5.3497% 2/15/36 (d)(m)(n) | 305,719 | 58,299 | |
Series 2013-4281 Class AI, 4% 12/15/28 (m) | 3,700,576 | 320,491 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 9,400,533 | 9,507,878 | |
Series 2844: | |||
Class SC, 46.800% - 1 month U.S. LIBOR 38.6732% 8/15/24 (d)(n) | 7,039 | 9,771 | |
Class SD, 86.400% - 1 month U.S. LIBOR 70.1964% 8/15/24 (d)(n) | 10,356 | 18,428 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 3,119,530 | 3,571,290 | |
Series 2935 Class ZK, 5.5% 2/15/35 | 3,734,286 | 4,150,622 | |
Series 2947 Class XZ, 6% 3/15/35 | 1,143,482 | 1,253,409 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 2,446,519 | 2,771,083 | |
Series 3055 Class CS, 6.590%- 1 month U.S. LIBOR 5.3397% 10/15/35 (d)(m)(n) | 420,871 | 78,139 | |
Series 3237 Class C, 5.5% 11/15/36 | 3,412,970 | 3,814,723 | |
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 5.4097% 11/15/36 (d)(m)(n) | 1,027,544 | 189,373 | |
Series 3284 Class CI, 6.120%- 1 month U.S. LIBOR 4.8697% 3/15/37 (d)(m)(n) | 2,363,353 | 398,674 | |
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 5.4997% 3/15/37 (d)(m)(n) | 1,486,960 | 289,916 | |
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 5.5097% 4/15/37 (d)(m)(n) | 2,267,334 | 455,085 | |
Series 3336 Class LI, 6.580%- 1 month U.S. LIBOR 5.3297% 6/15/37 (d)(m)(n) | 712,533 | 117,159 | |
Series 3772 Class BI, 4.5% 10/15/18 (m) | 123,684 | 1,410 | |
Series 3949 Class MK, 4.5% 10/15/34 | 662,866 | 701,835 | |
Series 3955: | |||
Class GS, 5.950% - 1 month U.S. LIBOR 4.6997% 9/15/41 (d)(m)(n) | 3,603,633 | 529,692 | |
Class YI, 3% 11/15/21 (m) | 1,709,036 | 72,245 | |
Series 4055 Class BI, 3.5% 5/15/31 (m) | 3,326,797 | 338,548 | |
Series 4149 Class IO, 3% 1/15/33 (m) | 2,299,155 | 290,221 | |
Series 4314 Class AI, 5% 3/15/34 (m) | 1,184,959 | 128,151 | |
Series 4427 Class LI, 3.5% 2/15/34 (m) | 6,105,415 | 744,686 | |
Series 4471 Class PA 4% 12/15/40 | 8,027,729 | 8,310,236 | |
target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 203,256 | 216,286 | |
Freddie Mac Manufactured Housing participation certificates guaranteed: | |||
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 2.1503% 2/15/24 (d)(e) | 80,036 | 80,900 | |
sequential payer: | |||
Series 2043 Class ZH, 6% 4/15/28 | 129,567 | 142,094 | |
Series 2056 Class Z, 6% 5/15/28 | 295,756 | 323,931 | |
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 7,653,914 | 8,054,165 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 5.4265% 6/16/37 (d)(m)(n) | 445,786 | 87,178 | |
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 1.79% 3/20/60 (d)(e)(p) | 5,663,304 | 5,665,288 | |
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 1.57% 7/20/60 (d)(e)(p) | 648,928 | 644,681 | |
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 1.5333% 9/20/60 (d)(e)(p) | 787,476 | 781,862 | |
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 1.5333% 8/20/60 (d)(e)(p) | 883,070 | 876,750 | |
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 1.6133% 12/20/60 (d)(e)(p) | 1,580,877 | 1,573,003 | |
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 1.7333% 12/20/60 (d)(e)(p) | 2,464,409 | 2,461,940 | |
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 1.7333% 2/20/61 (d)(e)(p) | 4,899,763 | 4,895,101 | |
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 1.7233% 2/20/61 (d)(e)(p) | 6,423,600 | 6,415,831 | |
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 1.7333% 4/20/61 (d)(e)(p) | 2,194,358 | 2,192,165 | |
Series 2011-H14: | |||
Class FB, 1 month U.S. LIBOR + 0.500% 1.7333% 5/20/61 (d)(e)(p) | 2,610,222 | 2,607,424 | |
Class FC, 1 month U.S. LIBOR + 0.500% 1.7333% 5/20/61 (d)(e)(p) | 2,379,297 | 2,376,822 | |
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 1.7633% 6/20/61 (d)(e)(p) | 3,059,549 | 3,058,980 | |
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 1.8333% 10/20/61 (d)(e)(p) | 6,044,553 | 6,055,148 | |
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 1.9333% 11/20/61 (d)(e)(p) | 2,963,059 | 2,977,227 | |
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 1.9333% 1/20/62 (d)(e)(p) | 1,944,619 | 1,953,760 | |
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 1.8633% 1/20/62 (d)(e)(p) | 2,850,085 | 2,857,735 | |
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 1.8633% 3/20/62 (d)(e)(p) | 1,776,543 | 1,780,989 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 1.8833% 5/20/61 (d)(e)(p) | 3,008,022 | 3,013,591 | |
Series 2012-H23 Class WA, 1 month U.S. LIBOR + 0.520% 1.7533% 10/20/62 (d)(e)(p) | 1,523,499 | 1,522,795 | |
Series 2012-H26, Class CA, 1 month U.S. LIBOR + 0.530% 1.7633% 7/20/60 (d)(e)(p) | 4,882,978 | 4,892,314 | |
Series 2013-H07 Class BA, 1 month U.S. LIBOR + 0.360% 1.5933% 3/20/63 (d)(e)(p) | 2,441,668 | 2,427,880 | |
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 1.8333% 1/20/64 (d)(e)(p) | 2,817,490 | 2,822,673 | |
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 1.8333% 12/20/63 (d)(e)(p) | 7,474,593 | 7,490,569 | |
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 1.7333% 6/20/64 (d)(e)(p) | 11,223,339 | 11,211,411 | |
Series 2014-H20 Class BF, 1 month U.S. LIBOR + 0.500% 1.7333% 9/20/64 (d)(e)(p) | 35,465,938 | 35,427,464 | |
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 1.6306% 12/20/62 (d)(e)(p) | 12,142,148 | 12,149,044 | |
planned amortization class: | |||
Series 1993-13 Class PD, 6% 5/20/29 | 370,255 | 412,432 | |
Series 1997-8 Class PE, 7.5% 5/16/27 | 156,769 | 180,807 | |
Series 2010-158 Class MS, 10.000%- 1 month U.S. LIBOR 7.4347% 12/20/40 (d)(n) | 5,680,000 | 6,359,726 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (m) | 783,850 | 93,114 | |
sequential payer: | |||
Series 2004-24 Class ZM, 5% 4/20/34 | 1,426,321 | 1,550,861 | |
Series 2010-160 Class DY, 4% 12/20/40 | 16,972,887 | 17,884,340 | |
Series 2010-170 Class B, 4% 12/20/40 | 3,826,933 | 4,032,497 | |
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 5.2365% 5/16/34 (d)(m)(n) | 248,338 | 42,396 | |
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 5.9365% 8/17/34 (d)(m)(n) | 293,313 | 61,153 | |
Series 2007-35 Class SC, 40.200% - 1 month U.S. LIBOR 32.619% 6/16/37 (d)(n) | 17,897 | 31,632 | |
Series 2010-116 Class QB, 4% 9/16/40 | 36,540,539 | 38,445,814 | |
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 1.57% 5/20/60 (d)(e)(p) | 2,034,884 | 2,021,823 | |
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 4.8173% 7/20/41 (d)(m)(n) | 1,488,877 | 233,383 | |
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 5.4365% 6/16/42 (d)(m)(n) | 907,538 | 162,231 | |
Series 2013-124: | |||
Class ES, 8.667% - 1 month U.S. LIBOR 6.9564% 4/20/39 (d)(n) | 2,634,053 | 2,739,160 | |
Class ST, 8.800% - 1 month U.S. LIBOR 7.0898% 8/20/39 (d)(n) | 6,700,169 | 7,076,318 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 20,496,231 | 20,361,064 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (p) | 24,399,128 | 24,467,180 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (p) | 21,693,111 | 21,754,548 | |
Series 2015-H21: | |||
Class HA, 2.5% 6/20/63 (p) | 4,596,976 | 4,608,807 | |
Class JA, 2.5% 6/20/65 (p) | 21,177,819 | 21,235,946 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 1.66% 8/20/66 (d)(e)(p) | 24,789,210 | 24,860,256 | |
TOTAL U.S. GOVERNMENT AGENCY | 459,007,044 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $673,911,840) | 670,901,928 | ||
Commercial Mortgage Securities - 2.1% | |||
280 Park Avenue Mortgage Trust floater Series 2017-280P Class F, 1 month U.S. LIBOR + 3.150% 4.0773% 9/15/34 (b)(d)(e) | 1,242,000 | 1,238,270 | |
Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (b) | 180,000 | 198,158 | |
Asset Securitization Corp.: | |||
Series 1997-D4 Class B5, 7.525% 4/14/29 | 129,000 | 128,842 | |
Series 1997-D5 Class PS1, 1.8303% 2/14/43 (d)(m) | 50,260 | 458 | |
Aventura Mall Trust Series 2013-AVM Class E, 3.7427% 12/5/32 (b)(d) | 692,000 | 700,286 | |
BAMLL Trust Series 2015-200P Class F, 3.5958% 4/14/33 (b)(d) | 767,000 | 737,945 | |
BANK: | |||
Series 2017-BNK4 Class D, 3.357% 5/15/50 (b) | 1,323,000 | 1,092,396 | |
Series 2017-BNK6 Class D, 3.1% 7/15/60 (b) | 765,000 | 608,460 | |
Series 2017-BNK8 Class D, 2.6% 11/15/50 (b) | 965,000 | 734,796 | |
Bank of America Commercial Mortgage Securities Trust Series 2017-BNK3: | |||
Class C, 4.352% 2/15/50 (d) | 957,000 | 974,360 | |
Class D, 3.25% 2/15/50 (b) | 667,000 | 541,537 | |
Bank of America Commercial Mortgage Trust Series 2016-UB10 Class XA, 1.9987% 7/15/49 (d)(m) | 45,975,536 | 5,021,797 | |
Barclays Commercial Mortgage Securities LLC Series 2015-STP: | |||
Class A, 3.3228% 9/10/28 (b) | 4,373,964 | 4,457,715 | |
Class E, 4.2844% 9/10/28 (b)(d) | 1,786,000 | 1,732,504 | |
Bayview Commercial Asset Trust: | |||
floater: | |||
Series 2003-2 Class M1, 1 month U.S. LIBOR + 0.850% 2.6036% 12/25/33 (b)(d)(e) | 20,267 | 20,015 | |
Series 2005-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.390% 1.7186% 1/25/36 (b)(d)(e) | 554,439 | 519,286 | |
Class B1, 1 month U.S. LIBOR + 1.400% 2.7286% 1/25/36 (b)(d)(e) | 24,880 | 19,355 | |
Class M1, 1 month U.S. LIBOR + 0.450% 1.7786% 1/25/36 (b)(d)(e) | 178,851 | 166,359 | |
Class M2, 1 month U.S. LIBOR + 0.470% 1.7986% 1/25/36 (b)(d)(e) | 53,655 | 49,489 | |
Class M3, 1 month U.S. LIBOR + 0.500% 1.8286% 1/25/36 (b)(d)(e) | 78,360 | 71,631 | |
Class M4, 1 month U.S. LIBOR + 0.610% 1.9386% 1/25/36 (b)(d)(e) | 43,337 | 38,763 | |
Class M5, 1 month U.S. LIBOR + 0.650% 1.9786% 1/25/36 (b)(d)(e) | 43,337 | 32,927 | |
Class M6, 1 month U.S. LIBOR + 0.700% 2.0286% 1/25/36 (b)(d)(e) | 46,029 | 35,209 | |
Series 2006-3A Class M4, 1 month U.S. LIBOR + 0.430% 1.6679% 10/25/36 (b)(d)(e) | 24,146 | 19,422 | |
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 1.5079% 3/25/37 (b)(d)(e) | 355,229 | 330,261 | |
Series 2007-2A: | |||
Class A1, 1 month U.S. LIBOR + 0.270% 1.5072% 7/25/37 (b)(d)(e) | 370,430 | 353,834 | |
Class A2, 1 month U.S. LIBOR + 0.320% 1.5572% 7/25/37 (b)(d)(e) | 346,117 | 327,871 | |
Class M1, 1 month U.S. LIBOR + 0.370% 1.6072% 7/25/37 (b)(d)(e) | 121,537 | 98,344 | |
Class M2, 1 month U.S. LIBOR + 0.410% 1.6472% 7/25/37 (b)(d)(e) | 66,413 | 53,855 | |
Class M3, 1 month U.S. LIBOR + 0.490% 1.7272% 7/25/37 (b)(d)(e) | 53,936 | 39,913 | |
Series 2007-3: | |||
Class A2, 1 month U.S. LIBOR + 0.290% 1.5279% 7/25/37 (b)(d)(e) | 333,185 | 310,777 | |
Class M1, 1 month U.S. LIBOR + 0.310% 1.5472% 7/25/37 (b)(d)(e) | 72,365 | 67,419 | |
Class M2, 1 month U.S. LIBOR + 0.340% 1.5772% 7/25/37 (b)(d)(e) | 77,562 | 71,893 | |
Class M3, 1 month U.S. LIBOR + 0.370% 1.6072% 7/25/37 (b)(d)(e) | 122,218 | 104,991 | |
Class M4, 1 month U.S. LIBOR + 0.500% 1.7372% 7/25/37 (b)(d)(e) | 191,901 | 159,789 | |
Class M5, 1 month U.S. LIBOR + 0.600% 1.8372% 7/25/37 (b)(d)(e) | 73,047 | 56,209 | |
Series 2006-3A, Class IO, 0% 10/25/36 (b)(d)(g)(m) | 3,719,332 | 0 | |
BBCMS Mortgage Trust Series 2016-ETC: | |||
Class D, 3.6089% 8/14/36 (b)(d) | 1,000,000 | 947,708 | |
Class E, 3.6089% 8/14/36 (b)(d) | 1,000,000 | 889,733 | |
Bear Stearns Commercial Mortgage Securities Trust Series 2006-T22 Class B, 5.7206% 4/12/38 (b)(d) | 48,439 | 48,629 | |
Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (b) | 565,580 | 568,708 | |
BWAY Mortgage Trust Series 2015-1740 Class E, 4.45% 1/10/35 (b)(d) | 1,000,000 | 989,322 | |
BX Trust Series 2017-IMC Class F, 1 month U.S. LIBOR + 4.250% 5.489% 10/15/32 (b)(d)(e) | 1,253,000 | 1,256,127 | |
CCRESG Commercial Mortgage Trust Series 2016-HEAT Class E, 5.4883% 4/10/29 (b)(d) | 606,000 | 589,367 | |
CD Mortgage Trust Series 2017-CD3: | |||
Class C, 4.563% 2/10/50 | 1,360,000 | 1,416,362 | |
Class D, 3.25% 2/10/50 (b) | 754,000 | 616,393 | |
CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.7536% 12/15/47 (b)(d) | 750,000 | 825,063 | |
CG-CCRE Commercial Mortgage Trust: | |||
Series 2014-FL1: | |||
Class YTC2, 1 month U.S. LIBOR + 2.489% 3.7279% 6/15/31 (b)(d)(e) | 435,090 | 408,904 | |
Class YTC3, 1 month U.S. LIBOR + 2.489% 3.7279% 6/15/31 (b)(d)(e) | 156,667 | 145,756 | |
Series 2014-FL1, 1 month U.S. LIBOR + 2.489% 3.7279% 6/15/31 (b)(d)(e) | 435,090 | 412,034 | |
CGBAM Commercial Mortgage Trust Series 2015-SMRT: | |||
Class E, 3.7859% 4/10/28 (b)(d) | 162,000 | 162,015 | |
Class F, 3.7859% 4/10/28 (b)(d) | 1,133,000 | 1,121,102 | |
CGDB Commercial Mortgage Trust: | |||
1 month U.S. LIBOR + 2.500% 3.727% 5/15/30 (b)(d)(e) | 260,000 | 260,467 | |
Series 2017-BIO Class F, 1 month U.S. LIBOR + 3.250% 4.4844% 5/15/30 (b)(d)(e) | 134,000 | 133,866 | |
Chase Commercial Mortgage Securities Corp.: | |||
Series 1998-1 Class H, 6.34% 5/18/30 (b) | 68,907 | 70,608 | |
Series 1998-2 Class J, 6.39% 11/18/30 (b) | 210,434 | 209,360 | |
Citigroup Commercial Mortgage Trust: | |||
Series 2013-375P Class E, 3.5176% 5/10/35 (b)(d) | 1,205,000 | 1,165,296 | |
Series 2013-GC15 Class D, 5.0992% 9/10/46 (b)(d) | 1,927,000 | 1,849,023 | |
Series 2015-GC33 Class XA, 0.9643% 9/10/58 (d)(m) | 92,283,297 | 5,384,260 | |
Series 2015-SHP2 Class E, 1 month U.S. LIBOR + 4.100% 5.589% 7/15/27 (b)(d)(e) | 693,000 | 697,435 | |
Series 2016-C3 Class D, 3% 11/15/49 (b) | 1,451,000 | 1,091,150 | |
Series 2016-P6 Class XA, 0.8335% 12/10/49 (d)(m) | 83,237,775 | 3,974,529 | |
Series 2016-SMPL Class E, 4.509% 9/10/31 (b) | 756,000 | 765,914 | |
COMM Mortgage Trust: | |||
floater Series 2014-PAT Class E, 1 month U.S. LIBOR + 3.150% 4.385% 8/13/27 (b)(d)(e) | 735,000 | 746,009 | |
sequential payer Series 2013-LC6 Class E, 3.5% 1/10/46 (b) | 1,410,000 | 1,055,600 | |
Series 2012-CR1: | |||
Class C, 5.3198% 5/15/45 (d) | 850,000 | 897,172 | |
Class D, 5.3198% 5/15/45 (b)(d) | 1,510,000 | 1,474,995 | |
Class G, 2.462% 5/15/45 (b) | 231,000 | 139,359 | |
Series 2012-CR5 Class D, 4.3259% 12/10/45 (b)(d) | 740,000 | 709,774 | |
Series 2012-LC4: | |||
Class C, 5.5887% 12/10/44 (d) | 260,000 | 275,968 | |
Class D, 5.5887% 12/10/44 (b)(d) | 1,437,000 | 1,292,673 | |
Series 2013-CCRE6 Class E, 4.1266% 3/10/46 (b)(d) | 42,000 | 33,470 | |
Series 2013-CR10: | |||
Class C, 4.7886% 8/10/46 (b)(d) | 270,000 | 276,480 | |
Class D, 4.7886% 8/10/46 (b)(d) | 1,578,000 | 1,379,975 | |
Series 2013-CR12 Class D, 5.0789% 10/10/46 (b)(d) | 1,680,000 | 1,454,241 | |
Series 2013-CR6 Class F, 4.1266% 3/10/46 (b)(d) | 418,000 | 280,198 | |
Series 2013-CR9: | |||
Class C, 4.2544% 7/10/45 (b)(d) | 525,000 | 519,020 | |
Class D, 4.2544% 7/10/45 (b)(d) | 252,000 | 215,910 | |
Series 2013-LC6 Class D, 4.2729% 1/10/46 (b)(d) | 1,441,000 | 1,344,404 | |
Series 2014-CR15 Class D, 4.7586% 2/10/47 (b)(d) | 258,000 | 237,429 | |
Series 2014-CR17: | |||
Class D, 4.7986% 5/10/47 (b)(d) | 799,000 | 704,661 | |
Class E, 4.7986% 5/10/47 (b)(d) | 182,000 | 126,201 | |
Series 2014-CR19 Class XA, 1.384% 8/10/47 (d)(m) | 155,692,720 | 7,949,390 | |
Series 2014-CR20 Class XA, 1.1641% 11/10/47 (d)(m) | 125,811,428 | 6,951,836 | |
Series 2014-LC17 Class XA, 0.9566% 10/10/47 (d)(m) | 108,688,453 | 3,946,043 | |
Series 2014-UBS2 Class D, 5.0146% 3/10/47 (b)(d) | 844,000 | 723,353 | |
Series 2014-UBS4 Class XA, 1.2261% 8/10/47 (d)(m) | 112,979,824 | 6,037,201 | |
Series 2014-UBS6 Class XA, 1.0239% 12/10/47 (d)(m) | 152,628,538 | 7,298,422 | |
Series 2015-3BP Class F, 3.2384% 2/10/35 (b)(d) | 1,500,000 | 1,351,177 | |
Series 2015-CR23 Class CME, 3.6845% 5/10/48 (b)(d) | 483,000 | 470,015 | |
Series 2015-DC1 Class XA, 1.1629% 2/10/48 (d)(m) | 155,959,782 | 8,629,551 | |
Series 2016-CD1 Class D, 2.7714% 8/10/49 (b)(d) | 1,006,000 | 771,013 | |
Series 2017-CD4 Class D, 3.3% 5/10/50 (b) | 772,000 | 631,519 | |
COMM Mortgage Trust pass-thru certificates Series 2005-LP5 Class F, 4.6046% 5/10/43 (b)(d) | 1,290,000 | 1,288,223 | |
COMM Trust Series 2017-COR2 Class D, 3% 9/10/50 (b) | 340,000 | 271,530 | |
Commercial Mortgage Asset Trust Series 1999-C2 Class H, 6% 11/17/32 (b) | 704,887 | 710,462 | |
Commercial Mortgage Trust Series 2016-CD2: | |||
Class C, 3.031% 11/10/49 | 971,000 | 969,463 | |
Class D, 2.7809% 11/10/49 (d) | 508,000 | 397,308 | |
Commercial Mortgage Trust pass-thru certificates: | |||
Series 2012-CR2: | |||
Class E, 4.8405% 8/15/45 (b)(d) | 1,727,000 | 1,674,878 | |
Class F, 4.25% 8/15/45 (b) | 1,418,000 | 1,149,202 | |
Series 2014-CR2 Class G, 4.25% 8/15/45 (b) | 496,000 | 313,470 | |
Core Industrial Trust: | |||
Series 2015-CALW Class G, 3.8504% 2/10/34 (b)(d) | 625,000 | 608,653 | |
Series 2015-TEXW Class F, 3.8487% 2/10/34 (b)(d) | 493,000 | 485,620 | |
Series 2015-WEST Class F, 4.2268% 2/10/37 (b)(d) | 1,566,000 | 1,519,902 | |
Credit Suisse First Boston Mortgage Securities Corp.: | |||
Series 1998-C1: | |||
Class F, 6% 5/17/40 (b) | 178,197 | 178,943 | |
Class H, 6% 5/17/40 (b) | 90,315 | 72,462 | |
Series 1998-C2 Class G, 6.75% 11/15/30 (b) | 87,967 | 88,452 | |
CSAIL Commercial Mortgage Trust: | |||
Series 2017-C8 Class D, 4.47% 6/15/50 (b) | 862,000 | 779,683 | |
Series 2017-CX10 Class UESD, 4.2366% 11/15/27 (b)(d) | 588,000 | 568,037 | |
Series 2017-CX9 Class D, 4.161% 9/15/50 (b) | 479,000 | 418,084 | |
CSMC Series 2015-TOWN: | |||
Class A, 1 month U.S. LIBOR + 1.250% 2.4889% 3/15/28 (b)(d)(e) | 9,866,000 | 9,865,989 | |
Class B, 1 month U.S. LIBOR + 1.900% 3.1389% 3/15/28 (b)(d)(e) | 3,043,000 | 3,042,995 | |
Class C, 1 month U.S. LIBOR + 2.250% 3.4889% 3/15/28 (b)(d)(e) | 2,964,000 | 2,964,003 | |
Class D, 1 month U.S. LIBOR + 3.200% 4.4389% 3/15/28 (b)(d)(e) | 4,485,000 | 4,487,814 | |
Class E, 1 month U.S. LIBOR + 4.150% 5.3889% 3/15/28 (b)(d)(e) | 20,318,000 | 20,356,206 | |
CSMC Trust: | |||
floater Series 2015-DEAL: | |||
Class E, 1 month U.S. LIBOR + 4.000% 5.25% 4/15/29 (b)(d)(e) | 1,109,000 | 1,110,384 | |
Class F, 1 month U.S. LIBOR + 4.750% 6% 4/15/29 (b)(d)(e) | 989,000 | 989,619 | |
Series 2016-MFF Class F, 1 month U.S. LIBOR + 7.250% 8.4889% 11/15/33 (b)(d)(e) | 968,000 | 977,828 | |
Series 2017-MOON Class E, 3.1965% 7/10/34 (b)(d) | 377,000 | 367,044 | |
DBCCRE Mortgage Trust Series 2014-ARCP Class E, 4.9345% 1/10/34 (b)(d) | 1,449,000 | 1,311,668 | |
DBUBS Mortgage Trust: | |||
Series 2011-LC1A: | |||
Class E, 5.6849% 11/10/46 (b)(d) | 1,810,000 | 1,894,941 | |
Class F, 5.6849% 11/10/46 (b)(d) | 1,560,000 | 1,512,370 | |
Class G, 4.652% 11/10/46 (b) | 1,948,000 | 1,723,255 | |
Class XB, 0.3005% 11/10/46 (b)(d)(m) | 20,920,000 | 186,753 | |
Series 2011-LC3A Class D, 5.3403% 8/10/44 (b)(d) | 812,000 | 844,834 | |
Deutsche Bank Commercial Mortgage Trust Series 2016-C3 Class C, 3.494% 9/10/49 (d) | 600,000 | 580,156 | |
Fannie Mae Series 2017-T1 Class A, 2.898% 6/25/27 | 52,088,846 | 51,533,215 | |
Freddie Mac: | |||
floater: | |||
Series KP04 Class AG1, 1 month U.S. LIBOR + 0.220% 1.46% 7/25/20 (d)(e) | 12,900,000 | 12,899,999 | |
Series KP04, Class AG2, 1 month U.S. LIBOR + 0.200% 1.42% 10/25/19 (d)(e) | 26,000,000 | 25,999,997 | |
pass-thru certificates: | |||
Series K011 Class X3, 2.5769% 12/25/43 (d)(m) | 1,640,000 | 118,937 | |
Series K012 Class X3, 2.252% 1/25/41 (d)(m) | 1,770,272 | 114,840 | |
Series K013 Class X3, 2.9089% 1/25/43 (d)(m) | 820,000 | 68,226 | |
sequential payer Series K069 Class A1, 2.892% 6/25/27 | 13,700,000 | 13,868,617 | |
Series 2017-K727 Class A2, 2.946% 7/25/24 | 24,206,000 | 24,617,487 | |
Series 2017-K728 Class A2, 3.121% 8/25/24 (d) | 9,000,000 | 9,216,320 | |
Series K068 Class A1, 2.952% 2/25/27 | 6,586,037 | 6,691,078 | |
Series KAIV Class X2, 3.6147% 6/25/46 (d)(m) | 420,000 | 47,122 | |
FREMF Mortgage Trust: | |||
Series 2010-K9 Class B, 5.2059% 9/25/45 (b)(d) | 1,815,000 | 1,932,408 | |
Series 2011-K10 Class B, 4.6216% 11/25/49 (b)(d) | 500,000 | 521,757 | |
Series 2011-K11 Class B, 4.4237% 12/25/48 (b)(d) | 750,000 | 782,868 | |
GAHR Commercial Mortgage Trust Series 2015-NRF: | |||
Class BFX, 3.3822% 12/15/34 (b)(d) | 18,910,000 | 19,141,950 | |
Class CFX, 3.3822% 12/15/34 (b)(d) | 14,152,000 | 14,269,825 | |
Class DFX, 3.3822% 12/15/34 (b)(d) | 27,804,000 | 27,970,012 | |
Class EFX, 3.3822% 12/15/34 (b)(d) | 1,750,000 | 1,741,717 | |
Class FFX, 3.3822% 12/15/34 (b)(d) | 1,915,000 | 1,891,570 | |
Class GFX, 3.3822% 12/15/34 (b)(d) | 2,314,000 | 2,274,207 | |
GE Capital Commercial Mortgage Corp. Series 2007-C1 Class A1A, 5.483% 12/10/49 | 1,170,686 | 1,169,421 | |
GMAC Commercial Mortgage Securities, Inc.: | |||
Series 1997-C1 Class H, 6.6% 7/15/29 | 168,954 | 162,282 | |
Series 1997-C2 Class G, 6.75% 4/15/29 (d) | 38,467 | 38,594 | |
Series 1999-C2I Class K, 6.481% 9/15/33 | 835,000 | 762,364 | |
GP Portfolio Trust Series 2014-GPP: | |||
Class D, 1 month U.S. LIBOR + 3.000% 4.2389% 2/15/27 (b)(d)(e) | 291,000 | 291,090 | |
Class E, 1 month U.S. LIBOR + 4.100% 5.3389% 2/15/27 (b)(d)(e) | 378,000 | 370,949 | |
Grace Mortgage Trust Series 2014-GRCE Class F, 3.5901% 6/10/28 (b)(d) | 357,000 | 356,689 | |
GS Mortgage Securities Corp. II Series 2010-C1: | |||
Class D, 6.0509% 8/10/43 (b)(d) | 617,000 | 632,666 | |
Class F, 4% 8/10/43 (b) | 327,000 | 229,337 | |
Class X, 1.3828% 8/10/43 (b)(d)(m) | 4,773,922 | 140,641 | |
GS Mortgage Securities Trust: | |||
Series 2010-C2: | |||
Class D, 5.1829% 12/10/43 (b)(d) | 720,000 | 732,036 | |
Class XA, 0.1254% 12/10/43 (b)(d)(m) | 3,189,732 | 11,771 | |
Series 2011-GC3 Class D, 5.6322% 3/10/44 (b)(d) | 294,000 | 306,418 | |
Series 2011-GC5: | |||
Class C, 5.3987% 8/10/44 (b)(d) | 1,050,000 | 1,118,830 | |
Class D, 5.3987% 8/10/44 (b)(d) | 1,500,000 | 1,435,824 | |
Class E, 5.3987% 8/10/44 (b)(d) | 711,000 | 575,234 | |
Class F, 4.5% 8/10/44 (b) | 1,020,000 | 725,180 | |
Series 2012-GC6: | |||
Class D, 5.6522% 1/10/45 (b)(d) | 1,156,000 | 1,106,598 | |
Class E, 5% 1/10/45 (b)(d) | 412,000 | 353,086 | |
Series 2012-GC6I Class F, 5% 1/10/45 (d) | 390,000 | 260,504 | |
Series 2012-GCJ7: | |||
Class C, 5.7015% 5/10/45 (d) | 630,000 | 662,256 | |
Class D, 5.7015% 5/10/45 (b)(d) | 2,204,000 | 2,146,895 | |
Class E, 5% 5/10/45 (b) | 1,311,000 | 1,063,895 | |
Class F, 5% 5/10/45 (b) | 2,079,000 | 1,134,844 | |
Series 2012-GCJ9: | |||
Class D, 4.9062% 11/10/45 (b)(d) | 1,972,000 | 1,912,275 | |
Class E, 4.9062% 11/10/45 (b)(d) | 1,290,000 | 1,145,575 | |
Series 2013-GC10 Class D, 4.4124% 2/10/46 (b)(d) | 920,000 | 875,222 | |
Series 2013-GC12: | |||
Class D, 4.4465% 6/10/46 (b)(d) | 219,000 | 188,236 | |
Class XA, 1.5413% 6/10/46 (d)(m) | 29,807,232 | 1,724,000 | |
Series 2013-GC13 Class D, 4.2029% 7/10/46 (b)(d) | 1,858,000 | 1,715,937 | |
Series 2013-GC16: | |||
Class C, 5.5047% 11/10/46 (d) | 662,844 | 680,441 | |
Class D, 5.3271% 11/10/46 (b)(d) | 1,009,000 | 961,825 | |
Class F, 3.5% 11/10/46 (b) | 999,000 | 708,705 | |
Series 2014-GC20 Class XA, 1.0071% 4/10/47 (d)(m) | 181,118,887 | 8,936,207 | |
Series 2015-GC34 Class XA, 1.3599% 10/10/48 (d)(m) | 29,212,217 | 2,303,474 | |
Series 2016-GS2 Class C, 4.5295% 5/10/49 (d) | 699,000 | 735,791 | |
Series 2016-GS3 Class D, 2.728% 10/10/49 (b) | 1,776,000 | 1,382,570 | |
Series 2016-GS4 Class C, 3.8041% 11/10/49 | 728,000 | 718,042 | |
Series 2016-REMZ Class MZB, 7.727% 2/10/21 (b) | 1,113,000 | 1,090,406 | |
Series 2016-RENT: | |||
Class E, 4.0667% 2/10/29 (b)(d) | 495,000 | 490,884 | |
Class F, 4.0667% 2/10/29 (b)(d) | 1,520,000 | 1,423,143 | |
Series 2017-GS6 Class D, 3.331% 5/10/50 (b) | 1,113,000 | 897,352 | |
Hilton U.S.A. Trust: | |||
floater Series 2014-ORL Class E, 1 month U.S. LIBOR + 3.350% 4.4889% 7/15/29 (b)(d)(e) | 617,000 | 621,221 | |
Series 2016-HHV Class F, 4.1935% 11/5/38 (b)(d) | 1,134,000 | 886,308 | |
Series 2016-SFP Class F, 6.0801% 11/5/35 (b) | 567,000 | 577,375 | |
IMT Trust Series 2017-APTS: | |||
Class EFL, 1 month U.S. LIBOR + 2.150% 3.4003% 6/15/34 (b)(d)(e) | 564,000 | 563,301 | |
Class FFL, 1 month U.S. LIBOR + 2.850% 4.1003% 6/15/34 (b)(d)(e) | 226,000 | 225,813 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C19 Class XA, 1.1631% 4/15/47 (d)(m) | 23,445,399 | 651,123 | |
Series 2014-C22 Class D, 4.5591% 9/15/47 (b)(d) | 525,000 | 443,766 | |
Series 2014-C23 Class UH5, 4.7094% 9/15/47 (b) | 179,000 | 157,351 | |
Series 2014-C26 Class D, 3.9244% 1/15/48 (b)(d) | 707,000 | 590,804 | |
Series 2015-C30 Class XA, 0.6887% 7/15/48 (d)(m) | 83,551,993 | 2,681,417 | |
Series 2015-C32 Class C, 4.6677% 11/15/48 (d) | 1,907,000 | 1,913,282 | |
JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class D, 3.4619% 12/15/49 (b) | 1,462,000 | 1,180,072 | |
JPMDB Commercial Mortgage Securities Trust: | |||
Series 2016-C4: | |||
Class C, 3.0971% 12/15/49 | 946,000 | 888,692 | |
Class D, 3.0958% 12/15/49 (b)(d) | 1,148,000 | 888,443 | |
Series 2017-C7: | |||
Class C, 4.325% 10/15/50 (d) | 545,000 | 550,774 | |
Class D, 3% 10/15/50 (b) | 569,000 | 455,679 | |
JPMorgan Chase Commercial Mortgage Securities Corp.: | |||
sequential payer Series 2010-CNTR Class A2, 4.311% 8/5/32 (b) | 321,176 | 329,874 | |
Series 2003-C1 Class F, 5.483% 1/12/37 (b)(d) | 193,075 | 191,007 | |
Series 2009-IWST: | |||
Class C, 7.4453% 12/5/27 (b)(d) | 380,000 | 416,135 | |
Class D, 7.4453% 12/5/27 (b)(d) | 1,885,000 | 2,040,632 | |
Series 2010-CNTR Class D, 6.1838% 8/5/32 (b)(d) | 695,000 | 737,993 | |
Series 2012-CBX: | |||
Class C, 5.2124% 6/15/45 (d) | 250,000 | 260,831 | |
Class D, 5.2124% 6/16/45 (b)(d) | 690,000 | 694,555 | |
Class E, 5.2124% 6/15/45 (b)(d) | 1,043,000 | 1,035,427 | |
Class F, 4% 6/15/45 (b) | 988,000 | 794,740 | |
Class G 4% 6/15/45(b) | 1,079,000 | 595,131 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2004-CBX Class D, 5.097% 1/12/37 (d) | 170,000 | 173,117 | |
Series 2004-LN2 Class D, 5.3682% 7/15/41 (d) | 420,000 | 4,775 | |
Series 2005-LDP2: | |||
Class E, 4.981% 7/15/42 (d) | 88,083 | 90,146 | |
Class F, 5.01% 7/15/42 (d) | 189,000 | 189,203 | |
Series 2011-C3: | |||
Class E, 5.6146% 2/15/46 (b)(d) | 700,000 | 696,335 | |
Class H, 4.409% 2/15/46 (b)(d) | 756,000 | 550,570 | |
Class J, 4.409% 2/15/46 (b)(d) | 106,000 | 66,403 | |
Series 2011-C4: | |||
Class E, 5.5344% 7/15/46 (b)(d) | 1,130,000 | 1,154,606 | |
Class F, 3.873% 7/15/46 (b) | 105,000 | 97,112 | |
Class H, 3.873% 7/15/46 (b) | 674,250 | 480,977 | |
Class NR, 3.873% 7/15/46 (b) | 385,000 | 240,036 | |
Class TAC1, 7.99% 7/15/46 (b) | 720,712 | 720,180 | |
Class TAC2, 7.99% 7/15/46 (b) | 671,000 | 667,651 | |
Series 2011-C5: | |||
Class B. 5.4077% 8/15/46 (b)(d) | 1,140,000 | 1,228,500 | |
Class C, 5.4077% 8/15/46 (b)(d) | 650,648 | 693,923 | |
Series 2013-LC11: | |||
Class C, 3.9582% 4/15/46 (d) | 1,163,000 | 1,170,628 | |
Class D, 4.2029% 4/15/46 (d) | 1,800,000 | 1,670,158 | |
Class F, 3.25% 4/15/46 (b)(d)(g) | 1,682,000 | 963,407 | |
Series 2014-DSTY: | |||
Class D, 3.8046% 6/10/27 (b)(d) | 816,000 | 788,808 | |
Class E, 3.8046% 6/10/27 (b)(d) | 1,169,000 | 1,106,899 | |
Series 2015-UES Class F, 3.621% 9/5/32 (b)(d) | 1,155,000 | 1,132,907 | |
Series 2016-WP Class TA, 1 month U.S. LIBOR + 1.450% 2.677% 10/15/33 (b)(d)(e) | 15,063,000 | 15,105,298 | |
Ladder Capital Commercial Mortgage Securities Trust Series 2014-909 Class E, 3.8979% 5/15/31 (b)(d) | 1,218,000 | 1,185,707 | |
LB-UBS Commercial Mortgage Trust Series 2004-C2 Class G, 4.595% 3/15/36 (b)(d) | 7,719 | 7,705 | |
Liberty Street Trust Series 2016-225L: | |||
Class D, 4.6485% 2/10/36 (b)(d) | 588,000 | 623,855 | |
Class E, 4.6485% 2/10/36 (b)(d) | 1,050,000 | 1,046,028 | |
Lone Star Portfolio Trust floater Series 2015-LSP Class A1A2, 1 month U.S. LIBOR + 1.800% 3.0389% 9/15/28 (b)(d)(e) | 9,658,154 | 9,685,318 | |
LSTAR Commercial Mortgage Trust Series 2014-2: | |||
Class D, 4.8757% 1/20/41 (b)(d) | 256,000 | 256,253 | |
Class E, 4.8757% 1/20/41 (b)(d) | 400,000 | 371,338 | |
Merrill Lynch Mortgage Investors Trust Series 1997-C2 Class F, 6.25% 12/10/29 (d) | 69,513 | 69,196 | |
Merrill Lynch Mortgage Trust: | |||
Series 2006-C1 Class AJ, 5.5659% 5/12/39 (d) | 296,137 | 298,079 | |
Series 2008-C1 Class A4, 5.69% 2/12/51 | 113,766 | 113,705 | |
Morgan Stanley BAML Trust: | |||
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 (b) | 750,000 | 722,373 | |
Series 2012-C5 Class E, 4.6878% 8/15/45 (b)(d) | 269,000 | 267,314 | |
Series 2012-C6 Class D, 4.5955% 11/15/45 (b)(d) | 1,357,000 | 1,347,274 | |
Series 2013-C12 Class D, 4.764% 10/15/46 (b)(d) | 1,210,000 | 1,156,292 | |
Series 2013-C13: | |||
Class D, 4.8897% 11/15/46 (b)(d) | 1,019,000 | 959,853 | |
Class E, 4.8897% 11/15/46 (b)(d) | 887,000 | 701,009 | |
Series 2013-C7: | |||
Class D, 4.2588% 2/15/46 (b)(d) | 1,111,000 | 1,014,156 | |
Class E, 4.2588% 2/15/46 (b)(d) | 340,000 | 262,108 | |
Series 2013-C8 Class D, 4.0613% 12/15/48 (b)(d) | 400,000 | 364,092 | |
Series 2013-C9: | |||
Class C, 4.0475% 5/15/46 (d) | 790,000 | 785,513 | |
Class D, 4.1355% 5/15/46 (b)(d) | 1,747,000 | 1,605,256 | |
Series 2014-C17 Class XA, 1.2368% 8/15/47 (d)(m) | 175,190,845 | 8,424,910 | |
Series 2015-C25 Class XA, 1.137% 10/15/48 (d)(m) | 47,363,623 | 3,103,227 | |
Series 2016-C30: | |||
Class C, 4.1319% 9/15/49 (d) | 417,000 | 415,131 | |
Class D, 3% 9/15/49 (b) | 452,000 | 336,389 | |
Series 2016-C31: | |||
Class C, 4.3199% 11/15/49 (d) | 946,000 | 943,072 | |
Class D, 3% 11/15/49 (b)(d) | 703,000 | 506,791 | |
Series 2016-C32: | |||
Class C, 4.296% 12/15/49 | 651,000 | 660,629 | |
Class D, 3.396% 12/15/49 (b) | 924,000 | 689,470 | |
Series 2017-C33 Class D, 3.25% 5/15/50 (b) | 879,000 | 715,225 | |
Morgan Stanley Capital I Trust: | |||
sequential payer Series 2012-C4 Class E, 5.4206% 3/15/45 (b)(d) | 1,483,000 | 1,314,083 | |
Series 1997-RR Class F, 7.51% 4/30/39 (b)(d) | 22,714 | 22,646 | |
Series 1998-CF1 Class G, 7.35% 7/15/32 (b) | 92,024 | 89,199 | |
Series 1999-WF1: | |||
Class N, 5.91% 11/15/31 (b) | 151,823 | 151,481 | |
Class O, 5.91% 11/15/31 (b) | 160,561 | 151,443 | |
Series 2011-C1: | |||
Class D, 5.4142% 9/15/47 (b)(d) | 1,760,000 | 1,858,744 | |
Class E, 5.4142% 9/15/47 (b)(d) | 573,100 | 604,918 | |
Series 2011-C2: | |||
Class D, 5.4831% 6/15/44 (b)(d) | 1,272,000 | 1,309,201 | |
Class E, 5.4831% 6/15/44 (b)(d) | 600,000 | 568,678 | |
Class F, 5.4831% 6/15/44 (b)(d) | 550,000 | 451,161 | |
Class XB, 0.5345% 6/15/44 (b)(d)(m) | 9,001,008 | 152,211 | |
Series 2011-C3: | |||
Class C, 5.1549% 7/15/49 (b)(d) | 1,000,000 | 1,059,130 | |
Class D, 5.1549% 7/15/49 (b)(d) | 1,130,000 | 1,161,904 | |
Class E, 5.1549% 7/15/49 (b)(d) | 532,000 | 517,433 | |
Class F, 5.1549% 7/15/49 (b)(d) | 181,000 | 167,630 | |
Class G, 5.1549% 7/15/49 (b)(d) | 957,000 | 764,056 | |
Series 2012-C4: | |||
Class D, 5.4206% 3/15/45 (b)(d) | 330,000 | 338,394 | |
Class F, 3.07% 3/15/45 (b) | 623,000 | 450,717 | |
Series 2014-150E: | |||
Class C, 4.295% 9/9/32 (b)(d) | 656,000 | 686,891 | |
Class F, 4.295% 9/9/32 (b)(d) | 651,000 | 643,394 | |
Series 2014-CPT Class F, 3.4455% 7/13/29 (b)(d) | 1,436,000 | 1,423,564 | |
Series 2015-MS1: | |||
Class C, 4.03% 5/15/48 (d) | 734,000 | 721,014 | |
Class D, 4.1643% 5/15/48 (b)(d) | 1,260,000 | 1,077,889 | |
Series 2015-UBS8 Class D, 3.18% 12/15/48 (b) | 798,000 | 632,316 | |
Series 2016-BNK2: | |||
Class C, 3% 11/15/49 (b) | 1,350,000 | 1,080,771 | |
Class D, 3.9106% 11/15/49 (d) | 946,000 | 935,070 | |
Series 2017-CLS Class F, 1 month U.S. LIBOR + 2.600% 3.7% 11/15/34 (b)(d)(e) | 1,100,000 | 1,100,000 | |
Morgan Stanley Dean Witter Capital I Trust Series 2001-TOP3 Class E, 7.5788% 7/15/33 (b)(d) | 96,051 | 98,729 | |
Motel 6 Trust floater: | |||
Series 2017-M6MZ, Class M, 1 month U.S. LIBOR + 6.927% 8.1649% 8/15/19 (b)(d)(e) | 498,108 | 505,570 | |
Series 2017-MTL6, Class F, 1 month U.S. LIBOR + 4.250% 5.4889% 8/15/34 (b)(d)(e) | 2,949,804 | 2,962,686 | |
MSCG Trust Series 2016-SNR: | |||
Class A, 3.348% 11/15/34 (b)(d) | 23,867,000 | 23,769,914 | |
Class B, 4.181% 11/15/34 (b) | 8,435,000 | 8,455,348 | |
Class C, 5.205% 11/15/34 (b) | 5,900,000 | 5,990,430 | |
Class D, 6.55% 11/15/34 (b) | 2,222,000 | 2,249,120 | |
Class E, 6.8087% 11/15/34 (b) | 615,000 | 583,931 | |
MSJP Commercial Securities Mortgage Trust Series 2015-HAUL Class E, 4.851% 9/5/47 (b)(d) | 278,000 | 265,506 | |
NationsLink Funding Corp. Series 1999-LTL1 Class D, 6.45% 1/22/26 (b) | 296,661 | 305,159 | |
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b) | 972,724 | 1,190,225 | |
Real Estate Asset Liquidity Trust: | |||
Series 2006-2: | |||
Class J, 4.456% 9/12/38 (b) | CAD | 23,014 | 17,726 |
Class K, 4.456% 9/12/38 (b) | CAD | 18,000 | 13,814 |
Class L, 4.456% 9/12/38 (b) | CAD | 26,000 | 19,851 |
Class M, 4.456% 9/12/38 (b) | CAD | 104,391 | 78,248 |
Series 2007-1 Class M, 4.57% 4/12/23 | CAD | 100,590 | 76,965 |
SCG Trust Series 2013-SRP1: | |||
Class A, 1 month U.S. LIBOR + 1.400% 2.8889% 11/15/26 (b)(d)(e) | 19,989,000 | 19,938,314 | |
Class D, 1 month U.S. LIBOR + 3.344% 4.594% 11/15/26 (b)(d)(e) | 1,698,000 | 1,561,625 | |
Starwood Retail Property Trust Series 2014-STAR Class D, 1 month U.S. LIBOR + 3.250% 4.4889% 11/15/27 (b)(d)(e) | 1,683,000 | 1,635,365 | |
TIAA Seasoned Commercial Mortgage Trust: | |||
sequential payer Series 2007-C4 Class AJ, 5.4756% 8/15/39 (d) | 22,318 | 22,501 | |
Series 2007-C4 Class F, 5.4756% 8/15/39 (d) | 820,000 | 757,322 | |
UBS Commercial Mortgage Trust Series 2012-C1: | |||
Class D, 5.5455% 5/10/45 (b)(d) | 1,197,000 | 1,200,929 | |
Class E, 5% 5/10/45 (b)(d) | 537,000 | 456,045 | |
Class F, 5% 5/10/45 (b)(d) | 682,700 | 465,386 | |
UBS-BAMLL Trust: | |||
Series 12-WRM Class D, 4.238% 6/10/30 (b)(d) | 310,000 | 304,325 | |
Series 2012-WRM Class E, 4.238% 6/10/30 (b)(d) | 970,000 | 926,586 | |
VNO Mortgage Trust Series 2012-6AVE Class D, 3.4484% 11/15/30 (b)(d) | 1,299,000 | 1,285,607 | |
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (b) | 180,000 | 195,756 | |
Wells Fargo Commercial Mortgage Trust: | |||
Series 2010-C1 Class XB, 0.5836% 11/15/43 (b)(d)(m) | 20,614,217 | 329,310 | |
Series 2012-LC5: | |||
Class C, 4.693% 10/15/45 (d) | 569,000 | 582,542 | |
Class D, 4.7649% 10/15/45 (b)(d) | 1,776,000 | 1,611,048 | |
Class E, 4.7649% 10/15/45 (b)(d) | 284,000 | 228,116 | |
Series 2013-LC12 Class C, 4.2943% 7/15/46 (d) | 760,000 | 761,304 | |
Series 2015-C31 Class XA, 1.0979% 11/15/48 (d)(m) | 38,142,082 | 2,439,461 | |
Series 2015-NXS4 Class E, 3.6007% 12/15/48 (b)(d) | 588,000 | 434,226 | |
Series 2016-BNK1: | |||
Class C, 3.071% 8/15/49 | 700,000 | 647,634 | |
Class D, 3% 8/15/49 (b) | 447,000 | 358,115 | |
Series 2016-C34 Class XA, 2.177% 6/15/49 (d)(m) | 34,328,848 | 4,177,330 | |
Series 2016-C35 Class D, 3.142% 7/15/48 (b) | 1,596,000 | 1,146,771 | |
Series 2016-LC25 Class C, 4.4363% 12/15/59 (d) | 903,000 | 890,277 | |
Series 2016-NXS6 Class D, 3.059% 11/15/49 (b) | 1,218,000 | 919,685 | |
Series 2017-C38 Class D, 3% 7/15/50 (b)(d) | 1,364,000 | 1,077,038 | |
Series 2017-RB1 Class D, 3.401% 3/15/50 (b) | 556,000 | 457,480 | |
WF-RBS Commercial Mortgage Trust: | |||
sequential payer Series 2011-C4I Class G, 5% 6/15/44 (b) | 325,000 | 216,001 | |
Series 2011-C3: | |||
Class C, 5.335% 3/15/44 (b) | 360,000 | 377,102 | |
Class D, 5.6402% 3/15/44 (b)(d) | 800,000 | 699,755 | |
Class E, 5% 3/15/44 (b) | 890,000 | 723,378 | |
Class F, 5% 3/15/44 (b) | 693,000 | 458,517 | |
Series 2011-C4: | |||
Class D, 5.247% 6/15/44 (b)(d) | 408,000 | 400,345 | |
Class E, 5.247% 6/15/44 (b)(d) | 439,432 | 386,539 | |
Series 2011-C5: | |||
Class C, 5.6712% 11/15/44 (b)(d) | 260,000 | 281,693 | |
Class D, 5.6712% 11/15/44 (b)(d) | 600,000 | 618,280 | |
Class E, 5.6712% 11/15/44 (b)(d) | 1,853,000 | 1,883,761 | |
Class F, 5.25% 11/15/44 (b)(d) | 933,000 | 810,890 | |
Class G, 5.25% 11/15/44 (b)(d) | 329,000 | 268,385 | |
Class XA, 1.7587% 11/15/44 (b)(d)(m) | 3,970,080 | 213,126 | |
Series 2012-C10: | |||
Class E, 4.448% 12/15/45 (b)(d) | 1,190,000 | 898,650 | |
Class F, 4.448% 12/15/45 (b)(d) | 1,726,000 | 953,337 | |
Series 2012-C6 Class D, 5.5801% 4/15/45 (b)(d) | 540,000 | 532,476 | |
Series 2012-C7: | |||
Class C, 4.8259% 6/15/45 (d) | 1,270,000 | 1,289,370 | |
Class E, 4.8259% 6/15/45 (b)(d) | 2,501,000 | 2,126,331 | |
Class F, 4.5% 6/15/45 (b) | 357,000 | 265,946 | |
Class G, 4.5% 6/15/45 (b) | 1,076,000 | 680,240 | |
Series 2012-C8: | |||
Class D, 4.8938% 8/15/45 (b)(d) | 650,000 | 642,786 | |
Class E, 4.8938% 8/15/45 (b)(d) | 335,000 | 323,623 | |
Series 2013-C11: | |||
Class D, 4.2082% 3/15/45 (b)(d) | 870,000 | 794,410 | |
Class E, 4.2082% 3/15/45 (b)(d) | 1,750,000 | 1,356,369 | |
Series 2013-C13 Class D, 4.1386% 5/15/45(b)(d) | 600,000 | 553,861 | |
Series 2013-C16 Class D, 4.9797% 9/15/46 (b)(d) | 193,000 | 183,211 | |
Series 2013-UBS1 Class D, 4.6243% 3/15/46 (b)(d) | 756,000 | 702,431 | |
Series 2014-C21 Class XA, 1.1336% 8/15/47 (d)(m) | 105,490,012 | 5,518,151 | |
Series 2014-C24 Class XA, 0.9548% 11/15/47 (d)(m) | 34,683,122 | 1,618,755 | |
WFCG Commercial Mortgage Trust floater Series 2015-BXRP: | |||
Class F, 1 month U.S. LIBOR + 3.721% 4.9592% 11/15/29 (b)(d)(e) | 1,054,900 | 1,056,763 | |
Class G, 1 month U.S. LIBOR + 3.001% 4.2589% 11/15/29 (b)(d)(e) | 456,347 | 449,891 | |
Worldwide Plaza Trust Series 2017-WWP Class F, 3.5955% 11/10/36 (b)(d) | 830,000 | 732,376 | |
WP Glimcher Mall Trust Series 2015-WPG: | |||
Class PR1, 3.516% 6/5/35 (b)(d) | 489,000 | 376,502 | |
Class PR2, 3.516% 6/5/35 (b)(d) | 1,260,000 | 917,494 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $655,610,865) | 656,265,854 | ||
Municipal Securities - 1.3% | |||
California Gen. Oblig.: | |||
Series 2009, 7.35% 11/1/39 | $2,650,000 | $3,928,228 | |
7.3% 10/1/39 | 27,595,000 | 40,862,400 | |
7.5% 4/1/34 | 9,105,000 | 13,347,202 | |
7.55% 4/1/39 | 18,745,000 | 29,009,387 | |
7.6% 11/1/40 | 14,220,000 | 22,470,728 | |
7.625% 3/1/40 | 10,110,000 | 15,630,970 | |
Chicago Gen. Oblig. (Taxable Proj.): | |||
Series 2008 B, 5.63% 1/1/22 | 2,410,000 | 2,452,079 | |
Series 2010 C1, 7.781% 1/1/35 | 13,950,000 | 16,648,209 | |
Series 2012 B, 5.432% 1/1/42 | 3,285,000 | 3,199,820 | |
Series 2014 B, 6.314% 1/1/44 | 4,955,000 | 5,307,548 | |
Illinois Gen. Oblig.: | |||
Series 2003: | |||
4.35% 6/1/18 | 3,508,000 | 3,538,239 | |
4.95% 6/1/23 | 24,240,000 | 25,256,141 | |
5.1% 6/1/33 | 63,045,000 | 62,654,121 | |
Series 2010-1, 6.63% 2/1/35 | 11,945,000 | 13,241,749 | |
Series 2010-3: | |||
5.547% 4/1/19 | 330,000 | 339,808 | |
6.725% 4/1/35 | 17,810,000 | 19,693,942 | |
7.35% 7/1/35 | 8,165,000 | 9,460,704 | |
Series 2010-5, 6.2% 7/1/21 | 6,528,000 | 6,850,940 | |
Series 2011: | |||
5.665% 3/1/18 | 21,275,000 | 21,455,199 | |
5.877% 3/1/19 | 77,850,000 | 80,549,060 | |
Series 2013: | |||
2.69% 12/1/17 | 3,365,000 | 3,365,000 | |
3.14% 12/1/18 | 3,490,000 | 3,496,073 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $382,359,357) | 402,757,547 | ||
Foreign Government and Government Agency Obligations - 0.8% | |||
Arab Republic of Egypt: | |||
5.875% 6/11/25 | $1,125,000 | $1,146,465 | |
5.875% 6/11/25 (b) | 535,000 | 545,208 | |
6.125% 1/31/22 (b) | 3,575,000 | 3,726,744 | |
7.5% 1/31/27 (b) | 600,000 | 664,524 | |
8.5% 1/31/47 (b) | 3,000,000 | 3,430,020 | |
Argentine Republic: | |||
5.625% 1/26/22 | 4,320,000 | 4,533,840 | |
6.875% 4/22/21 | 11,710,000 | 12,711,205 | |
7.125% 6/28/2117 (b) | 1,355,000 | 1,388,198 | |
7.5% 4/22/26 | 2,600,000 | 2,939,300 | |
Bahamian Republic 6% 11/21/28 (b) | 785,000 | 797,953 | |
Bahrain Kingdom 6.75% 9/20/29 (b) | 765,000 | 748,716 | |
Barbados Government: | |||
7% 8/4/22 (b) | 825,000 | 740,438 | |
7.25% 12/15/21 (b) | 90,000 | 83,025 | |
Belarus Republic: | |||
6.875% 2/28/23 (b) | 1,910,000 | 2,013,446 | |
7.625% 6/29/27 (b) | 955,000 | 1,043,185 | |
8.95% 1/26/18 | 5,940,000 | 5,972,314 | |
Brazilian Federative Republic: | |||
4.25% 1/7/25 | 10,005,000 | 10,125,060 | |
5.625% 1/7/41 | 13,135,000 | 13,384,565 | |
7.125% 1/20/37 | 4,625,000 | 5,547,688 | |
8.25% 1/20/34 | 4,795,000 | 6,293,438 | |
Buenos Aires Province: | |||
6.5% 2/15/23 (b) | 1,350,000 | 1,434,942 | |
9.95% 6/9/21 (b) | 4,065,000 | 4,709,424 | |
10.875% 1/26/21 (b) | 1,125,000 | 1,285,684 | |
10.875% 1/26/21 (Reg. S) | 5,315,000 | 6,074,141 | |
Cameroon Republic 9.5% 11/19/25 (b) | 1,010,000 | 1,207,112 | |
City of Buenos Aires 8.95% 2/19/21 (b) | 525,000 | 581,438 | |
Colombian Republic: | |||
6.125% 1/18/41 | 5,000 | 5,963 | |
7.375% 9/18/37 | 1,320,000 | 1,763,520 | |
10.375% 1/28/33 | 1,875,000 | 2,934,375 | |
Costa Rican Republic 7% 4/4/44 (b) | 675,000 | 700,643 | |
Croatia Republic: | |||
5.5% 4/4/23 (b) | 660,000 | 727,564 | |
6% 1/26/24 (b) | 600,000 | 683,250 | |
Democratic Socialist Republic of Sri Lanka: | |||
6.2% 5/11/27 (b) | 355,000 | 373,689 | |
6.25% 10/4/20 (b) | 330,000 | 348,675 | |
6.25% 7/27/21 (b) | 360,000 | 382,897 | |
Dominican Republic: | |||
5.95% 1/25/27 (b) | 1,355,000 | 1,470,175 | |
6.6% 1/28/24 (b) | 520,000 | 585,000 | |
6.85% 1/27/45 (b) | 745,000 | 836,263 | |
6.875% 1/29/26 (b) | 1,220,000 | 1,393,618 | |
7.45% 4/30/44 (b) | 1,265,000 | 1,508,513 | |
Ecuador Republic: | |||
8.75% 6/2/23 (b) | 275,000 | 298,375 | |
8.875% 10/23/27 (b) | 1,645,000 | 1,742,055 | |
9.65% 12/13/26 (b) | 1,000,000 | 1,122,500 | |
El Salvador Republic: | |||
7.375% 12/1/19 (b) | 565,000 | 593,250 | |
7.65% 6/15/35 (Reg. S) | 50,000 | 52,500 | |
German Federal Republic: | |||
0% 8/15/26(Reg. S) | EUR | 300,000 | 350,476 |
2.5% 8/15/46 | EUR | 950,000 | 1,507,558 |
4% 1/4/37 | EUR | 1,720,000 | 3,164,084 |
Indonesian Republic: | |||
2.625% 6/14/23 | EUR | 7,700,000 | 9,838,547 |
7.75% 1/17/38 (b) | 1,975,000 | 2,801,281 | |
8.5% 10/12/35 (Reg. S) | 2,285,000 | 3,399,767 | |
Islamic Republic of Pakistan: | |||
6.75% 12/3/19 (b) | 200,000 | 206,843 | |
7.25% 4/15/19 (b) | 2,940,000 | 3,038,267 | |
8.25% 4/15/24 (b) | 300,000 | 328,402 | |
Jordanian Kingdom 7.375% 10/10/47 (b) | 990,000 | 1,019,680 | |
Lebanese Republic: | |||
4% 12/31/17 | 1,239,250 | 1,233,896 | |
5.15% 6/12/18 | 3,830,000 | 3,798,326 | |
5.15% 11/12/18 | 2,755,000 | 2,719,593 | |
5.45% 11/28/19 | 2,170,000 | 2,106,250 | |
6% 5/20/19 | 2,735,000 | 2,705,243 | |
Mongolian People's Republic 8.75% 3/9/24 (b) | 1,930,000 | 2,206,980 | |
Panamanian Republic 9.375% 4/1/29 | 365,000 | 553,888 | |
Peruvian Republic 4% 3/7/27 (g)(q) | 1,360,000 | 1,341,709 | |
Province of Santa Fe 7% 3/23/23 (b) | 2,780,000 | 3,003,707 | |
Provincia de Cordoba: | |||
7.125% 6/10/21 (b) | 4,155,000 | 4,477,802 | |
7.45% 9/1/24 (b) | 1,920,000 | 2,098,310 | |
Republic of Angola 7% 8/17/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S) | 612,500 | 629,344 | |
Republic of Armenia: | |||
6% 9/30/20 (b) | 2,106,000 | 2,221,830 | |
7.15% 3/26/25 (b) | 995,000 | 1,120,728 | |
Republic of Iraq: | |||
5.8% 1/15/28 (Reg. S) | 5,350,000 | 5,106,468 | |
6.752% 3/9/23 (b) | 1,420,000 | 1,434,217 | |
Republic of Nigeria: | |||
6.5% 11/28/27 (b) | 770,000 | 785,862 | |
6.75% 1/28/21 (b) | 240,000 | 255,000 | |
7.625% 11/28/47 (b) | 1,085,000 | 1,117,550 | |
Republic of Serbia: | |||
6.75% 11/1/24 (b) | 1,070,575 | 1,090,434 | |
7.25% 9/28/21 (b) | 735,000 | 842,310 | |
Russian Federation: | |||
5.25% 6/23/47 (b) | 2,400,000 | 2,474,400 | |
5.625% 4/4/42 (b) | 850,000 | 943,347 | |
5.875% 9/16/43 (b) | 755,000 | 868,184 | |
12.75% 6/24/28 (Reg. S) | 5,445,000 | 9,461,548 | |
Rwanda Republic 6.625% 5/2/23 (b) | 985,000 | 1,019,475 | |
Saudi Arabia Kingdom of 3.625% 3/4/28 (b) | 790,000 | 784,075 | |
South African Republic 5.875% 9/16/25 | 575,000 | 620,368 | |
State of Qatar 9.75% 6/15/30 (b) | 565,000 | 879,711 | |
Turkish Republic: | |||
5.125% 3/25/22 | 1,590,000 | 1,639,624 | |
5.625% 3/30/21 | 1,770,000 | 1,854,695 | |
6% 3/25/27 | 975,000 | 1,023,081 | |
6.25% 9/26/22 | 6,900,000 | 7,439,456 | |
6.75% 5/30/40 | 550,000 | 592,554 | |
6.875% 3/17/36 | 1,795,000 | 1,958,345 | |
7% 6/5/20 | 1,140,000 | 1,227,210 | |
7.25% 3/5/38 | 1,150,000 | 1,306,975 | |
7.375% 2/5/25 | 1,495,000 | 1,702,730 | |
8% 2/14/34 | 760,000 | 917,449 | |
11.875% 1/15/30 | 1,455,000 | 2,249,837 | |
Turkiye Ihracat Kredi Bankasi A/S 5.375% 2/8/21 (b) | 895,000 | 907,956 | |
Ukraine Government: | |||
7.75% 9/1/19 (b) | 1,185,000 | 1,244,724 | |
7.75% 9/1/20 (b) | 2,965,000 | 3,148,830 | |
7.75% 9/1/21 (b) | 13,049,000 | 13,897,342 | |
7.75% 9/1/22 (b) | 10,079,000 | 10,717,202 | |
7.75% 9/1/23 (b) | 519,000 | 551,447 | |
United Kingdom, Great Britain and Northern Ireland: | |||
1.5% 7/22/26(Reg. S) | GBP | 200,000 | 276,494 |
1.5% 7/22/47 | GBP | 1,350,000 | 1,669,822 |
2% 9/7/25(Reg. S) | GBP | 1,285,000 | 1,849,361 |
4.25% 3/7/36 | GBP | 1,495,000 | 2,797,213 |
4.5% 9/7/34 | GBP | 2,135,000 | 4,044,056 |
Uruguay Republic 7.875% 1/15/33 pay-in-kind | 825,000 | 1,177,688 | |
Venezuelan Republic: | |||
9.25% 9/15/27 | 4,270,000 | 1,003,450 | |
11.95% 8/5/31 (Reg. S) | 2,420,000 | 520,300 | |
12.75% 8/23/22 | 550,000 | 132,000 | |
Vietnamese Socialist Republic: | |||
6 month U.S. LIBOR + 0.813% 2.25% 3/13/28 (d)(e)(g) | 195,000 | 172,464 | |
4% 3/12/28 (g)(q) | 6,029,167 | 5,992,871 | |
4.8% 11/19/24 (b) | 550,000 | 585,537 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $251,302,031) | 266,807,071 | ||
Shares | Value | ||
Common Stocks - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Media - 0.0% | |||
Tribune Media Co. Class A | 21,200 | 873,440 | |
ENERGY - 0.0% | |||
Energy Equipment & Services - 0.0% | |||
Forbes Energy Services Ltd. | 154,425 | 1,775,888 | |
Oil, Gas & Consumable Fuels - 0.0% | |||
Pacific Exploration and Production Corp. | 67,596 | 1,938,575 | |
Southwestern Energy Co. (r) | 104,928 | 667,342 | |
Warrior Metropolitan Coal, Inc. | 31,922 | 709,307 | |
3,315,224 | |||
TOTAL ENERGY | 5,091,112 | ||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
LyondellBasell Industries NV Class A | 31,400 | 3,287,580 | |
TELECOMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
Consolidated Communications Holdings, Inc. | 14,162 | 200,251 | |
Wireless Telecommunication Services - 0.0% | |||
CUI Acquisition Corp. Class E (g)(r) | 1 | 34,600 | |
TOTAL TELECOMMUNICATION SERVICES | 234,851 | ||
TOTAL COMMON STOCKS | |||
(Cost $22,288,579) | 9,486,983 | ||
Preferred Stocks - 0.0% | |||
Convertible Preferred Stocks - 0.0% | |||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Southwestern Energy Co. Series B 6.25% | 243,900 | 3,536,550 | |
REAL ESTATE - 0.0% | |||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
Alexandria Real Estate Equities, Inc. Series D, 7.00% | 9,000 | 331,875 | |
RLJ Lodging Trust 1.95% | 17,900 | 491,892 | |
823,767 | |||
TOTAL CONVERTIBLE PREFERRED STOCKS | 4,360,317 | ||
Nonconvertible Preferred Stocks - 0.0% | |||
FINANCIALS - 0.0% | |||
Mortgage Real Estate Investment Trusts - 0.0% | |||
Annaly Capital Management, Inc. Series C, 7.625% | 27,600 | 697,728 | |
CYS Investments, Inc. Series B, 7.50% | 17,000 | 422,110 | |
MFA Financial, Inc. Series B, 7.50% | 22,500 | 569,925 | |
1,689,763 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Nationwide Building Society 10.25% (r) | 9,106 | 1,933,448 | |
TOTAL FINANCIALS | 3,623,211 | ||
REAL ESTATE - 0.0% | |||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
American Homes 4 Rent Series D, 6.50% | 24,500 | 668,850 | |
Boston Properties, Inc. 5.25% | 17,500 | 449,577 | |
Cedar Realty Trust, Inc.: | |||
Series B, 7.25% | 4,339 | 109,364 | |
Series C 6.50% | 10,000 | 252,500 | |
DDR Corp. Series K, 6.25% | 17,823 | 450,565 | |
National Storage Affiliates Trust Series A 6.00% (r) | 11,900 | 304,640 | |
PS Business Parks, Inc. Series W 5.20% | 100 | 2,535 | |
Public Storage Series F 5.15% | 37,000 | 937,210 | |
Retail Properties America, Inc. Series A, 7.00% | 24,109 | 611,163 | |
Rexford Industrial Realty, Inc. Series B 5.875% (r) | 28,300 | 706,651 | |
Sabra Health Care REIT, Inc. Series A, 7.125% | 18,495 | 466,999 | |
Taubman Centers, Inc. Series J, 6.50% | 11,338 | 286,851 | |
5,246,905 | |||
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 8,870,116 | ||
TOTAL PREFERRED STOCKS | |||
(Cost $13,668,595) | 13,230,433 | ||
Principal Amount(a) | Value | ||
Bank Loan Obligations - 4.7% | |||
CONSUMER DISCRETIONARY - 1.4% | |||
Auto Components - 0.0% | |||
North American Lifting Holdings, Inc.: | |||
Tranche 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.8328% 11/27/20 (d)(e) | 4,529,729 | 4,239,056 | |
Tranche 2LN, term loan 3 month U.S. LIBOR + 9.000% 10.3328% 11/27/21 (d)(e) | 1,594,000 | 1,349,592 | |
5,588,648 | |||
Automobiles - 0.0% | |||
Caliber Holdings Corp.: | |||
Tranche 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 2/1/24 (d)(e) | 1,404,939 | 1,415,476 | |
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.5998% 2/1/25 (d)(e) | 385,000 | 392,700 | |
Chrysler Group LLC term loan 3 month U.S. LIBOR + 2.000% 3.29% 12/31/18 (d)(e) | 750,577 | 752,453 | |
UOS LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.7423% 4/18/23 (d)(e) | 1,940,750 | 1,981,991 | |
4,542,620 | |||
Diversified Consumer Services - 0.2% | |||
Avatar Purchaser, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.016% 9/7/24 (d)(e) | 1,000,000 | 1,003,750 | |
Bright Horizons Family Solutions Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 11/7/23 (d)(e) | 1,500,621 | 1,503,997 | |
Coinmach Service Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.1473% 11/14/22 (d)(e) | 7,271,009 | 7,325,541 | |
Creative Artists Agency LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7503% 2/15/24 (d)(e) | 937,638 | 945,843 | |
CSM Bakery Supplies Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.34% 7/3/20 (d)(e) | 1,148,725 | 1,128,622 | |
KUEHG Corp.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0828% 8/13/22 (d)(e) | 4,431,484 | 4,453,642 | |
Tranche B, term loan 3 month U.S. LIBOR + 8.250% 9.5828% 8/22/25 (d)(e) | 1,000,000 | 1,005,000 | |
Laureate Education, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.8498% 4/26/24 (d)(e) | 23,417,325 | 23,570,943 | |
Seminole Tribe Florida Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2421% 7/6/24 (d)(e) | 2,500,000 | 2,510,725 | |
The ServiceMaster Co. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8498% 11/8/23 (d)(e) | 2,977,500 | 2,982,145 | |
Wash Multifamily Acquisition, Inc.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 5/14/22 (d)(e) | 4,765,578 | 4,783,448 | |
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.3498% 5/14/23 (d)(e)(g) | 360,000 | 356,400 | |
Weight Watchers International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.23% 11/20/24 (d)(e) | 8,000,000 | 7,867,520 | |
Zodiac Pool Solutions LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.3328% 12/20/23 (d)(e) | 1,320,025 | 1,323,325 | |
60,760,901 | |||
Hotels, Restaurants & Leisure - 0.6% | |||
24 Hour Fitness Worldwide, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.085% 5/30/21 (d)(e) | 2,928,404 | 2,925,973 | |
Affinity Gaming LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 7/1/23 (d)(e) | 1,922,903 | 1,932,517 | |
AP Gaming I LLC term loan 3 month U.S. LIBOR + 5.500% 6.8498% 2/15/24 (d)(e) | 1,201,988 | 1,208,995 | |
Aristocrat Technologies, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.000% 3.3626% 10/20/21 (d)(e) | 4,125,923 | 4,143,211 | |
Boyd Gaming Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 3.7011% 9/15/23 (d)(e) | 2,179,744 | 2,188,943 | |
Burger King Worldwide, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5931% 2/17/24 (d)(e) | 8,422,864 | 8,417,642 | |
Caesars Entertainment Resort Properties LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.8498% 10/11/20 (d)(e) | 12,530,096 | 12,522,327 | |
Caesars Growth Properties Holdings LLC Tranche 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.2423% 5/8/21 (d)(e) | 15,421,403 | 15,418,165 | |
Caesars Resort Collection LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 9/28/24 (e)(s) | 28,000,000 | 28,140,000 | |
CCM Merger, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0998% 8/8/21 (d)(e) | 2,680,505 | 2,689,887 | |
CEC Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 2/14/21 (d)(e) | 3,687,513 | 3,545,765 | |
CityCenter Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8498% 4/18/24 (d)(e) | 3,137,138 | 3,150,094 | |
Cyan Blue Holdco 3 Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 8/25/24 (d)(e) | 1,640,888 | 1,649,781 | |
Delta 2 SARL Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 2/1/24 (d)(e) | 7,795,000 | 7,833,975 | |
Eldorado Resorts, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.554% 4/17/24 (d)(e) | 3,290,555 | 3,286,442 | |
Equinox Holdings, Inc. Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.3498% 9/8/24 (d)(e) | 940,000 | 967,617 | |
Equinox Holdings, Inc. Tranche B-1, term loan 3 month U.S. LIBOR + 3.000% 4.569% 3/8/24 (d)(e) | 2,238,750 | 2,252,742 | |
ESH Hospitality, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7423% 8/30/23 (d)(e) | 2,996,272 | 3,000,437 | |
Fitness International LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7423% 7/1/20 (d)(e) | 1,086,193 | 1,101,129 | |
Four Seasons Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8498% 11/30/23 (d)(e) | 6,439,061 | 6,468,552 | |
Gateway Casinos & Entertainment Ltd. term loan 3 month U.S. LIBOR + 3.750% 5.0828% 2/22/23 (d)(e) | 2,997,488 | 3,028,392 | |
Golden Entertainment, Inc. Tranche B, term loan: | |||
3 month U.S. LIBOR + 3.000% 4.29% 10/20/24 (d)(e) | 10,600,000 | 10,604,452 | |
3 month U.S. LIBOR + 7.000% 8.29% 10/20/25 (d)(e) | 2,700,000 | 2,716,875 | |
Golden Nugget, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.598% 10/4/23 (d)(e) | 14,843,643 | 14,950,814 | |
Greektown Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0998% 4/25/24 (d)(e) | 1,107,225 | 1,108,609 | |
Hilton Worldwide Finance LLC Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.000% 3.3275% 10/25/23 (d)(e) | 4,968,134 | 4,991,533 | |
Intrawest Resorts Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 7/31/24 (d)(e) | 3,415,000 | 3,438,495 | |
La Quinta Intermediate Holdings LLC Tranche B LN, term loan 3 month U.S. LIBOR + 2.750% 4.1092% 4/14/21 (d)(e) | 3,530,230 | 3,542,586 | |
LTF Merger Sub, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2285% 6/10/22 (d)(e) | 3,543,390 | 3,545,622 | |
MGM Mirage, Inc. Tranche A, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 4/25/21 (d)(e) | 1,771,000 | 1,771,744 | |
Mohegan Tribal Gaming Authority Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.3498% 10/14/23 (d)(e) | 1,415,000 | 1,426,943 | |
NVA Holdings, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 8/14/21 (d)(e) | 440,000 | 442,750 | |
Penn National Gaming, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8607% 1/19/24 (d)(e) | 751,225 | 754,515 | |
Playa Resorts Holding BV Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3699% 4/27/24 (d)(e) | 5,719,800 | 5,739,819 | |
Red Lobster Hospitality LLC Tranche B, term loan 3 month U.S. LIBOR + 5.250% 6.5998% 7/28/21 (d)(e) | 2,046,435 | 2,051,551 | |
Ryman Hospitality Properties, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.67% 5/11/24 (d)(e) | 293,525 | 295,360 | |
Scientific Games Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.657% 8/14/24 (d)(e) | 11,040,000 | 11,135,054 | |
SeaWorld Parks & Entertainment, Inc. Tranche B 5LN, term loan 3 month U.S. LIBOR + 3.000% 4.3328% 3/31/24 (d)(e) | 1,089,525 | 1,074,348 | |
SMG Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.8498% 2/27/20 (d)(e) | 1,530,048 | 1,531,011 | |
Station Casinos LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.82% 6/8/23 (d)(e) | 5,175,863 | 5,185,283 | |
Tropicana Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 11/27/20 (d)(e) | 836,321 | 838,411 | |
Wynn America LLC Tranche A 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.1% 12/31/21 (d)(e) | 1,725,000 | 1,722,844 | |
Yonkers Racing Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.6% 5/31/24 (d)(e) | 1,963,600 | 1,967,292 | |
196,708,497 | |||
Internet & Direct Marketing Retail - 0.1% | |||
Bass Pro Shops LLC. Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.3498% 9/25/24 (d)(e) | 15,464,576 | 15,107,035 | |
Harbor Freight Tools U.S.A., Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 8/19/23 (d)(e) | 2,462,500 | 2,476,512 | |
Red Ventures LLC: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.000% 9.3347% 11/8/25 (d)(e) | 1,368,000 | 1,363,732 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.3347% 11/8/24 (d)(e) | 8,135,000 | 8,091,803 | |
27,039,082 | |||
Leisure Products - 0.0% | |||
Hayward Industries, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8498% 8/4/24 (d)(e) | 1,415,000 | 1,418,538 | |
Media - 0.4% | |||
Acosta, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 9/26/21 (d)(e) | 1,750,897 | 1,523,771 | |
Altice U.S. Finance SA Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 7/28/25 (d)(e) | 1,990,013 | 1,974,252 | |
AMC Entertainment Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5003% 12/15/23 (d)(e) | 1,740,616 | 1,738,440 | |
AMC Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5003% 12/15/22 (d)(e) | 5,012,214 | 5,024,744 | |
Cable One, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.57% 5/1/24 (d)(e) | 1,017,450 | 1,018,722 | |
CBS Radio, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3/2/24 (e)(s) | 6,120,000 | 6,158,250 | |
CDS U.S. Intermediate Holdings, Inc.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0828% 7/8/22 (d)(e) | 1,816,011 | 1,813,741 | |
Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.5828% 7/8/23 (d)(e) | 465,000 | 461,898 | |
Cengage Learning, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.4949% 6/7/23 (d)(e) | 6,067,375 | 5,770,741 | |
Charter Communication Operating LLC: | |||
term loan: | |||
3 month U.S. LIBOR + 2.000% 3.35% 7/1/20 (d)(e) | 1,459,094 | 1,464,157 | |
3 month U.S. LIBOR + 2.000% 3.35% 1/3/21 (d)(e) | 4,358,335 | 4,370,887 | |
Tranche H, term loan 3 month U.S. LIBOR + 2.000% 3.35% 1/15/22 (d)(e) | 985,000 | 988,083 | |
Tranche I, term loan 3 month U.S. LIBOR + 2.250% 3.5% 1/15/24 (d)(e) | 6,239,975 | 6,266,495 | |
Clear Channel Communications, Inc. Tranche D, term loan 3 month U.S. LIBOR + 6.750% 8.0828% 1/30/19 (d)(e) | 8,600,000 | 6,478,638 | |
Emerald Exposit Holding, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3328% 5/22/24 (d)(e) | 1,436,400 | 1,441,183 | |
Getty Images, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 10/18/19 (d)(e) | 4,401,728 | 3,824,001 | |
Houghton Mifflin Harcourt Publishing, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 5/29/21 (d)(e) | 4,583,882 | 4,251,551 | |
ION Media Networks, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.43% 12/18/20 (d)(e) | 1,938,474 | 1,940,897 | |
Lions Gate Entertainment Corp. term loan 3 month U.S. LIBOR + 3.000% 4.3498% 12/8/23 (d)(e) | 1,850,000 | 1,850,000 | |
MCC Iowa LLC Tranche M, term loan 3 month U.S. LIBOR + 2.000% 3.21% 1/15/25 (d)(e) | 830,000 | 831,453 | |
McGraw-Hill Global Education Holdings, LLC term loan 3 month U.S. LIBOR + 4.000% 5.3498% 5/4/22 (d)(e) | 6,798,938 | 6,802,609 | |
Neptune Finco Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5135% 7/17/25 (d)(e) | 2,638,267 | 2,621,778 | |
Nielsen Finance LLC Tranche B 4LN, term loan 3 month U.S. LIBOR + 2.000% 3.2439% 10/4/23 (d)(e) | 5,050,869 | 5,069,810 | |
Numericable LLC Tranche B 12LN, term loan 3 month U.S. LIBOR + 3.000% 4.3491% 1/1/26 (d)(e) | 3,425,000 | 3,339,375 | |
Proquest LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.9923% 10/24/21 (d)(e) | 3,907,355 | 3,948,069 | |
Raycom Media, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0775% 8/23/24 (d)(e) | 2,060,000 | 2,072,875 | |
Springer Science+Business Media Deutschland GmbH Tranche B 13LN, term loan 3 month U.S. LIBOR + 3.500% 4.9788% 8/15/22 (d)(e) | 8,677,856 | 8,706,493 | |
Unitymedia Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5003% 9/30/25 (d)(e) | 4,130,000 | 4,128,265 | |
Virgin Media Bristol LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7503% 1/31/26(d)(e) | 5,000,000 | 4,996,900 | |
WideOpenWest Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5327% 8/19/23 (d)(e) | 9,075,000 | 8,986,156 | |
Ziggo Secured Finance Partnership Tranche E, term loan 3 month U.S. LIBOR + 2.500% 3.7503% 4/15/25 (d)(e) | 4,610,000 | 4,582,340 | |
114,446,574 | |||
Multiline Retail - 0.0% | |||
JC Penney Corp., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.7288% 6/23/23 (d)(e) | 10,649,154 | 9,701,380 | |
Specialty Retail - 0.1% | |||
ABB Optical Group LLC Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.3196% 6/15/23 (d)(e) | 1,331,550 | 1,328,221 | |
Academy Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.3143% 7/2/22 (d)(e) | 5,136,085 | 4,116,007 | |
Burlington Coat Factory Warehouse Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.77% 11/7/24 (d)(e) | 3,000,000 | 2,999,250 | |
Davids Bridal, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.34% 10/11/19 (d)(e) | 1,860,847 | 1,547,611 | |
Party City Holdings, Inc. term loan 3 month U.S. LIBOR + 3.000% 4.4329% 8/19/22 (d)(e) | 4,674,707 | 4,678,027 | |
PETCO Animal Supplies, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.3801% 1/26/23 (d)(e) | 4,766,805 | 3,747,900 | |
PetSmart, Inc. term loan 3 month U.S. LIBOR + 3.000% 4.34% 3/11/22 (d)(e) | 10,473,351 | 9,017,555 | |
Sports Authority, Inc. Tranche B, term loan 3 month U.S. LIBOR + 6.000% 0% 11/16/17 (e)(f) | 2,013,658 | 20,137 | |
27,454,708 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
Hercules Achievement, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7427% 12/11/21 (d)(e) | 4,542,675 | 4,572,974 | |
TOTAL CONSUMER DISCRETIONARY | 452,233,922 | ||
CONSUMER STAPLES - 0.3% | |||
Beverages - 0.0% | |||
Arterra Wines Canada, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.042% 12/16/23 (d)(e) | 1,985,000 | 1,993,694 | |
Food & Staples Retailing - 0.2% | |||
Agro Merchants Intermediate Ho Tranche B, term loan 3 month U.S. LIBOR + 3.750% 11/16/24 (e)(s) | 2,235,000 | 2,248,969 | |
Albertson's LLC Tranche B, term loan: | |||
3 month U.S. LIBOR + 2.750% 4.0998% 8/25/21 (d)(e) | 15,496,402 | 15,041,273 | |
3 month U.S. LIBOR + 3.000% 4.3297% 12/21/22 (d)(e) | 3,979,430 | 3,865,658 | |
3 month U.S. LIBOR + 3.000% 4.4623% 6/22/23 (d)(e) | 6,836,741 | 6,640,184 | |
BJ's Wholesale Club, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.500% 8.7421% 2/3/25 (d)(e) | 2,000,000 | 1,945,840 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.9921% 2/3/24 (d)(e) | 7,897,769 | 7,766,745 | |
CTI Foods Holdings Co. LLC Tranche 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.85% 6/28/20 (d)(e) | 1,072,224 | 927,474 | |
GOBP Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 10/21/21 (d)(e) | 3,844,212 | 3,832,218 | |
Pizza Hut Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2827% 6/16/23 (d)(e) | 6,223,725 | 6,267,291 | |
Shearer's Foods, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 8.0828% 6/30/22 (d)(e) | 2,913,000 | 2,745,503 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.938% 5.2703% 6/30/21 (d)(e) | 3,323,769 | 3,302,996 | |
Smart & Final, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 11/15/22 (d)(e) | 4,033,000 | 3,947,299 | |
U.S. Foods, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.1% 6/27/23 (d)(e) | 3,456,250 | 3,473,531 | |
62,004,981 | |||
Food Products - 0.1% | |||
Arctic Glacier Group Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.5998% 3/20/24 (d)(e) | 805,950 | 814,010 | |
Chobani LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7421% 10/7/23 (d)(e) | 4,524,464 | 4,569,709 | |
Hostess Brands LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 8/3/22 (d)(e) | 1,054,010 | 1,055,064 | |
JBS USA Lux SA Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7635% 10/30/22 (d)(e) | 2,472,444 | 2,419,286 | |
Post Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 5/24/24 (d)(e) | 6,279,263 | 6,299,858 | |
15,157,927 | |||
Personal Products - 0.0% | |||
Prestige Brands, Inc. term loan 3 month U.S. LIBOR + 2.750% 4.0998% 1/26/24 (d)(e) | 2,012,786 | 2,022,527 | |
TOTAL CONSUMER STAPLES | 81,179,129 | ||
ENERGY - 0.2% | |||
Energy Equipment & Services - 0.0% | |||
Cactus Wellhead LLC Tranche B, term loan 3 month U.S. LIBOR + 6.000% 7.3498% 7/31/20 (d)(e) | 2,799,591 | 2,766,919 | |
Expro Finservices SARL Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.0661% 9/2/21 (d)(e) | 6,049,557 | 3,322,235 | |
Forbes Energy Services LLC Tranche B, term loan 12% 4/13/21 (d)(g) | 1,520,311 | 1,531,714 | |
FTS International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.0998% 4/16/21 (d)(e) | 2,335,000 | 2,276,625 | |
Pacific Drilling SA Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.875% 6/3/18 (d)(e) | 1,337,010 | 467,954 | |
Seadrill Operating LP Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3328% 2/21/21 (d)(e) | 3,063,248 | 2,356,158 | |
12,721,605 | |||
Oil, Gas & Consumable Fuels - 0.2% | |||
Alon U.S.A. Partners LP term loan 3 month U.S. LIBOR + 8.000% 9.3498% 11/26/18 (d)(e) | 2,121,953 | 2,133,899 | |
Arctic LNG Carriers Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.8498% 5/18/23 (d)(e) | 1,995,000 | 2,012,456 | |
Bcp Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.7288% 6/22/24 (d)(e) | 3,925,163 | 3,952,168 | |
California Resources Corp.: | |||
Tranche 1LN, term loan 3 month U.S. LIBOR + 10.375% 11.6577% 12/31/21 (d)(e) | 6,470,000 | 6,987,600 | |
Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.016% 11/17/22 (d)(e) | 7,270,000 | 7,146,483 | |
Chesapeake Energy Corp. Tranche 1LN, term loan 3 month U.S. LIBOR + 7.500% 8.954% 8/23/21 (d)(e) | 7,870,000 | 8,371,713 | |
Chief Exploration & Development, LLC. Tranche 2LN, term loan 3 month U.S. LIBOR + 6.500% 7.9586% 5/16/21 (d)(e) | 2,832,000 | 2,773,604 | |
Citgo Holding, Inc. Tranche B, term loan 3 month U.S. LIBOR + 8.500% 9.835% 5/12/18 (d)(e) | 3,727,453 | 3,733,678 | |
Citgo Petroleum Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.835% 7/29/21 (d)(e) | 2,322,680 | 2,285,517 | |
Crestwood Holdings Partners LLC Tranche B, term loan 3 month U.S. LIBOR + 8.000% 9.4357% 6/19/19 (d)(e) | 3,930,718 | 3,929,067 | |
Foresight Energy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.750% 7.0828% 3/28/22 (d)(e) | 1,990,000 | 1,833,288 | |
Gavilan Resources LLC Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 7.2449% 3/1/24 (d)(e) | 3,500,000 | 3,438,750 | |
Houston Fuel Oil Terminal Co. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.83% 8/19/21 (d)(e) | 7,189,591 | 7,234,526 | |
Limetree Bay Terminals LLC term loan 3 month U.S. LIBOR + 4.000% 5.2827% 2/15/24 (d)(e) | 2,850,676 | 2,811,479 | |
Medallion Midland Acquisition Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5621% 10/31/24 (d)(e) | 2,410,000 | 2,413,013 | |
Moxie Patriot LLC Tranche B, term loan 3 month U.S. LIBOR + 5.750% 7.0828% 12/19/20 (d)(e) | 5,718,252 | 5,518,113 | |
66,575,354 | |||
TOTAL ENERGY | 79,296,959 | ||
FINANCIALS - 0.3% | |||
Capital Markets - 0.1% | |||
Cypress Intermediate Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.35% 4/27/24 (d)(e) | 3,037,388 | 3,041,184 | |
Duff & Phelps Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.6067% 10/5/24 (d)(e) | 1,180,000 | 1,180,366 | |
HarbourVest Partners LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8586% 2/4/21 (d)(e) | 688,600 | 688,311 | |
IBC Capital U.S. LLC: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.3172% 9/9/22 (d)(e) | 2,505,000 | 2,436,113 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0672% 9/10/21 (d)(e) | 1,654,892 | 1,652,310 | |
Jane Street Group LLC Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.8793% 8/25/22 (d)(e) | 2,000,000 | 2,015,000 | |
Recess Holdings, Inc. Tranche B, term loan: | |||
3 month U.S. LIBOR + 3.750% 9/29/24(e)(t) | 205,357 | 206,127 | |
3 month U.S. LIBOR + 3.750% 5.2539% 9/29/24 (d)(e) | 1,519,643 | 1,525,342 | |
12,744,753 | |||
Diversified Financial Services - 0.1% | |||
Bcp Renaissance Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.3801% 10/31/24 (d)(e) | 3,415,000 | 3,445,940 | |
Delos Finance SARL Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.3328% 10/6/23 (d)(e) | 4,118,000 | 4,147,608 | |
Extell Boston 5.154% 8/31/21 (d) | 1,076,575 | 1,080,343 | |
Finco I LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.75% 7/14/22(d)(e) | 3,000,000 | 3,031,500 | |
Flying Fortress Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.3328% 10/30/22 (d)(e) | 2,000,000 | 2,015,000 | |
Focus Financial Partners LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5735% 7/3/24 (d)(e) | 1,385,000 | 1,395,388 | |
Kingpin Intermediate Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.57% 7/3/24 (d)(e) | 997,500 | 1,004,981 | |
Nab Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5135% 6/30/24 (d)(e) | 1,750,613 | 1,761,554 | |
Onvoy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.8328% 2/10/24 (d)(e) | 2,736,250 | 2,599,438 | |
Peak 10 Holding Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8161% 8/1/24 (d)(e) | 1,000,000 | 1,001,560 | |
The Edelman Financial Center L Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.6526% 11/9/24 (d)(e) | 2,500,000 | 2,528,125 | |
TransUnion LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.3498% 4/9/23 (d)(e) | 4,893,918 | 4,911,047 | |
UFC Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.58% 8/18/23 (d)(e) | 2,966,278 | 2,980,635 | |
VF Holdings Corp. term loan 3 month U.S. LIBOR + 3.250% 4.4923% 6/30/23 (d)(e) | 1,485,000 | 1,492,885 | |
33,396,004 | |||
Insurance - 0.1% | |||
Acrisure LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.6473% 11/22/23 (d)(e) | 5,971,350 | 6,021,748 | |
Alliant Holdings Intermediate LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5775% 8/14/22 (d)(e) | 3,924,863 | 3,939,817 | |
AmWINS Group, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 8.0998% 1/25/25 (d)(e) | 275,000 | 278,713 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.0699% 1/25/24 (d)(e) | 1,488,750 | 1,492,472 | |
Asurion LLC: | |||
Tranche B 5LN, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 11/3/23 (d)(e) | 7,621,474 | 7,648,835 | |
Tranche B, term loan: | |||
3 month U.S. LIBOR + 2.750% 4.0998% 8/4/22 (d)(e) | 4,680,974 | 4,700,494 | |
3 month U.S. LIBOR + 6.000% 7.3498% 8/4/25 (d)(e) | 3,935,000 | 4,034,359 | |
HUB International Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.4127% 10/2/20 (d)(e) | 4,788,142 | 4,807,295 | |
USI, Inc. Tranche B, term loan: | |||
3 month U.S. LIBOR + 3.000% 5/16/24 (e)(s) | 4,895,000 | 4,870,525 | |
3 month U.S. LIBOR + 3.000% 4.3498% 5/16/24 (d)(e) | 4,680,000 | 4,667,317 | |
42,461,575 | |||
Real Estate Management & Development - 0.0% | |||
DTZ U.S. Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.6935% 11/4/21 (d)(e) | 5,245,752 | 5,153,951 | |
MGM Growth Properties Operating Partner LP Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 4/25/23 (d)(e) | 4,798,207 | 4,817,064 | |
9,971,015 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Ocwen Loan Servicing LLC Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.2449% 12/5/20 (d)(e) | 1,262,215 | 1,263,010 | |
TOTAL FINANCIALS | 99,836,357 | ||
HEALTH CARE - 0.3% | |||
Health Care Equipment & Supplies - 0.0% | |||
American Renal Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 6/22/24 (d)(e) | 2,817,938 | 2,775,668 | |
CPI Holdco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 3/21/24 (d)(e) | 1,905,427 | 1,914,954 | |
Ortho-Clinical Diagnostics, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0828% 6/30/21 (d)(e) | 8,936,924 | 8,953,725 | |
13,644,347 | |||
Health Care Providers & Services - 0.2% | |||
Community Health Systems, Inc.: | |||
Tranche G, term loan 3 month U.S. LIBOR + 2.750% 4.2288% 12/31/19 (d)(e) | 1,254,624 | 1,219,444 | |
Tranche H, term loan 3 month U.S. LIBOR + 3.000% 4.4788% 1/27/21 (d)(e) | 9,149,915 | 8,754,730 | |
Envision Healthcare Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.35% 12/1/23 (d)(e) | 5,461,237 | 5,471,505 | |
Ghx Ultimate Parent Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5828% 6/30/24 (d)(e) | 1,256,850 | 1,260,520 | |
HCA Holdings, Inc.: | |||
Tranche B 8LN, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 2/15/24 (d)(e) | 2,977,538 | 2,994,093 | |
Tranche B 9LN, term loan 3 month U.S. LIBOR + 2.000% 3.3498% 3/18/23 (d)(e) | 7,900,300 | 7,924,001 | |
Kindred Healthcare, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.875% 4/9/21 (d)(e) | 1,558,472 | 1,561,402 | |
MPH Acquisition Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3328% 6/7/23 (d)(e) | 2,273,055 | 2,274,123 | |
Onex Schumacher Finance LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.3498% 7/31/22 (d)(e) | 1,166,057 | 1,141,279 | |
U.S. Anesthesia Partners, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 6/23/24 (d)(e) | 997,500 | 996,253 | |
U.S. Renal Care, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.000% 9.3328% 12/31/23 (d)(e) | 3,000,000 | 2,955,000 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.5828% 12/31/22 (d)(e) | 7,392,552 | 7,194,801 | |
Vizient, Inc. Tranche B 3LN, term loan 3 month U.S. LIBOR + 3.500% 4.8498% 2/11/23 (d)(e) | 3,440,980 | 3,449,583 | |
Wink Holdco, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 10/31/24 (e)(s) | 2,500,000 | 2,512,500 | |
49,709,234 | |||
Health Care Technology - 0.0% | |||
Press Ganey Holdings, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.500% 7.8498% 10/21/24 (d)(e) | 673,321 | 680,054 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 10/21/23 (d)(e) | 3,877,500 | 3,900,106 | |
4,580,160 | |||
Life Sciences Tools & Services - 0.0% | |||
Albany Molecular Research, Inc. Tranche B, term loan: | |||
3 month U.S. LIBOR + 3.250% 4.5828% 8/30/24 (d)(e) | 1,105,000 | 1,108,227 | |
3 month U.S. LIBOR + 7.000% 8.3328% 8/30/25 (d)(e) | 580,000 | 587,250 | |
PAREXEL International Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 8/11/24 (d)(e) | 5,000,000 | 5,027,100 | |
6,722,577 | |||
Pharmaceuticals - 0.1% | |||
HLF Financing U.S. LLC Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.8498% 2/15/23 (d)(e) | 2,439,324 | 2,431,201 | |
Innoviva, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.9357% 8/18/22 (d)(e) | 2,540,000 | 2,546,350 | |
Lannett Co., Inc.: | |||
Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.0998% 11/25/20 (d)(e) | 255,000 | 254,363 | |
Tranche B, term loan 3 month U.S. LIBOR + 5.375% 6.6173% 11/25/22 (d)(e) | 4,215,000 | 4,215,000 | |
RPI Finance Trust Tranche B 6LN, term loan 3 month U.S. LIBOR + 2.000% 3.3328% 3/27/23 (d)(e) | 3,967,879 | 3,984,425 | |
Valeant Pharmaceuticals International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.75% 4/1/22 (d)(e) | 10,097,156 | 10,230,944 | |
23,662,283 | |||
TOTAL HEALTH CARE | 98,318,601 | ||
INDUSTRIALS - 0.5% | |||
Aerospace & Defense - 0.1% | |||
TransDigm, Inc.: | |||
term loan 3 month U.S. LIBOR + 2.750% 4.0998% 5/14/22 (d)(e) | 980,870 | 982,950 | |
Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0998% 6/9/23 (d)(e) | 19,295,656 | 19,297,586 | |
Tranche G, term loan 3 month U.S. LIBOR + 3.000% 4.346% 8/22/24 (d)(e) | 7,750,575 | 7,784,988 | |
28,065,524 | |||
Air Freight & Logistics - 0.0% | |||
Hanjin International Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8539% 10/18/20 (d)(e) | 1,625,000 | 1,625,000 | |
Transplace Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.4921% 10/5/24 (d)(e) | 3,000,000 | 3,026,250 | |
4,651,250 | |||
Airlines - 0.1% | |||
American Airlines, Inc.: | |||
term loan 3 month U.S. LIBOR + 2.000% 3.2503% 12/14/23 (d)(e) | 4,445,000 | 4,438,910 | |
Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2461% 10/10/21 (d)(e) | 6,177,773 | 6,175,858 | |
10,614,768 | |||
Building Products - 0.0% | |||
GYP Holdings III Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3801% 4/1/23 (d)(e) | 3,795,806 | 3,816,379 | |
HD Supply, Inc. Tranche B 4LN, term loan 3 month U.S. LIBOR + 2.500% 3.8328% 10/17/23 (d)(e) | 992,500 | 999,120 | |
Jeld-Wen, Inc. Tranche B 3LN, term loan 3 month U.S. LIBOR + 3.000% 4.3328% 7/1/22 (d)(e) | 1,718,653 | 1,729,395 | |
6,544,894 | |||
Commercial Services & Supplies - 0.2% | |||
ABG Intermediate Holdings 2 LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 9/29/24 (d)(e) | 975,000 | 982,927 | |
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.6149% 6/21/24 (d)(e) | 9,052,313 | 9,089,699 | |
Harland Clarke Holdings Corp. Tranche B 7LN, term loan 3 month U.S. LIBOR + 4.750% 6.0717% 11/3/23 (d)(e) | 4,900,000 | 4,913,769 | |
Hd Supply Waterworks Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.455% 8/1/24 (d)(e) | 3,055,000 | 3,072,200 | |
KAR Auction Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.875% 3/9/23 (d)(e) | 1,117,740 | 1,123,799 | |
Lineage Logistics Holdings, LLC. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8498% 4/7/21 (d)(e) | 14,371,889 | 14,403,364 | |
Merrill Communications LLC Tranche B, term loan 3 month U.S. LIBOR + 5.250% 6.6301% 6/1/22 (d)(e) | 1,739,487 | 1,752,533 | |
Metal Services LLC Tranche B, term loan 3 month U.S. LIBOR + 7.500% 8.8328% 6/30/19 (d)(e) | 1,086,203 | 1,086,203 | |
Multi-Color Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 9/20/24 (d)(e) | 1,280,000 | 1,287,462 | |
Optiv Security, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.625% 2/1/24 (d)(e) | 1,347,089 | 1,282,684 | |
Prime Security Services Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.0998% 5/2/22 (d)(e) | 11,252,700 | 11,330,118 | |
SAI Global GP Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.8328% 12/8/23 (d)(e)(g) | 2,481,250 | 2,475,047 | |
The Brickman Group, Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.3363% 12/18/20 (d)(e) | 2,680,685 | 2,690,737 | |
Thomson Reuters IP&S term loan 1 month U.S. LIBOR + 3.250% 4.5998% 10/3/23 (d)(e) | 3,776,945 | 3,787,181 | |
TMK Hawk Parent Corp. Tranche B, term loan: | |||
3 month U.S. LIBOR + 3.500% 9/26/24 (e)(s) | 55,556 | 55,889 | |
3 month U.S. LIBOR + 3.500% 4.8799% 9/26/24 (d)(e) | 1,244,444 | 1,251,911 | |
West Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.3498% 10/10/24 (d)(e) | 1,763,767 | 1,760,910 | |
Wrangler Buyer Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 9/28/24 (d)(e) | 1,425,000 | 1,433,393 | |
WTG Holdings III Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0828% 1/15/21 (d)(e) | 2,212,417 | 2,227,639 | |
66,007,465 | |||
Construction & Engineering - 0.1% | |||
Traverse Midstream Partners Ll Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.33% 9/27/24 (d)(e) | 3,515,000 | 3,547,514 | |
Ventia Deco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 5/21/22 (d)(e) | 3,157,470 | 3,181,151 | |
6,728,665 | |||
Electrical Equipment - 0.0% | |||
Cortes NP Acquisition Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.3498% 11/30/23 (d)(e) | 2,507,499 | 2,517,956 | |
Machinery - 0.0% | |||
Doosan Bobcat Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.7827% 5/18/24 (d)(e) | 1,601,932 | 1,608,740 | |
Gardner Denver, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0828% 7/30/24 (d)(e) | 1,030,000 | 1,033,224 | |
Onex Wizard U.S. Acquisition, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 3/13/22 (d)(e) | 3,595,806 | 3,612,095 | |
The Gates Corp. term loan 3 month U.S. LIBOR + 3.000% 4.3883% 3/31/24 (d)(e) | 392,019 | 393,979 | |
6,648,038 | |||
Marine - 0.0% | |||
International Seaways Operating Corp. Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.85% 6/22/22 (d)(e) | 2,911,688 | 2,911,688 | |
Navios Maritime Partners LP Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.32% 9/14/20 (d)(e) | 2,925,001 | 2,910,376 | |
5,822,064 | |||
Professional Services - 0.0% | |||
AlixPartners LLP Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0828% 4/4/24 (d)(e) | 3,358,125 | 3,371,658 | |
Science Applications International Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.9375% 5/4/22 (d)(e) | 1,405,732 | 1,414,518 | |
4,786,176 | |||
Trading Companies & Distributors - 0.0% | |||
Beacon Roofing Supply, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 1/2/25 (e)(s) | 1,000,000 | 1,001,880 | |
Fly Funding II SARL Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.41% 2/9/23 (d)(e) | 2,070,479 | 2,071,121 | |
3,073,001 | |||
Transportation Infrastructure - 0.0% | |||
American Commercial Barge Line Tranche B 1LN, term loan 3 month U.S. LIBOR + 8.750% 10.0998% 11/12/20 (d)(e) | 1,139,941 | 689,664 | |
DAE Aviation Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.1% 7/7/22 (d)(e) | 3,279,848 | 3,298,707 | |
3,988,371 | |||
TOTAL INDUSTRIALS | 149,448,172 | ||
INFORMATION TECHNOLOGY - 0.8% | |||
Communications Equipment - 0.0% | |||
Polycom, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.250% 6.5552% 9/27/23 (d)(e) | 706,883 | 712,715 | |
Radiate Holdco LLC: | |||
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 2/1/24 (e)(s) | 2,000,000 | 1,983,760 | |
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2423% 2/1/24 (d)(e) | 6,474,906 | 6,422,330 | |
Zayo Group LLC term loan 3 month U.S. LIBOR + 2.000% 3.3129% 1/19/21 (d)(e) | 1,955,175 | 1,957,267 | |
11,076,072 | |||
Electronic Equipment & Components - 0.1% | |||
Electro Rent Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.3498% 1/31/24 (d)(e) | 1,985,000 | 2,014,775 | |
Exc Holdings Iii Corp. Tranche B, term loan: | |||
3 month U.S. LIBOR + 3.500% 5.1605% 11/16/24 (d)(e) | 1,210,000 | 1,217,563 | |
3 month U.S. LIBOR + 7.500% 11/16/25 (e)(s) | 750,000 | 752,190 | |
Go Daddy Operating Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 2/15/24 (d)(e) | 9,385,861 | 9,410,639 | |
Infor U.S., Inc. Tranche B 6LN, term loan 3 month U.S. LIBOR + 2.750% 4.0828% 2/1/22 (d)(e) | 2,197,380 | 2,194,172 | |
Lux FinCo U.S. SPV Tranche B 3LN, term loan 3 month U.S. LIBOR + 3.500% 4.8322% 10/16/22 (d)(e) | 1,908,243 | 1,903,472 | |
TTM Technologies, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8498% 9/28/24 (d)(e) | 2,000,000 | 2,006,260 | |
19,499,071 | |||
Internet Software & Services - 0.2% | |||
Abacus Innovations Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.375% 8/16/23 (d)(e) | 1,815,852 | 1,830,379 | |
Ancestry.Com Operations, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5% 10/19/23 (d)(e) | 4,950,000 | 4,973,216 | |
Cvent, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 11/14/24 (e)(s) | 2,500,000 | 2,500,000 | |
EIG Investors Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.4583% 2/9/23 (d)(e) | 6,618,757 | 6,658,734 | |
Mcafee LLC Tranche B, term loan: | |||
3 month U.S. LIBOR + 4.500% 5.8328% 9/29/24 (d)(e) | 5,605,000 | 5,628,653 | |
3 month U.S. LIBOR + 8.500% 9.8328% 9/29/25 (d)(e) | 1,000,000 | 1,010,310 | |
MH Sub I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.07% 9/15/24 (d)(e) | 2,000,000 | 1,989,380 | |
Rackspace Hosting, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3847% 11/3/23 (d)(e) | 14,273,312 | 14,250,332 | |
Travelclick, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.3498% 5/12/21 (d)(e) | 925,392 | 930,019 | |
Uber Technologies, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.3275% 7/13/23 (d)(e) | 12,830,534 | 12,926,763 | |
Vfh Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.1348% 12/30/21 (d)(e) | 1,425,000 | 1,430,344 | |
54,128,130 | |||
IT Services - 0.2% | |||
Ceridian HCM Holding, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 3.500% 4.8129% 9/15/20 (d)(e) | 7,301,067 | 7,299,242 | |
Cologix Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.4561% 3/20/24 (d)(e) | 1,990,000 | 1,987,513 | |
First Data Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5629% 7/10/22 (d)(e) | 13,988,329 | 13,987,490 | |
Global Payments, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.000% 3.3498% 4/22/23 (d)(e) | 1,238,388 | 1,245,607 | |
Information Resources, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.6174% 1/18/25 (d)(e) | 1,000,000 | 1,003,750 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.6174% 1/18/24 (d)(e) | 3,089,475 | 3,107,487 | |
Inmar, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.000% 9.4171% 5/1/25 (d)(e) | 290,000 | 290,000 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.9171% 5/1/24 (d)(e) | 852,438 | 853,503 | |
Mitchell International, Inc. Tranche B, term loan: | |||
3 month U.S. LIBOR + 3.250% 11/20/24 (e)(s) | 1,758,209 | 1,758,209 | |
3 month U.S. LIBOR + 3.250% 11/20/24 (e)(s) | 141,791 | 141,791 | |
3 month U.S. LIBOR + 7.250% 11/20/25 (e)(s) | 750,000 | 755,310 | |
Neustar, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.000% 9.397% 8/8/25 (d)(e) | 700,000 | 706,342 | |
Tranche B1 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.647% 1/8/20 (d)(e) | 411,599 | 416,057 | |
Tranche B2 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.147% 8/8/24 (d)(e) | 2,440,000 | 2,461,960 | |
Tempo Acquisition LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 5/1/24 (d)(e) | 5,356,575 | 5,344,844 | |
Vantiv LLC Tranche B, term loan: | |||
3 month U.S. LIBOR + 2.000% 8/7/24 (e)(s) | 821,793 | 824,193 | |
3 month U.S. LIBOR + 2.000% 3.2503% 8/7/24 (d)(e) | 2,928,207 | 2,941,267 | |
WEX, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0998% 7/1/23 (d)(e) | 3,202,535 | 3,222,038 | |
Xerox Business Services LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 12/7/23 (d)(e) | 3,498,563 | 3,518,259 | |
51,864,862 | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
Bright Bidco BV Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.8357% 6/30/24 (d)(e) | 2,493,750 | 2,516,343 | |
Cavium, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.5968% 8/16/22 (d)(e) | 1,566,059 | 1,566,059 | |
Microsemi Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.3828% 1/15/23 (d)(e) | 1,386,841 | 1,390,114 | |
5,472,516 | |||
Software - 0.3% | |||
Almonde, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.7288% 6/13/25 (d)(e) | 2,025,000 | 2,023,988 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.9788% 6/13/24 (d)(e) | 7,895,213 | 7,884,791 | |
Aptean, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 9.500% 10.84% 12/20/23 (d)(e) | 685,000 | 689,569 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.59% 12/20/22 (d)(e) | 1,920,350 | 1,933,159 | |
Compuware Corp.: | |||
term loan 3 month U.S. LIBOR + 8.250% 9.6161% 12/15/22 (d)(e) | 743,561 | 744,490 | |
Tranche B 3LN, term loan 3 month U.S. LIBOR + 4.250% 5.63% 12/15/21 (d)(e) | 5,216,108 | 5,263,940 | |
Digicert Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.1301% 10/31/24 (d)(e) | 4,580,000 | 4,635,830 | |
Epicor Software Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.1% 6/1/22 (d)(e) | 7,876,713 | 7,914,443 | |
Evo Payments International LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.35% 12/20/23 (d)(e) | 2,487,500 | 2,518,594 | |
Hyland Software, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 7/1/22 (d)(e) | 1,356,591 | 1,368,462 | |
Ion Trading Finance Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.1328% 11/14/24 (d)(e) | 3,000,000 | 3,002,490 | |
Kronos, Inc.: | |||
term loan 3 month U.S. LIBOR + 8.250% 9.6268% 11/1/24 (d)(e) | 5,095,000 | 5,246,780 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.9024% 11/1/23 (d)(e) | 14,505,570 | 14,571,280 | |
Landesk Group, Inc. term loan: | |||
3 month U.S. LIBOR + 4.250% 5.6% 1/20/24 (d)(e) | 7,358,571 | 7,115,738 | |
3 month U.S. LIBOR + 9.000% 10.35% 1/20/25 (d)(e) | 2,445,000 | 2,351,797 | |
MA FinanceCo. LLC Tranche B 3LN, term loan: | |||
3 month U.S. LIBOR + 2.750% 4.0629% 6/21/24 (d)(e) | 7,012,898 | 7,023,838 | |
3 month U.S. LIBOR + 2.750% 4.0629% 6/21/24 (d)(e) | 1,052,102 | 1,053,743 | |
Quest Software U.S. Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.919% 10/31/22 (d)(e) | 4,087,236 | 4,131,501 | |
Renaissance Learning, Inc.: | |||
Tranche 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0828% 4/9/21 (d)(e) | 6,386,379 | 6,418,311 | |
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.3328% 4/9/22 (d)(e) | 2,813,000 | 2,823,549 | |
SolarWinds Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8498% 2/5/23 (d)(e) | 2,962,613 | 2,973,308 | |
Solera LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 3/3/23 (d)(e) | 4,903,290 | 4,925,257 | |
Sophia L.P. term loan 3 month U.S. LIBOR + 3.250% 4.5828% 9/30/22 (d)(e) | 4,889,935 | 4,886,903 | |
SS&C Technologies, Inc.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 7/8/22 (d)(e) | 1,625,937 | 1,635,806 | |
Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 7/8/22 (d)(e) | 70,557 | 70,986 | |
Sybil Software LLC. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0611% 9/30/23 (d)(e) | 3,738,182 | 3,759,975 | |
TIBCO Software, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.85% 12/4/20 (d)(e) | 775,158 | 776,514 | |
107,745,042 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Dell International LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.35% 9/7/23 (d)(e) | 1,608,200 | 1,608,570 | |
TOTAL INFORMATION TECHNOLOGY | 251,394,263 | ||
MATERIALS - 0.3% | |||
Chemicals - 0.1% | |||
American Rock Salt Co. LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.2285% 5/20/21 (d)(e) | 2,723,507 | 2,720,103 | |
Ashland LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.3007% 5/17/24 (d)(e) | 1,995,000 | 2,001,643 | |
ASP Chromaflo Intermediate Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.3498% 11/18/23 (d)(e) | 1,806,350 | 1,813,124 | |
Ineos Styrolution U.S. Holding LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.3154% 3/29/24 (d)(e) | 1,240,854 | 1,242,406 | |
Jade Germany GmbH Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.8328% 5/31/23 (d)(e) | 2,992,500 | 2,992,500 | |
Kraton Polymers LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 1/6/22 (d)(e) | 1,555,164 | 1,569,830 | |
MacDermid, Inc.: | |||
Tranche B 6LN, term loan 3 month U.S. LIBOR + 3.000% 4% 6/7/23 (d)(e) | 3,321,614 | 3,338,222 | |
Tranche B 7LN, term loan 3 month U.S. LIBOR + 2.500% 3.8498% 6/7/20 (d)(e) | 2,602,699 | 2,618,966 | |
Methanol Holdings (TRINIDAD) Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8498% 6/30/22 (d)(e) | 2,576,819 | 2,576,819 | |
Oxea Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.875% 10/12/24 (d)(e) | 2,145,000 | 2,148,582 | |
The Chemours Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.85% 5/12/22 (d)(e) | 2,369,108 | 2,388,369 | |
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8498% 9/6/24 (d)(e) | 2,000,000 | 2,014,380 | |
Tronox Blocked Borrower LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3231% 9/22/24 (d)(e) | 1,900,116 | 1,915,165 | |
Tronox Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3231% 9/22/24 (d)(e) | 4,384,884 | 4,419,612 | |
U.S. Coatings Acquisition, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.3328% 6/1/24 (d)(e) | 1,965,000 | 1,970,659 | |
Univar, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8376% 7/1/24 (d)(e) | 1,400,000 | 1,403,500 | |
Venator Materials LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3801% 8/8/24 (d)(e) | 1,260,000 | 1,267,875 | |
38,401,755 | |||
Containers & Packaging - 0.1% | |||
Berlin Packaging, LLC: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 8% 10/1/22 (d)(e) | 1,129,000 | 1,137,468 | |
Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.549% 10/1/21 (d)(e) | 5,339,535 | 5,374,402 | |
Berry Global, Inc.: | |||
term loan 3 month U.S. LIBOR + 2.000% 3.4058% 1/6/21 (d)(e) | 3,552,000 | 3,554,842 | |
Tranche M, term loan 3 month U.S. LIBOR + 2.250% 3.5591% 10/1/22 (d)(e) | 4,956,562 | 4,972,076 | |
BWAY Holding Co. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5984% 4/3/24 (d)(e) | 997,500 | 1,001,420 | |
Caraustar Industries, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.8328% 3/14/22 (d)(e) | 3,492,450 | 3,485,919 | |
Charter Nex U.S., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 5/16/24 (d)(e) | 1,231,913 | 1,236,914 | |
Consolidated Container Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.8498% 5/22/24 (d)(e) | 2,290,000 | 2,300,878 | |
Flex Acquisition Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.335% 12/29/23 (d)(e) | 4,527,250 | 4,549,886 | |
Plastipak Packaging, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.02% 10/14/24 (d)(e) | 820,000 | 823,895 | |
Printpack Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.375% 7/26/23 (d)(e) | 1,069,200 | 1,073,209 | |
Reynolds Group Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0998% 2/5/23 (d)(e) | 13,027,016 | 13,084,986 | |
42,595,895 | |||
Metals & Mining - 0.1% | |||
Gulf Finance LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 6.59% 8/25/23 (d)(e) | 7,202,610 | 6,698,427 | |
JMC Steel Group, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0731% 6/14/21 (d)(e) | 2,858,518 | 2,873,525 | |
Murray Energy Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.5828% 4/16/20 (d)(e) | 8,064,842 | 7,147,466 | |
Walter Energy, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.800% 0% 4/1/18 (e)(f)(g) | 2,107,367 | 0 | |
16,719,418 | |||
TOTAL MATERIALS | 97,717,068 | ||
REAL ESTATE - 0.1% | |||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
iStar Financial, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2647% 10/1/21 (d)(e) | 980,332 | 986,459 | |
The GEO Group, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.57% 3/23/24 (d)(e) | 1,467,625 | 1,469,460 | |
Uniti Group, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 10/24/22 (d)(e) | 2,114,382 | 2,033,782 | |
VICI Properties 1 LLC/VICI FC, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 10/15/22 (e)(s) | 1,940,000 | 1,939,302 | |
6,429,003 | |||
Real Estate Management & Development - 0.1% | |||
Americold Realty Operating Partnership LP Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0998% 12/1/22 (d)(e) | 2,469,466 | 2,491,074 | |
Capital Automotive LP: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 7.35% 3/24/25 (d)(e) | 922,111 | 945,164 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 3.8498% 3/24/24 (d)(e) | 171,168 | 171,510 | |
Realogy Group LLC term loan 3 month U.S. LIBOR + 2.250% 3.5998% 7/20/22 (d)(e) | 4,946,276 | 4,964,825 | |
Simply Storage Management LLC 8.2375% 9/6/21 (d)(g) | 1,305,000 | 1,305,000 | |
9,877,573 | |||
TOTAL REAL ESTATE | 16,306,576 | ||
TELECOMMUNICATION SERVICES - 0.3% | |||
Diversified Telecommunication Services - 0.2% | |||
Altice Financing SA Tranche B, term loan: | |||
3 month U.S. LIBOR + 2.750% 1/31/26 (e)(s) | 5,500,000 | 5,335,000 | |
3 month U.S. LIBOR + 2.750% 4.1092% 7/15/25 (d)(e) | 3,134,250 | 3,059,028 | |
Cincinnati Bell, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.9933% 4/15/24 (d)(e) | 2,000,000 | 2,024,280 | |
Consolidated Communications, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 3.000% 4.35% 10/5/23 (d)(e) | 1,997,539 | 1,962,162 | |
Level 3 Financing, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.6959% 2/22/24 (d)(e) | 13,355,000 | 13,338,306 | |
Sable International Finance Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8498% 1/31/25 (d)(e) | 6,400,000 | 6,406,016 | |
Securus Technologies, Inc. Tranche B, term loan: | |||
3 month U.S. LIBOR + 4.500% 5.8498% 11/1/24 (d)(e) | 9,580,000 | 9,660,855 | |
3 month U.S. LIBOR + 8.250% 9.5998% 11/1/25 (d)(e) | 3,360,000 | 3,383,117 | |
SFR Group SA Tranche B 11LN, term loan 3 month U.S. LIBOR + 2.750% 4.1301% 7/31/25 (d)(e) | 8,202,775 | 7,987,452 | |
53,156,216 | |||
Wireless Telecommunication Services - 0.1% | |||
Digicel International Finance Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.08% 5/25/24 (d)(e) | 4,080,000 | 4,081,020 | |
Intelsat Jackson Holdings SA Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.2123% 11/27/23 (d)(e) | 12,645,000 | 12,444,071 | |
Sprint Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.875% 2/3/24 (d)(e) | 8,296,275 | 8,294,201 | |
Syniverse Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3328% 4/23/19 (d)(e) | 4,011,549 | 3,949,370 | |
Telesat LLC Tranche B 4LN, term loan 3 month U.S. LIBOR + 3.000% 4.32% 11/17/23 (d)(e) | 5,985,141 | 6,010,099 | |
Xplornet Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.0828% 9/9/21 (d)(e) | 2,139,149 | 2,159,214 | |
36,937,975 | |||
TOTAL TELECOMMUNICATION SERVICES | 90,094,191 | ||
UTILITIES - 0.2% | |||
Electric Utilities - 0.1% | |||
Calpine Construction Finance Co. LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.6% 5/3/20 (d)(e) | 1,852,443 | 1,850,702 | |
Empire Generating Co. LLC: | |||
Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.63% 3/14/21 (d)(e) | 884,825 | 765,374 | |
Tranche C, term loan 3 month U.S. LIBOR + 4.250% 5.63% 3/14/21 (d)(e) | 87,227 | 75,451 | |
Exgen Renewables Iv LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.4676% 11/16/24 (d)(e) | 4,445,000 | 4,478,338 | |
Exgen Texas Power LLC Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.0828% 9/18/21 (d)(e) | 4,473,483 | 2,765,194 | |
Green Energy Partners/Stonewall LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.8328% 11/13/21 (d)(e) | 3,042,000 | 2,935,530 | |
InterGen NV Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.84% 6/13/20 (d)(e) | 6,261,839 | 6,256,642 | |
Lightstone Holdco LLC: | |||
Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.8498% 1/30/24 (d)(e) | 2,542,861 | 2,549,218 | |
Tranche C, term loan 3 month U.S. LIBOR + 4.500% 5.8498% 1/30/24 (d)(e) | 158,446 | 158,842 | |
Longview Power LLC Tranche B, term loan 3 month U.S. LIBOR + 6.000% 7.39% 4/13/21 (d)(e) | 1,955,000 | 1,282,969 | |
Tex Operations Co. LLC: | |||
Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0965% 8/4/23 (d)(e) | 6,465,429 | 6,491,484 | |
Tranche C, term loan 3 month U.S. LIBOR + 2.750% 4.0839% 8/4/23 (d)(e) | 1,485,714 | 1,491,702 | |
USIC Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.0039% 12/9/23 (d)(e) | 1,488,750 | 1,498,993 | |
Vistra Operations Co. LLC Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 4.0326% 12/14/23 (d)(e) | 1,488,750 | 1,497,310 | |
34,097,749 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Dynegy, Inc. Tranche C, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 2/7/24 (d)(e) | 6,806,790 | 6,843,955 | |
Energy Future Holdings Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3474% 6/30/18 (d)(e) | 13,500,000 | 13,541,040 | |
Terra-Gen Finance Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.6% 12/9/21 (d)(e) | 2,696,298 | 2,426,668 | |
TerraForm AP Acquisition Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.5828% 6/26/22 (d)(e) | 2,466,745 | 2,472,912 | |
TerraForm Power Operating LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.147% 11/8/22 (d)(e) | 810,000 | 817,088 | |
The AES Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.454% 5/24/22 (d)(e) | 4,049,650 | 4,062,325 | |
30,163,988 | |||
TOTAL UTILITIES | 64,261,737 | ||
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $1,484,290,336) | 1,480,086,975 | ||
Bank Notes - 0.5% | |||
Capital One NA: | |||
1.65% 2/5/18 | $18,801,000 | $18,792,916 | |
2.95% 7/23/21 | 18,827,000 | 18,949,994 | |
Discover Bank: | |||
(Delaware) 3.2% 8/9/21 | 25,781,000 | 26,192,830 | |
3.1% 6/4/20 | 22,584,000 | 22,880,693 | |
8.7% 11/18/19 | 2,958,000 | 3,274,590 | |
KeyBank NA 6.95% 2/1/28 | 1,977,000 | 2,474,949 | |
RBS Citizens NA 2.5% 3/14/19 | 11,319,000 | 11,355,867 | |
Regions Bank 7.5% 5/15/18 | 24,647,000 | 25,241,969 | |
UBS AG Stamford Branch 1.8% 3/26/18 | 24,142,000 | 24,151,400 | |
TOTAL BANK NOTES | |||
(Cost $151,365,404) | 153,315,208 | ||
Preferred Securities - 0.6% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Automobiles - 0.0% | |||
Volkswagen International Finance NV 2.5%(Reg. S) (c)(d) | EUR | $1,525,000 | $1,894,878 |
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Cosan Overseas Ltd. 8.25% (c) | 4,152,000 | 4,291,212 | |
Danone SA 1.75% (Reg. S) (c)(d) | EUR | 1,500,000 | 1,786,507 |
6,077,719 | |||
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
Andeavor Logistics LP 6.875% (c)(d) | 4,985,000 | 5,046,316 | |
Total SA 2.625% (Reg. S)(c)(d) | EUR | 2,150,000 | 2,718,960 |
7,765,276 | |||
FINANCIALS - 0.5% | |||
Banks - 0.4% | |||
Alfa Bond Issuance PLC 8% (Reg. S) (c)(d) | 1,860,000 | 1,998,044 | |
Banco Do Brasil SA 9% (b)(c)(d) | 2,050,000 | 2,302,805 | |
Banco Mercantil del Norte SA 7.625% (b)(c)(d) | 1,530,000 | 1,685,453 | |
Bank of America Corp.: | |||
6.1% (c)(d) | 8,141,000 | 9,129,221 | |
6.25% (c)(d) | 5,325,000 | 5,977,423 | |
6.5% (c)(d) | 3,000,000 | 3,433,693 | |
Bank of Nova Scotia 4.65% (c)(d) | 1,700,000 | 1,706,609 | |
Barclays Bank PLC 7.625% 11/21/22 | 30,445,000 | 34,734,894 | |
Barclays PLC: | |||
6.625% (c)(d) | 13,935,000 | 14,530,922 | |
7.875% (Reg. S) (c)(d) | GBP | 1,500,000 | 2,277,110 |
8.25% (c)(d) | 500,000 | 535,756 | |
BNP Paribas SA 6.75% (Reg. S) (c)(d) | 1,500,000 | 1,647,441 | |
Citigroup, Inc.: | |||
5.875% (c)(d) | 4,305,000 | 4,554,901 | |
5.95% (c)(d) | 5,290,000 | 5,713,887 | |
5.95% (c)(d) | 2,285,000 | 2,436,591 | |
Credit Agricole SA: | |||
6.625% (b)(c)(d) | 13,700,000 | 14,429,804 | |
7.875% (b)(c)(d) | 4,250,000 | 4,883,071 | |
8.125% 9/19/33 (Reg. S) (d) | 2,500,000 | 2,647,212 | |
Erste Group Bank AG 6.5% (Reg. S) (c)(d) | EUR | 600,000 | 837,962 |
HSBC Holdings PLC 5.25% (c)(d) | EUR | 2,000,000 | 2,659,451 |
Royal Bank of Scotland Group PLC: | |||
7.5% (c)(d) | 9,170,000 | 9,835,052 | |
8.625% (c)(d) | 3,665,000 | 4,186,130 | |
Stichting AK Rabobank Certificaten 6.5% (Reg. S) (c) | EUR | 2,050,000 | 3,066,925 |
135,210,357 | |||
Capital Markets - 0.0% | |||
Goldman Sachs Group, Inc. 5% (c)(d) | 7,500,000 | 7,474,836 | |
UBS AG 4.75% 2/12/26 (Reg. S) (d) | EUR | 2,800,000 | 3,860,933 |
11,335,769 | |||
Diversified Financial Services - 0.0% | |||
Magnesita Finance Ltd.: | |||
8.625% (b)(c) | 985,000 | 1,005,054 | |
8.625% (Reg. S) (c) | 200,000 | 204,072 | |
1,209,126 | |||
Insurance - 0.1% | |||
Assicurazioni Generali SpA 6.416% (c)(d) | GBP | 2,900,000 | 4,543,713 |
Aviva PLC 6.125% (c)(d) | GBP | 2,200,000 | 3,438,210 |
Credit Agricole Assurances SA 4.25% (Reg. S) (c)(d) | EUR | 2,600,000 | 3,578,168 |
11,560,091 | |||
TOTAL FINANCIALS | 159,315,343 | ||
INDUSTRIALS - 0.0% | |||
Construction & Engineering - 0.0% | |||
Odebrecht Finance Ltd.: | |||
7.5% (b)(c) | 7,325,000 | 2,681,460 | |
7.5% (Reg. S) (c) | 100,000 | 36,607 | |
2,718,067 | |||
MATERIALS - 0.0% | |||
Metals & Mining - 0.0% | |||
CSN Islands XII Corp. 7% (Reg. S) (c) | 1,600,000 | 1,251,242 | |
TELECOMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
Telefonica Europe BV 6.5% (Reg. S) (c)(d) | EUR | 5,500,000 | 6,933,422 |
TOTAL PREFERRED SECURITIES | |||
(Cost $175,834,306) | 185,955,947 | ||
Shares | Value | ||
Money Market Funds - 1.8% | |||
Fidelity Cash Central Fund, 1.13% (u) | |||
(Cost $569,979,950) | 569,946,243 | 570,060,232 |
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount | Value | ||
Put Options - 0.0% | ||||
Option with an exercise rate of 2.625% on a credit default swap with BNP Paribas to buy protection on the 5-Year iTraxx Europe Crossover Series 28 Index expiring December 2022, paying 5% quarterly | 1/17/18 | EUR 31,700,000 | $104,501 | |
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $198,685) | 104,501 | |||
TOTAL INVESTMENT IN SECURITIES - 101.3% | ||||
(Cost $31,976,629,432) | 32,205,313,050 | |||
NET OTHER ASSETS (LIABILITIES) - (1.3)% | (420,497,172) | |||
NET ASSETS - 100% | $31,784,815,878 |
TBA Sale Commitments | ||
Principal Amount | Value | |
Fannie Mae | ||
3% 12/1/47 | $(1,400,000) | $(1,395,780) |
3% 12/1/47 | (16,600,000) | (16,549,964) |
3% 12/1/47 | (8,400,000) | (8,374,681) |
3.5% 12/1/47 | (22,500,000) | (23,063,681) |
TOTAL FANNIE MAE | (49,384,106) | |
Freddie Mac | ||
3% 12/1/47 | (160,000,000) | (159,530,224) |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $209,506,438) | $(208,914,330) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Bond Index Contracts | |||||
ASX 10 Year Treasury Bond Index Contracts (Australia) | 29 | Dec. 2017 | $2,865,752 | $23,633 | $23,633 |
Eurex Euro-Buxl 30 Year Bond Contracts (Germany) | 16 | March 2018 | 3,153,686 | (3,442) | (3,442) |
TSE 10 Year Japanese Government Bond Index Contracts (Japan) | 3 | Dec. 2017 | 4,023,191 | (11,889) | (11,889) |
TOTAL BOND INDEX CONTRACTS | 8,302 | ||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 201 | March 2018 | 24,933,422 | (138,372) | (138,372) |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 128 | March 2018 | 27,444,000 | (22,219) | (22,219) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 156 | March 2018 | 18,149,625 | (61,615) | (61,615) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 21 | March 2018 | 3,186,094 | (17,261) | (17,261) |
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 49 | March 2018 | 6,525,422 | (32,259) | (32,259) |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 73 | March 2018 | 12,035,875 | (92,470) | (92,470) |
TME 10 Year Canadian Note Contracts (Canada) | 73 | March 2018 | 7,734,837 | (3,944) | (3,944) |
TOTAL TREASURY CONTRACTS | (368,140) | ||||
TOTAL PURCHASED | (359,838) | ||||
Sold | |||||
Bond Index Contracts | |||||
Eurex Euro-Bobl Contracts (Germany) | 259 | March 2018 | 40,732,343 | 5,934 | 5,934 |
Eurex Euro-Bund Contracts (Germany) | 59 | March 2018 | 11,405,202 | 2,756 | 2,756 |
ICE Long Gilt Contracts (United Kingdom) | 48 | March 2018 | 8,023,519 | 15,000 | 15,000 |
ICE Medium Gilt Contracts (United Kingdom) | 27 | March 2018 | 4,113,392 | 13,682 | 13,682 |
TOTAL BOND INDEX CONTRACTS | 37,372 | ||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 1,150 | March 2018 | 142,653,906 | 770,242 | 770,242 |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 424 | March 2018 | 90,908,250 | 65,423 | 65,423 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 58 | March 2018 | 8,799,688 | 47,000 | 47,000 |
TOTAL TREASURY CONTRACTS | 882,665 | ||||
TOTAL SOLD | 920,037 | ||||
TOTAL FUTURES CONTRACTS | $560,199 |
The notional amount of futures purchased as a percentage of Net Assets is 0.3%
The notional amount of futures sold as a percentage of Net Assets is 1.0%
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/(Depreciation) | ||
EUR | 2,509,000 | USD | 2,968,699 | Canadian Imperial Bank of Commerce | 12/1/17 | $17,638 |
EUR | 3,336,000 | USD | 3,954,594 | Credit Suisse Intl. | 12/1/17 | 16,080 |
EUR | 1,621,000 | USD | 1,944,597 | Canadian Imperial Bank of Commerce | 2/23/18 | (4,976) |
EUR | 547,000 | USD | 650,176 | Citibank, N.A. | 2/23/18 | 4,342 |
EUR | 5,825,000 | USD | 6,898,082 | Citibank, N.A. | 2/23/18 | 71,872 |
EUR | 179,000 | USD | 212,218 | Goldman Sachs Bank USA | 2/23/18 | 1,966 |
EUR | 239,000 | USD | 285,458 | JPMorgan Chase Bank, N.A. | 2/23/18 | 520 |
GBP | 2,088,000 | USD | 2,749,623 | Citibank, N.A. | 2/23/18 | 82,458 |
JPY | 3,100,000 | USD | 27,705 | JPMorgan Chase Bank, N.A. | 2/23/18 | (35) |
USD | 105,100 | AUD | 137,000 | State Street Bank and Trust Co. | 2/23/18 | 1,518 |
USD | 108,959 | CAD | 138,000 | Citibank, N.A. | 2/23/18 | 1,871 |
USD | 3,104,919 | EUR | 2,610,000 | Canadian Imperial Bank of Commerce | 2/23/18 | (18,099) |
USD | 144,086 | EUR | 122,000 | Citibank, N.A. | 2/23/18 | (1,895) |
USD | 3,967,469 | EUR | 3,329,000 | Credit Suisse Intl. | 2/23/18 | (15,874) |
USD | 171,923,711 | EUR | 146,414,000 | Goldman Sachs Bank USA | 2/23/18 | (3,269,205) |
USD | 7,110,633 | EUR | 6,057,000 | JPMorgan Chase Bank, N.A. | 2/23/18 | (136,922) |
USD | 886,913 | EUR | 750,000 | State Street Bank and Trust Co. | 2/23/18 | (10,506) |
USD | 618,100 | EUR | 521,000 | State Street Bank and Trust Co. | 2/23/18 | (5,307) |
USD | 979,052 | GBP | 728,000 | Citibank, N.A. | 2/23/18 | (8,379) |
USD | 73,310,830 | GBP | 55,242,000 | Goldman Sachs Bank USA | 2/23/18 | (1,617,237) |
USD | 586,649 | GBP | 438,000 | JPMorgan Chase Bank, N.A. | 2/23/18 | (7,437) |
USD | 559,554 | GBP | 418,000 | Royal Bank Of Canada | 2/23/18 | (7,404) |
USD | 52,819 | JPY | 5,950,000 | State Street Bank and Trust Co. | 2/23/18 | (288) |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | $(4,905,299) | |||||
Unrealized Appreciation | 198,265 | |||||
Unrealized Depreciation | (5,103,564) |
Swaps
Underlying Reference | Rating(1) | Maturity Date | Clearinghouse / Counterparty(2) | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount(3) | Value(1) | Upfront Premium Received/(Paid)(4) | Unrealized Appreciation/(Depreciation) |
Credit Default Swaps | |||||||||
Buy Protection | |||||||||
5-Year iTraxx Europe Series 25 Index | Jun. 2021 | ICE | (1%) | Quarterly | EUR 8,300,000 | $(152,634) | $0 | $(152,634) | |
Accor SA | Jun. 2022 | Citibank, N.A. | (1%) | Quarterly | EUR 4,200,000 | (110,709) | 84,795 | (25,914) | |
Assicurazioni Generali SpA | Dec. 2021 | JPMorgan Chase Bank, N.A. | (1%) | Quarterly | EUR 1,800,000 | 1,670 | (123,805) | (122,135) | |
Carlsberg Breweries A/S | Jun. 2022 | BNP Paribas SA | (1%) | Quarterly | EUR 4,150,000 | (160,421) | 145,137 | (15,284) | |
Energias De Portugal SA | Jun. 2022 | JPMorgan Chase Bank, N.A. | (5%) | Quarterly | EUR 3,550,000 | (912,164) | 838,381 | (73,783) | |
Gas Natural Capital Markets SA | Jun. 2022 | BNP Paribas SA | (1%) | Quarterly | EUR 4,200,000 | (116,413) | 110,151 | (6,262) | |
Kering SA | Sep. 2018 | Morgan Stanley Capital Group, Inc. | (1%) | Quarterly | EUR 3,500,000 | (40,622) | 3,265 | (37,357) | |
Royal Bank Of Scotland Grp PLC (Ungtd) | Jun. 2022 | BNP Paribas SA | (1%) | Quarterly | EUR 4,600,000 | (100,915) | (113,942) | (214,857) | |
Santander Issuances SA Unipersonal | Jun. 2022 | BNP Paribas SA | (1%) | Quarterly | EUR 4,350,000 | 11,316 | (101,488) | (90,172) | |
Standard Chartered PLC | Jun. 2021 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR 1,550,000 | (38,330) | (114,381) | (152,711) | |
TOTAL BUY PROTECTION | (1,619,222) | 728,113 | (891,109) | ||||||
Sell Protection | |||||||||
5-Year iTraxx Europe Senior Financials Series 25 Index | NR | Jun. 2021 | ICE | 1% | Quarterly | EUR 8,300,000 | 303,193 | 0 | 303,193 |
Intesa Sanpaolo SpA | Ba1 | Jun. 2022 | BNP Paribas SA | 1% | Quarterly | EUR 1,850,000 | (61,418) | 173,945 | 112,527 |
TOTAL SELL PROTECTION | 241,775 | 173,945 | 415,720 | ||||||
TOTAL CREDIT DEFAULT SWAPS | $(1,377,447) | $902,058 | $(475,389) | ||||||
(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.
(2) Swaps with Intercontinental Exchange (ICE) are centrally cleared over-the-counter (OTC) swaps.
(3) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.
(4) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
Swaps
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount | Value | Upfront Premium Received/(Paid)(4) | Unrealized Appreciation/(Depreciation) |
Interest Rate Swaps | |||||||||
3-month LIBOR(3) | Quarterly | 2.5% | Semi - annual | LCH | Dec. 2027 | $17,200,000 | $334,293 | $0 | $334,293 |
3-month LIBOR(3) | Quarterly | 2.75% | Semi - annual | LCH | Dec. 2047 | 3,000,000 | 103,407 | 0 | 103,407 |
TOTAL INTEREST RATE SWAPS | $437,700 | $0 | $437,700 | ||||||
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(3) Represents floating rate.
Currency Abbreviations
AUD – Australian dollar
CAD – Canadian dollar
EUR – European Monetary Unit
GBP – British pound
JPY – Japanese yen
USD – U.S. dollar
Legend
(a) Amount is stated in United States dollars unless otherwise noted.
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,777,529,450 or 8.7% of net assets.
(c) Security is perpetual in nature with no stated maturity date.
(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(e) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(f) Non-income producing - Security is in default.
(g) Level 3 security
(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(i) 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 $2,909,690.
(j) Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts, options and bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $4,910,285.
(k) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $1,695,965.
(l) 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 $407,392.
(m) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(n) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
(o) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.
(p) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(q) 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.
(r) Non-income producing
(s) The coupon rate will be determined upon settlement of the loan after period end.
(t) Position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $205,357 and $206,127, respectively.
(u) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $2,705,130 |
Total | $2,705,130 |
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2017, 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. Additional information on valuation inputs, and their aggregation into the levels used below, is provided later in this section.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $873,440 | $873,440 | $-- | $-- |
Energy | 8,627,662 | 5,091,112 | 3,536,550 | -- |
Financials | 3,623,211 | 1,689,763 | 1,933,448 | -- |
Materials | 3,287,580 | 3,287,580 | -- | -- |
Real Estate | 6,070,672 | 5,246,905 | 823,767 | -- |
Telecommunication Services | 234,851 | 200,251 | -- | 34,600 |
Corporate Bonds | 9,926,602,719 | -- | 9,926,602,077 | 642 |
U.S. Government and Government Agency Obligations | 12,844,722,981 | -- | 12,844,722,981 | -- |
U.S. Government Agency - Mortgage Securities | 4,696,346,413 | -- | 4,696,346,413 | -- |
Asset-Backed Securities | 328,668,258 | -- | 325,638,194 | 3,030,064 |
Collateralized Mortgage Obligations | 670,901,928 | -- | 670,901,928 | -- |
Commercial Mortgage Securities | 656,265,854 | -- | 655,302,447 | 963,407 |
Municipal Securities | 402,757,547 | -- | 402,757,547 | -- |
Foreign Government and Government Agency Obligations | 266,807,071 | -- | 259,300,027 | 7,507,044 |
Bank Loan Obligations | 1,480,086,975 | -- | 1,474,418,814 | 5,668,161 |
Bank Notes | 153,315,208 | -- | 153,315,208 | -- |
Preferred Securities | 185,955,947 | -- | 185,955,947 | -- |
Money Market Funds | 570,060,232 | 570,060,232 | -- | -- |
Purchased Swaptions | 104,501 | -- | 104,501 | -- |
Total Investments in Securities: | $32,205,313,050 | $586,449,283 | $31,601,659,849 | $17,203,918 |
Derivative Instruments: | ||||
Assets | ||||
Forward Foreign Currency Contracts | $198,265 | $-- | $198,265 | $-- |
Futures Contracts | 943,670 | 943,670 | -- | -- |
Swaps | 753,879 | -- | 753,879 | -- |
Total Assets | $1,895,814 | $943,670 | $952,144 | $-- |
Liabilities | ||||
Forward Foreign Currency Contracts | $(5,103,564) | $- | $(5,103,564) | $-- |
Futures Contracts | (383,471) | (383,471) | -- | -- |
Swaps | (1,693,626) | -- | (1,693,626) | -- |
Total Liabilities | $(7,180,661) | $(383,471) | $(6,797,190) | $-- |
Total Derivative Instruments: | $(5,284,847) | $560,199 | $(5,845,046) | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(208,914,330) | $-- | $(208,914,330) | $-- |
Total Other Financial Instruments: | $(208,914,330) | $-- | $(208,914,330) | $-- |
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund’s valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.
Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific market events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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 vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. 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 foreign currency contracts is determined using currency exchange rates supplied by a pricing vendor and are categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.
Quarterly Holdings Report
for
Fidelity Flex℠ Funds
Fidelity Flex℠ Core Bond Fund
Investments November 30, 2017 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 24.4% | |||
Principal Amount | Value | ||
CONSUMER DISCRETIONARY - 1.9% | |||
Automobiles - 0.6% | |||
General Motors Financial Co., Inc. 4.375% 9/25/21 | $200,000 | $210,635 | |
Media - 1.3% | |||
21st Century Fox America, Inc. 7.75% 12/1/45 | 20,000 | 29,472 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.908% 7/23/25 | 45,000 | 47,533 | |
5.375% 5/1/47 | 30,000 | 30,324 | |
Comcast Corp. 6.45% 3/15/37 | 15,000 | 19,926 | |
Time Warner Cable, Inc.: | |||
4% 9/1/21 | 80,000 | 82,206 | |
7.3% 7/1/38 | 120,000 | 147,801 | |
Time Warner, Inc. 6.2% 3/15/40 | 40,000 | 47,449 | |
404,711 | |||
TOTAL CONSUMER DISCRETIONARY | 615,346 | ||
CONSUMER STAPLES - 0.9% | |||
Beverages - 0.6% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
2.65% 2/1/21 | 45,000 | 45,335 | |
4.7% 2/1/36 | 125,000 | 138,398 | |
183,733 | |||
Tobacco - 0.3% | |||
Reynolds American, Inc. 7.25% 6/15/37 | 75,000 | 103,467 | |
TOTAL CONSUMER STAPLES | 287,200 | ||
ENERGY - 5.5% | |||
Oil, Gas & Consumable Fuels - 5.5% | |||
Alberta Energy Co. Ltd.: | |||
7.375% 11/1/31 | 28,000 | 35,751 | |
8.125% 9/15/30 | 26,000 | 34,781 | |
Anadarko Finance Co. 7.5% 5/1/31 | 40,000 | 51,090 | |
Anadarko Petroleum Corp.: | |||
5.55% 3/15/26 | 40,000 | 44,464 | |
6.6% 3/15/46 | 30,000 | 37,596 | |
Canadian Natural Resources Ltd.: | |||
3.9% 2/1/25 | 25,000 | 25,579 | |
5.85% 2/1/35 | 25,000 | 29,040 | |
Cenovus Energy, Inc. 4.25% 4/15/27 (a) | 24,000 | 23,739 | |
Columbia Pipeline Group, Inc.: | |||
4.5% 6/1/25 | 25,000 | 26,572 | |
5.8% 6/1/45 | 10,000 | 12,252 | |
DCP Midstream LLC 5.85% 5/21/43 (a)(b) | 20,000 | 18,600 | |
DCP Midstream Operating LP 3.875% 3/15/23 | 20,000 | 19,950 | |
Enbridge, Inc.: | |||
4.25% 12/1/26 | 25,000 | 26,043 | |
5.5% 12/1/46 | 25,000 | 28,808 | |
Enterprise Products Operating LP 3.75% 2/15/25 | 20,000 | 20,555 | |
Kinder Morgan Energy Partners LP 6.55% 9/15/40 | 65,000 | 75,476 | |
Marathon Petroleum Corp. 5.125% 3/1/21 | 35,000 | 37,631 | |
Petrobras Global Finance BV: | |||
5.625% 5/20/43 | 50,000 | 44,813 | |
6.125% 1/17/22 | 145,000 | 154,425 | |
7.25% 3/17/44 | 50,000 | 52,188 | |
7.375% 1/17/27 | 90,000 | 99,180 | |
Petroleos Mexicanos: | |||
4.625% 9/21/23 | 330,000 | 340,725 | |
6.5% 3/13/27 (a) | 20,000 | 22,055 | |
6.75% 9/21/47 | 130,000 | 137,462 | |
6.75% 9/21/47 (a) | 20,000 | 21,148 | |
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 | 44,000 | 43,808 | |
The Williams Companies, Inc.: | |||
4.55% 6/24/24 | 70,000 | 72,538 | |
5.75% 6/24/44 | 35,000 | 36,881 | |
Western Gas Partners LP: | |||
4.65% 7/1/26 | 35,000 | 36,325 | |
5.375% 6/1/21 | 48,000 | 51,059 | |
Williams Partners LP 4.3% 3/4/24 | 100,000 | 104,799 | |
1,765,333 | |||
FINANCIALS - 10.6% | |||
Banks - 5.5% | |||
Bank of America Corp.: | |||
3.5% 4/19/26 | 160,000 | 162,586 | |
3.705% 4/24/28 (b) | 29,000 | 29,702 | |
5.65% 5/1/18 | 110,000 | 111,700 | |
5.875% 1/5/21 | 60,000 | 65,953 | |
Barclays PLC 4.375% 1/12/26 | 200,000 | 207,810 | |
Citigroup, Inc.: | |||
1.8% 2/5/18 | 100,000 | 100,012 | |
2.4% 2/18/20 | 85,000 | 84,947 | |
2.876% 7/24/23 (b) | 43,000 | 42,740 | |
4.4% 6/10/25 | 70,000 | 73,520 | |
Credit Suisse Group Funding Guernsey Ltd. 3.8% 6/9/23 | 250,000 | 258,336 | |
JPMorgan Chase & Co.: | |||
2.35% 1/28/19 | 35,000 | 35,128 | |
2.95% 10/1/26 | 135,000 | 131,850 | |
4.35% 8/15/21 | 125,000 | 132,816 | |
Royal Bank of Scotland Group PLC: | |||
5.125% 5/28/24 | 165,000 | 175,233 | |
6% 12/19/23 | 65,000 | 71,899 | |
6.125% 12/15/22 | 80,000 | 88,194 | |
1,772,426 | |||
Capital Markets - 3.2% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 22,000 | 23,087 | |
Deutsche Bank AG London Branch 4.1% 1/13/26 | 100,000 | 101,727 | |
Goldman Sachs Group, Inc.: | |||
2.625% 4/25/21 | 35,000 | 34,979 | |
2.876% 10/31/22 (b) | 170,000 | 169,733 | |
3.691% 6/5/28 (b) | 170,000 | 171,520 | |
3.75% 5/22/25 | 50,000 | 51,251 | |
Moody's Corp.: | |||
3.25% 1/15/28 (a) | 10,000 | 9,856 | |
4.875% 2/15/24 | 9,000 | 9,882 | |
Morgan Stanley: | |||
3.125% 7/27/26 | 171,000 | 167,809 | |
5.625% 9/23/19 | 100,000 | 105,706 | |
5.75% 1/25/21 | 150,000 | 164,190 | |
1,009,740 | |||
Consumer Finance - 0.9% | |||
Capital One Financial Corp. 2.5% 5/12/20 | 125,000 | 124,976 | |
Discover Financial Services: | |||
3.95% 11/6/24 | 80,000 | 81,952 | |
4.1% 2/9/27 | 76,000 | 77,258 | |
284,186 | |||
Diversified Financial Services - 0.3% | |||
Brixmor Operating Partnership LP: | |||
3.25% 9/15/23 | 35,000 | 34,297 | |
3.85% 2/1/25 | 40,000 | 39,937 | |
Voya Financial, Inc. 3.125% 7/15/24 | 12,000 | 11,892 | |
86,126 | |||
Insurance - 0.7% | |||
Pacific LifeCorp 5.125% 1/30/43 (a) | 50,000 | 55,629 | |
Pricoa Global Funding I 5.375% 5/15/45 (b) | 45,000 | 48,375 | |
TIAA Asset Management Finance LLC 4.125% 11/1/24 (a) | 80,000 | 84,204 | |
Unum Group 3.875% 11/5/25 | 50,000 | 51,082 | |
239,290 | |||
TOTAL FINANCIALS | 3,391,768 | ||
HEALTH CARE - 1.0% | |||
Biotechnology - 0.1% | |||
AbbVie, Inc. 4.5% 5/14/35 | 25,000 | 26,731 | |
Health Care Providers & Services - 0.2% | |||
HCA Holdings, Inc. 6.5% 2/15/20 | 50,000 | 53,688 | |
Pharmaceuticals - 0.7% | |||
Actavis Funding SCS 3.45% 3/15/22 | 40,000 | 40,666 | |
Mylan N.V.: | |||
3.15% 6/15/21 | 50,000 | 50,276 | |
3.95% 6/15/26 | 20,000 | 19,939 | |
Teva Pharmaceutical Finance Netherlands III BV: | |||
2.8% 7/21/23 | 55,000 | 48,556 | |
3.15% 10/1/26 | 65,000 | 54,216 | |
Zoetis, Inc. 3.45% 11/13/20 | 15,000 | 15,394 | |
229,047 | |||
TOTAL HEALTH CARE | 309,466 | ||
INDUSTRIALS - 0.1% | |||
Aerospace & Defense - 0.1% | |||
BAE Systems Holdings, Inc. 3.8% 10/7/24 (a) | 40,000 | 41,664 | |
REAL ESTATE - 2.8% | |||
Equity Real Estate Investment Trusts (REITs) - 1.7% | |||
Corporate Office Properties LP 5.25% 2/15/24 | 157,000 | 169,366 | |
DDR Corp.: | |||
3.9% 8/15/24 | 4,000 | 3,983 | |
4.625% 7/15/22 | 65,000 | 68,186 | |
Duke Realty LP 3.625% 4/15/23 | 50,000 | 51,277 | |
Omega Healthcare Investors, Inc.: | |||
4.375% 8/1/23 | 165,000 | 167,757 | |
4.5% 1/15/25 | 6,000 | 5,975 | |
4.75% 1/15/28 | 59,000 | 58,307 | |
WP Carey, Inc. 4% 2/1/25 | 28,000 | 28,107 | |
552,958 | |||
Real Estate Management & Development - 1.1% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 103,000 | 105,311 | |
3.95% 11/15/27 | 19,000 | 18,798 | |
Digital Realty Trust LP: | |||
4.75% 10/1/25 | 45,000 | 49,018 | |
5.25% 3/15/21 | 30,000 | 32,313 | |
Liberty Property LP 4.4% 2/15/24 | 40,000 | 42,649 | |
Mack-Cali Realty LP 3.15% 5/15/23 | 50,000 | 46,436 | |
Ventas Realty LP 3.5% 2/1/25 | 65,000 | 65,445 | |
359,970 | |||
TOTAL REAL ESTATE | 912,928 | ||
TELECOMMUNICATION SERVICES - 0.9% | |||
Diversified Telecommunication Services - 0.9% | |||
AT&T, Inc.: | |||
3.6% 2/17/23 | 100,000 | 102,279 | |
6.3% 1/15/38 | 50,000 | 58,423 | |
Verizon Communications, Inc.: | |||
5.012% 4/15/49 | 30,000 | 31,070 | |
5.012% 8/21/54 | 85,000 | 85,720 | |
5.5% 3/16/47 | 11,000 | 12,296 | |
289,788 | |||
UTILITIES - 0.7% | |||
Electric Utilities - 0.5% | |||
FirstEnergy Corp.: | |||
4.25% 3/15/23 | 45,000 | 47,184 | |
7.375% 11/15/31 | 85,000 | 113,287 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 (a) | 10,000 | 9,956 | |
170,427 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 | 50,000 | 55,375 | |
TOTAL UTILITIES | 225,802 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $7,713,224) | 7,839,295 | ||
U.S. Government and Government Agency Obligations - 41.0% | |||
U.S. Treasury Inflation-Protected Obligations - 6.8% | |||
U.S. Treasury Inflation-Indexed Bonds 0.875% 2/15/47 | 685,062 | 684,573 | |
U.S. Treasury Inflation-Indexed Notes: | |||
0.375% 1/15/27 | $1,353,845 | $1,329,306 | |
0.375% 7/15/27 | 171,530 | 168,707 | |
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 2,182,586 | ||
U.S. Treasury Obligations - 34.2% | |||
U.S. Treasury Bonds: | |||
3% 2/15/47 | 947,000 | 976,964 | |
3% 5/15/47 | 247,000 | 254,815 | |
U.S. Treasury Notes: | |||
1.125% 2/28/19 | 1,211,000 | 1,201,918 | |
1.75% 6/30/22 | 332,000 | 326,566 | |
1.875% 3/31/22 | 7,066,000 | 6,998,649 | |
2.125% 11/30/24 | 651,000 | 642,710 | |
2.25% 10/31/24 | 146,000 | 145,413 | |
2.25% 2/15/27 | 415,000 | 409,067 | |
TOTAL U.S. TREASURY OBLIGATIONS | 10,956,102 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $13,223,872) | 13,138,688 | ||
U.S. Government Agency - Mortgage Securities - 0.2% | |||
Fannie Mae - 0.2% | |||
3% 12/1/47 (c) | |||
(Cost $50,141) | 50,000 | 49,849 | |
Asset-Backed Securities - 0.6% | |||
CAM Mortgage Trust Series 2016-2 Class A2, 5% 6/15/57 (a) | $100,000 | $100,055 | |
DB Master Finance LLC Series 2017-1A: | |||
Class A2I, 3.629% 11/20/47 (a) | 50,000 | 50,395 | |
Class A2II, 4.03% 11/20/47 (a) | 50,000 | 50,358 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $200,172) | 200,808 | ||
Collateralized Mortgage Obligations - 0.4% | |||
Private Sponsor - 0.4% | |||
CSMC Trust Series 2009-5R Class 2A2, 3.3295% 7/26/49 (a)(b) | 14,872 | 14,893 | |
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(b) | 33,565 | 33,808 | |
Towd Point Mortgage Trust Series 2017-2 Class A1, 2.75% 4/25/57 (a)(b) | 89,335 | 89,544 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $139,222) | 138,245 | ||
Commercial Mortgage Securities - 0.5% | |||
GAHR Commercial Mortgage Trust Series 2015-NRF Class DFX, 3.3822% 12/15/34 (a)(b) | 125,000 | 125,746 | |
MSCG Trust Series 2016-SNR Class C, 5.205% 11/15/34 (a) | 25,000 | 25,383 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $152,198) | 151,129 | ||
Municipal Securities - 1.0% | |||
California Gen. Oblig. Series 2009, 7.35% 11/1/39 | 90,000 | 133,412 | |
Illinois Gen. Oblig.: | |||
Series 2003, 5.1% 6/1/33 | $125,000 | $124,225 | |
Series 2010-3, 5.547% 4/1/19 | 70,000 | 72,080 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $312,694) | 329,717 | ||
Foreign Government and Government Agency Obligations - 0.3% | |||
Dominican Republic 5.95% 1/25/27 (a) | $ | ||
(Cost $106,148) | $100,000 | $108,500 | |
Shares | Value | ||
Fixed-Income Funds - 29.1% | |||
Fidelity Floating Rate Central Fund (d) | 15,851 | 1,636,487 | |
Fidelity Mortgage Backed Securities Central Fund (d) | 47,241 | 5,087,401 | |
Fidelity Specialized High Income Central Fund (d) | 25,282 | 2,612,176 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $9,334,108) | 9,336,064 | ||
Money Market Funds - 1.8% | |||
Fidelity Cash Central Fund, 1.13% (e) | |||
(Cost $584,960) | 584,843 | 584,960 | |
TOTAL INVESTMENT IN SECURITIES - 99.3% | |||
(Cost $31,816,739) | 31,877,255 | ||
NET OTHER ASSETS (LIABILITIES) - 0.7% | 211,480 | ||
NET ASSETS - 100% | $32,088,735 |
Legend
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $885,533 or 2.8% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(d) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(e) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $3,554 |
Fidelity Floating Rate Central Fund | 16,848 |
Fidelity Mortgage Backed Securities Central Fund | 31,154 |
Fidelity Specialized High Income Central Fund | 28,278 |
Total | $79,834 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:
Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Floating Rate Central Fund | $1,244,345 | $391,848 | $-- | $-- | $294 | $1,636,487 | 0.1% |
Fidelity Mortgage Backed Securities Central Fund | 4,765,339 | 481,251 | 109,739 | 645 | (50,095) | 5,087,401 | 0.1% |
Fidelity Specialized High Income Central Fund | 2,034,874 | 606,631 | -- | -- | (29,329) | 2,612,176 | 0.4% |
Total | $8,044,558 | $1,479,730 | $109,739 | $645 | $(79,130) | $9,336,064 |
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2017, 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. Additional information on valuation inputs, and their aggregation into the levels used below, is provided later in this section.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Corporate Bonds | $7,839,295 | $-- | $7,839,295 | $-- |
U.S. Government and Government Agency Obligations | 13,138,688 | -- | 13,138,688 | -- |
U.S. Government Agency - Mortgage Securities | 49,849 | -- | 49,849 | -- |
Asset-Backed Securities | 200,808 | -- | 200,808 | -- |
Collateralized Mortgage Obligations | 138,245 | -- | 138,245 | -- |
Commercial Mortgage Securities | 151,129 | -- | 151,129 | -- |
Municipal Securities | 329,717 | -- | 329,717 | -- |
Foreign Government and Government Agency Obligations | 108,500 | -- | 108,500 | -- |
Fixed-Income Funds | 9,336,064 | 9,336,064 | -- | -- |
Money Market Funds | 584,960 | 584,960 | -- | -- |
Total Investments in Securities: | $31,877,255 | $9,921,024 | $21,956,231 | $-- |
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund’s valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, foreign government and government agency obligations, municipal securities, and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.
When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.
Quarterly Holdings Report
for
Fidelity® Total Bond K6 Fund
Investments November 30, 2017 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 22.7% | |||
Principal Amount | Value | ||
CONSUMER DISCRETIONARY - 2.2% | |||
Automobiles - 0.8% | |||
General Motors Financial Co., Inc. 4.375% 9/25/21 | $3,950,000 | $4,160,040 | |
Media - 1.4% | |||
21st Century Fox America, Inc. 7.75% 12/1/45 | 370,000 | 545,241 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 4.908% 7/23/25 | 945,000 | 998,185 | |
Comcast Corp. 6.45% 3/15/37 | 365,000 | 484,858 | |
Time Warner Cable, Inc.: | |||
4% 9/1/21 | 1,480,000 | 1,520,818 | |
7.3% 7/1/38 | 2,420,000 | 2,980,660 | |
Time Warner, Inc. 6.2% 3/15/40 | 840,000 | 996,420 | |
7,526,182 | |||
TOTAL CONSUMER DISCRETIONARY | 11,686,222 | ||
CONSUMER STAPLES - 0.5% | |||
Beverages - 0.5% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
2.65% 2/1/21 | 45,000 | 45,335 | |
4.7% 2/1/36 | 2,325,000 | 2,574,210 | |
2,619,545 | |||
Tobacco - 0.0% | |||
Reynolds American, Inc. 7.25% 6/15/37 | 75,000 | 103,467 | |
TOTAL CONSUMER STAPLES | 2,723,012 | ||
ENERGY - 5.8% | |||
Oil, Gas & Consumable Fuels - 5.8% | |||
Alberta Energy Co. Ltd.: | |||
7.375% 11/1/31 | 435,000 | 555,411 | |
8.125% 9/15/30 | 398,000 | 532,417 | |
Anadarko Finance Co. 7.5% 5/1/31 | 790,000 | 1,009,034 | |
Anadarko Petroleum Corp.: | |||
5.55% 3/15/26 | 515,000 | 572,479 | |
6.6% 3/15/46 | 630,000 | 789,514 | |
Canadian Natural Resources Ltd.: | |||
3.9% 2/1/25 | 525,000 | 537,155 | |
5.85% 2/1/35 | 525,000 | 609,834 | |
Cenovus Energy, Inc. 4.25% 4/15/27 (a) | 534,000 | 528,189 | |
Columbia Pipeline Group, Inc.: | |||
4.5% 6/1/25 | 25,000 | 26,572 | |
5.8% 6/1/45 | 10,000 | 12,252 | |
DCP Midstream LLC 5.85% 5/21/43 (a)(b) | 570,000 | 530,100 | |
DCP Midstream Operating LP 3.875% 3/15/23 | 520,000 | 518,700 | |
Enbridge, Inc.: | |||
4.25% 12/1/26 | 525,000 | 546,895 | |
5.5% 12/1/46 | 525,000 | 604,966 | |
Enterprise Products Operating LP 3.75% 2/15/25 | 20,000 | 20,555 | |
Kinder Morgan Energy Partners LP 6.55% 9/15/40 | 1,365,000 | 1,584,998 | |
Marathon Petroleum Corp. 5.125% 3/1/21 | 35,000 | 37,631 | |
Petrobras Global Finance BV: | |||
6.125% 1/17/22 | 2,730,000 | 2,907,450 | |
7.25% 3/17/44 | 1,300,000 | 1,356,875 | |
7.375% 1/17/27 | 2,130,000 | 2,347,260 | |
Petroleos Mexicanos: | |||
4.625% 9/21/23 | 6,000,000 | 6,195,000 | |
6.375% 1/23/45 | 2,300,000 | 2,346,000 | |
6.5% 3/13/27 (a) | 20,000 | 22,055 | |
6.75% 9/21/47 | 835,000 | 882,929 | |
6.75% 9/21/47 (a) | 20,000 | 21,148 | |
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 | 692,000 | 688,987 | |
The Williams Companies, Inc.: | |||
3.7% 1/15/23 | 2,000,000 | 2,000,000 | |
4.55% 6/24/24 | 70,000 | 72,538 | |
5.75% 6/24/44 | 35,000 | 36,881 | |
Western Gas Partners LP: | |||
4.65% 7/1/26 | 35,000 | 36,325 | |
5.375% 6/1/21 | 1,563,000 | 1,662,607 | |
Williams Partners LP 4.3% 3/4/24 | 2,000,000 | 2,095,977 | |
31,688,734 | |||
FINANCIALS - 9.5% | |||
Banks - 4.6% | |||
Bank of America Corp.: | |||
3.5% 4/19/26 | 2,630,000 | 2,672,507 | |
3.705% 4/24/28 (b) | 528,000 | 540,779 | |
5.65% 5/1/18 | 110,000 | 111,700 | |
5.875% 1/5/21 | 1,810,000 | 1,989,572 | |
Barclays PLC 4.375% 1/12/26 | 900,000 | 935,143 | |
Citigroup, Inc.: | |||
1.8% 2/5/18 | 100,000 | 100,012 | |
2.4% 2/18/20 | 1,585,000 | 1,584,007 | |
4.4% 6/10/25 | 1,970,000 | 2,069,063 | |
Credit Suisse Group Funding Guernsey Ltd.: | |||
3.75% 3/26/25 | 1,200,000 | 1,225,522 | |
3.8% 6/9/23 | 1,250,000 | 1,291,679 | |
Intesa Sanpaolo SpA 5.71% 1/15/26 (a) | 500,000 | 530,014 | |
JPMorgan Chase & Co.: | |||
2.35% 1/28/19 | 35,000 | 35,128 | |
2.95% 10/1/26 | 3,085,000 | 3,013,014 | |
4.35% 8/15/21 | 2,425,000 | 2,576,630 | |
Rabobank Nederland 4.375% 8/4/25 | 500,000 | 526,525 | |
Regions Bank 6.45% 6/26/37 | 250,000 | 312,523 | |
Royal Bank of Scotland Group PLC 6.125% 12/15/22 | 4,745,000 | 5,231,022 | |
24,744,840 | |||
Capital Markets - 3.5% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 390,000 | 409,268 | |
Deutsche Bank AG 4.5% 4/1/25 | 1,500,000 | 1,521,604 | |
Deutsche Bank AG London Branch 4.1% 1/13/26 | 1,100,000 | 1,119,000 | |
Goldman Sachs Group, Inc.: | |||
2.625% 4/25/21 | 3,035,000 | 3,033,155 | |
2.876% 10/31/22 (b) | 170,000 | 169,733 | |
3.691% 6/5/28 (b) | 3,160,000 | 3,188,254 | |
3.75% 5/22/25 | 525,000 | 538,132 | |
Moody's Corp.: | |||
3.25% 1/15/28 (a) | 10,000 | 9,856 | |
4.875% 2/15/24 | 9,000 | 9,882 | |
Morgan Stanley: | |||
3.125% 7/27/26 | 2,621,000 | 2,572,088 | |
5.625% 9/23/19 | 100,000 | 105,706 | |
5.75% 1/25/21 | 4,650,000 | 5,089,901 | |
UBS Group Funding AG 2.859% 8/15/23 (a)(b) | 1,000,000 | 989,921 | |
UBS Group Funding Ltd. 4.125% 9/24/25 (a) | 500,000 | 524,301 | |
19,280,801 | |||
Consumer Finance - 0.7% | |||
Capital One Financial Corp. 2.5% 5/12/20 | 625,000 | 624,879 | |
Discover Financial Services: | |||
3.95% 11/6/24 | 2,580,000 | 2,642,944 | |
4.1% 2/9/27 | 366,000 | 372,058 | |
3,639,881 | |||
Diversified Financial Services - 0.3% | |||
Brixmor Operating Partnership LP 3.25% 9/15/23 | 1,035,000 | 1,014,204 | |
Voya Financial, Inc. 3.125% 7/15/24 | 812,000 | 804,718 | |
1,818,922 | |||
Insurance - 0.4% | |||
Pacific LifeCorp 5.125% 1/30/43 (a) | 950,000 | 1,056,947 | |
Pricoa Global Funding I 5.375% 5/15/45 (b) | 1,045,000 | 1,123,375 | |
TIAA Asset Management Finance LLC 4.125% 11/1/24 (a) | 80,000 | 84,204 | |
Unum Group 3.875% 11/5/25 | 50,000 | 51,082 | |
2,315,608 | |||
TOTAL FINANCIALS | 51,800,052 | ||
HEALTH CARE - 0.9% | |||
Biotechnology - 0.1% | |||
AbbVie, Inc. 4.5% 5/14/35 | 525,000 | 561,352 | |
Health Care Providers & Services - 0.2% | |||
HCA Holdings, Inc. 6.5% 2/15/20 | 950,000 | 1,020,063 | |
Pharmaceuticals - 0.6% | |||
Actavis Funding SCS 3.45% 3/15/22 | 40,000 | 40,666 | |
Mylan N.V.: | |||
3.15% 6/15/21 | 50,000 | 50,276 | |
3.95% 6/15/26 | 1,370,000 | 1,365,839 | |
Teva Pharmaceutical Finance Netherlands III BV: | |||
2.8% 7/21/23 | 1,055,000 | 931,384 | |
3.15% 10/1/26 | 785,000 | 654,760 | |
Zoetis, Inc. 3.45% 11/13/20 | 15,000 | 15,394 | |
3,058,319 | |||
TOTAL HEALTH CARE | 4,639,734 | ||
INDUSTRIALS - 0.2% | |||
Aerospace& Defense - 0.2% | |||
BAE Systems Holdings, Inc. 3.8% 10/7/24 (a) | 1,040,000 | 1,083,256 | |
MATERIALS - 0.2% | |||
Metals & Mining - 0.2% | |||
Corporacion Nacional del Cobre de Chile (Codelco): | |||
3.625% 8/1/27 (a) | 500,000 | 498,725 | |
4.5% 8/1/47 (a) | 500,000 | 521,960 | |
1,020,685 | |||
REAL ESTATE - 1.7% | |||
Equity Real Estate Investment Trusts (REITs) - 0.8% | |||
Corporate Office Properties LP 5.25% 2/15/24 | 146,000 | 157,500 | |
DDR Corp. 3.9% 8/15/24 | 61,000 | 60,746 | |
Duke Realty LP 3.625% 4/15/23 | 50,000 | 51,277 | |
Omega Healthcare Investors, Inc.: | |||
4.375% 8/1/23 | 1,665,000 | 1,692,816 | |
4.75% 1/15/28 | 2,049,000 | 2,024,949 | |
WP Carey, Inc. 4% 2/1/25 | 489,000 | 490,864 | |
4,478,152 | |||
Real Estate Management & Development - 0.9% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 560,000 | 572,564 | |
3.95% 11/15/27 | 311,000 | 307,695 | |
4.1% 10/1/24 | 833,000 | 848,692 | |
Digital Realty Trust LP: | |||
4.75% 10/1/25 | 1,445,000 | 1,574,018 | |
5.25% 3/15/21 | 30,000 | 32,313 | |
Liberty Property LP 4.4% 2/15/24 | 40,000 | 42,649 | |
Ventas Realty LP 3.5% 2/1/25 | 1,265,000 | 1,273,654 | |
4,651,585 | |||
TOTAL REAL ESTATE | 9,129,737 | ||
TELECOMMUNICATION SERVICES - 1.0% | |||
Diversified Telecommunication Services - 1.0% | |||
AT&T, Inc.: | |||
3.6% 2/17/23 | 2,000,000 | 2,045,588 | |
6.3% 1/15/38 | 1,100,000 | 1,285,312 | |
Verizon Communications, Inc.: | |||
5.012% 8/21/54 | 1,585,000 | 1,598,427 | |
5.5% 3/16/47 | 461,000 | 515,321 | |
5,444,648 | |||
UTILITIES - 0.7% | |||
Electric Utilities - 0.5% | |||
FirstEnergy Corp.: | |||
4.25% 3/15/23 | 45,000 | 47,184 | |
7.375% 11/15/31 | 1,985,000 | 2,645,582 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 (a) | 172,000 | 171,248 | |
2,864,014 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 | 950,000 | 1,052,125 | |
TOTAL UTILITIES | 3,916,139 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $123,540,889) | 123,132,219 | ||
U.S. Government and Government Agency Obligations - 41.4% | |||
U.S. Treasury Inflation-Protected Obligations - 6.8% | |||
U.S. Treasury Inflation-Indexed Bonds 0.875% 2/15/47 | 11,215,174 | 11,207,180 | |
U.S. Treasury Inflation-Indexed Notes 0.375% 1/15/27 | 26,011,914 | 25,540,432 | |
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 36,747,612 | ||
U.S. Treasury Obligations - 34.6% | |||
U.S. Treasury Bonds 3% 2/15/47 | 18,886,000 | 19,483,565 | |
U.S. Treasury Notes: | |||
1.5% 5/15/20 | $38,929,000 | $38,595,974 | |
1.75% 6/30/22 | 227,000 | 223,285 | |
1.875% 3/31/22 | 77,961,000 | 77,217,936 | |
1.875% 7/31/22 | 16,694,000 | 16,502,932 | |
2% 4/30/24 | 1,427,000 | 1,402,473 | |
2.125% 7/31/24 | 9,389,000 | 9,285,574 | |
2.125% 11/30/24 | 20,939,000 | 20,672,355 | |
2.25% 10/31/24 | 4,682,000 | 4,663,162 | |
TOTAL U.S. TREASURY OBLIGATIONS | 188,047,256 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $226,294,762) | 224,794,868 | ||
U.S. Government Agency - Mortgage Securities - 0.8% | |||
Fannie Mae - 0.8% | |||
3% 12/1/32 (c) | 500,000 | 509,258 | |
3% 12/1/47 (c) | 900,000 | 897,287 | |
3.5% 12/1/47 (c) | 1,025,000 | 1,050,679 | |
3.5% 12/1/47 (c) | 1,025,000 | 1,050,679 | |
4% 12/1/47 (c) | 800,000 | 835,776 | |
4.5% 12/1/47 (c) | 100,000 | 106,368 | |
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $4,469,866) | 4,450,047 | ||
Asset-Backed Securities - 0.7% | |||
CAM Mortgage Trust Series 2016-2 Class A2, 5% 6/15/57 (a) | $1,000,000 | $1,000,554 | |
CLUB Credit Trust Series 2017-P1 Class A, 2.54% 9/15/23 (a) | 280,137 | 280,219 | |
DB Master Finance LLC Series 2017-1A: | |||
Class A2I, 3.629% 11/20/47 (a) | 278,000 | 280,196 | |
Class A2II, 4.03% 11/20/47 (a) | 399,000 | 401,853 | |
Nationstar HECM Loan Trust Series 2017-2A Class A1, 2.12% 9/25/27 (a) | 450,691 | 450,224 | |
Navient Student Loan Trust Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 1.9275% 7/26/66 (a)(b)(d) | 100,000 | 100,779 | |
Prosper Marketplace Issuance Trust: | |||
Series 2017-2A Class A, 2.42% 9/15/23 (a) | 685,209 | 686,475 | |
Series 2017-3A Class A, 2.54% 11/15/23 (a) | 500,000 | 499,122 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $3,695,761) | 3,699,422 | ||
Collateralized Mortgage Obligations - 0.3% | |||
Private Sponsor - 0.3% | |||
CSMC Trust Series 2009-5R Class 2A2, 3.3295% 7/26/49 (a)(b) | 278,678 | 279,066 | |
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(b) | 416,208 | 419,217 | |
Towd Point Mortgage Trust: | |||
Series 2016-3 Class A1, 2.25% 4/25/56 (a) | 694,278 | 688,855 | |
Series 2017-2 Class A1, 2.75% 4/25/57 (a)(b) | 402,006 | 402,950 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $1,801,197) | 1,790,088 | ||
Commercial Mortgage Securities - 0.2% | |||
BX Trust Series 2017-IMC Class A, 1 month U.S. LIBOR + 1.050% 2.3003% 10/15/32 (a)(b)(d) | 500,000 | 500,774 | |
COMM Mortgage Trust: | |||
Series 2014-CR19 Class XA, 1.384% 8/10/47 (b)(e) | 5,074,551 | 259,097 | |
Series 2014-LC17 Class XA, 0.9566% 10/10/47 (b)(e) | 4,178,958 | 151,721 | |
SCG Trust Series 2013-SRP1 Class A, 1 month U.S. LIBOR + 1.400% 2.8889% 11/15/26 (a)(b)(d) | 334,000 | 333,153 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $1,257,347) | 1,244,745 | ||
Municipal Securities - 0.9% | |||
California Gen. Oblig.: | |||
Series 2009, 7.35% 11/1/39 | $90,000 | $133,412 | |
7.5% 4/1/34 | 700,000 | 1,026,144 | |
Chicago Gen. Oblig. (Taxable Proj.) Series 2014 B, 6.314% 1/1/44 | 125,000 | 133,894 | |
Illinois Gen. Oblig.: | |||
Series 2003, 5.1% 6/1/33 | 2,525,000 | 2,509,345 | |
Series 2011, 5.877% 3/1/19 | 970,000 | 1,003,630 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $4,803,167) | 4,806,425 | ||
Foreign Government and Government Agency Obligations - 0.3% | |||
Dominican Republic 5.95% 1/25/27(a) | $ | $ | |
(Cost $1,577,074) | 1,450,000 | 1,573,250 | |
Shares | Value | ||
Fixed-Income Funds - 28.2% | |||
Fidelity Floating Rate Central Fund (f) | 263,861 | 27,240,994 | |
Fidelity Mortgage Backed Securities Central Fund (f) | 768,009 | 82,706,836 | |
Fidelity Specialized High Income Central Fund (f) | 420,234 | 43,418,527 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $154,539,949) | 153,366,357 | ||
Principal Amount | Value | ||
Preferred Securities - 0.1% | |||
FINANCIALS - 0.1% | |||
Banks - 0.1% | |||
Barclays Bank PLC 7.625% 11/21/22 (Cost $763,711) | 650,000 | 741,589 | |
Shares | Value | ||
Money Market Funds - 4.7% | |||
Fidelity Cash Central Fund, 1.13% (g) | |||
(Cost $25,268,495) | 25,263,442 | 25,268,495 | |
TOTAL INVESTMENT IN SECURITIES - 100.3% | |||
(Cost $548,012,218) | 544,867,505 | ||
NET OTHER ASSETS (LIABILITIES) - (0.3)% | (1,473,875) | ||
NET ASSETS - 100% | $543,393,630 |
Legend
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $14,468,611 or 2.7% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(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 represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(f) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $68,906 |
Fidelity Floating Rate Central Fund | 306,303 |
Fidelity Mortgage Backed Securities Central Fund | 515,855 |
Fidelity Specialized High Income Central Fund | 508,154 |
Total | $1,399,218 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:
Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Floating Rate Central Fund | $24,715,867 | $2,505,743 | $-- | $-- | $19,384 | $27,240,994 | 1.5% |
Fidelity Mortgage Backed Securities Central Fund | 89,098,772 | 7,315,456 | 12,893,401 | 35,525 | (849,516) | 82,706,836 | 1.2% |
Fidelity Specialized High Income Central Fund | 39,575,278 | 4,358,691 | -- | -- | (515,442) | 43,418,527 | 6.4% |
Total | $153,389,917 | $14,179,890 | $12,893,401 | $35,525 | $(1,345,574) | $153,366,357 |
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2017, 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. Additional information on valuation inputs, and their aggregation into the levels used below, is provided later in this section.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Corporate Bonds | $123,132,219 | $-- | $123,132,219 | $-- |
U.S. Government and Government Agency Obligations | 224,794,868 | -- | 224,794,868 | -- |
U.S. Government Agency - Mortgage Securities | 4,450,047 | -- | 4,450,047 | -- |
Asset-Backed Securities | 3,699,422 | -- | 3,699,422 | -- |
Collateralized Mortgage Obligations | 1,790,088 | -- | 1,790,088 | -- |
Commercial Mortgage Securities | 1,244,745 | -- | 1,244,745 | -- |
Municipal Securities | 4,806,425 | -- | 4,806,425 | -- |
Foreign Government and Government Agency Obligations | 1,573,250 | -- | 1,573,250 | -- |
Fixed-Income Funds | 153,366,357 | 153,366,357 | -- | -- |
Preferred Securities | 741,589 | -- | 741,589 | -- |
Money Market Funds | 25,268,495 | 25,268,495 | -- | -- |
Total Investments in Securities: | $544,867,505 | $178,634,852 | $366,232,653 | $-- |
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund’s valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.
When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.
Item 2.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Income Fund’s (the “Trust”) disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trust’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 3.
Exhibits
Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Income Fund
By: | |
President and Treasurer | |
Date: |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | |
President and Treasurer | |
Date: |
By: | |
Chief Financial Officer | |
Date: |
This ‘N-Q’ Filing | Date | Other Filings | ||
---|---|---|---|---|
Filed on / Effective on: | 1/26/18 | |||
For Period End: | 11/30/17 | 497, 497K | ||
List all Filings |