UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549



FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES



Investment Company Act file number   811-22083



Fidelity Central Investment Portfolios II LLC

 (Exact name of registrant as specified in charter)



245 Summer St., Boston, MA 02210

 (Address of principal executive offices)       (Zip code)



Margaret Carey, Secretary

245 Summer St.

Boston, Massachusetts  02210

(Name and address of agent for service)





Registrant's telephone number, including area code:

617-563-7000





Date of fiscal year end:

September 30





Date of reporting period:

March 31, 2024



Item 1.

Reports to Stockholders







Fidelity® Inflation-Protected Bond Index Central Fund
 
 
Semi-Annual Report
March 31, 2024

Contents

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts

Liquidity Risk Management Program

Proxy Voting Results

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
 
 
You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
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Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2024 FMR LLC. All rights reserved.
 
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
 
Investment Summary March 31, 2024 (Unaudited)
Coupon Distribution (% of Fund's Investments)
 
0.01 - 0.99%
66.7
  
1 - 1.99%
20.2
  
2 - 2.99%
9.3
  
3 - 3.99%
3.5
  
 
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
 
 
The coupon rates on inflation-protected securities tend to be lower than their nominal bond counterparts since inflation-protected securities get adjusted for actual inflation, while nominal bond coupon rates include a component for expected inflation. Please refer to the fund's prospectus for more information.
Asset Allocation (% of Fund's net assets)
Inflation Protected Securities - 99.4%
 
Schedule of Investments March 31, 2024 (Unaudited)
 
Showing Percentage of Net Assets
U.S. Treasury Inflation-Protected Obligations - 99.4%
 
  
Principal
Amount (a)
 
Value ($)
 
U.S. Treasury Inflation-Indexed Bonds:
  
  
  
 1.75% 1/15/28
 
14,649,663
14,522,439
 2% 1/15/26
 
4,453,506
4,430,873
 2.375% 1/15/27
 
6,496,721
6,545,683
 2.5% 1/15/29
 
25,825,397
26,523,239
 3.375% 4/15/32
 
4,170,144
4,618,997
 3.625% 4/15/28
 
6,750,320
7,174,762
 3.875% 4/15/29
 
8,217,274
8,982,184
U.S. Treasury Inflation-Indexed Notes:
  
  
  
 0.125% 4/15/25
 
23,235,629
22,646,477
 0.125% 10/15/25
 
17,555,024
17,028,814
 0.125% 4/15/26
 
14,096,015
13,492,862
 0.125% 7/15/26
 
37,507,717
35,930,897
 0.125% 10/15/26
 
19,646,759
18,733,369
 0.125% 4/15/27
 
19,509,192
18,372,911
 0.125% 1/15/30
 
25,582,310
23,150,709
 0.125% 7/15/30
 
22,516,257
20,278,963
 0.125% 1/15/31
 
17,607,016
15,660,820
 0.125% 7/15/31
 
31,728,803
28,064,985
 0.125% 1/15/32
 
24,877,736
21,730,315
 0.25% 7/15/29
 
11,016,755
10,154,818
 0.375% 7/15/25
 
17,033,303
16,651,965
 0.375% 1/15/27
 
15,803,983
15,067,503
 0.375% 7/15/27
 
20,230,957
19,241,425
 0.5% 1/15/28
 
30,134,444
28,502,132
 0.625% 1/15/26
 
16,810,268
16,317,930
 0.625% 7/15/32
 
24,605,570
22,308,545
 0.75% 7/15/28
 
20,646,571
19,716,577
 0.875% 1/15/29
 
9,331,802
8,892,983
 1.125% 1/15/33
 
28,990,920
27,185,208
 1.25% 4/15/28
 
10,385,123
10,083,956
 1.375% 7/15/33
 
24,717,270
23,718,946
 1.625% 10/15/27
 
24,383,733
24,137,876
 1.75% 1/15/34
 
19,143,727
18,897,683
 2.375% 10/15/28
 
16,936,563
17,322,167
 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS
 (Cost $603,418,076)
  
  
586,089,013
 
  
  
  
Money Market Funds - 0.2%
 
  
Shares
Value ($)
 
Fidelity Cash Central Fund 5.39% (b)
 
 (Cost $1,459,228)
 
  
1,458,936
1,459,228
 
  
  
  
 
TOTAL INVESTMENT IN SECURITIES - 99.6%
 (Cost $604,877,304)
 
  
 
587,548,241
NET OTHER ASSETS (LIABILITIES) - 0.4%  
2,255,783
NET ASSETS - 100.0%
589,804,024
 
  
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
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
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund 5.39%
1,553,459
23,923,527
24,017,758
20,131
-
-
1,459,228
0.0%
Total
1,553,459
23,923,527
24,017,758
20,131
-
-
1,459,228
  
 
  
  
  
  
  
  
  
  
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
 
The following is a summary of the inputs used, as of March 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
 Investments in Securities:
  
  
  
  
 U.S. Government and Government Agency Obligations
586,089,013
-
586,089,013
-
  Money Market Funds
1,459,228
1,459,228
-
-
 Total Investments in Securities:
587,548,241
1,459,228
586,089,013
-
Financial Statements (Unaudited)
Statement of Assets and Liabilities
 
  
  
March 31, 2024
(Unaudited)
 
  
  
  
  
Assets
 
  
  
  
Investment in securities, at value  - See accompanying schedule:
  
  
  
  
Unaffiliated issuers (cost $603,418,076)
$
586,089,013
  
  
Fidelity Central Funds (cost $1,459,228)
1,459,228
  
  
 
  
  
  
  
 
  
  
  
  
Total Investment in Securities (cost $604,877,304)
  
  
$
587,548,241
Receivable for investments sold
  
  
9,094,710
Receivable for fund shares sold
  
  
63,665
Interest receivable
  
  
1,499,340
Distributions receivable from Fidelity Central Funds
  
  
2,503
  Total assets
  
  
598,208,459
Liabilities
  
  
  
  
Payable for investments purchased
$
8,215,076
  
  
Payable for fund shares redeemed
189,082
  
  
Other payables and accrued expenses
277
  
  
  Total liabilities
  
  
  
8,404,435
Net Assets  
  
  
$
589,804,024
Net Assets consist of:
  
  
  
  
Paid in capital
  
  
$
633,508,179
Total accumulated earnings (loss)
  
  
  
(43,704,155)
Net Assets
  
  
$
589,804,024
Net Asset Value, offering price and redemption price per share ($589,804,024 ÷ 6,673,335 shares)
  
  
$
88.38
Statement of Operations
 
  
  
Six months ended
March 31, 2024
(Unaudited)
Investment Income
  
  
  
  
Interest  
  
  
$
7,931,930
Income from Fidelity Central Funds  
  
  
20,131
 Total income
  
  
  
7,952,061
Expenses
  
  
  
  
Custodian fees and expenses
$
526
  
  
Independent trustees' fees and expenses
801
  
  
Miscellaneous
1
  
  
 Total expenses
  
  
  
1,328
Net Investment income (loss)
  
  
  
7,950,733
Realized and Unrealized Gain (Loss)
  
  
  
  
Net realized gain (loss) on:
  
  
  
  
 Investment Securities:
  
  
  
  
   Unaffiliated issuers  
  
(3,676,640)
  
  
Total net realized gain (loss)
  
  
  
(3,676,640)
Change in net unrealized appreciation (depreciation) on investment securities
 
  
  
16,793,564
Net gain (loss)
  
  
  
13,116,924
Net increase (decrease) in net assets resulting from operations
  
  
$
21,067,657
Statement of Changes in Net Assets
 
 
Six months ended
March 31, 2024
(Unaudited)
  
Year ended
September 30, 2023
Increase (Decrease) in Net Assets
  
  
  
  
Operations
  
  
  
Net investment income (loss)
$
7,950,733
$
21,130,326
Net realized gain (loss)
  
(3,676,640)
 
  
(24,018,732)
 
Change in net unrealized appreciation (depreciation)
  
16,793,564
  
18,689,043
 
Net increase (decrease) in net assets resulting from operations
  
21,067,657
 
  
15,800,637
 
Distributions to shareholders
  
(20,190,280)
 
  
(68,116,659)
 
 
  
  
  
  
Affiliated share transactions
  
  
  
  
Proceeds from sales of shares
  
195,011,237
  
26,438,998
  Reinvestment of distributions
  
20,190,280
 
  
68,116,659
 
Cost of shares redeemed
  
(49,978,809)
  
(232,780,447)
 
  
  
  
  
  Net increase (decrease) in net assets resulting from share transactions
  
165,222,708
 
  
(138,224,790)
 
Total increase (decrease) in net assets
  
166,100,085
 
  
(190,540,812)
 
 
  
  
  
  
Net Assets
  
  
  
  
Beginning of period
  
423,703,939
  
614,244,751
 
End of period
$
589,804,024
$
423,703,939
 
  
  
  
  
Other Information
  
  
  
  
Shares
  
  
  
  
Sold
  
2,195,834
  
295,860
  Issued in reinvestment of distributions
  
229,985
 
  
753,905
 
Redeemed
  
(567,280)
  
(2,592,904)
Net increase (decrease)
  
1,858,539
  
(1,543,139)
 
  
  
  
  
 
Financial Highlights
 
Fidelity® Inflation-Protected Bond Index Central Fund
 
 
Six months ended
(Unaudited) March 31, 2024 
  
Years ended September 30, 2023 
  
2022  
  
2021 
  
2020 
  
2019   
  Selected Per-Share Data 
  
  
  
  
  
  
  
  
  
  
  
  
  Net asset value, beginning of period
$
88.00
$
96.61
$
113.48
$
108.93
$
102.91
$
100.18
  Income from Investment Operations
 
  
  
  
  
  
  
  
  
  
  
  
     Net investment income (loss) A,B
  
1.256
 
3.381
 
7.596
 
5.098
 
1.359
 
2.057
     Net realized and unrealized gain (loss)
 
2.225
 
(1.285)
 
(15.349)
 
1.090
 
6.303
 
3.622
  Total from investment operations
 
3.481  
  
2.096  
  
(7.753)  
  
6.188  
  
7.662
 
5.679
  Distributions from net investment income
 
(3.101)
 
(8.189)
 
(7.113)
 
(.222)
 
(.389)
 
(.463)
  Distributions from net realized gain
 
-
 
(2.517)
 
(2.004)
 
(1.416)
 
(1.253)
 
(2.486)
     Total distributions
 
(3.101)
 
(10.706)
 
(9.117)
 
(1.638)
 
(1.642)
 
(2.949)
  Net asset value, end of period
$
88.38
$
88.00
$
96.61
$
113.48
$
108.93
$
102.91
 Total Return C,D
  
3.99
%
 
  
2.15%
 
(7.47)%
 
5.74%
 
7.55%
 
5.84%
 Ratios to Average Net Assets B,E,F
  
  
  
  
  
  
  
  
  
  
  
  
    Expenses before reductions G
  
-% H,I
  
-%
 
-%
 
-%
 
-%
 
-%
    Expenses net of fee waivers, if any G
  
-
% H,I
 
  
-%
 
-%
 
-%
 
-%
 
-%
    Expenses net of all reductions G
  
-% H,I
  
-%
 
-%
 
-%
 
-%
 
-%
    Net investment income (loss)
 
2.85% H,I
  
3.71%
 
7.12%
 
4.60%
 
1.30%
 
2.05%
 Supplemental Data
  
  
  
  
  
  
  
  
  
  
  
  
    Net assets, end of period (000 omitted)
$
589,804
$
423,704
$
614,245
$
1,177,340
$
1,596,245
$
1,381,659
    Portfolio turnover rate J
  
35
% I
 
  
33%
 
33%
 
24%
 
41%
 
53%
 
ACalculated based on average shares outstanding during the period.
 
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
CTotal returns for periods of less than one year are not annualized.
 
DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
EFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
FExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
GAmount represents less than .005%.
 
HProxy expenses are not annualized.
 
IAnnualized.
 
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
Notes to Financial Statements (Unaudited)
For the period ended March 31, 2024
 
1. Organization.
Fidelity Inflation-Protected Bond Index Central Fund (the Fund) is a fund of Fidelity Central Investment Portfolios II LLC (the LLC) and is authorized to issue an unlimited number of shares. Shares of the Fund are only offered to other investment companies and accounts managed by Fidelity Management & Research Company LLC (FMR), or its affiliates (the Investing Funds). The LLC is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware Limited Liability Company.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
 
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
 
Fidelity Central Fund
Investment Manager
Investment Objective
Investment Practices
Expense RatioA
Fidelity Money Market Central Funds
Fidelity Management & Research Company LLC (FMR)
Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.
Short-term Investments
Less than .005%
 
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
 
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
 
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Directors (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
 
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
 
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
 
Valuation techniques used to value the Fund's investments by major category are as follows:
 
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
 
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
 
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of March 31, 2024 is included at the end of the Fund's Schedule of Investments.
 
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. For Treasury Inflation-Protected Securities (TIPS) the principal amount is adjusted daily to keep pace with inflation. Interest is accrued based on the adjusted principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Such adjustments may result in negative Interest and may have a significant impact on the Fund's distributions.
 
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
 
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
 
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
 
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
 
Book-tax differences are primarily due to deflation adjustments on U.S. Treasury inflation-indexed securities, capital loss carryforwards and losses deferred due to wash sales.
 
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
 
Gross unrealized appreciation
$2,815,731
Gross unrealized depreciation
(21,097,403)
Net unrealized appreciation (depreciation)
$(18,281,672)
Tax cost
$605,829,913
 
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
 
Short-term
$(6,046,565)
Long-term
(18,552,302)
Total capital loss carryforward
$(24,598,867)
4. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Management & Research Company LLC (the investment adviser) provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's expense contract, the investment adviser also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Directors, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
 
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
 
Sub-Advisory Arrangements. Effective March 1, 2024, the Fund's sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Hong Kong) Limited, and Fidelity Management & Research (Japan) Limited were amended to provide that the investment adviser pays each sub-adviser monthly fees equal to 110% of the sub-adviser's costs for providing sub-advisory services.
5. Other.
A fund's organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
 
 
At the end of the period, mutual funds managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.
6. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Shareholder Expense Example  
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
 
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2023 to March 31, 2024).
 
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
 
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
 
 
  
  
  
Annualized Expense Ratio- A
  
Beginning Account Value October 1, 2023
 
Ending Account Value March 31, 2024
  
Expenses Paid During Period- C October 1, 2023 to March 31, 2024
 
  
  
  
  
  
  
  
  
  
Fidelity® Inflation-Protected Bond Index Central Fund
  
  
  
0.0005%
  
  
  
  
  
  
Actual
  
  
  
  
  
$ 1,000
  
$ 1,039.90
  
$-D
 
Hypothetical-B
  
  
  
  
  
$ 1,000
  
$ 1,025.00
  
$-D
 
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.
 
B   5% return per year before expenses
 
C   Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
D   Amount represents less than $.005.
 
 
 
 
Board Approval of Investment Advisory Contracts
 
Board Approval of Investment Advisory Contracts
Fidelity Inflation-Protected Bond Index Central Fund
At its January 2024 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), approved an amended and restated management contract with Fidelity Management & Research Company LLC (FMR) (the Management Contract), and amended and restated sub-advisory agreements (the Sub-Advisory Contracts, and together with the Management Contract, the Advisory Contracts) for the fund, including the fund's sub-advisory agreements with FMR Investment Management (UK) Limited (FMR UK), Fidelity Management & Research (Hong Kong) Limited (FMR H.K.), and Fidelity Management & Research (Japan) Limited (FMR Japan). The Advisory Contracts will be effective March 1, 2024. The Board will consider the annual renewal of the fund's Advisory Contracts in September 2024, following its review of additional materials provided by FMR.
Management Contract. The Board approved the Management Contract, which eliminates the fee that FMR previously received from each investing fund's investment adviser. The Board noted the fund will continue to pay no management fee to FMR for services provided under the Management Contract.
Sub-Advisory Contracts. In connection with the Management Contract changes, the Board considered the Sub-Advisory Contracts, which changed the arrangements for fees paid by FMR to the sub-advisers under the agreements. The Board noted that the agreements with FMR UK, FMR H.K., and FMR Japan were amended to provide that FMR will compensate each sub-adviser at a fee equal to 110% of the sub-adviser's costs incurred in providing services under the agreement. The Board considered that, under the Sub-Advisory Contracts, FMR, and not the fund, will continue to pay the sub-advisory fees to each applicable sub-adviser.
The Board considered that the approval of the fund's Advisory Contracts will not result in any changes in the investment process or strategies employed in the management of the fund's assets or the day-to-day management of the fund or the persons primarily responsible for such management. Further, the Board considered that the Management Contract would not change the obligations and services of FMR and its affiliates on behalf of the fund, and, in particular, there would be no change in the nature and level of advisory, management, administration, transfer agent, and pricing and bookkeeping services provided to the fund by FMR and its affiliates.
In connection with its consideration of future renewals of the fund's Advisory Contracts, the Board will consider: (i) the nature, extent and quality of services provided to the fund, including shareholder and administrative services and investment performance; (ii) the competitiveness of the management fee and total expenses for the fund; (iii) the costs of the services and profitability, including the revenues earned and the expenses incurred in conducting the business of developing, marketing, distributing, managing, administering, and servicing the fund and its shareholders, to the extent applicable; and (iv) whether there have been economies of scale in respect of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is the potential for realization of any further economies.
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the fund's management fee structure is fair and reasonable, and that the fund's Advisory Contracts should be approved.
 
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) certain factors specific to ETFs including the effect of the Fund's prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund's portfolio, as applicable.
In accordance with the Program, each of the Fund's portfolio investments is classified into one of four defined liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund's illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund's net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM).  The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund's Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of the Program for the period December 1, 2022 through November 30, 2023.  The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.  
Proxy Voting Results
A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
Proposal 1
To elect a Board of Trustees.
 
# of
Votes
% of
Votes
Abigail P. Johnson
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Jennifer Toolin McAuliffe
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Christine J. Thompson
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Elizabeth S. Acton
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Laura M. Bishop
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Ann E. Dunwoody
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
John Engler
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Robert F. Gartland
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Robert W. Helm
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Arthur E. Johnson
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Michael E. Kenneally
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Mark A. Murray
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Carol J. Zierhoffer
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
 
  
  
Proposal 1 reflects trust-wide proposal and voting results.
 
 
 
1.938136.112
IPB-SANN-0524
Fidelity® Investment Grade Bond Central Fund
 
 
Semi-Annual Report
March 31, 2024

Contents

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts

Liquidity Risk Management Program

Proxy Voting Results

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
 
 
You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2024 FMR LLC. All rights reserved.
 
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
 
Investment Summary March 31, 2024 (Unaudited)
Quality Diversification (% of Fund's net assets)
 
Short-Term Investments and Net Other Assets (Liabilities) - (5.5)%
 
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
 
Securities rated BB or below were rated investment grade at the time of acquisition.
 
Asset Allocation (% of Fund's net assets)
Short-Term Investments and Net Other Assets (Liabilities) - (5.5)%
Futures and Swaps - (1.3)%
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Geographic Diversification (% of Fund's net assets)
 
*    Includes Short-Term investments and Net Other Assets (Liabilities). 
Percentages are adjusted for the effect of derivatives, if applicable.
 
 
Schedule of Investments March 31, 2024 (Unaudited)
 
Showing Percentage of Net Assets
Nonconvertible Bonds - 28.9%
 
  
Principal
Amount (a)
 
Value ($)
 
COMMUNICATION SERVICES - 2.2%
 
  
  
Diversified Telecommunication Services - 0.5%
  
  
  
AT&T, Inc.:
  
  
  
 2.55% 12/1/33
 
53,719,000
43,027,581
 3.8% 12/1/57
 
106,127,000
76,838,276
 4.3% 2/15/30
 
13,106,000
12,595,779
 4.75% 5/15/46
 
10,000,000
8,955,484
Verizon Communications, Inc.:
  
  
  
 2.987% 10/30/56
 
65,611,000
41,968,665
 3% 3/22/27
 
5,629,000
5,334,390
 3.15% 3/22/30
 
9,123,000
8,248,350
 4.862% 8/21/46
 
27,196,000
25,537,036
 5.012% 4/15/49
 
3,772,000
3,741,800
 
  
  
226,247,361
Entertainment - 0.1%
  
  
  
NBCUniversal Media LLC 5.95% 4/1/41
 
6,541,000
6,884,915
The Walt Disney Co.:
  
  
  
 3.6% 1/13/51
 
25,350,000
19,637,933
 3.8% 5/13/60
 
25,000,000
19,511,533
 
  
  
46,034,381
Media - 1.3%
  
  
  
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
  
  
  
 4.4% 4/1/33
 
11,421,000
10,121,467
 4.908% 7/23/25
 
18,965,000
18,734,193
 5.25% 4/1/53
 
21,987,000
17,412,928
 5.375% 5/1/47
 
78,778,000
63,476,617
 5.5% 4/1/63
 
11,421,000
8,956,730
 5.75% 4/1/48
 
11,687,000
9,841,676
 6.484% 10/23/45
 
9,303,000
8,622,230
Comcast Corp.:
  
  
  
 3.3% 4/1/27
 
6,795,000
6,501,045
 3.4% 4/1/30
 
6,970,000
6,445,704
 3.75% 4/1/40
 
2,448,000
2,034,875
 3.9% 3/1/38
 
5,001,000
4,357,861
 4.65% 7/15/42
 
11,795,000
10,799,332
Discovery Communications LLC:
  
  
  
 3.625% 5/15/30
 
14,753,000
13,194,693
 4.65% 5/15/50
 
39,956,000
31,211,926
Fox Corp.:
  
  
  
 4.709% 1/25/29
 
9,069,000
8,942,051
 5.476% 1/25/39
 
8,943,000
8,510,857
 5.576% 1/25/49
 
5,934,000
5,525,834
Time Warner Cable LLC:
  
  
  
 4.5% 9/15/42
 
19,701,000
14,574,927
 5.5% 9/1/41
 
8,397,000
6,990,020
 5.875% 11/15/40
 
7,566,000
6,553,827
 6.55% 5/1/37
 
73,937,000
69,890,209
 6.75% 6/15/39
 
10,675,000
10,167,620
 7.3% 7/1/38
 
16,247,000
16,412,009
Warnermedia Holdings, Inc.:
  
  
  
 3.638% 3/15/25
 
10,102,000
9,901,287
 3.755% 3/15/27
 
19,757,000
18,854,652
 4.054% 3/15/29
 
6,847,000
6,409,654
 4.279% 3/15/32
 
28,666,000
25,605,577
 5.05% 3/15/42
 
14,442,000
12,412,801
 5.141% 3/15/52
 
98,717,000
81,934,862
 
  
  
514,397,464
Wireless Telecommunication Services - 0.3%
  
  
  
T-Mobile U.S.A., Inc.:
  
  
  
 2.25% 11/15/31
 
40,000,000
32,845,128
 3.75% 4/15/27
 
25,540,000
24,597,753
 3.875% 4/15/30
 
36,970,000
34,632,847
 4.375% 4/15/40
 
5,513,000
4,910,116
 4.5% 4/15/50
 
10,830,000
9,387,432
 
  
  
106,373,276
TOTAL COMMUNICATION SERVICES
  
  
893,052,482
CONSUMER DISCRETIONARY - 1.0%
 
  
  
Automobiles - 0.1%
  
  
  
General Motors Financial Co., Inc.:
  
  
  
 2.35% 2/26/27
 
17,500,000
16,157,974
 4% 1/15/25
 
14,536,000
14,343,587
 5.85% 4/6/30
 
13,062,000
13,322,523
 
  
  
43,824,084
Hotels, Restaurants & Leisure - 0.1%
  
  
  
McDonald's Corp.:
  
  
  
 3.3% 7/1/25
 
2,498,000
2,442,147
 3.5% 7/1/27
 
7,113,000
6,818,695
 3.6% 7/1/30
 
8,445,000
7,876,146
 4.2% 4/1/50
 
4,263,000
3,559,764
 
  
  
20,696,752
Household Durables - 0.1%
  
  
  
D.R. Horton, Inc. 2.6% 10/15/25
 
34,514,000
33,070,709
Toll Brothers Finance Corp. 4.875% 3/15/27
 
16,319,000
16,130,286
 
  
  
49,200,995
Leisure Products - 0.1%
  
  
  
Hasbro, Inc. 3% 11/19/24
 
19,745,000
19,390,617
Specialty Retail - 0.4%
  
  
  
AutoNation, Inc.:
  
  
  
 3.85% 3/1/32
 
21,966,000
19,524,733
 4.75% 6/1/30
 
3,310,000
3,178,168
AutoZone, Inc.:
  
  
  
 3.625% 4/15/25
 
4,758,000
4,670,630
 4% 4/15/30
 
22,128,000
20,994,106
Lowe's Companies, Inc.:
  
  
  
 3.35% 4/1/27
 
3,072,000
2,935,228
 3.75% 4/1/32
 
9,454,000
8,684,020
 4.25% 4/1/52
 
59,996,000
49,154,429
 4.45% 4/1/62
 
39,650,000
32,377,682
 4.5% 4/15/30
 
16,112,000
15,754,426
O'Reilly Automotive, Inc. 4.2% 4/1/30
 
4,968,000
4,751,209
The Home Depot, Inc. 2.5% 4/15/27
 
3,139,000
2,941,325
 
  
  
164,965,956
Textiles, Apparel & Luxury Goods - 0.2%
  
  
  
NIKE, Inc. 2.75% 3/27/27
 
6,632,000
6,279,359
Tapestry, Inc.:
  
  
  
 7% 11/27/26
 
14,433,000
14,870,672
 7.05% 11/27/25
 
5,350,000
5,460,084
 7.35% 11/27/28
 
22,394,000
23,596,631
 7.7% 11/27/30
 
22,394,000
23,881,268
 7.85% 11/27/33
 
22,394,000
24,303,904
 
  
  
98,391,918
TOTAL CONSUMER DISCRETIONARY
  
  
396,470,322
CONSUMER STAPLES - 1.3%
 
  
  
Beverages - 0.8%
  
  
  
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. 4.9% 2/1/46
 
17,500,000
16,630,428
Anheuser-Busch InBev Finance, Inc. 4.7% 2/1/36
 
6,888,000
6,659,452
Anheuser-Busch InBev Worldwide, Inc.:
  
  
  
 3.5% 6/1/30
 
10,000,000
9,314,747
 4.35% 6/1/40
 
10,000,000
9,052,143
 4.5% 6/1/50
 
30,000,000
27,419,351
 4.75% 4/15/58
 
26,711,000
24,641,401
 5.45% 1/23/39
 
23,200,000
23,953,804
 5.55% 1/23/49
 
54,331,000
56,647,556
 5.8% 1/23/59 (Reg. S)
 
55,947,000
60,172,389
Molson Coors Beverage Co.:
  
  
  
 3% 7/15/26
 
48,345,000
46,143,028
 5% 5/1/42
 
3,080,000
2,916,123
PepsiCo, Inc.:
  
  
  
 2.625% 3/19/27
 
2,862,000
2,697,721
 2.75% 3/19/30
 
18,600,000
16,746,635
The Coca-Cola Co.:
  
  
  
 3.375% 3/25/27
 
24,531,000
23,765,060
 3.45% 3/25/30
 
14,988,000
14,090,484
 
  
  
340,850,322
Consumer Staples Distribution & Retail - 0.0%
  
  
  
Sysco Corp. 3.25% 7/15/27
 
11,011,000
10,404,096
Food Products - 0.5%
  
  
  
Archer Daniels Midland Co. 3.25% 3/27/30
 
6,931,000
6,338,637
General Mills, Inc. 2.875% 4/15/30
 
3,013,000
2,682,213
JBS U.S.A. Lux SA/JBS Food Co./JBS U.S.A. Finance, Inc.:
  
  
  
 2.5% 1/15/27
 
38,495,000
35,483,963
 3% 5/15/32
 
43,240,000
35,264,853
 3.625% 1/15/32
 
18,075,000
15,465,604
 5.125% 2/1/28
 
15,645,000
15,406,512
 5.5% 1/15/30
 
5,250,000
5,173,957
 5.75% 4/1/33
 
32,215,000
31,737,313
JBS U.S.A. Lux. SA / JBS U.S.A. Food 6.75% 3/15/34 (b)
  
34,000,000
35,724,548
 
  
  
183,277,600
Household Products - 0.0%
  
  
  
Kimberly-Clark Corp. 3.1% 3/26/30
 
1,764,000
1,616,358
TOTAL CONSUMER STAPLES
  
  
536,148,376
ENERGY - 2.8%
 
  
  
Energy Equipment & Services - 0.0%
  
  
  
Halliburton Co.:
  
  
  
 3.8% 11/15/25
 
207,000
202,333
 4.85% 11/15/35
 
7,402,000
7,198,891
 
  
  
7,401,224
Oil, Gas & Consumable Fuels - 2.8%
  
  
  
Canadian Natural Resources Ltd. 3.8% 4/15/24
 
619,000
618,536
Cenovus Energy, Inc. 5.25% 6/15/37
 
13,846,000
13,244,932
Columbia Pipeline Group, Inc. 4.5% 6/1/25
 
6,628,000
6,534,387
Columbia Pipelines Operating Co. LLC:
  
  
  
 5.927% 8/15/30 (b)
  
5,327,000
5,465,348
 6.036% 11/15/33 (b)
  
14,358,000
14,875,533
 6.497% 8/15/43 (b)
  
4,293,000
4,606,782
 6.544% 11/15/53 (b)
  
7,728,000
8,372,701
 6.714% 8/15/63 (b)
  
4,626,000
5,075,473
DCP Midstream Operating LP:
  
  
  
 5.125% 5/15/29
 
15,661,000
15,616,444
 5.6% 4/1/44
 
13,506,000
13,196,592
 6.45% 11/3/36 (b)
  
10,621,000
11,120,166
Enbridge, Inc. 4.25% 12/1/26
 
8,321,000
8,152,915
Energy Transfer LP:
  
  
  
 3.75% 5/15/30
 
27,891,000
25,707,245
 3.9% 5/15/24 (c)
  
6,444,000
6,429,392
 4.5% 4/15/24
 
6,244,000
6,240,600
 4.95% 6/15/28
 
18,799,000
18,647,968
 5% 5/15/50
 
29,826,000
26,168,407
 5.25% 4/15/29
 
10,158,000
10,169,227
 5.4% 10/1/47
 
6,651,000
6,137,994
 5.8% 6/15/38
 
10,481,000
10,418,564
 6% 6/15/48
 
26,826,000
26,663,141
 6.25% 4/15/49
 
7,637,000
7,838,115
Enterprise Products Operating LP:
  
  
  
 3.7% 2/15/26
 
8,600,000
8,402,841
 3.75% 2/15/25
 
285,000
281,088
Hess Corp.:
  
  
  
 4.3% 4/1/27
 
23,059,000
22,609,690
 5.6% 2/15/41
 
5,656,000
5,764,097
 7.125% 3/15/33
 
4,791,000
5,422,187
 7.3% 8/15/31
 
6,610,000
7,479,823
 7.875% 10/1/29
 
20,178,000
22,844,818
Kinder Morgan Energy Partners LP 6.55% 9/15/40
 
1,645,000
1,726,928
MPLX LP:
  
  
  
 2.65% 8/15/30
 
9,000,000
7,740,912
 4.8% 2/15/29
 
5,370,000
5,304,569
 4.875% 12/1/24
 
12,572,000
12,503,899
 4.95% 9/1/32
 
30,925,000
30,040,263
 5.5% 2/15/49
 
16,108,000
15,334,150
Occidental Petroleum Corp.:
  
  
  
 5.55% 3/15/26
 
26,200,000
26,296,704
 6.2% 3/15/40
 
7,169,000
7,356,276
 6.45% 9/15/36
 
15,883,000
16,935,487
 6.6% 3/15/46
 
28,439,000
30,649,507
 7.5% 5/1/31
 
29,749,000
33,114,147
Ovintiv, Inc.:
  
  
  
 5.15% 11/15/41
 
5,000,000
4,541,521
 8.125% 9/15/30
 
13,383,000
15,097,703
Petroleos Mexicanos:
  
  
  
 4.5% 1/23/26
 
24,688,000
23,183,575
 5.35% 2/12/28
 
3,500,000
3,087,035
 5.95% 1/28/31
 
16,274,000
13,041,984
 6.35% 2/12/48
 
14,404,000
9,186,151
 6.49% 1/23/27
 
37,360,000
35,170,704
 6.5% 3/13/27
 
21,300,000
20,022,213
 6.75% 9/21/47
 
102,130,000
67,507,930
 6.84% 1/23/30
 
68,521,000
60,127,178
 6.95% 1/28/60
 
18,760,000
12,401,298
 7.69% 1/23/50
 
117,141,000
84,168,151
Plains All American Pipeline LP/PAA Finance Corp.:
  
  
  
 3.55% 12/15/29
 
5,964,000
5,473,098
 3.6% 11/1/24
 
6,641,000
6,556,639
 3.8% 9/15/30
 
15,976,000
14,639,029
Sabine Pass Liquefaction LLC 4.5% 5/15/30
 
33,855,000
32,558,737
Shell International Finance BV 4.375% 5/11/45
 
6,392,000
5,715,636
Southeast Supply Header LLC 4.25% 6/15/24 (b)
  
10,683,000
10,549,393
The Williams Companies, Inc.:
  
  
  
 2.6% 3/15/31
 
5,542,000
4,721,905
 3.5% 11/15/30
 
45,537,000
41,385,504
 3.9% 1/15/25
 
4,336,000
4,274,518
 4.55% 6/24/24
 
70,596,000
70,407,752
 4.65% 8/15/32
 
32,200,000
31,031,611
 5.3% 8/15/52
 
7,294,000
6,966,679
Western Gas Partners LP:
  
  
  
 3.95% 6/1/25
 
3,918,000
3,837,056
 4.5% 3/1/28
 
3,100,000
2,995,827
 4.65% 7/1/26
 
9,376,000
9,198,865
 4.75% 8/15/28
 
5,504,000
5,353,847
 6.35% 1/15/29
 
13,343,000
13,837,919
 
  
  
1,128,147,306
TOTAL ENERGY
  
  
1,135,548,530
FINANCIALS - 13.5%
 
  
  
Banks - 6.0%
  
  
  
Bank of America Corp.:
  
  
  
 2.299% 7/21/32 (c)
  
80,000,000
65,464,682
 2.972% 2/4/33 (c)
  
17,500,000
14,882,708
 3.419% 12/20/28 (c)
  
23,187,000
21,752,664
 3.5% 4/19/26
 
34,343,000
33,304,729
 3.705% 4/24/28 (c)
  
58,915,000
56,370,119
 3.95% 4/21/25
 
19,377,000
19,066,747
 4.183% 11/25/27
 
22,749,000
22,081,983
 4.2% 8/26/24
 
24,032,000
23,887,456
 4.25% 10/22/26
 
20,189,000
19,741,918
 4.271% 7/23/29 (c)
  
2,000,000
1,927,831
 4.376% 4/27/28 (c)
  
40,000,000
39,047,794
 4.45% 3/3/26
 
3,182,000
3,134,270
 5.015% 7/22/33 (c)
  
50,000,000
49,212,881
 5.468% 1/23/35 (c)
  
50,000,000
50,325,909
Barclays PLC:
  
  
  
 2.852% 5/7/26 (c)
  
34,514,000
33,454,444
 2.894% 11/24/32 (c)
  
13,572,000
11,286,071
 4.375% 1/12/26
 
28,767,000
28,222,674
 5.088% 6/20/30 (c)
  
35,020,000
33,736,112
 5.2% 5/12/26
 
11,811,000
11,689,366
 5.829% 5/9/27 (c)
  
33,090,000
33,160,262
 6.224% 5/9/34 (c)
  
31,185,000
32,164,135
 6.692% 9/13/34 (c)
  
45,000,000
47,940,340
BNP Paribas SA 2.219% 6/9/26 (b)(c)
  
32,804,000
31,541,156
Citigroup, Inc.:
  
  
  
 3.352% 4/24/25 (c)
  
23,697,000
23,657,647
 3.785% 3/17/33 (c)
  
17,500,000
15,631,787
 3.875% 3/26/25
 
35,450,000
34,844,422
 4.3% 11/20/26
 
52,072,000
50,819,122
 4.4% 6/10/25
 
11,010,000
10,857,899
 4.412% 3/31/31 (c)
  
45,100,000
42,987,493
 4.45% 9/29/27
 
69,500,000
67,609,278
 4.91% 5/24/33 (c)
  
47,460,000
45,754,645
 5.5% 9/13/25
 
42,579,000
42,559,521
 6.174% 5/25/34 (c)
  
21,587,000
21,921,360
Citizens Financial Group, Inc. 2.638% 9/30/32
 
35,537,000
27,228,178
Commonwealth Bank of Australia:
  
  
  
 3.61% 9/12/34 (b)(c)
  
12,091,000
10,887,674
 3.784% 3/14/32 (b)
  
10,165,000
8,983,402
HSBC Holdings PLC:
  
  
  
 2.099% 6/4/26 (c)
  
25,000,000
23,976,201
 3.973% 5/22/30 (c)
  
9,000,000
8,411,232
 4.95% 3/31/30
 
6,013,000
5,970,835
 5.25% 3/14/44
 
2,847,000
2,694,944
Intesa Sanpaolo SpA:
  
  
  
 5.017% 6/26/24 (b)
  
21,002,000
20,932,626
 5.71% 1/15/26 (b)
  
48,607,000
48,184,474
JPMorgan Chase & Co.:
  
  
  
 2.95% 10/1/26
 
63,807,000
60,818,287
 2.956% 5/13/31 (c)
  
18,323,000
16,017,192
 2.963% 1/25/33 (c)
  
17,500,000
14,942,008
 3.875% 9/10/24
 
90,088,000
89,360,827
 4.125% 12/15/26
 
146,208,000
142,560,909
 4.203% 7/23/29 (c)
  
3,000,000
2,892,223
 4.452% 12/5/29 (c)
  
46,000,000
44,843,520
 4.586% 4/26/33 (c)
  
70,000,000
67,071,416
 5.299% 7/24/29 (c)
  
15,000,000
15,111,434
 5.336% 1/23/35 (c)
  
50,000,000
50,195,376
 5.35% 6/1/34 (c)
  
60,000,000
60,231,476
 5.717% 9/14/33 (c)
  
75,200,000
76,701,112
NatWest Group PLC:
  
  
  
 3.073% 5/22/28 (c)
  
20,149,000
18,806,305
 5.125% 5/28/24
 
125,085,000
124,810,755
Rabobank Nederland 4.375% 8/4/25
 
36,518,000
35,882,997
Santander Holdings U.S.A., Inc.:
  
  
  
 2.49% 1/6/28 (c)
  
25,589,000
23,255,586
 6.499% 3/9/29 (c)
  
35,670,000
36,483,366
Societe Generale:
  
  
  
 1.038% 6/18/25 (b)(c)
  
55,000,000
54,245,287
 1.488% 12/14/26 (b)(c)
  
40,199,000
37,344,424
 3.337% 1/21/33 (b)(c)
  
17,500,000
14,674,459
Synchrony Bank:
  
  
  
 5.4% 8/22/25
 
29,530,000
29,260,366
 5.625% 8/23/27
 
26,739,000
26,237,552
Wells Fargo & Co.:
  
  
  
 2.406% 10/30/25 (c)
  
19,840,000
19,462,074
 3.526% 3/24/28 (c)
  
42,125,000
40,094,123
 4.478% 4/4/31 (c)
  
60,800,000
58,217,001
 5.389% 4/24/34 (c)
  
30,000,000
29,813,183
Westpac Banking Corp. 4.11% 7/24/34 (c)
  
17,722,000
16,369,158
 
  
  
2,403,011,407
Capital Markets - 3.5%
  
  
  
Affiliated Managers Group, Inc. 3.5% 8/1/25
 
9,112,000
8,874,142
Ares Capital Corp. 3.875% 1/15/26
 
54,729,000
52,935,920
Athene Global Funding:
  
  
  
 5.339% 1/15/27 (b)
  
56,732,000
56,474,644
 5.583% 1/9/29 (b)
  
28,541,000
28,726,356
Blackstone Private Credit Fund:
  
  
  
 2.625% 12/15/26
 
30,000,000
27,372,671
 4.7% 3/24/25
 
43,143,000
42,602,305
 7.05% 9/29/25
 
39,080,000
39,663,020
Deutsche Bank AG 4.5% 4/1/25
 
67,655,000
66,522,167
Deutsche Bank AG New York Branch:
  
  
  
 3.035% 5/28/32 (c)
  
4,469,000
3,764,025
 6.72% 1/18/29 (c)
  
22,570,000
23,341,043
Goldman Sachs Group, Inc.:
  
  
  
 2.383% 7/21/32 (c)
  
39,755,000
32,613,316
 3.102% 2/24/33 (c)
  
47,500,000
40,624,176
 3.691% 6/5/28 (c)
  
21,000,000
20,093,002
 3.75% 2/25/26
 
15,000,000
14,644,543
 3.8% 3/15/30
 
67,720,000
63,419,892
 4.25% 10/21/25
 
22,692,000
22,265,464
 4.411% 4/23/39 (c)
  
3,000,000
2,685,546
 5.15% 5/22/45
 
9,000,000
8,701,629
 6.75% 10/1/37
 
30,816,000
33,667,630
Intercontinental Exchange, Inc. 3.75% 12/1/25
 
4,530,000
4,432,519
Moody's Corp.:
  
  
  
 3.25% 1/15/28
 
10,681,000
10,155,099
 3.25% 5/20/50
 
9,704,000
6,946,558
 3.75% 3/24/25
 
21,924,000
21,549,570
Morgan Stanley:
  
  
  
 2.943% 1/21/33 (c)
  
17,500,000
14,873,663
 3.125% 7/27/26
 
24,646,000
23,573,621
 3.622% 4/1/31 (c)
  
41,803,000
38,338,515
 3.7% 10/23/24
 
15,967,000
15,812,274
 4.21% 4/20/28 (c)
  
40,000,000
38,869,258
 4.431% 1/23/30 (c)
  
54,318,000
52,602,309
 5% 11/24/25
 
102,478,000
101,844,459
 5.25% 4/21/34 (c)
  
50,000,000
49,609,197
 5.424% 7/21/34 (c)
  
47,424,000
47,570,994
 6.342% 10/18/33 (c)
  
58,000,000
62,056,766
 6.627% 11/1/34 (c)
  
50,000,000
54,705,317
Peachtree Corners Funding Trust 3.976% 2/15/25 (b)
  
25,500,000
25,016,010
Sixth Street Specialty Lending, Inc. 6.125% 3/1/29
 
24,791,000
24,647,629
State Street Corp. 2.901% 3/30/26 (c)
  
2,660,000
2,589,936
UBS Group AG:
  
  
  
 1.494% 8/10/27 (b)(c)
  
24,731,000
22,487,926
 2.593% 9/11/25 (b)(c)
  
48,618,000
47,926,853
 3.091% 5/14/32 (b)(c)
  
13,398,000
11,395,918
 3.75% 3/26/25
 
24,390,000
23,929,875
 3.869% 1/12/29 (b)(c)
  
9,005,000
8,515,424
 4.125% 9/24/25 (b)
  
17,678,000
17,314,646
 4.194% 4/1/31 (b)(c)
  
40,079,000
37,213,162
 4.55% 4/17/26
 
5,038,000
4,957,188
 6.537% 8/12/33 (b)(c)
  
30,000,000
31,628,705
 
  
  
1,389,554,882
Consumer Finance - 2.4%
  
  
  
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
  
  
  
 1.65% 10/29/24
 
12,404,000
12,101,443
 2.45% 10/29/26
 
17,295,000
16,061,167
 3% 10/29/28
 
18,114,000
16,389,921
 3.3% 1/30/32
 
19,378,000
16,619,662
 4.45% 4/3/26
 
15,328,000
15,073,724
 6.45% 4/15/27 (b)
  
59,444,000
61,033,220
 6.5% 7/15/25
 
15,770,000
15,922,038
Ally Financial, Inc.:
  
  
  
 4.75% 6/9/27
 
60,000,000
58,285,854
 5.125% 9/30/24
 
9,461,000
9,421,007
 5.75% 11/20/25
 
16,947,000
16,824,952
 5.8% 5/1/25
 
68,233,000
68,118,053
 6.7% 2/14/33
 
50,000,000
50,515,009
 7.1% 11/15/27
 
37,620,000
39,307,820
 8% 11/1/31
 
11,577,000
12,895,528
Capital One Financial Corp.:
  
  
  
 2.636% 3/3/26 (c)
  
21,697,000
21,090,968
 3.273% 3/1/30 (c)
  
32,130,000
28,944,421
 3.65% 5/11/27
 
57,194,000
54,679,689
 3.8% 1/31/28
 
29,870,000
28,404,575
 4.985% 7/24/26 (c)
  
31,384,000
31,181,613
 5.247% 7/26/30 (c)
  
40,470,000
39,830,187
 5.468% 2/1/29 (c)
  
26,778,000
26,690,635
 5.817% 2/1/34 (c)
  
46,541,000
46,470,166
Discover Financial Services:
  
  
  
 3.95% 11/6/24
 
41,289,000
40,816,575
 4.1% 2/9/27
 
5,722,000
5,520,358
 4.5% 1/30/26
 
23,106,000
22,703,386
 6.7% 11/29/32
 
7,907,000
8,358,056
Ford Motor Credit Co. LLC 4.063% 11/1/24
 
79,422,000
78,596,302
Synchrony Financial:
  
  
  
 3.95% 12/1/27
 
37,530,000
35,097,218
 4.25% 8/15/24
 
29,533,000
29,342,539
 5.15% 3/19/29
 
34,739,000
33,375,756
Toyota Motor Credit Corp.:
  
  
  
 3% 4/1/25
 
29,531,000
28,893,791
 3.375% 4/1/30
 
9,583,000
8,850,755
 
  
  
977,416,388
Financial Services - 0.6%
  
  
  
Brixmor Operating Partnership LP:
  
  
  
 3.85% 2/1/25
 
450,000
442,269
 4.05% 7/1/30
 
22,047,000
20,448,996
 4.125% 6/15/26
 
26,610,000
25,905,578
 4.125% 5/15/29
 
24,028,000
22,646,785
Corebridge Financial, Inc.:
  
  
  
 3.5% 4/4/25
 
9,337,000
9,140,308
 3.65% 4/5/27
 
33,012,000
31,505,518
 3.85% 4/5/29
 
13,061,000
12,211,762
 3.9% 4/5/32
 
15,550,000
13,986,028
 4.35% 4/5/42
 
3,537,000
2,985,400
 4.4% 4/5/52
 
10,459,000
8,531,144
Jackson Financial, Inc.:
  
  
  
 3.125% 11/23/31
 
5,636,000
4,691,675
 5.17% 6/8/27
 
14,655,000
14,625,148
 5.67% 6/8/32
 
27,163,000
27,199,142
MasterCard, Inc.:
  
  
  
 3.3% 3/26/27
 
3,028,000
2,913,805
 3.35% 3/26/30
 
4,213,000
3,916,828
Pine Street Trust I 4.572% 2/15/29 (b)
  
27,943,000
26,557,620
Pine Street Trust II 5.568% 2/15/49 (b)
  
29,500,000
27,311,432
 
  
  
255,019,438
Insurance - 1.0%
  
  
  
AFLAC, Inc. 3.6% 4/1/30
 
9,937,000
9,243,161
AIA Group Ltd.:
  
  
  
 3.2% 9/16/40 (b)
  
15,222,000
11,363,685
 3.375% 4/7/30 (b)
  
30,867,000
28,298,265
Five Corners Funding Trust II 2.85% 5/15/30 (b)
  
48,444,000
42,460,190
Liberty Mutual Group, Inc.:
  
  
  
 3.951% 10/15/50 (b)
  
4,626,000
3,478,492
 4.569% 2/1/29 (b)
  
27,600,000
26,877,821
Lincoln National Corp. 3.4% 1/15/31
 
34,132,000
30,030,962
Marsh & McLennan Companies, Inc.:
  
  
  
 4.375% 3/15/29
 
19,688,000
19,363,803
 4.75% 3/15/39
 
9,035,000
8,572,411
Massachusetts Mutual Life Insurance Co. 3.729% 10/15/70 (b)
  
20,812,000
14,098,696
New York Life Insurance Co. 3.75% 5/15/50 (b)
  
7,429,000
5,710,988
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (b)
  
2,000
2,107
Pacific LifeCorp 5.125% 1/30/43 (b)
  
15,610,000
14,581,911
Progressive Corp. 3.2% 3/26/30
 
3,815,000
3,480,233
Prudential Financial, Inc. 6% 9/1/52 (c)
  
55,017,000
54,686,595
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(c)
  
3,800,000
3,686,000
Teachers Insurance & Annuity Association of America:
  
  
  
 3.3% 5/15/50 (b)
  
16,941,000
11,871,796
 4.9% 9/15/44 (b)
  
29,277,000
26,845,221
TIAA Asset Management Finance LLC 4.125% 11/1/24 (b)
  
8,401,000
8,327,371
Unum Group:
  
  
  
 3.875% 11/5/25
 
16,863,000
16,331,416
 4% 6/15/29
 
21,076,000
19,881,961
 5.75% 8/15/42
 
29,395,000
28,773,619
 
  
  
387,966,704
TOTAL FINANCIALS
  
  
5,412,968,819
HEALTH CARE - 2.0%
 
  
  
Biotechnology - 0.5%
  
  
  
AbbVie, Inc. 3.2% 11/21/29
 
17,500,000
16,126,200
Amgen, Inc.:
  
  
  
 1.65% 8/15/28
 
65,000,000
56,857,826
 5.15% 3/2/28
 
20,069,000
20,197,649
 5.25% 3/2/30
 
18,321,000
18,599,441
 5.25% 3/2/33
 
20,683,000
20,856,985
 5.6% 3/2/43
 
19,649,000
19,991,371
 5.65% 3/2/53
 
9,768,000
9,953,153
 5.75% 3/2/63
 
17,801,000
18,156,121
 
  
  
180,738,746
Health Care Providers & Services - 1.2%
  
  
  
Centene Corp.:
  
  
  
 2.45% 7/15/28
 
32,380,000
28,711,783
 2.625% 8/1/31
 
15,205,000
12,481,421
 3.375% 2/15/30
 
17,480,000
15,468,606
 4.25% 12/15/27
 
19,645,000
18,731,102
 4.625% 12/15/29
 
30,530,000
28,984,548
Cigna Group:
  
  
  
 3.05% 10/15/27
 
67,800,000
63,632,048
 4.375% 10/15/28
 
29,050,000
28,338,133
 4.8% 8/15/38
 
18,087,000
16,992,795
 4.9% 12/15/48
 
18,071,000
16,461,348
 5.4% 3/15/33
 
30,000,000
30,545,497
CVS Health Corp.:
  
  
  
 3% 8/15/26
 
2,965,000
2,826,254
 3.625% 4/1/27
 
7,479,000
7,194,542
 3.875% 7/20/25
 
20,803,000
20,411,637
 5% 1/30/29
 
15,279,000
15,321,266
 5.25% 1/30/31
 
6,265,000
6,311,787
HCA Holdings, Inc.:
  
  
  
 3.5% 9/1/30
 
18,350,000
16,594,953
 3.625% 3/15/32
 
4,185,000
3,704,716
 5.625% 9/1/28
 
19,094,000
19,331,261
 5.875% 2/1/29
 
21,003,000
21,474,273
Humana, Inc.:
  
  
  
 3.7% 3/23/29
 
12,046,000
11,335,623
 5.375% 4/15/31
 
25,106,000
25,119,531
Sabra Health Care LP:
  
  
  
 3.2% 12/1/31
 
39,949,000
33,184,996
 3.9% 10/15/29
 
10,094,000
9,098,792
Toledo Hospital 5.325% 11/15/28
 
9,969,000
9,326,299
 
  
  
461,583,211
Pharmaceuticals - 0.3%
  
  
  
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b)
  
63,993,000
62,395,277
Elanco Animal Health, Inc. 6.65% 8/28/28 (c)
  
6,362,000
6,451,004
Mylan NV 4.55% 4/15/28
 
6,911,000
6,677,039
Utah Acquisition Sub, Inc. 3.95% 6/15/26
 
12,375,000
11,955,898
Viatris, Inc.:
  
  
  
 1.65% 6/22/25
 
4,370,000
4,155,663
 2.7% 6/22/30
 
39,716,000
33,672,367
 3.85% 6/22/40
 
9,677,000
7,146,933
 4% 6/22/50
 
10,965,000
7,554,001
 
  
  
140,008,182
TOTAL HEALTH CARE
  
  
782,330,139
INDUSTRIALS - 0.8%
 
  
  
Aerospace & Defense - 0.1%
  
  
  
BAE Systems PLC 3.4% 4/15/30 (b)
  
9,575,000
8,732,615
The Boeing Co.:
  
  
  
 5.805% 5/1/50
 
29,870,000
28,260,838
 5.93% 5/1/60
 
12,640,000
11,850,441
 
  
  
48,843,894
Building Products - 0.0%
  
  
  
Carrier Global Corp.:
  
  
  
 5.9% 3/15/34
 
4,315,000
4,535,057
 6.2% 3/15/54
 
4,477,000
4,929,734
 
  
  
9,464,791
Ground Transportation - 0.0%
  
  
  
CSX Corp. 3.8% 4/15/50
 
5,875,000
4,587,845
Industrial Conglomerates - 0.0%
  
  
  
3M Co.:
  
  
  
 2.65% 4/15/25
 
1,885,000
1,829,954
 3.05% 4/15/30
 
1,519,000
1,364,266
 3.7% 4/15/50
 
1,875,000
1,384,981
 
  
  
4,579,201
Machinery - 0.2%
  
  
  
Daimler Trucks Finance North America LLC:
  
  
  
 1.625% 12/13/24 (b)
  
28,773,000
27,993,332
 2% 12/14/26 (b)
  
30,000,000
27,580,207
Deere & Co.:
  
  
  
 2.75% 4/15/25
 
3,746,000
3,653,479
 3.1% 4/15/30
 
9,897,000
9,038,995
 
  
  
68,266,013
Professional Services - 0.1%
  
  
  
Leidos, Inc. 3.625% 5/15/25
 
12,349,000
12,072,369
Thomson Reuters Corp. 3.85% 9/29/24
 
3,021,000
2,985,951
 
  
  
15,058,320
Trading Companies & Distributors - 0.1%
  
  
  
Air Lease Corp.:
  
  
  
 3.375% 7/1/25
 
28,656,000
27,925,507
 4.25% 9/15/24
 
16,843,000
16,725,289
 
  
  
44,650,796
Transportation Infrastructure - 0.3%
  
  
  
Avolon Holdings Funding Ltd.:
  
  
  
 3.95% 7/1/24 (b)
  
10,113,000
10,054,454
 4.375% 5/1/26 (b)
  
21,306,000
20,577,038
 5.75% 3/1/29 (b)
  
40,000,000
39,806,485
 6.375% 5/4/28 (b)
  
33,577,000
34,254,941
 
  
  
104,692,918
TOTAL INDUSTRIALS
  
  
300,143,778
INFORMATION TECHNOLOGY - 0.8%
 
  
  
Electronic Equipment, Instruments & Components - 0.2%
  
  
  
Dell International LLC/EMC Corp.:
  
  
  
 5.25% 2/1/28
 
28,212,000
28,554,189
 5.3% 10/1/29
 
11,000,000
11,135,016
 5.85% 7/15/25
 
5,417,000
5,444,298
 6.02% 6/15/26
 
5,507,000
5,577,382
 6.1% 7/15/27
 
9,944,000
10,238,970
 6.2% 7/15/30
 
8,607,000
9,056,181
 
  
  
70,006,036
Semiconductors & Semiconductor Equipment - 0.4%
  
  
  
Broadcom, Inc.:
  
  
  
 1.95% 2/15/28 (b)
  
7,184,000
6,406,050
 2.45% 2/15/31 (b)
  
61,131,000
51,534,692
 2.6% 2/15/33 (b)
  
61,131,000
49,648,201
 3.5% 2/15/41 (b)
  
49,365,000
38,315,228
 3.75% 2/15/51 (b)
  
23,167,000
17,547,979
 
  
  
163,452,150
Software - 0.2%
  
  
  
Oracle Corp.:
  
  
  
 2.5% 4/1/25
 
24,552,000
23,811,480
 2.8% 4/1/27
 
24,552,000
23,026,004
 3.6% 4/1/40
 
24,550,000
19,352,097
 3.6% 4/1/50
 
24,550,000
17,736,784
 3.85% 4/1/60
 
24,600,000
17,508,275
 
  
  
101,434,640
TOTAL INFORMATION TECHNOLOGY
  
  
334,892,826
MATERIALS - 0.2%
 
  
  
Chemicals - 0.2%
  
  
  
Celanese U.S. Holdings LLC:
  
  
  
 6.35% 11/15/28
 
18,666,000
19,337,199
 6.55% 11/15/30
 
18,931,000
19,911,984
 6.7% 11/15/33
 
11,063,000
11,795,657
The Dow Chemical Co. 4.55% 11/30/25
 
13,459,000
13,290,817
 
  
  
64,335,657
REAL ESTATE - 2.9%
 
  
  
Equity Real Estate Investment Trusts (REITs) - 2.4%
  
  
  
Alexandria Real Estate Equities, Inc.:
  
  
  
 2% 5/18/32
 
19,486,000
15,271,046
 4.9% 12/15/30
 
17,745,000
17,492,726
American Homes 4 Rent LP:
  
  
  
 2.375% 7/15/31
 
3,169,000
2,573,957
 3.625% 4/15/32
 
14,296,000
12,571,504
 4.3% 4/15/52
 
9,909,000
7,764,181
Boston Properties, Inc.:
  
  
  
 3.25% 1/30/31
 
16,564,000
14,169,046
 4.5% 12/1/28
 
18,628,000
17,724,802
 6.75% 12/1/27
 
24,397,000
25,322,453
Corporate Office Properties LP:
  
  
  
 2% 1/15/29
 
2,896,000
2,428,015
 2.25% 3/15/26
 
7,272,000
6,837,447
 2.75% 4/15/31
 
7,105,000
5,861,116
Healthcare Realty Holdings LP:
  
  
  
 3.1% 2/15/30
 
6,066,000
5,281,640
 3.5% 8/1/26
 
6,318,000
6,029,467
Healthpeak OP, LLC:
  
  
  
 3.25% 7/15/26
 
2,733,000
2,614,399
 3.4% 2/1/25
 
912,000
894,860
 3.5% 7/15/29
 
3,125,000
2,892,160
Hudson Pacific Properties LP 4.65% 4/1/29
 
37,205,000
31,695,334
Invitation Homes Operating Partnership LP 4.15% 4/15/32
 
21,143,000
19,349,462
Kite Realty Group LP 5.5% 3/1/34
 
6,294,000
6,254,270
Kite Realty Group Trust:
  
  
  
 4% 3/15/25
 
27,373,000
26,866,516
 4.75% 9/15/30
 
42,235,000
40,409,811
LXP Industrial Trust (REIT):
  
  
  
 2.7% 9/15/30
 
7,890,000
6,589,704
 4.4% 6/15/24
 
8,117,000
8,046,565
Omega Healthcare Investors, Inc.:
  
  
  
 3.25% 4/15/33
 
26,948,000
21,823,215
 3.375% 2/1/31
 
14,471,000
12,351,907
 3.625% 10/1/29
 
26,970,000
24,073,793
 4.5% 1/15/25
 
12,446,000
12,309,041
 4.5% 4/1/27
 
86,567,000
83,773,066
 4.75% 1/15/28
 
28,933,000
27,933,015
 4.95% 4/1/24
 
6,427,000
6,427,000
 5.25% 1/15/26
 
28,200,000
28,016,283
Piedmont Operating Partnership LP 2.75% 4/1/32
 
6,300,000
4,527,230
Prologis LP 3.25% 6/30/26
 
2,124,000
2,043,447
Realty Income Corp.:
  
  
  
 2.2% 6/15/28
 
3,445,000
3,077,089
 2.85% 12/15/32
 
4,238,000
3,524,645
 3.25% 1/15/31
 
4,502,000
4,016,165
 3.4% 1/15/28
 
7,083,000
6,683,742
Regency Centers LP 3.7% 6/15/30
 
25,000,000
23,053,773
Retail Opportunity Investments Partnership LP 4% 12/15/24
 
4,615,000
4,546,442
Simon Property Group LP 2.65% 2/1/32
 
30,000,000
25,282,034
SITE Centers Corp.:
  
  
  
 3.625% 2/1/25
 
10,990,000
10,819,545
 4.25% 2/1/26
 
15,247,000
15,013,593
Store Capital LLC:
  
  
  
 2.75% 11/18/30
 
8,515,000
6,841,089
 4.625% 3/15/29
 
8,847,000
8,335,006
Sun Communities Operating LP:
  
  
  
 2.3% 11/1/28
 
7,110,000
6,209,493
 2.7% 7/15/31
 
18,176,000
14,967,882
Ventas Realty LP:
  
  
  
 2.5% 9/1/31
 
53,031,000
43,561,341
 3% 1/15/30
 
35,454,000
31,246,032
 3.5% 2/1/25
 
7,488,000
7,339,561
 3.75% 5/1/24
 
7,900,000
7,886,427
 4% 3/1/28
 
10,351,000
9,863,705
 4.125% 1/15/26
 
7,649,000
7,470,336
 4.375% 2/1/45
 
3,802,000
3,085,275
 4.75% 11/15/30
 
41,973,000
40,473,960
VICI Properties LP:
  
  
  
 4.375% 5/15/25
 
3,704,000
3,640,763
 4.75% 2/15/28
 
29,291,000
28,564,533
 4.95% 2/15/30
 
38,231,000
36,971,464
 5.125% 5/15/32
 
10,549,000
10,090,090
 5.75% 4/1/34
 
5,034,000
4,986,608
Vornado Realty LP 2.15% 6/1/26
 
7,918,000
7,197,992
Welltower OP LLC 4% 6/1/25
 
4,568,000
4,490,412
WP Carey, Inc.:
  
  
  
 3.85% 7/15/29
 
6,097,000
5,691,152
 4% 2/1/25
 
26,847,000
26,463,001
 4.6% 4/1/24
 
14,578,000
14,578,000
 
  
  
934,189,628
Real Estate Management & Development - 0.5%
  
  
  
Brandywine Operating Partnership LP:
  
  
  
 3.95% 11/15/27
 
20,195,000
18,070,631
 4.1% 10/1/24
 
23,803,000
23,530,391
 4.55% 10/1/29
 
27,295,000
23,732,500
 8.05% 3/15/28
 
33,242,000
33,761,539
CBRE Group, Inc.:
  
  
  
 2.5% 4/1/31
 
23,518,000
19,460,967
 4.875% 3/1/26
 
19,900,000
19,689,919
Essex Portfolio LP 3.875% 5/1/24
 
5,285,000
5,275,246
Mid-America Apartments LP 4% 11/15/25
 
3,541,000
3,469,923
Tanger Properties LP:
  
  
  
 2.75% 9/1/31
 
18,732,000
15,339,002
 3.125% 9/1/26
 
16,602,000
15,576,473
 3.875% 7/15/27
 
28,881,000
26,820,050
 
  
  
204,726,641
TOTAL REAL ESTATE
  
  
1,138,916,269
UTILITIES - 1.4%
 
  
  
Electric Utilities - 0.6%
  
  
  
Alabama Power Co. 3.05% 3/15/32
 
29,471,000
25,725,023
Cleco Corporate Holdings LLC:
  
  
  
 3.375% 9/15/29
 
15,724,000
13,716,898
 3.743% 5/1/26
 
60,730,000
58,372,540
Cleveland Electric Illuminating Co. 5.95% 12/15/36
 
1,128,000
1,137,739
Duquesne Light Holdings, Inc.:
  
  
  
 2.532% 10/1/30 (b)
  
10,574,000
8,750,911
 2.775% 1/7/32 (b)
  
19,219,000
15,685,438
Exelon Corp.:
  
  
  
 2.75% 3/15/27
 
6,523,000
6,106,531
 3.35% 3/15/32
 
7,920,000
7,004,040
 4.05% 4/15/30
 
7,291,000
6,876,002
 4.1% 3/15/52
 
5,867,000
4,667,215
 4.7% 4/15/50
 
3,246,000
2,842,885
IPALCO Enterprises, Inc.:
  
  
  
 3.7% 9/1/24
 
9,552,000
9,548,851
 5.75% 4/1/34 (b)
  
43,698,000
43,590,236
Southern Co. 5.7% 3/15/34
 
27,735,000
28,604,334
 
  
  
232,628,643
Gas Utilities - 0.0%
  
  
  
Nakilat, Inc. 6.067% 12/31/33 (b)
  
6,046,162
6,286,119
Independent Power and Renewable Electricity Producers - 0.3%
  
  
  
Emera U.S. Finance LP 3.55% 6/15/26
 
6,732,000
6,462,217
The AES Corp.:
  
  
  
 1.375% 1/15/26
 
30,500,000
28,244,406
 2.45% 1/15/31
 
28,885,000
23,632,494
 3.3% 7/15/25 (b)
  
37,234,000
36,069,741
 3.95% 7/15/30 (b)
  
42,717,000
38,850,693
 
  
  
133,259,551
Multi-Utilities - 0.5%
  
  
  
Berkshire Hathaway Energy Co.:
  
  
  
 3.7% 7/15/30
 
4,149,000
3,883,789
 4.05% 4/15/25
 
53,700,000
53,015,334
Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30
 
3,290,000
3,030,442
NiSource, Inc.:
  
  
  
 2.95% 9/1/29
 
40,740,000
36,793,456
 3.6% 5/1/30
 
22,835,000
21,032,082
Puget Energy, Inc.:
  
  
  
 4.1% 6/15/30
 
25,767,000
23,518,138
 4.224% 3/15/32
 
27,319,000
24,774,286
Sempra 6% 10/15/39
 
5,386,000
5,485,225
WEC Energy Group, Inc. CME Term SOFR 3 Month Index + 2.110% 7.6811% 5/15/67 (c)(d)
  
12,629,000
12,250,065
 
  
  
183,782,817
TOTAL UTILITIES
  
  
555,957,130
 
TOTAL NONCONVERTIBLE BONDS
 (Cost $12,393,146,012)
  
  
  
11,550,764,328
 
  
  
  
U.S. Treasury Obligations - 41.6%
 
  
Principal
Amount (a)
 
Value ($)
 
U.S. Treasury Bonds:
  
  
  
 1.75% 8/15/41
 
896,321,000
604,876,625
 1.875% 11/15/51
 
120,053,000
71,905,181
 2% 8/15/51
 
733,544,000
454,482,083
 2.375% 2/15/42
 
95,700,000
71,192,799
 2.875% 5/15/52
 
556,400,000
420,994,841
 3% 2/15/49
 
709,760,000
553,363,277
 3.375% 8/15/42
 
485,600,000
419,437,000
 3.625% 2/15/53
 
193,384,000
169,815,325
 3.625% 5/15/53
 
192,000,000
168,690,000
 4.125% 8/15/53
 
642,673,000
617,669,004
 4.25% 2/15/54
 
353,100,000
347,251,781
 4.75% 11/15/53
 
342,500,000
365,618,750
U.S. Treasury Notes:
  
  
  
 1.25% 4/30/28
 
1,245,413,000
1,104,185,109
 1.5% 11/30/28
 
800,000,000
707,593,752
 2.375% 3/31/29
 
504,000,000
461,908,128
 2.625% 7/31/29
 
273,317,000
252,529,960
 2.75% 8/15/32
 
913,762,000
819,565,985
 2.875% 5/15/32
 
763,588,000
693,284,216
 3.375% 5/15/33
 
465,000,000
435,610,549
 3.5% 4/30/30
 
528,900,000
508,239,844
 3.5% 2/15/33
 
470,900,000
445,975,409
 3.75% 5/31/30
 
514,100,000
500,624,956
 3.75% 6/30/30
 
543,000,000
528,618,982
 3.875% 11/30/29
 
255,000,000
250,398,046
 3.875% 8/15/33
 
477,166,000
464,491,278
 4% 1/15/27
 
26,750,000
26,430,254
 4% 6/30/28
 
175,000,000
173,058,594
 4% 1/31/29
 
1,009,000,000
998,594,688
 4% 7/31/30
 
1,606,800,000
1,585,836,262
 4% 2/15/34
 
174,800,000
171,904,875
 4.125% 2/15/27
 
164,000,000
162,616,250
 4.125% 11/15/32
 
1,530,767,000
1,520,302,769
 4.25% 3/15/27
 
176,720,000
175,905,430
 4.25% 2/28/31
 
5,350,000
5,359,195
 4.5% 11/15/33
 
355,600,000
363,489,875
 
TOTAL U.S. TREASURY OBLIGATIONS
 (Cost $18,154,555,941)
  
  
16,621,821,072
 
  
  
  
U.S. Government Agency - Mortgage Securities - 25.7%
 
  
Principal
Amount (a)
 
Value ($)
 
Fannie Mae - 6.7%
 
  
  
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.310% 5.438% 5/1/34 (c)(d)
  
30,167
30,344
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.390% 4.321% 5/1/33 (c)(d)
  
1,273
1,282
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.420% 5.572% 9/1/33 (c)(d)
  
71,820
71,992
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.440% 5.945% 4/1/37 (c)(d)
  
15,963
16,181
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.460% 6.085% 1/1/35 (c)(d)
  
5,012
5,081
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.480% 5.73% 7/1/34 (c)(d)
  
2,074
2,110
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.500% 5.755% 1/1/35 (c)(d)
  
24,945
25,189
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.510% 7.316% 2/1/33 (c)(d)
  
181
183
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.530% 5.785% 12/1/34 (c)(d)
  
12,686
12,804
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.530% 5.785% 3/1/35 (c)(d)
  
10,606
10,713
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.550% 5.803% 6/1/36 (c)(d)
  
30,610
31,291
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.550% 7.273% 10/1/33 (c)(d)
  
2,360
2,383
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.560% 6.065% 3/1/37 (c)(d)
  
17,015
17,282
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.560% 7.359% 7/1/35 (c)(d)
  
2,877
2,912
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.620% 5.88% 3/1/33 (c)(d)
  
14,243
14,454
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.630% 5.815% 9/1/36 (c)(d)
  
5,844
5,958
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.630% 5.912% 7/1/35 (c)(d)
  
50,937
51,924
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.640% 5.551% 11/1/36 (c)(d)
  
94,618
96,491
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.640% 5.864% 5/1/35 (c)(d)
  
29,515
30,081
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.680% 5.851% 7/1/43 (c)(d)
  
249,452
255,079
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.700% 5.146% 6/1/42 (c)(d)
  
29,338
30,182
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.710% 4.736% 3/1/36 (c)(d)
  
52,608
53,661
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.730% 5.393% 5/1/36 (c)(d)
  
48,303
49,564
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.730% 6.028% 3/1/40 (c)(d)
  
31,118
31,789
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.740% 5.519% 5/1/36 (c)(d)
  
22,907
23,502
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 5.977% 7/1/35 (c)(d)
  
17,810
18,147
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 8/1/41 (c)(d)
  
50,885
52,148
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 6.05% 7/1/41 (c)(d)
  
11,973
12,296
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 6.051% 12/1/40 (c)(d)
  
935,674
958,656
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 6.055% 1/1/42 (c)(d)
  
68,473
69,921
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 6.05% 7/1/41 (c)(d)
  
21,805
22,424
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 6.06% 12/1/39 (c)(d)
  
10,509
10,740
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 6.068% 9/1/41 (c)(d)
  
11,232
11,522
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 6.304% 2/1/42 (c)(d)
  
44,046
45,011
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.820% 6.296% 2/1/35 (c)(d)
  
43,670
44,473
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.830% 6.08% 10/1/41 (c)(d)
  
9,437
9,450
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.950% 5.771% 7/1/37 (c)(d)
  
76,413
78,611
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.960% 5.755% 9/1/35 (c)(d)
  
4,402
4,486
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.500% 6.75% 3/1/36 (c)(d)
  
44,338
45,548
U.S. TREASURY 1 YEAR INDEX + 2.200% 4.583% 3/1/35 (c)(d)
  
15,529
15,676
U.S. TREASURY 1 YEAR INDEX + 2.220% 6.37% 8/1/36 (c)(d)
  
85,481
86,410
U.S. TREASURY 1 YEAR INDEX + 2.270% 6.395% 6/1/36 (c)(d)
  
23,268
23,551
U.S. TREASURY 1 YEAR INDEX + 2.280% 6.404% 10/1/33 (c)(d)
  
26,691
26,997
U.S. TREASURY 1 YEAR INDEX + 2.420% 6.045% 5/1/35 (c)(d)
  
10,825
10,987
U.S. TREASURY 1 YEAR INDEX + 2.460% 6.21% 7/1/34 (c)(d)
  
27,284
27,692
1.5% 9/1/35 to 9/1/51
 
250,330,543
203,807,087
2% 2/1/28 to 3/1/52
 
637,194,641
530,247,316
2.5% 1/1/28 to 5/1/53
 
769,761,463
658,678,929
3% 12/1/28 to 3/1/52 (e)
  
351,512,952
313,454,709
3.25% 12/1/41
 
16,754
15,432
3.4% 7/1/42 to 9/1/42
 
339,595
312,007
3.5% 10/1/33 to 4/1/52
 
277,988,599
254,031,098
3.65% 5/1/42 to 8/1/42
 
101,617
94,649
3.9% 4/1/42
 
27,454
25,966
4% 3/1/36 to 4/1/52
 
159,153,570
150,899,266
4.25% 11/1/41
 
52,908
51,110
4.5% to 4.5% 6/1/24 to 1/1/53
 
137,989,149
133,709,379
5% 6/1/24 to 11/1/53
 
153,639,398
151,151,384
5.29% 8/1/41 (c)
  
632,968
627,658
5.5% 5/1/48 to 11/1/53
 
90,538,061
90,845,811
6% to 6% 9/1/29 to 3/1/54
 
138,505,345
140,715,085
6.5% 1/1/26 to 3/1/54
 
60,978,691
63,164,347
6.708% 2/1/39 (c)
  
280,024
285,277
7% to 7% 5/1/24 to 7/1/37
 
301,833
311,962
7.5% to 7.5% 7/1/25 to 11/1/31
 
225,632
231,962
8% 3/1/37
 
8,621
9,094
TOTAL FANNIE MAE
  
  
2,695,116,706
Freddie Mac - 5.5%
 
  
  
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.120% 5.424% 8/1/37 (c)(d)
  
22,844
22,763
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.320% 5.575% 1/1/36 (c)(d)
  
11,882
11,925
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.370% 5.625% 3/1/36 (c)(d)
  
48,155
48,532
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.500% 5.824% 3/1/36 (c)(d)
  
36,829
37,210
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.650% 7.446% 4/1/35 (c)(d)
  
49,171
49,643
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 12/1/40 (c)(d)
  
354,469
360,214
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 7/1/41 (c)(d)
  
84,083
85,878
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 9/1/41 (c)(d)
  
154,193
157,140
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 5.629% 5/1/35 (c)(d)
  
74,387
76,075
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.860% 5.239% 4/1/36 (c)(d)
  
25,220
25,914
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.880% 5.255% 4/1/41 (c)(d)
  
3,599
3,696
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.880% 5.785% 10/1/36 (c)(d)
  
60,999
61,879
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.880% 6.13% 9/1/41 (c)(d)
  
15,080
15,422
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.900% 6.111% 10/1/42 (c)(d)
  
55,462
56,509
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 5.213% 5/1/41 (c)(d)
  
31,898
32,816
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 5.568% 5/1/41 (c)(d)
  
36,913
37,971
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 5.699% 6/1/41 (c)(d)
  
30,822
31,708
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 6.16% 6/1/41 (c)(d)
  
11,156
11,445
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.990% 6% 10/1/35 (c)(d)
  
29,660
30,069
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.020% 4.937% 4/1/38 (c)(d)
  
20,954
21,557
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.020% 7.885% 6/1/37 (c)(d)
  
13,425
13,682
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.030% 6.158% 3/1/33 (c)(d)
  
423
428
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.040% 6.256% 7/1/36 (c)(d)
  
25,171
25,807
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.200% 6.45% 12/1/36 (c)(d)
  
30,073
30,813
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.680% 8.26% 10/1/35 (c)(d)
  
22,138
22,751
U.S. TREASURY 1 YEAR INDEX + 2.030% 5.182% 6/1/33 (c)(d)
  
40,488
40,808
U.S. TREASURY 1 YEAR INDEX + 2.240% 6.371% 1/1/35 (c)(d)
  
2,283
2,298
U.S. TREASURY 1 YEAR INDEX + 2.260% 5.384% 6/1/33 (c)(d)
  
76,947
77,782
U.S. TREASURY 1 YEAR INDEX + 2.430% 6.378% 3/1/35 (c)(d)
  
133,330
134,899
1.5% 7/1/35 to 6/1/51
 
323,175,524
257,081,346
2% 6/1/35 to 4/1/52
 
626,346,059
518,853,818
2% 4/1/42
 
20,308,813
17,160,204
2.5% 1/1/28 to 9/1/52
 
390,003,963
336,998,101
3% 12/1/30 to 5/1/52
 
243,681,588
215,680,553
3.5% 12/1/29 to 4/1/52
 
265,036,789
243,412,212
4% 1/1/36 to 10/1/52 (f)
  
138,658,302
131,307,626
4% 4/1/48
 
27,640
26,067
4.5% 6/1/25 to 4/1/53
 
77,026,602
74,399,208
5% 8/1/33 to 8/1/53
 
113,134,681
111,812,146
5.5% 10/1/52 to 3/1/54 (g)(h)
  
163,626,618
163,910,293
6% 7/1/28 to 4/1/54
 
67,151,618
68,298,710
6.5% 5/1/26 to 1/1/54 (g)
  
35,102,978
36,442,234
7% 3/1/26 to 9/1/36
 
234,784
243,338
7.5% 7/1/26 to 6/1/32
 
53,747
55,694
8% 7/1/24 to 4/1/32
 
9,316
9,539
8.5% 1/1/25 to 1/1/28
 
3,297
3,373
TOTAL FREDDIE MAC
  
  
2,177,222,096
Ginnie Mae - 6.7%
 
  
  
3% 5/15/42 to 5/20/50
 
16,292,562
14,412,383
3.5% 9/20/40 to 2/20/50
 
44,912,652
41,569,085
4% 7/15/39 to 5/20/49
 
49,595,204
47,193,377
4.5% 6/20/33 to 4/20/53
 
27,327,251
26,616,572
5.5% 7/15/33 to 9/15/39
 
879,828
895,841
6% to 6% 10/15/30 to 5/15/40
 
803,678
826,369
7% to 7% 8/15/25 to 11/15/32
 
681,697
698,103
7.5% to 7.5% 5/15/24 to 9/15/31
 
75,699
76,899
8% 4/15/24 to 11/15/29
 
7,880
8,027
8.5% 11/15/27 to 11/15/31
 
17,893
18,706
2% 8/20/50 to 11/20/52
 
166,928,574
136,786,631
2% 4/1/54 (i)
  
179,000,000
146,658,316
2% 4/1/54 (i)
  
138,950,000
113,844,542
2% 4/1/54 (i)
  
13,875,000
11,368,068
2% 4/1/54 (i)
  
8,225,000
6,738,909
2% 4/1/54 (i)
  
71,000,000
58,171,734
2% 4/1/54 (i)
  
62,975,000
51,596,690
2% 4/1/54 (i)
  
125,900,000
103,152,413
2% 4/1/54 (i)
  
4,750,000
3,891,771
2% 5/1/54 (i)
  
68,200,000
55,946,902
2% 5/1/54 (i)
  
33,500,000
27,481,249
2% 5/1/54 (i)
  
100,350,000
82,320,698
2% 5/1/54 (i)
  
132,300,000
108,530,426
2.5% 6/20/51 to 1/20/52
 
203,072,030
171,097,547
2.5% 4/1/54 (i)
  
3,275,000
2,789,222
2.5% 4/1/54 (i)
  
179,725,000
153,066,517
2.5% 5/1/54 (i)
  
64,000,000
54,561,926
2.5% 5/1/54 (i)
  
61,100,000
52,089,589
3% 4/1/54 (i)
  
125,750,000
110,913,826
3% 4/1/54 (i)
  
30,650,000
27,033,867
3% 4/1/54 (i)
  
107,450,000
94,772,888
3% 5/1/54 (i)
  
125,650,000
110,918,882
3.5% 4/1/54 (i)
  
93,950,000
85,483,564
4% 4/1/54 (i)
  
70,200,000
65,697,540
5% 12/15/32 to 4/20/48
 
10,128,127
10,136,414
5% 4/1/54 (i)
  
33,850,000
33,273,220
5% 4/1/54 (i)
  
13,525,000
13,294,543
5% 4/1/54 (i)
  
24,425,000
24,008,815
5% 5/1/54 (i)
  
47,850,000
47,036,536
5.5% 4/1/54 (i)
  
88,100,000
88,048,136
5.5% 5/1/54 (i)
  
59,300,000
59,234,978
6% 4/1/54 (i)
  
35,100,000
35,414,285
6% 4/1/54 (i)
  
35,100,000
35,414,285
6% 4/1/54 (i)
  
21,600,000
21,793,406
6% 4/1/54 (i)
  
34,875,000
35,187,271
6% 4/1/54 (i)
  
64,425,000
65,001,861
6.5% 3/20/31 to 6/15/37
 
113,673
117,149
6.5% 4/1/54 (i)
  
38,000,000
38,631,602
6.5% 4/1/54 (i)
  
35,050,000
35,632,570
6.5% 4/1/54 (i)
  
39,900,000
40,563,182
6.5% 4/1/54 (i)
  
19,950,000
20,281,591
6.5% 4/1/54 (i)
  
40,200,000
40,868,168
6.5% 5/1/54 (i)
  
45,000,000
45,700,488
6.5% 5/1/54 (i)
  
37,200,000
37,779,070
TOTAL GINNIE MAE
  
  
2,694,646,649
Uniform Mortgage Backed Securities - 6.8%
 
  
  
2% 4/1/54 (i)
  
13,800,000
10,917,822
2% 4/1/54 (i)
  
7,100,000
5,617,140
2% 4/1/54 (i)
  
7,100,000
5,617,140
2% 4/1/54 (i)
  
42,875,000
33,920,406
2% 4/1/54 (i)
  
155,400,000
122,944,166
2% 4/1/54 (i)
  
30,225,000
23,912,403
2% 4/1/54 (i)
  
37,950,000
30,024,010
2% 4/1/54 (i)
  
18,900,000
14,952,669
2% 4/1/54 (i)
  
88,600,000
70,095,580
2% 4/1/54 (i)
  
19,650,000
15,546,029
2% 4/1/54 (i)
  
139,250,000
110,167,150
2% 4/1/54 (i)
  
39,700,000
31,408,516
2% 4/1/54 (i)
  
20,200,000
15,981,159
2% 5/1/54 (i)
  
48,000,000
38,035,032
2% 5/1/54 (i)
  
219,500,000
173,931,032
2% 5/1/54 (i)
  
97,300,000
77,100,179
2.5% 4/1/54 (i)
  
39,900,000
32,981,404
2.5% 4/1/54 (i)
  
17,100,000
14,134,887
2.5% 4/1/54 (i)
  
600,000
495,961
2.5% 4/1/54 (i)
  
19,800,000
16,366,712
2.5% 4/1/54 (i)
  
25,600,000
21,161,001
2.5% 4/1/54 (i)
  
49,700,000
41,082,100
2.5% 4/1/54 (i)
  
2,700,000
2,231,824
2.5% 4/1/54 (i)
  
7,250,000
5,992,862
2.5% 5/1/54 (i)
  
45,150,000
37,372,208
2.5% 5/1/54 (i)
  
27,150,000
22,472,989
2.5% 5/1/54 (i)
  
30,800,000
25,494,220
3% 4/1/54 (i)
  
314,500,000
270,642,000
3% 4/1/54 (i)
  
158,300,000
136,224,574
3% 4/1/54 (i)
  
76,500,000
65,831,838
3% 4/1/54 (i)
  
50,275,000
43,263,995
3% 4/1/54 (i)
  
150,000
129,082
3% 5/1/54 (i)
  
85,950,000
74,051,297
3% 5/1/54 (i)
  
330,300,000
284,574,094
3.5% 4/1/54 (i)
  
13,600,000
12,168,282
4% 4/1/54 (i)
  
25,000,000
23,150,390
4% 4/1/54 (i)
  
30,350,000
28,104,573
4% 4/1/54 (i)
  
30,450,000
28,197,175
4% 4/1/54 (i)
  
16,600,000
15,371,859
4% 4/1/54 (i)
  
35,850,000
33,197,659
4.5% 4/1/54 (i)
  
28,100,000
26,757,567
4.5% 4/1/54 (i)
  
28,800,000
27,424,126
4.5% 4/1/54 (i)
  
12,275,000
11,688,582
5% 4/1/54 (i)
  
3,150,000
3,074,449
5% 4/1/54 (i)
  
8,800,000
8,588,937
5.5% 4/1/54 (i)
  
70,225,000
69,887,590
5.5% 4/1/54 (i)
  
7,600,000
7,563,484
5.5% 4/1/54 (i)
  
77,425,000
77,052,996
6% 4/1/54 (i)
  
85,850,000
86,664,905
6% 4/1/54 (i)
  
73,150,000
73,844,354
6% 4/1/54 (i)
  
74,250,000
74,954,796
6.5% 4/1/54 (i)
  
38,200,000
39,020,704
6.5% 4/1/54 (i)
  
113,400,000
115,836,331
6.5% 4/1/54 (i)
  
82,800,000
84,578,908
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
  
  
2,721,801,148
 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
 (Cost $10,737,823,657)
  
  
  
10,288,786,599
 
  
  
  
Asset-Backed Securities - 7.4%
 
  
Principal
Amount (a)
 
Value ($)
 
AASET Trust:
  
  
  
 Series 2018-1A Class A, 3.844% 1/16/38 (b)
  
9,835,840
6,934,294
 Series 2019-1 Class A, 3.844% 5/15/39 (b)
  
2,957,788
2,543,698
 Series 2019-2:
 
  
  
Class A, 3.376% 10/16/39 (b)
 
  
17,145,304
15,475,056
Class B, 4.458% 10/16/39 (b)
 
  
4,664,187
2,169,448
 Series 2021-1A Class A, 2.95% 11/16/41 (b)
  
20,719,383
18,784,193
 Series 2021-2A Class A, 2.798% 1/15/47 (b)
  
41,380,109
36,227,044
AASET, Ltd. Series 2022-1A Class A, 6% 5/16/47 (b)
  
27,561,339
27,078,465
Affirm Asset Securitization Trust Series 2023-X1 Class A, 7.11% 11/15/28 (b)
  
7,183,417
7,217,430
Aimco Series 2024-BA Class ARR, CME Term SOFR 3 Month Index + 1.500% 6.8242% 4/16/37 (b)(c)(d)
  
35,255,000
35,196,512
Aimco Clo 22 Ltd. / Aimco Clo 2 Series 2024-22A Class A, CME Term SOFR 3 Month Index + 1.500% 1.5% 4/19/37 (b)(c)(d)(i)
  
55,620,000
55,639,523
AIMCO CLO Ltd. Series 2021-11A Class AR, CME Term SOFR 3 Month Index + 1.390% 6.7081% 10/17/34 (b)(c)(d)
  
17,910,000
17,897,714
AIMCO CLO Ltd. / AIMCO CLO LLC Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.250% 6.5694% 4/20/34 (b)(c)(d)
  
46,919,000
46,771,158
Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.500% 6.8178% 7/20/35 (b)(c)(d)
  
25,047,000
25,114,827
Allegro CLO, Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.400% 6.7194% 7/20/34 (b)(c)(d)
  
21,007,000
21,011,559
Ally Auto Receivables Trust 20 Series 2024-1 Class A3, 5.08% 12/15/28
 
18,910,000
18,915,231
American Express Credit Account Master Trust Series 2023-1 Class A, 4.87% 5/15/28
 
19,110,000
19,074,387
Apollo Aviation Securitization Equity Trust Series 2020-1A:
  
  
  
 Class A, 3.351% 1/16/40 (b)
  
5,577,269
4,982,759
 Class B, 4.335% 1/16/40 (b)
  
1,196,541
670,272
Ares CLO Series 2019-54A Class A, CME Term SOFR 3 Month Index + 1.580% 6.8956% 10/15/32 (b)(c)(d)
  
24,769,000
24,773,359
Ares LV CLO Ltd. Series 2021-55A Class A1R, CME Term SOFR 3 Month Index + 1.390% 6.7056% 7/15/34 (b)(c)(d)
  
26,517,000
26,521,985
Ares LVIII CLO LLC Series 2022-58A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.644% 1/15/35 (b)(c)(d)
  
37,068,000
37,082,271
Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, CME Term SOFR 3 Month Index + 1.330% 6.6456% 4/15/34 (b)(c)(d)
  
29,947,000
29,959,488
Babson CLO Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7256% 10/15/36 (b)(c)(d)
  
17,946,000
17,953,824
Bank of America Credit Card Master Trust Series 2023-A1 Class A1, 4.79% 5/15/28
 
23,400,000
23,291,988
Barings CLO Ltd. Series 2021-4A Class A, CME Term SOFR 3 Month Index + 1.480% 6.7994% 1/20/32 (b)(c)(d)
  
28,600,000
28,614,386
Barings CLO Ltd. 2023-IV Series 2024-4A Class A, CME Term SOFR 3 Month Index + 1.750% 7.0612% 1/20/37 (b)(c)(d)
  
42,652,000
43,001,746
Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME Term SOFR 3 Month Index + 1.300% 6.6165% 1/17/35 (b)(c)(d)
  
38,048,000
38,059,186
BETHP Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7056% 1/15/35 (b)(c)(d)
  
27,114,000
27,118,284
Blackbird Capital Aircraft:
  
  
  
 Series 2016-1A Class A, 4.213% 12/16/41 (b)
  
20,116,173
19,814,431
 Series 2021-1A Class A, 2.443% 7/15/46 (b)
  
28,859,332
25,397,943
Bristol Park CLO, Ltd. Series 2020-1A Class AR, CME Term SOFR 3 Month Index + 1.250% 6.5656% 4/15/29 (b)(c)(d)
  
19,381,154
19,392,473
Capital One Multi-Asset Execution Trust Series 2023-A1 Class A, 4.42% 5/15/28
 
21,500,000
21,235,892
Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28
 
17,076,000
17,367,559
Castlelake Aircraft Securitization Trust Series 2019-1A:
  
  
  
 Class A, 3.967% 4/15/39 (b)
  
20,544,111
18,491,939
 Class B, 5.095% 4/15/39 (b)
  
10,307,675
6,906,591
Castlelake Aircraft Structured Trust:
  
  
  
 Series 2018-1 Class A, 4.125% 6/15/43 (b)
  
5,812,968
5,299,575
 Series 2021-1A Class A, 3.474% 1/15/46 (b)
  
3,731,937
3,509,342
Cedar Funding Series 2024-18A Class A, CME Term SOFR 3 Month Index + 1.550% 0% 4/23/37 (b)(c)(d)
  
60,600,000
60,641,147
Cedar Funding Ltd.:
  
  
  
 Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6794% 10/20/32 (b)(c)(d)
  
21,787,000
21,787,937
 Series 2021-12A Class A1R, CME Term SOFR 3 Month Index + 1.390% 6.7163% 10/25/34 (b)(c)(d)
  
16,882,000
16,887,065
 Series 2022-15A Class A, CME Term SOFR 3 Month Index + 1.320% 6.6378% 4/20/35 (b)(c)(d)
  
35,314,000
35,329,079
Cedar Funding Xvii Clo Ltd. Series 2023-17A Class A, CME Term SOFR 3 Month Index + 1.850% 7.1678% 7/20/36 (b)(c)(d)
  
25,314,000
25,447,354
CEDF Series 2021-6A Class ARR, CME Term SOFR 3 Month Index + 1.310% 6.6294% 4/20/34 (b)(c)(d)
  
26,059,000
26,059,026
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b)
  
9,865,827
9,646,637
Chase Auto Owner Trust 2024-1 Series 2024-1A Class A3, 5.13% 5/25/29 (b)
  
17,651,000
17,677,406
Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/35 (b)
  
10,333,171
10,396,856
CNH Equipment Trust Series 2023 A Class A2, 5.34% 9/15/26
 
6,535,429
6,524,934
Columbia Cent CLO 29 Ltd./Columbia Cent CLO 29 Corp. Series 2021-29A Class AR, CME Term SOFR 3 Month Index + 1.430% 6.7494% 10/20/34 (b)(c)(d)
  
27,352,000
27,356,185
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, CME Term SOFR 3 Month Index + 1.460% 6.7794% 4/20/34 (b)(c)(d)
  
28,400,000
28,406,930
Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, CME Term SOFR 3 Month Index + 1.570% 6.8894% 1/20/34 (b)(c)(d)
  
37,850,000
37,850,946
DB Master Finance LLC:
  
  
  
 Series 2017-1A Class A2II, 4.03% 11/20/47 (b)
  
35,976,620
34,302,261
 Series 2021-1A Class A23, 2.791% 11/20/51 (b)
  
11,955,803
10,007,706
Discover Card Execution Note Trust Series 2023 A1 Class A, 4.31% 3/15/28 (j)
  
7,800,000
7,690,759
Dllaa 2023-1A Series 2023-1A:
  
  
  
 Class A2, 5.93% 7/20/26 (b)
  
5,366,925
5,376,501
 Class A3, 5.64% 2/22/28 (b)
  
7,444,000
7,519,703
Dominos Pizza Master Issuer LLC Series 2019-1A Class A2, 3.668% 10/25/49 (b)
  
20,812,800
19,154,357
Dryden 98 CLO Ltd. Series 2022-98A Class A, CME Term SOFR 3 Month Index + 1.300% 6.6178% 4/20/35 (b)(c)(d)
  
19,817,000
19,760,541
Dryden CLO, Ltd.:
  
  
  
 Series 2021-76A Class A1R, CME Term SOFR 3 Month Index + 1.410% 6.7294% 10/20/34 (b)(c)(d)
  
18,048,000
18,053,432
 Series 2021-83A Class A, CME Term SOFR 3 Month Index + 1.480% 6.7795% 1/18/32 (b)(c)(d)
  
22,160,000
22,168,908
Dryden Senior Loan Fund:
  
  
  
 Series 2020-78A Class A, CME Term SOFR 3 Month Index + 1.440% 6.7581% 4/17/33 (b)(c)(d)
  
20,000,000
20,004,060
 Series 2021-85A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7256% 10/15/35 (b)(c)(d)
  
23,913,000
23,917,017
 Series 2021-90A Class A1A, CME Term SOFR 3 Month Index + 1.390% 6.7107% 2/20/35 (b)(c)(d)
  
14,569,000
14,577,246
Eaton Vance CLO, Ltd.:
  
  
  
 Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6756% 4/15/31 (b)(c)(d)
  
12,634,000
12,635,364
 Series 2021-2A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7256% 1/15/35 (b)(c)(d)
  
32,919,000
32,943,821
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, CME Term SOFR 3 Month Index + 1.510% 6.8256% 1/15/34 (b)(c)(d)
  
6,000,000
6,002,124
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b)
  
27,183,000
27,602,012
Flatiron CLO Ltd. Series 2021-1A:
  
  
  
 Class A1, CME Term SOFR 3 Month Index + 1.370% 6.6812% 7/19/34 (b)(c)(d)
  
19,090,000
19,105,043
 Class AR, CME Term SOFR 3 Month Index + 1.340% 6.6673% 11/16/34 (b)(c)(d)
  
27,750,000
27,782,523
Flatiron CLO Ltd. / Flatiron CLO LLC:
  
  
  
 Series 2020-1A Class A, CME Term SOFR 3 Month Index + 1.560% 6.8807% 11/20/33 (b)(c)(d)
  
36,187,000
36,246,238
 Series 2024-1A Class AR, CME Term SOFR 3 Month Index + 1.380% 0% 5/20/36 (b)(c)(d)
  
55,130,000
55,139,868
Ford Credit Floorplan Master Owner Trust Series 2023-1 Class A1, 4.92% 5/15/28 (b)
  
31,100,000
30,954,393
GM Financial Automobile Leasing Series 2023-2 Class A2A, 5.44% 10/20/25
 
6,341,587
6,337,728
Gm Financial Consumer Automobile Re Series 2023-3 Class A3, 5.45% 6/16/28
 
15,130,000
15,199,512
GM Financial Consumer Automobile Receivables Series 2023 2 Class A3, 4.47% 2/16/28
 
23,205,000
22,954,428
Gm Financial Leasing Trust 202 Series 2023-3 Class A3, 5.38% 11/20/26
 
7,660,000
7,667,651
Gm Financial Revolving Receiva Series 2024-1 Class A, 4.98% 12/11/36 (b)
  
7,713,000
7,750,274
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b)
  
9,724,363
8,508,643
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b)
  
11,027,514
9,864,899
Hyundai Auto Receivables Trust 20 Series 2024-A Class A3, 4.99% 2/15/29
 
19,744,000
19,748,640
Invesco CLO Ltd. Series 2021-3A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7094% 10/22/34 (b)(c)(d)
  
19,246,000
19,250,446
Invesco U.S. Clo 2024-1 Ltd. Series 2024-1RA Class AR, CME Term SOFR 3 Month Index + 1.550% 6.8694% 4/15/37 (b)(c)(d)
  
28,432,000
28,431,232
KKR CLO Ltd. Series 2022-41A Class A1, CME Term SOFR 3 Month Index + 1.330% 6.6465% 4/15/35 (b)(c)(d)
  
46,050,000
46,067,729
Long Beach Mortgage Loan Trust Series 2003-3 Class M1, CME Term SOFR 1 Month Index + 1.230% 6.5689% 7/25/33 (c)(d)
  
513,187
503,390
Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, CME Term SOFR 3 Month Index + 1.400% 6.7112% 4/19/34 (b)(c)(d)
  
30,470,000
30,490,232
Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, CME Term SOFR 3 Month Index + 1.360% 6.6794% 1/22/35 (b)(c)(d)
  
32,026,000
32,031,637
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, CME Term SOFR 3 Month Index + 1.380% 6.6956% 7/15/34 (b)(c)(d)
  
27,800,000
27,811,426
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A2R, CME Term SOFR 3 Month Index + 1.460% 6.7794% 1/22/31 (b)(c)(d)
  
7,913,000
7,912,660
Madison Pk Funding Lxvii Ltd. / Mad Series 2024-67A Class A1, CME Term SOFR 3 Month Index + 1.510% 1.51% 4/25/37 (b)(c)(d)(i)
  
36,634,000
36,659,168
Magnetite CLO LTD Series 2023-36A Class A, CME Term SOFR 3 Month Index + 1.800% 7.1178% 4/22/36 (b)(c)(d)
  
17,468,000
17,588,774
Magnetite CLO Ltd. Series 2021-27A Class AR, CME Term SOFR 3 Month Index + 1.400% 6.7194% 10/20/34 (b)(c)(d)
  
6,442,000
6,447,276
Magnetite IX, Ltd. / Magnetite IX LLC Series 2021-30A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7163% 10/25/34 (b)(c)(d)
  
32,900,000
32,930,268
Magnetite XXI Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.280% 6.5994% 4/20/34 (b)(c)(d)
  
25,147,000
25,154,620
Magnetite XXIII, Ltd. Series 2021-23A Class AR, CME Term SOFR 3 Month Index + 1.390% 6.7163% 1/25/35 (b)(c)(d)
  
23,616,000
23,637,160
Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, CME Term SOFR 3 Month Index + 1.250% 6.5656% 1/15/34 (b)(c)(d)
  
26,100,000
26,127,927
Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/36 (b)
  
14,700,000
14,794,400
Milos CLO, Ltd. Series 2020-1A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.6494% 10/20/30 (b)(c)(d)
  
28,482,640
28,497,223
Nissan Master Owner Trust Receiva Series 2024-B Class A, 5.05% 2/15/29 (b)
  
23,500,000
23,491,326
Oak Hill Credit Partners Series 2024-18A:
  
  
  
 Class A1, 1.5% 4/20/37 (b)(c)(i)
  
41,264,000
41,278,484
 Class A2, CME Term SOFR 3 Month Index + 1.650% 1.65% 4/20/37 (b)(c)(d)(i)
  
2,187,000
2,187,768
Park Place Securities, Inc. Series 2005-WCH1 Class M4, CME Term SOFR 1 Month Index + 1.350% 6.6889% 1/25/36 (c)(d)
  
440,643
433,354
Peace Park CLO, Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7094% 10/20/34 (b)(c)(d)
  
26,956,000
26,965,812
Planet Fitness Master Issuer LLC:
  
  
  
 Series 2019-1A Class A2, 3.858% 12/5/49 (b)
  
22,028,245
19,970,062
 Series 2022-1A:
 
  
  
Class A2I, 3.251% 12/5/51 (b)
 
  
32,243,960
30,111,796
Class A2II, 4.008% 12/5/51 (b)
 
  
20,055,700
17,734,134
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b)
  
17,074,610
15,026,169
Prpm 2023-Rcf2 LLC Series 2023-RCF2 Class A1, 4% 11/25/53 (b)
  
8,213,974
7,813,848
Rockland Park CLO Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.380% 6.6994% 4/20/34 (b)(c)(d)
  
35,857,000
35,872,562
RR Ltd. Series 2022-7A Class A1AB, CME Term SOFR 3 Month Index + 1.340% 6.6565% 1/15/37 (b)(c)(d)
  
38,243,000
38,258,909
Sapphire Aviation Finance Series 2020-1A:
  
  
  
 Class A, 3.228% 3/15/40 (b)
  
17,190,838
15,644,178
 Class B, 4.335% 3/15/40 (b)
  
1,884,849
1,428,207
SBA Tower Trust:
  
  
  
 Series 2019, 2.836% 1/15/50 (b)
  
28,285,000
27,606,887
 1.884% 7/15/50 (b)
  
10,516,000
9,818,152
 2.328% 7/15/52 (b)
  
8,041,000
7,069,994
Sfs Auto Receivables Securitiz Series 2023-1A Class A2A, 5.89% 3/22/27 (b)
  
9,622,902
9,638,140
Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (b)
  
9,566,625
8,083,964
SYMP Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.320% 6.6358% 4/23/35 (b)(c)(d)
  
39,612,000
39,579,241
Symphony Clo 43 Ltd. Series 2024-43A Class A1, CME Term SOFR 3 Month Index + 1.520% 1.52% 4/15/37 (b)(c)(d)(i)
  
25,363,000
25,367,464
Symphony CLO XIX, Ltd. / Symphony CLO XIX LLC Series 2018-19A Class A, CME Term SOFR 3 Month Index + 1.220% 6.5356% 4/16/31 (b)(c)(d)
  
14,868,369
14,868,116
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.6356% 7/15/32 (b)(c)(d)
  
3,663,000
3,663,729
Symphony CLO XXV Ltd. / Symphony CLO XXV LLC Series 2021-25A Class A, CME Term SOFR 3 Month Index + 1.240% 6.5512% 4/19/34 (b)(c)(d)
  
15,000,000
14,915,535
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, CME Term SOFR 3 Month Index + 1.340% 6.6594% 4/20/33 (b)(c)(d)
  
30,228,000
30,190,336
Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 Month Index + 0.970% 6.3039% 9/25/34 (c)(d)
  
49,999
49,923
Tesla 2024-A A3 Series 2024-A Class A2A, 5.37% 6/22/26 (b)
  
7,998,000
7,991,987
Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (b)
  
17,400,000
17,496,102
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(c)
  
24,906,298
22,416,415
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b)
  
26,114,263
22,735,860
Toyota Lease Owner Trust:
  
  
  
 Series 2023 A Class A3, 4.93% 4/20/26 (b)
  
18,007,000
17,927,314
 Series 2024-A Class A3, 5.25% 4/20/27 (b)
  
18,300,000
18,356,836
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, CME Term SOFR 3 Month Index + 0.820% 6.1509% 4/6/42 (b)(c)(d)
  
3,641,000
2,576,961
Upstart Securitization Trust Series 2022-1 Class A, 3.12% 3/20/32 (b)
  
2,646,104
2,624,866
Verizon Master Trust Series 2023 2 Class A, 4.89% 4/13/28
 
10,900,000
10,841,757
Volkswagen Auto Lse Trust Series 2024-A Class A3, 5.21% 6/21/27
 
11,770,000
11,787,655
Voya Clo 2023-1 Ltd. Series 2023-1A Class A1, CME Term SOFR 3 Month Index + 1.800% 7.1702% 1/20/37 (b)(c)(d)
  
32,560,000
32,586,308
Voya CLO Ltd. Series 2019-2A Class A, CME Term SOFR 3 Month Index + 1.530% 6.8494% 7/20/32 (b)(c)(d)
  
31,233,000
31,250,209
Voya CLO Ltd./Voya CLO LLC:
  
  
  
 Series 2021-2A Class A1R, CME Term SOFR 3 Month Index + 1.420% 6.7312% 7/19/34 (b)(c)(d)
  
21,162,000
21,168,983
 Series 2021-3A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7294% 10/20/34 (b)(c)(d)
  
36,484,000
36,491,917
Voya CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7256% 7/16/34 (b)(c)(d)
  
17,721,000
17,722,542
Wells Fargo Card Issuance Trust Series 2024-A1 Class A, 4.94% 2/15/29
 
27,700,000
27,749,860
Wheels Fleet Lease Funding 1 L Series 2023-2A Class A, 6.46% 8/18/38 (b)
  
41,600,000
41,929,530
Willis Engine Structured Trust Vi Series 2023-A Class A, 8% 10/15/48 (b)
  
14,134,628
14,808,992
World Omni Auto Receivables Trust:
  
  
  
 Series 2023 B Class A3, 4.66% 5/15/28
 
19,065,000
18,904,025
 Series 2023-C Class A3, 5.15% 11/15/28
 
9,413,000
9,412,452
World Omni Automobile Lease Series 2023-A Class A2A, 5.47% 11/17/25
 
13,076,217
13,066,412
 
TOTAL ASSET-BACKED SECURITIES
 (Cost $2,984,170,791)
  
  
2,939,733,627
 
  
  
  
Collateralized Mortgage Obligations - 1.4%
 
  
Principal
Amount (a)
 
Value ($)
 
Private Sponsor - 0.4%
 
  
  
Ajax Mortgage Loan Trust sequential payer:
  
  
  
 Series 2021-C Class A, 2.115% 1/25/61 (b)
  
3,191,139
3,057,821
 Series 2021-E Class A1, 1.74% 12/25/60 (b)
  
9,773,157
8,344,997
Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (b)
  
12,509,563
11,354,833
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c)
  
4,346,015
4,249,820
BRAVO Residential Funding Trust sequential payer Series 2022-RPL1 Class A1, 2.75% 9/25/61 (b)
  
14,133,780
12,611,976
Cascade Funding Mortgage Trust:
  
  
  
 Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c)
  
5,312,272
5,025,887
 Series 2021-HB7 Class A, 1.1512% 10/27/31 (b)
  
12,483,318
12,149,869
Cfmt 2022-Ebo2 sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b)
  
1,515,348
1,506,976
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c)
  
10,629,847
10,355,404
Gs Mtg-Backed Securities Trust 2024-Rpl Series 2024-RPL2 Class A1, 3.75% 7/25/61 (b)
  
5,074,856
4,810,035
New Residential Mortgage Loan Trust Series 2020-1A Class A1B, 3.5% 10/25/59 (b)
  
8,145,180
7,451,945
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b)
  
8,085,096
7,616,574
NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (b)
  
12,410,056
11,233,728
Nymt Loan Trust 2024-Cp1 sequential payer Series 2024-CP1 Class A1, 3.75% 2/25/68 (b)
  
6,259,719
5,753,488
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b)
  
3,715,476
3,558,079
Ocwen Loan Invest Trust Series 2024-HB1 Class A, 3% 2/25/37 (b)
  
2,995,261
2,849,901
Preston Ridge Partners Mortgage Trust Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c)
  
5,472,920
4,911,036
Pret 2024-Rpl1 Trust sequential payer Series 2024-RPL1 Class A1, 3.9% 10/25/63 (b)
  
11,200,000
10,546,284
RMF Buyout Issuance Trust:
  
  
  
 sequential payer Series 2022-HB1 Class A, 4.272% 4/25/32 (b)
  
5,492,393
5,393,392
 Series 2020-HB1 Class A1, 1.7188% 10/25/50 (b)
  
4,152,204
3,900,516
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, CME Term SOFR 6 Month Index + 1.300% 6.5595% 7/20/34 (c)(d)
  
9,531
8,636
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, CME Term SOFR 1 Month Index + 0.750% 6.0839% 9/25/43 (c)(d)
  
588,717
560,014
Towd Point Mortgage Trust sequential payer Series 2022-K147 Class A2, 3.75% 7/25/62 (b)
  
17,905,526
16,596,142
TOTAL PRIVATE SPONSOR
  
  
153,847,353
U.S. Government Agency - 1.0%
 
  
  
Fannie Mae:
  
  
  
 floater:
 
  
  
Series 2002-18 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.2349% 2/25/32 (c)(d)
 
  
5,643
5,640
Series 2002-39 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4331% 3/18/32 (c)(d)
 
  
10,424
10,474
Series 2002-60 Class FV, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4349% 4/25/32 (c)(d)
 
  
11,277
11,329
Series 2002-63 Class FN, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4349% 10/25/32 (c)(d)
 
  
14,111
14,178
Series 2002-7 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.860% 6.1849% 1/25/32 (c)(d)
 
  
5,339
5,329
Series 2003-118 Class S, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6651% 12/25/33 (c)(j)(k)
 
  
209,477
28,228
Series 2006-104 Class GI, 6.560% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2451% 11/25/36 (c)(j)(k)
 
  
152,426
13,669
Series 2012-154 Class F, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.410% 5.7349% 1/25/43 (c)(d)
 
  
630,460
613,441
Series 2017-36 Class FB, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.460% 5.7849% 5/25/47 (c)(d)
 
  
1,293,427
1,250,050
Series 2018-32 Class FB, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.410% 5.7349% 5/25/48 (c)(d)
 
  
719,444
692,860
Series 2018-38 Class FG, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.410% 5.7349% 6/25/48 (c)(d)
 
  
1,690,306
1,624,723
 planned amortization class:
 
  
  
Series 1996-28 Class PK, 6.5% 7/25/25
 
  
9
9
Series 1999-17 Class PG, 6% 4/25/29
 
  
48,507
48,974
Series 1999-32 Class PL, 6% 7/25/29
 
  
64,211
64,456
Series 1999-33 Class PK, 6% 7/25/29
 
  
46,741
46,898
Series 1999-57 Class PH, 6.5% 12/25/29
 
  
145,651
146,288
Series 2001-52 Class YZ, 6.5% 10/25/31
 
  
7,577
7,721
Series 2005-102 Class CO 11/25/35 (l)
 
  
30,363
25,652
Series 2005-73 Class SA, 17.500% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 3.4193% 8/25/35 (c)(d)(k)
 
  
6,663
6,641
Series 2005-81 Class PC, 5.5% 9/25/35
 
  
99,043
99,638
Series 2006-12 Class BO 10/25/35 (l)
 
  
145,370
125,052
Series 2006-15 Class OP 3/25/36 (l)
 
  
206,509
171,310
Series 2006-37 Class OW 5/25/36 (l)
 
  
19,345
15,105
Series 2006-45 Class OP 6/25/36 (l)
 
  
63,936
50,650
Series 2006-62 Class KP 4/25/36 (l)
 
  
101,111
82,352
Series 2012-149:
 
  
  
  
Class DA, 1.75% 1/25/43
 
  
259,195
235,739
Class GA, 1.75% 6/25/42
 
  
293,395
265,256
 sequential payer:
 
  
  
Series 1997-41 Class J, 7.5% 6/18/27
 
  
8,982
9,066
Series 1999-25 Class Z, 6% 6/25/29
 
  
51,022
50,795
Series 2001-20 Class Z, 6% 5/25/31
 
  
60,368
60,617
Series 2001-31 Class ZC, 6.5% 7/25/31
 
  
28,285
28,424
Series 2002-16 Class ZD, 6.5% 4/25/32
 
  
26,549
27,092
Series 2002-74 Class SV, 7.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.1151% 11/25/32 (c)(j)(k)
 
  
35,683
800
Series 2012-67 Class AI, 4.5% 7/25/27 (j)
 
  
29,682
515
Series 2020-101 Class BA, 1.5% 9/25/45
 
  
6,235,131
5,289,688
Series 2020-43 Class MA, 2% 1/25/45
 
  
4,752,112
4,240,571
Series 2020-49 Class JA, 2% 8/25/44
 
  
2,251,447
2,023,113
Series 2020-80 Class BA, 1.5% 3/25/45
 
  
8,646,761
7,387,438
Series 2021-68 Class A, 2% 7/25/49
 
  
4,640,899
3,634,252
Series 2021-85 Class L, 2.5% 8/25/48
 
  
2,558,172
2,192,542
Series 2021-95:
 
  
  
  
Class 0, 2.5% 9/25/48
 
  
8,125,137
6,984,842
Class BA, 2.5% 6/25/49
 
  
12,302,168
10,618,666
Series 2021-96 Class HA, 2.5% 2/25/50
 
  
4,076,936
3,504,540
Series 2022-1 Class KA, 3% 5/25/48
 
  
4,086,958
3,679,415
Series 2022-11 Class B, 3% 6/25/49
 
  
4,783,412
4,342,332
Series 2022-13:
 
  
  
  
Class HA, 3% 8/25/46
 
  
3,964,699
3,637,578
Class JA, 3% 5/25/48
 
  
3,568,092
3,210,448
Series 2022-15 Class GC, 3% 1/25/47
 
  
5,722,673
5,239,209
Series 2022-17 Class BH, 3% 5/25/47
 
  
6,280,795
5,745,336
Series 2022-3:
 
  
  
  
Class D, 2% 2/25/48
 
  
11,804,013
10,210,503
Class N, 2% 10/25/47
 
  
32,884,072
28,155,250
Series 2022-30 Class E, 4.5% 7/25/48
 
  
11,740,850
11,375,445
Series 2022-4 Class B, 2.5% 5/25/49
 
  
2,990,444
2,589,250
Series 2022-42 Class BA, 4% 6/25/50
 
  
12,538,468
11,697,547
Series 2022-49 Class TC, 4% 12/25/48
 
  
3,777,241
3,577,148
Series 2022-5:
 
  
  
  
Class 0, 2.5% 6/25/48
 
  
4,385,410
3,823,055
Class BA, 2.5% 12/25/49
 
  
4,698,555
3,988,770
Class DA, 2.25% 11/25/47
 
  
12,916,800
11,204,115
Series 2022-7:
 
  
  
  
Class A, 3% 5/25/48
 
  
5,827,839
5,246,829
Class E, 2.5% 11/25/47
 
  
11,919,701
10,487,597
Series 2022-9 Class BA, 3% 5/25/48
 
  
2,647,944
2,384,289
 Series 06-116 Class SG, 6.520% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2051% 12/25/36 (c)(j)(k)
  
103,422
9,365
 Series 07-40 Class SE, 6.320% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.0051% 5/25/37 (c)(j)(k)
  
52,437
5,287
 Series 2003-21 Class SK, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6651% 3/25/33 (c)(j)(k)
  
12,917
1,241
 Series 2005-72 Class ZC, 5.5% 8/25/35
 
835,598
833,507
 Series 2005-79 Class ZC, 5.9% 9/25/35
 
498,198
499,069
 Series 2007-57 Class SA, 40.600% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 8.0108% 6/25/37 (c)(d)(k)
  
43,224
50,445
 Series 2007-66:
 
  
  
Class SA, 38.910% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 6.9908% 7/25/37 (c)(d)(k)
 
  
66,076
77,274
Class SB, 38.910% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 6.9908% 7/25/37 (c)(d)(k)
 
  
15,316
16,320
 Series 2010-135 Class ZA, 4.5% 12/25/40
 
202,559
199,096
 Series 2010-139 Class NI, 4.5% 2/25/40 (j)
  
9,285
16
 Series 2010-150 Class ZC, 4.75% 1/25/41
 
1,884,507
1,843,216
 Series 2010-95 Class ZC, 5% 9/25/40
 
3,973,908
3,936,514
 Series 2011-39 Class ZA, 6% 11/25/32
 
241,678
244,598
 Series 2011-4 Class PZ, 5% 2/25/41
 
615,578
586,915
 Series 2011-67 Class AI, 4% 7/25/26 (j)
  
10,312
202
 Series 2012-100 Class WI, 3% 9/25/27 (j)
  
559,730
18,524
 Series 2012-9 Class SH, 6.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1151% 6/25/41 (c)(j)(k)
  
41,842
246
 Series 2013-133 Class IB, 3% 4/25/32 (j)
  
159,454
2,644
 Series 2013-134 Class SA, 5.930% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.6151% 1/25/44 (c)(j)(k)
  
244,661
22,927
 Series 2013-51 Class GI, 3% 10/25/32 (j)
  
203,091
10,244
 Series 2013-N1 Class A, 6.600% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2851% 6/25/35 (c)(j)(k)
  
281,577
19,114
 Series 2015-42 Class IL, 6% 6/25/45 (j)
  
1,427,133
231,470
 Series 2015-70 Class JC, 3% 10/25/45
 
1,597,444
1,486,338
 Series 2017-30 Class AI, 5.5% 5/25/47 (j)
  
810,340
133,253
 Series 2019-82 Class PI, 4% 6/25/49 (j)
  
6,221,220
1,054,594
 Series 2020-45 Class JL, 3% 7/25/40
 
137,302
123,043
 Series 2021-59 Class H, 2% 6/25/48
 
2,617,530
2,104,700
 Series 2021-66:
 
  
  
Class DA, 2% 1/25/48
 
  
2,837,241
2,291,579
Class DM, 2% 1/25/48
 
  
3,015,174
2,432,485
 Series 2022-28 Class A, 2.5% 2/25/52
 
14,755,190
13,599,041
Fannie Mae Stripped Mortgage-Backed Securities:
  
  
  
 Series 339 Class 5, 5.5% 7/25/33 (j)
  
52,462
8,013
 Series 343 Class 16, 5.5% 5/25/34 (j)
  
48,752
7,544
 Series 348 Class 14, 6.5% 8/25/34 (c)(j)
  
32,452
6,027
 Series 351:
 
  
  
Class 12, 5.5% 4/25/34 (c)(j)
 
  
18,678
3,001
Class 13, 6% 3/25/34 (j)
 
  
30,288
5,340
 Series 359 Class 19, 6% 7/25/35 (c)(j)
  
16,525
3,033
 Series 384 Class 6, 5% 7/25/37 (j)
  
206,209
34,163
Freddie Mac:
  
  
  
 floater:
 
  
  
Series 2412 Class FK, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.2331% 1/15/32 (c)(d)
 
  
4,099
4,094
Series 2423 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.3331% 3/15/32 (c)(d)
 
  
6,475
6,486
Series 2424 Class FM, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4331% 3/15/32 (c)(d)
 
  
5,607
5,631
Series 2432:
 
  
  
  
Class FE, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.3331% 6/15/31 (c)(d)
 
  
9,712
9,725
Class FG, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.3331% 3/15/32 (c)(d)
 
  
3,474
3,480
Series 4709 Class FE, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.460% 5.7831% 8/15/47 (c)(d)
 
  
660,704
638,811
 planned amortization class:
 
  
  
Series 2095 Class PE, 6% 11/15/28
 
  
62,638
62,976
Series 2101 Class PD, 6% 11/15/28
 
  
5,797
5,823
Series 2121 Class MG, 6% 2/15/29
 
  
26,591
26,746
Series 2131 Class BG, 6% 3/15/29
 
  
186,246
187,427
Series 2137 Class PG, 6% 3/15/29
 
  
30,623
30,808
Series 2154 Class PT, 6% 5/15/29
 
  
49,237
49,501
Series 2162 Class PH, 6% 6/15/29
 
  
9,613
9,641
Series 2520 Class BE, 6% 11/15/32
 
  
104,044
105,612
Series 2693 Class MD, 5.5% 10/15/33
 
  
226,487
225,965
Series 2802 Class OB, 6% 5/15/34
 
  
67,058
67,469
Series 3002 Class NE, 5% 7/15/35
 
  
242,460
240,644
Series 3110 Class OP 9/15/35 (l)
 
  
42,026
39,607
Series 3119 Class PO 2/15/36 (l)
 
  
239,728
191,389
Series 3121 Class KO 3/15/36 (l)
 
  
34,821
28,762
Series 3123 Class LO 3/15/36 (l)
 
  
136,740
110,005
Series 3145 Class GO 4/15/36 (l)
 
  
141,867
115,046
Series 3189 Class PD, 6% 7/15/36
 
  
223,156
227,852
Series 3225 Class EO 10/15/36 (l)
 
  
72,698
57,217
Series 3258 Class PM, 5.5% 12/15/36
 
  
79,994
80,947
Series 3415 Class PC, 5% 12/15/37
 
  
99,976
98,387
Series 3806 Class UP, 4.5% 2/15/41
 
  
506,311
493,938
Series 3832 Class PE, 5% 3/15/41
 
  
971,237
968,470
Series 4135 Class AB, 1.75% 6/15/42
 
  
226,789
205,995
 sequential payer:
 
  
  
Series 2020-4993 Class LA, 2% 8/25/44
 
  
4,530,188
4,073,396
Series 2020-5018:
 
  
  
  
Class LC, 3% 10/25/40
 
  
924,032
829,432
Class LY, 3% 10/25/40
 
  
702,309
630,239
Series 2020-5066 Class A, 1.5% 11/25/44
 
  
2,878,432
2,457,814
Series 2021-5169 Class TP, 2.5% 6/25/49
 
  
3,268,654
2,782,902
Series 2021-5175 Class CB, 2.5% 4/25/50
 
  
14,712,323
12,677,180
Series 2021-5180 Class KA, 2.5% 10/25/47
 
  
2,960,761
2,595,709
Series 2022-5189:
 
  
  
  
Class DA, 2.5% 5/25/49
 
  
3,096,824
2,640,866
Class TP, 2.5% 5/25/49
 
  
2,990,819
2,550,393
Series 2022-5190:
 
  
  
  
Class BA, 2.5% 11/25/47
 
  
3,002,937
2,622,031
Class CA, 2.5% 5/25/49
 
  
2,508,021
2,138,202
Series 2022-5191 Class CA, 2.5% 4/25/50
 
  
3,498,992
2,993,530
Series 2022-5197:
 
  
  
  
Class A, 2.5% 6/25/49
 
  
2,508,027
2,138,201
Class DA, 2.5% 11/25/47
 
  
2,280,126
1,999,362
Series 2022-5198 Class BA, 2.5% 11/25/47
 
  
11,131,155
9,878,803
Series 2022-5202:
 
  
  
  
Class AG, 3% 1/25/49
 
  
2,735,608
2,466,943
Class LB, 2.5% 10/25/47
 
  
2,436,030
2,138,955
Class UA, 3% 4/25/50
 
  
4,384,257
3,910,575
Series 2022-5210 Class TA, 3.5% 11/25/46
 
  
3,690,694
3,409,204
Series 2135 Class JE, 6% 3/15/29
 
  
10,273
10,414
Series 2274 Class ZM, 6.5% 1/15/31
 
  
18,636
18,726
Series 2281 Class ZB, 6% 3/15/30
 
  
34,775
34,956
Series 2303 Class ZV, 6% 4/15/31
 
  
20,883
20,985
Series 2357 Class ZB, 6.5% 9/15/31
 
  
161,394
163,783
Series 2502 Class ZC, 6% 9/15/32
 
  
39,716
40,320
Series 2519 Class ZD, 5.5% 11/15/32
 
  
61,295
61,452
Series 2998 Class LY, 5.5% 7/15/25
 
  
5,469
5,451
Series 3871 Class KB, 5.5% 6/15/41
 
  
1,226,460
1,248,653
 Series 06-3115 Class SM, 6.480% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1669% 2/15/36 (c)(j)(k)
  
76,796
6,211
 Series 2013-4281 Class AI, 4% 12/15/28 (j)
  
31,452
207
 Series 2017-4683 Class LM, 3% 5/15/47
 
2,033,680
1,905,951
 Series 2017-4720 Class IO, 4% 9/15/47 (j)
  
7,900,742
1,601,245
 Series 2018-4765 Class IB, 4% 3/15/48 (j)
  
7,071,186
1,423,295
 Series 2020-5041 Class LB, 3% 11/25/40
 
1,573,904
1,413,807
 Series 2021-5083 Class VA, 1% 8/15/38
 
12,632,616
11,785,330
 Series 2021-5176 Class AG, 2% 1/25/47
 
11,058,516
9,472,772
 Series 2021-5182 Class A, 2.5% 10/25/48
 
19,231,647
16,689,518
 Series 2022-5236 Class P, 5% 4/25/48
 
4,897,125
4,838,233
 Series 2022-5266 Class CD, 4.5% 10/25/44
 
11,375,780
11,085,379
 Series 2933 Class ZM, 5.75% 2/15/35
 
1,117,079
1,136,611
 Series 2935 Class ZK, 5.5% 2/15/35
 
841,591
848,102
 Series 2947 Class XZ, 6% 3/15/35
 
428,881
435,906
 Series 2996 Class ZD, 5.5% 6/15/35
 
717,479
724,323
 Series 3237 Class C, 5.5% 11/15/36
 
983,220
981,353
 Series 3244 Class SG, 6.540% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2269% 11/15/36 (c)(j)(k)
  
315,395
26,836
 Series 3336 Class LI, 6.460% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1469% 6/15/37 (c)(j)(k)
  
207,822
21,237
 Series 3949 Class MK, 4.5% 10/15/34
 
165,256
161,299
 Series 4055 Class BI, 3.5% 5/15/31 (j)
  
96,879
821
 Series 4149 Class IO, 3% 1/15/33 (j)
  
108,531
7,932
 Series 4314 Class AI, 5% 3/15/34 (j)
  
25,268
452
 Series 4427 Class LI, 3.5% 2/15/34 (j)
  
689,524
33,745
 Series 4471 Class PA 4% 12/15/40
 
616,961
598,732
 target amortization class:
 
  
  
Series 2007-3366 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.360% 5.6831% 5/15/37 (c)(d)
 
  
268,646
261,531
Series 2156 Class TC, 6.25% 5/15/29
 
  
13,455
13,454
Freddie Mac Manufactured Housing participation certificates guaranteed sequential payer:
  
  
  
 Series 2043 Class ZH, 6% 4/15/28
 
21,463
21,661
 Series 2056 Class Z, 6% 5/15/28
 
50,837
51,046
Freddie Mac Multi-family Structured pass-thru certificates:
  
  
  
 floater Series 4795 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.410% 5.7331% 5/15/48 (c)(d)
  
1,149,492
1,103,596
 sequential payer:
 
  
  
Series 2021-5159:
 
  
  
  
Class EA, 2.5% 8/25/48
 
  
3,217,486
2,758,329
Class GC, 2% 11/25/47
 
  
2,369,513
1,999,404
Series 2021-5164 Class M, 2.5% 7/25/48
 
  
3,279,648
2,812,344
 Series 4386 Class AZ, 4.5% 11/15/40
 
2,290,430
2,201,305
Ginnie Mae guaranteed REMIC pass-thru certificates:
  
  
  
 floater:
 
  
  
Series 2007-37 Class TS, 6.570% - CME Term SOFR 1 Month Index 1.2489% 6/16/37 (c)(j)(k)
 
  
131,466
12,016
Series 2010-H03 Class FA, CME Term SOFR 1 Month Index + 0.660% 5.9886% 3/20/60 (c)(d)(m)
 
  
866,532
866,065
Series 2010-H17 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.7686% 7/20/60 (c)(d)(m)
 
  
217,547
216,895
Series 2010-H18 Class AF, CME Term SOFR 1 Month Index + 0.410% 5.7444% 9/20/60 (c)(d)(m)
 
  
198,180
197,354
Series 2010-H19 Class FG, CME Term SOFR 1 Month Index + 0.410% 5.7444% 8/20/60 (c)(d)(m)
 
  
184,669
183,969
Series 2010-H27 Class FA, CME Term SOFR 1 Month Index + 0.380% 5.8244% 12/20/60 (c)(d)(m)
 
  
495,904
494,582
Series 2011-H05 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.9444% 12/20/60 (c)(d)(m)
 
  
349,355
348,947
Series 2011-H07 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.9444% 2/20/61 (c)(d)(m)
 
  
306,374
305,926
Series 2011-H12 Class FA, CME Term SOFR 1 Month Index + 0.600% 5.9344% 2/20/61 (c)(d)(m)
 
  
463,228
462,494
Series 2011-H13 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.9444% 4/20/61 (c)(d)(m)
 
  
380,765
380,318
Series 2011-H14:
 
  
  
  
Class FB, CME Term SOFR 1 Month Index + 0.610% 5.9444% 5/20/61 (c)(d)(m)
 
  
496,634
496,072
Class FC, CME Term SOFR 1 Month Index + 0.610% 5.9444% 5/20/61 (c)(d)(m)
 
  
448,985
448,518
Series 2011-H17 Class FA, CME Term SOFR 1 Month Index + 0.640% 5.9744% 6/20/61 (c)(d)(m)
 
  
475,489
475,144
Series 2011-H20 Class FA, CME Term SOFR 1 Month Index + 0.660% 5.9944% 9/20/61 (c)(d)(m)
 
  
1,411,029
1,410,335
Series 2011-H21 Class FA, CME Term SOFR 1 Month Index + 0.710% 6.0444% 10/20/61 (c)(d)(m)
 
  
500,042
500,075
Series 2012-98 Class FA, CME Term SOFR 1 Month Index + 0.510% 5.8432% 8/20/42 (c)(d)
 
  
621,778
607,713
Series 2012-H01 Class FA, CME Term SOFR 1 Month Index + 0.810% 6.1444% 11/20/61 (c)(d)(m)
 
  
547,521
548,247
Series 2012-H03 Class FA, CME Term SOFR 1 Month Index + 0.810% 6.1444% 1/20/62 (c)(d)(m)
 
  
263,534
263,914
Series 2012-H06 Class FA, CME Term SOFR 1 Month Index + 0.740% 6.0744% 1/20/62 (c)(d)(m)
 
  
511,121
511,361
Series 2012-H07 Class FA, CME Term SOFR 1 Month Index + 0.740% 6.0744% 3/20/62 (c)(d)(m)
 
  
262,678
262,605
Series 2012-H21 Class DF, CME Term SOFR 1 Month Index + 0.760% 6.0944% 5/20/61 (c)(d)(m)
 
  
13,480
13,388
Series 2012-H23 Class WA, CME Term SOFR 1 Month Index + 0.630% 5.9644% 10/20/62 (c)(d)(m)
 
  
12,969
12,956
Series 2013-H07 Class BA, CME Term SOFR 1 Month Index + 0.360% 5.8044% 3/20/63 (c)(d)(m)
 
  
18,195
18,143
Series 2014-H03 Class FA, CME Term SOFR 1 Month Index + 0.710% 6.0444% 1/20/64 (c)(d)(m)
 
  
260,640
260,658
Series 2014-H05 Class FB, CME Term SOFR 1 Month Index + 0.710% 6.0444% 12/20/63 (c)(d)(m)
 
  
543,632
543,640
Series 2014-H11 Class BA, CME Term SOFR 1 Month Index + 0.610% 5.9444% 6/20/64 (c)(d)(m)
 
  
345,484
345,087
Series 2015-H13 Class FL, CME Term SOFR 1 Month Index + 0.390% 5.7244% 5/20/63 (c)(d)(m)
 
  
10,108
9,920
Series 2015-H19 Class FA, CME Term SOFR 1 Month Index + 0.310% 5.6444% 4/20/63 (c)(d)(m)
 
  
17,608
17,459
Series 2016-H20 Class FM, CME Term SOFR 1 Month Index + 0.510% 5.8444% 12/20/62 (c)(d)(m)
 
  
37,611
37,107
Series 2019-128 Class FH, CME Term SOFR 1 Month Index + 0.610% 5.9432% 10/20/49 (c)(d)
 
  
1,577,358
1,536,675
Series 2019-23 Class NF, CME Term SOFR 1 Month Index + 0.560% 5.8932% 2/20/49 (c)(d)
 
  
3,253,864
3,187,719
 planned amortization class:
 
  
  
Series 2011-136 Class WI, 4.5% 5/20/40 (j)
 
  
40,034
2,340
Series 2016-69 Class WA, 3% 2/20/46
 
  
647,733
584,529
Series 2017-134 Class BA, 2.5% 11/20/46
 
  
346,198
309,735
Series 2017-153 Class GA, 3% 9/20/47
 
  
3,000,837
2,661,381
Series 2017-182 Class KA, 3% 10/20/47
 
  
2,392,912
2,156,374
Series 2018-13 Class Q, 3% 4/20/47
 
  
2,948,642
2,694,116
 sequential payer:
 
  
  
Series 2004-24 Class ZM, 5% 4/20/34
 
  
362,707
354,388
Series 2010-160 Class DY, 4% 12/20/40
 
  
2,865,443
2,749,351
Series 2010-170 Class B, 4% 12/20/40
 
  
633,036
606,604
Series 2017-139 Class BA, 3% 9/20/47
 
  
6,798,095
6,035,869
 Series 2004-32 Class GS, 6.380% - CME Term SOFR 1 Month Index 1.0589% 5/16/34 (c)(j)(k)
  
75,155
4,492
 Series 2004-73 Class AL, 7.080% - CME Term SOFR 1 Month Index 1.7589% 8/17/34 (c)(j)(k)
  
71,337
5,327
 Series 2007-35 Class SC, 39.510% x CME Term SOFR 1 Month Index 7.5531% 6/16/37 (c)(d)(k)
  
2,651
2,911
 Series 2010-116 Class QB, 4% 9/16/40
 
213,256
204,344
 Series 2010-H10 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.7686% 5/20/60 (c)(d)(m)
  
633,320
631,567
 Series 2011-94 Class SA, 5.980% - CME Term SOFR 1 Month Index 0.6568% 7/20/41 (c)(j)(k)
  
264,262
22,231
 Series 2013-149 Class MA, 2.5% 5/20/40
 
1,762,798
1,696,478
 Series 2014-2 Class BA, 3% 1/20/44
 
5,675,471
5,133,882
 Series 2014-21 Class HA, 3% 2/20/44
 
2,113,733
1,908,876
 Series 2014-25 Class HC, 3% 2/20/44
 
3,616,495
3,261,158
 Series 2014-5 Class A, 3% 1/20/44
 
3,008,457
2,721,032
 Series 2015-H13 Class HA, 2.5% 8/20/64 (m)
  
16,334
15,564
 Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 5.3% 5/20/66 (c)(d)(m)
  
1,459,835
1,454,527
 Series 2017-186 Class HK, 3% 11/16/45
 
3,086,877
2,753,299
 Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 5.15% 8/20/66 (c)(d)(m)
  
2,277,484
2,266,962
Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.3037% 5/20/65 (c)(m)
  
87,317
85,069
TOTAL U.S. GOVERNMENT AGENCY
  
  
416,765,733
 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
 (Cost $590,325,798)
  
  
  
570,613,086
 
  
  
  
Commercial Mortgage Securities - 6.3%
 
  
Principal
Amount (a)
 
Value ($)
 
BAMLL Commercial Mortgage Securities Trust:
  
  
  
 floater Series 2022-DKLX:
 
  
  
Class A, CME Term SOFR 1 Month Index + 1.150% 6.476% 1/15/39 (b)(c)(d)
 
  
20,613,000
20,426,195
Class B, CME Term SOFR 1 Month Index + 1.550% 6.876% 1/15/39 (b)(c)(d)
 
  
3,893,000
3,834,605
Class C, CME Term SOFR 1 Month Index + 2.150% 7.476% 1/15/39 (b)(c)(d)
 
  
2,780,000
2,732,219
 sequential payer Series 2019-BPR:
 
  
  
Class AMP, 3.287% 11/5/32 (b)
 
  
38,000,000
36,860,000
Class ANM, 3.112% 11/5/32 (b)
 
  
17,278,000
15,572,278
 Series 2019-BPR:
 
  
  
Class BNM, 3.465% 11/5/32 (b)
 
  
3,878,000
3,281,279
Class CNM, 3.7186% 11/5/32 (b)(c)
 
  
1,604,000
1,220,479
BANK:
  
  
  
 sequential payer:
 
  
  
Series 2017-BNK9 Class A4, 3.538% 11/15/54
 
  
4,324,000
4,086,826
Series 2018-BN10:
 
  
  
  
 Class A4, 3.428% 2/15/61
 
10,090,573
9,597,792
 Class A5, 3.688% 2/15/61
 
20,569,000
19,525,744
Series 2018-BN14 Class A4, 4.231% 9/15/60
 
  
30,445,000
29,369,482
Series 2019-BN21 Class A5, 2.851% 10/17/52
 
  
2,858,000
2,525,405
Series 2019-BN23 Class ASB, 2.846% 12/15/52
 
  
2,200,000
2,070,233
Series 2021-BN35 Class ASB, 2.067% 6/15/64
 
  
7,200,000
6,363,615
Series 2023-5YR1 Class A3, 6.26% 4/15/56
 
  
8,800,000
9,123,235
 Series 2020-BN25 Class XB, 0.4392% 1/15/63 (c)(j)
  
31,293,000
690,123
 Series 2021-BN33 Class XA, 1.0522% 5/15/64 (c)(j)
  
14,103,147
718,026
BANK Trust sequential payer Series 2017-BNK5 Class ASB, 3.179% 6/15/60
 
12,168,940
11,780,121
Bank5 2023-5Yr3 sequential payer Series 2023-5YR3 Class A3, 6.724% 9/15/56
 
8,000,000
8,491,119
BBCMS Mortgage Trust sequential payer:
  
  
  
 Series 2021-C9 Class ASB, 1.96% 2/15/54
 
4,600,000
4,145,973
 Series 2023-C21 Class A3, 6.2963% 9/15/56 (c)
  
17,797,000
18,745,016
Bbcms Mtg Trust 2024-5C25 sequential payer Series 2024-5C25 Class A3, 5.946% 3/15/57
 
11,800,000
12,236,094
Benchmark 2023-V3 Mtg Trust sequential payer Series 2023-V3 Class A3, 6.3629% 7/15/56
 
6,200,000
6,483,162
Benchmark 2024-V6 Mtg Trust sequential payer Series 2024-V6 Class A3, 5.9255% 3/15/29
 
9,100,000
9,100,000
Benchmark Mortgage Trust:
  
  
  
 sequential payer Series 2018-B4 Class A5, 4.121% 7/15/51
 
3,240,000
3,103,419
 Series 2019-B14 Class XA, 0.7696% 12/15/62 (c)(j)
  
107,831,557
2,703,240
 Series 2020-B17 Class XA, 1.4135% 3/15/53 (c)(j)
  
109,390,927
5,267,458
 Series 2020-B18 Class XA, 1.7798% 7/15/53 (c)(j)
  
49,666,535
3,100,190
BLP Commercial Mortgage Trust sequential payer Series 2024-IND2 Class A, CME Term SOFR 1 Month Index + 1.340% 6.6675% 3/15/41 (b)(c)(d)
  
16,705,000
16,710,232
BMO Mortgage Trust sequential payer Series 2023-5C1 Class A3, 6.534% 8/15/56
 
4,200,000
4,413,093
BPR Trust floater Series 2022-OANA:
  
  
  
 Class A, CME Term SOFR 1 Month Index + 1.890% 7.2233% 4/15/37 (b)(c)(d)
  
76,026,000
76,406,601
 Class B, CME Term SOFR 1 Month Index + 2.440% 7.7723% 4/15/37 (b)(c)(d)
  
19,373,000
19,397,133
Bx 2024-Cnyn floater Series 2024-CNYN:
  
  
  
 Class A, CME Term SOFR 1 Month Index + 1.440% 6.6919% 4/15/29 (b)(c)(d)
  
59,961,000
59,961,000
 Class B, CME Term SOFR 1 Month Index + 1.690% 6.9915% 4/15/29 (b)(c)(d)
  
9,556,000
9,544,013
 Class C, CME Term SOFR 1 Month Index + 1.940% 7.2412% 4/15/29 (b)(c)(d)
  
7,934,000
7,924,083
BX Commercial Mortgage Trust:
  
  
  
 floater:
 
  
  
Series 2019-IMC:
 
  
  
  
 Class B, CME Term SOFR 1 Month Index + 1.340% 6.6713% 4/15/34 (b)(c)(d)
  
15,742,000
15,719,457
 Class C, CME Term SOFR 1 Month Index + 1.640% 6.9713% 4/15/34 (b)(c)(d)
  
10,407,000
10,388,153
 Class D, CME Term SOFR 1 Month Index + 1.940% 7.2713% 4/15/34 (b)(c)(d)
  
10,925,000
10,900,951
Series 2021-BXMF Class A, CME Term SOFR 1 Month Index + 0.750% 6.0754% 10/15/26 (b)(c)(d)
 
  
8,540,033
8,454,632
Series 2021-LBA Class AJV, CME Term SOFR 1 Month Index + 0.910% 6.2405% 2/15/36 (b)(c)(d)
 
  
3,797,069
3,780,457
Series 2021-PAC:
 
  
  
  
 Class A, CME Term SOFR 1 Month Index + 0.800% 6.1286% 10/15/36 (b)(c)(d)
  
39,143,000
38,800,499
 Class B, CME Term SOFR 1 Month Index + 1.010% 6.3383% 10/15/36 (b)(c)(d)
  
5,541,000
5,461,348
 Class C, CME Term SOFR 1 Month Index + 1.210% 6.5381% 10/15/36 (b)(c)(d)
  
7,417,000
7,289,520
 Class D, CME Term SOFR 1 Month Index + 1.410% 6.7378% 10/15/36 (b)(c)(d)
  
7,201,000
7,027,726
 Class E, CME Term SOFR 1 Month Index + 2.060% 7.387% 10/15/36 (b)(c)(d)
  
25,035,000
24,581,241
Series 2021-VINO Class A, CME Term SOFR 1 Month Index + 0.760% 6.0918% 5/15/38 (b)(c)(d)
 
  
23,506,263
23,329,966
Series 2022-IND Class A, CME Term SOFR 1 Month Index + 1.490% 6.8163% 4/15/37 (b)(c)(d)
 
  
30,072,766
30,110,357
Series 2022-LP2:
 
  
  
  
 Class A, CME Term SOFR 1 Month Index + 1.010% 6.3382% 2/15/39 (b)(c)(d)
  
33,755,484
33,586,706
 Class B, CME Term SOFR 1 Month Index + 1.310% 6.6376% 2/15/39 (b)(c)(d)
  
12,676,823
12,550,055
 Class C, CME Term SOFR 1 Month Index + 1.560% 6.887% 2/15/39 (b)(c)(d)
  
12,676,823
12,550,887
 Class D, CME Term SOFR 1 Month Index + 1.960% 7.2861% 2/15/39 (b)(c)(d)
  
12,676,823
12,502,517
Series 2023-XL3:
 
  
  
  
 Class A, CME Term SOFR 1 Month Index + 1.760% 7.0868% 12/9/40 (b)(c)(d)
  
25,699,000
25,858,735
 Class B, CME Term SOFR 1 Month Index + 2.190% 7.5161% 12/9/40 (b)(c)(d)
  
5,681,000
5,725,309
 Class C, CME Term SOFR 1 Month Index + 2.640% 7.9655% 12/9/40 (b)(c)(d)
  
3,078,000
3,102,007
 floater sequential payer:
 
  
  
Series 2019-CALM Class A, CME Term SOFR 1 Month Index + 0.990% 6.3155% 11/15/32 (b)(c)(d)
 
  
1,291,448
1,291,045
Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.040% 6.3713% 4/15/34 (b)(c)(d)
 
  
29,901,000
29,869,472
Series 2024-XL5 Class A, CME Term SOFR 1 Month Index + 1.390% 6.6917% 3/15/41 (b)(c)(d)
 
  
93,928,000
93,975,274
BX Commercial Mortgage Trust 2024-Xl4:
  
  
  
 floater:
 
  
  
Series 2024-XL4 Class B, CME Term SOFR 1 Month Index + 1.790% 7.1169% 2/15/39 (b)(c)(d)
 
  
4,923,000
4,919,916
Series 2024-XL5:
 
  
  
  
 Class B, CME Term SOFR 1 Month Index + 1.690% 6.9912% 3/15/41 (b)(c)(d)
  
16,047,000
16,036,964
 Class C, CME Term SOFR 1 Month Index + 1.940% 7.2409% 3/15/41 (b)(c)(d)
  
21,304,000
21,277,357
 floater sequential payer Series 2024-XL4 Class A, CME Term SOFR 1 Month Index + 1.440% 6.7674% 2/15/39 (b)(c)(d)
  
39,370,000
39,418,882
BX Commerical Mortgage Trust floater sequential payer Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.1105% 6/15/38 (b)(c)(d)
  
5,914,384
5,873,723
BX Trust floater:
  
  
  
 Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4903% 8/15/39 (b)(c)(d)
  
20,543,777
20,595,136
 Series 2022-IND:
 
  
  
Class B, CME Term SOFR 1 Month Index + 1.940% 7.2653% 4/15/37 (b)(c)(d)
 
  
15,329,953
15,349,116
Class C, CME Term SOFR 1 Month Index + 2.290% 7.6153% 4/15/37 (b)(c)(d)
 
  
3,459,306
3,461,468
Class D, CME Term SOFR 1 Month Index + 2.830% 8.1643% 4/15/37 (b)(c)(d)
 
  
2,896,662
2,900,282
CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class A, CME Term SOFR 1 Month Index + 1.360% 6.693% 12/15/37 (b)(c)(d)
  
11,218,000
11,217,983
CD Mortgage Trust sequential payer Series 2017-CD5 Class A3, 3.171% 8/15/50
 
14,100,000
13,229,128
CF Hippolyta Issuer LLC sequential payer:
  
  
  
 Series 2020-1:
 
  
  
Class A1, 1.69% 7/15/60 (b)
 
  
64,636,420
60,432,622
Class A2, 1.99% 7/15/60 (b)
 
  
24,998,220
21,496,720
 Series 2021-1A Class A1, 1.53% 3/15/61 (b)
  
46,851,895
42,376,232
CGDB Commercial Mortgage Trust floater Series 2019-MOB:
  
  
  
 Class A, CME Term SOFR 1 Month Index + 1.060% 6.3905% 11/15/36 (b)(c)(d)
  
12,876,000
12,715,050
 Class B, CME Term SOFR 1 Month Index + 1.360% 6.6905% 11/15/36 (b)(c)(d)
  
6,900,000
6,744,750
Citigroup Commercial Mortgage Trust:
  
  
  
 Series 2015-GC27 Class A5, 3.137% 2/10/48
 
14,600,000
14,363,130
 Series 2019-GC41 Class XA, 1.0392% 8/10/56 (c)(j)
  
51,269,522
1,874,096
Citigroup Commercial Mtg Trust 2018-C6 sequential payer Series 2018-C6 Class A3, 4.145% 11/10/51
 
1,000,000
935,872
COMM Mortgage Trust sequential payer:
  
  
  
 Series 2014-CR18 Class A5, 3.828% 7/15/47
 
4,268,243
4,248,787
 Series 2015 LC19 Class A3, 2.922% 2/10/48
 
29,533,155
29,090,914
 Series 2015-DC1 Class A4, 3.078% 2/10/48
 
23,791,363
23,519,025
Credit Suisse Mortgage Trust:
  
  
  
 floater Series 2019-ICE4:
 
  
  
Class A, CME Term SOFR 1 Month Index + 1.020% 6.353% 5/15/36 (b)(c)(d)
 
  
50,115,319
50,115,420
Class C, CME Term SOFR 1 Month Index + 1.470% 6.803% 5/15/36 (b)(c)(d)
 
  
7,119,288
7,112,614
 sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b)
  
8,175,789
7,598,364
CSAIL Commercial Mortgage Trust sequential payer Series 2015-C4 Class A3, 3.5438% 11/15/48
 
3,293,548
3,208,118
DTP Commercial Mortgage Trust 2023-Ste2 sequential payer Series 2023-STE2 Class A, 5.6485% 1/15/41 (b)(c)
  
7,693,000
7,715,570
ELP Commercial Mortgage Trust floater Series 2021-ELP:
  
  
  
 Class A, CME Term SOFR 1 Month Index + 0.810% 6.1415% 11/15/38 (b)(c)(d)
  
51,777,732
51,324,677
 Class B, CME Term SOFR 1 Month Index + 1.230% 6.5607% 11/15/38 (b)(c)(d)
  
19,941,788
19,754,834
Extended Stay America Trust floater Series 2021-ESH:
  
  
  
 Class A, CME Term SOFR 1 Month Index + 1.190% 6.5195% 7/15/38 (b)(c)(d)
  
11,914,581
11,910,837
 Class B, CME Term SOFR 1 Month Index + 1.490% 6.8195% 7/15/38 (b)(c)(d)
  
8,670,801
8,672,437
 Class C, CME Term SOFR 1 Month Index + 1.810% 7.1395% 7/15/38 (b)(c)(d)
  
6,392,476
6,386,483
 Class D, CME Term SOFR 1 Month Index + 2.360% 7.6895% 7/15/38 (b)(c)(d)
  
12,926,662
12,910,504
Freddie Mac:
  
  
  
 sequential payer:
 
  
  
Series 2015-K049 Class A2, 3.01% 7/25/25
 
  
3,178,000
3,094,737
Series 2016-K054 Class A2, 2.745% 1/25/26
 
  
14,550,957
14,016,059
Series 2018-K731 Class A2, 3.6% 2/25/25
 
  
5,894,277
5,808,083
Series 2020-K115 Class A2, 1.383% 6/25/30
 
  
1,773,000
1,466,754
Series 2020-K117 Class A2, 1.406% 8/25/30
 
  
12,600,000
10,396,431
Series 2021-K124 Class A2, 1.658% 12/25/30
 
  
385,000
319,713
Series 2021-K126 Class A2, 2.074% 1/25/31
 
  
25,600,000
21,853,199
Series 2021-K127 Class A2, 2.108% 1/25/31
 
  
25,340,000
21,667,094
Series 2022-K750 Class A2, 3% 9/25/29
 
  
11,500,000
10,646,479
Series 2023-K751 Class A2, 4.412% 3/25/30
 
  
5,100,000
5,029,568
Series 2023-K754 Class A2, 4.94% 11/25/30
 
  
34,900,000
35,356,998
Series 2024-K516 Class A2, 5.477% 1/25/29
 
  
67,800,000
69,960,047
Series 2024-K517 Class A2, 5.355% 1/25/29
 
  
39,500,000
40,583,844
Series 2024-K518 Class A2, 5.4% 1/25/29
 
  
14,200,000
14,602,228
Series K069 Class A2, 3.187% 9/25/27
 
  
3,800,000
3,626,699
 Series 2020-K119 Class A2, 1.566% 9/25/30
 
2,665,000
2,215,801
 Series 2022 K748 Class A2, 2.26% 1/25/29
 
33,334,000
29,985,446
 Series K047 Class A2, 3.329% 5/25/25
 
23,685,977
23,197,134
 Series K086 Class A2, 3.859% 11/25/28
 
6,295,000
6,092,690
Freddie Mac Multi-family Structured pass-thru certificates:
  
  
  
 Series K044 Class A2, 2.811% 1/25/25
 
13,783,388
13,506,569
 Series K078 Class A2, 3.854% 6/25/28
 
8,483,000
8,230,928
GS Mortgage Securities Trust:
  
  
  
 floater:
 
  
  
Series 2018-3PCK Class A, CME Term SOFR 1 Month Index + 2.060% 7.3895% 9/15/31 (b)(c)(d)
 
  
5,300,753
5,276,051
Series 2021-IP:
 
  
  
  
 Class A, CME Term SOFR 1 Month Index + 1.060% 6.3905% 10/15/36 (b)(c)(d)
  
21,765,000
21,458,930
 Class B, CME Term SOFR 1 Month Index + 1.260% 6.5905% 10/15/36 (b)(c)(d)
  
3,364,000
3,278,055
 Class C, CME Term SOFR 1 Month Index + 1.660% 6.9905% 10/15/36 (b)(c)(d)
  
2,773,000
2,669,176
 sequential payer:
 
  
  
Series 2017-GS6 Class A2, 3.164% 5/10/50
 
  
2,762,505
2,593,744
Series 2017-GS8 Class AAB, 3.313% 11/10/50
 
  
9,099,802
8,835,066
Series 2018-GS10 Class AAB, 4.106% 7/10/51
 
  
1,263,251
1,234,504
Series 2019-GC38 Class A3, 3.703% 2/10/52
 
  
1,100,000
1,035,114
Series 2020-GC45 Class AAB, 2.8428% 2/13/53
 
  
4,750,000
4,449,837
 Series 2011-GC5 Class A/S, 5.1524% 8/10/44 (b)(c)
  
3,642,750
3,533,438
Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 7.8136% 8/15/39 (b)(c)(d)
  
54,074,000
54,344,370
J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2012-NLP Class A, CME Term SOFR 1 Month Index + 0.590% 5.9218% 4/15/37 (b)(c)(d)
  
13,375,030
12,773,154
JPMCC Commercial Mortgage Securities Trust sequential payer Series 2016 JP4 Class A3, 3.3928% 12/15/49
 
13,946,510
13,328,590
JPMorgan Chase Commercial Mortgage Securities Trust:
  
  
  
 floater Series 2019-BKWD Class A, CME Term SOFR 1 Month Index + 1.610% 6.9405% 9/15/29 (b)(c)(d)
  
9,723,204
9,238,910
 Series 2018-WPT:
 
  
  
Class CFX, 4.9498% 7/5/33 (b)
 
  
3,450,000
2,778,830
Class DFX, 5.3503% 7/5/33 (b)
 
  
5,907,000
4,547,799
Ksl Commercial Mtg Trust 2023-Ht floater Series 2023-HT Class A, CME Term SOFR 1 Month Index + 2.290% 7.6155% 12/15/36 (b)(c)(d)
  
8,300,000
8,349,281
Life Financial Services Trust floater Series 2022-BMR2:
  
  
  
 Class A1, CME Term SOFR 1 Month Index + 1.290% 6.6206% 5/15/39 (b)(c)(d)
  
57,498,000
56,994,893
 Class B, CME Term SOFR 1 Month Index + 1.790% 7.1192% 5/15/39 (b)(c)(d)
  
33,561,000
33,141,488
 Class C, CME Term SOFR 1 Month Index + 2.090% 7.4185% 5/15/39 (b)(c)(d)
  
19,262,000
18,973,070
 Class D, CME Term SOFR 1 Month Index + 2.540% 7.8672% 5/15/39 (b)(c)(d)
  
17,119,000
16,334,419
LIFE Mortgage Trust floater Series 2021-BMR:
  
  
  
 Class A, CME Term SOFR 1 Month Index + 0.810% 6.1395% 3/15/38 (b)(c)(d)
  
23,546,067
23,283,582
 Class B, CME Term SOFR 1 Month Index + 0.990% 6.3195% 3/15/38 (b)(c)(d)
  
7,331,974
7,235,742
 Class C, CME Term SOFR 1 Month Index + 1.210% 6.5395% 3/15/38 (b)(c)(d)
  
4,613,079
4,551,091
 Class D, CME Term SOFR 1 Month Index + 1.510% 6.8395% 3/15/38 (b)(c)(d)
  
6,416,829
6,328,598
 Class E, CME Term SOFR 1 Month Index + 1.860% 7.1895% 3/15/38 (b)(c)(d)
  
5,605,879
5,479,746
Merit floater Series 2021-STOR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1405% 7/15/38 (b)(c)(d)
  
22,147,000
21,987,818
Morgan Stanley BAML Trust sequential payer Series 2016-C28 Class A3, 3.272% 1/15/49
 
25,898,504
24,962,271
Morgan Stanley Capital I Trust:
  
  
  
 floater Series 2018-BOP:
 
  
  
Class B, CME Term SOFR 1 Month Index + 1.290% 6.623% 8/15/33 (b)(c)(d)(n)
 
  
618,400
417,090
Class C, CME Term SOFR 1 Month Index + 1.540% 6.873% 8/15/33 (b)(c)(d)(n)
 
  
1,488,800
825,904
 sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b)
  
42,970,000
40,624,087
 Series 2018-H4 Class A4, 4.31% 12/15/51
 
11,843,000
11,408,576
 Series 2019-MEAD:
 
  
  
Class B, 3.1771% 11/10/36 (b)(c)
 
  
5,415,000
4,993,533
Class C, 3.1771% 11/10/36 (b)(c)
 
  
5,196,000
4,690,141
 Series 2021-L6 Class XA, 1.2053% 6/15/54 (c)(j)
  
48,050,743
2,604,874
Open Trust 2023-Air sequential payer Series 2023-AIR:
  
  
  
 Class A, CME Term SOFR 1 Month Index + 3.080% 8.4144% 10/15/28 (b)(c)(d)
  
21,785,839
22,003,697
 Class B, CME Term SOFR 1 Month Index + 3.830% 9.1633% 10/15/28 (b)(c)(d)
  
13,127,193
13,224,570
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b)
  
404,156
411,425
RLGH Trust floater Series 2021-TROT Class A, CME Term SOFR 1 Month Index + 0.910% 6.2405% 4/15/36 (b)(c)(d)
  
12,400,000
12,258,640
SPGN Mortgage Trust floater Series 2022-TFLM:
  
  
  
 Class B, CME Term SOFR 1 Month Index + 2.000% 7.3253% 2/15/39 (b)(c)(d)
  
9,333,000
8,990,987
 Class C, CME Term SOFR 1 Month Index + 2.650% 7.9753% 2/15/39 (b)(c)(d)
  
4,854,000
4,616,732
SREIT Trust floater:
  
  
  
 Series 2021-FLWR Class A, CME Term SOFR 1 Month Index + 0.690% 6.016% 7/15/36 (b)(c)(d)
  
16,700,000
16,533,000
 Series 2021-MFP:
 
  
  
Class A, CME Term SOFR 1 Month Index + 0.840% 6.1706% 11/15/38 (b)(c)(d)
 
  
38,518,516
38,240,358
Class B, CME Term SOFR 1 Month Index + 1.190% 6.5196% 11/15/38 (b)(c)(d)
 
  
27,730,843
27,535,396
Class C, CME Term SOFR 1 Month Index + 1.440% 6.7688% 11/15/38 (b)(c)(d)
 
  
12,001,932
11,911,917
Class D, CME Term SOFR 1 Month Index + 1.690% 7.018% 11/15/38 (b)(c)(d)
 
  
7,887,421
7,823,336
UBS Commercial Mortgage Trust sequential payer Series 2018-C9 Class A4, 4.117% 3/15/51
 
2,800,000
2,622,024
VLS Commercial Mortgage Trust:
  
  
  
 sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b)
  
29,470,000
23,883,543
 Series 2020-LAB:
 
  
  
Class B, 2.453% 10/10/42 (b)
 
  
1,400,000
1,129,290
Class X, 0.4294% 10/10/42 (b)(c)(j)
 
  
40,100,000
917,243
Wells Fargo Commercial Mortgage Trust:
  
  
  
 floater Series 2021-FCMT Class A, CME Term SOFR 1 Month Index + 1.310% 6.6405% 5/15/31 (b)(c)(d)
  
19,889,000
19,504,168
 sequential payer:
 
  
  
Series 2014-LC16 Class A5, 3.817% 8/15/50
 
  
10,639,932
10,570,042
Series 2015-C26 Class A4, 3.166% 2/15/48
 
  
16,246,000
15,846,006
Series 2016-LC25 Class A3, 3.374% 12/15/59
 
  
8,922,099
8,546,432
Series 2021-C61 Class ASB, 2.525% 11/15/54
 
  
1,800,000
1,624,631
 Series 2018-C46 Class XA, 0.912% 8/15/51 (c)(j)
  
41,025,917
907,945
 Series 2018-C48 Class A5, 4.302% 1/15/52
 
13,797,000
13,332,833
Wells Fargo Commercial Mtg Trust sequential payer Series 2016-C37, Class A4, 3.525% 12/15/49
 
6,022,570
5,797,854
WF-RBS Commercial Mortgage Trust sequential payer Series 2014-C24 Class A4, 3.343% 11/15/47
 
27,181,000
26,870,759
 
TOTAL COMMERCIAL MORTGAGE SECURITIES
 (Cost $2,545,537,527)
  
  
2,504,473,909
 
  
  
  
Municipal Securities - 0.1%
 
  
Principal
Amount (a)
 
Value ($)
 
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured)
 
 (Cost $37,689,921)
 
  
32,466,000
34,798,520
 
  
  
  
Foreign Government and Government Agency Obligations - 0.1%
 
  
Principal
Amount (a)
 
Value ($)
 
Panamanian Republic 3.298% 1/19/33
 
50,825,000
39,024,070
State of Qatar 4.4% 4/16/50 (b)
  
13,195,000
11,681,698
 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $64,020,000)
  
  
50,705,768
 
  
  
  
Bank Notes - 0.1%
 
  
Principal
Amount (a)
 
Value ($)
 
Discover Bank 5.974% 8/9/28 (c)
  
23,162,000
23,040,901
KeyBank NA 6.95% 2/1/28
 
850,000
873,232
Regions Bank 6.45% 6/26/37
 
30,566,000
31,478,065
 
TOTAL BANK NOTES
 (Cost $58,455,636)
  
  
55,392,198
 
  
  
  
Money Market Funds - 0.8%
 
  
Shares
Value ($)
 
Fidelity Cash Central Fund 5.39% (o)
 
 (Cost $314,515,290)
 
  
314,452,989
314,515,880
 
  
  
  
Purchased Swaptions - 0.0%
 
Expiration
Date
Notional
Amount (a)
Value ($)
Put Options - 0.0%
  
  
  
  
Option on an interest rate swap with Bank of America N.A. to pay annually a fixed rate of 3.7375% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.
2/26/25
  
50,000,000
1,499,175
Option on an interest rate swap with Citibank N.A. to pay annually a fixed rate of 3.755% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring March 2034.
3/19/29
  
35,100,000
1,327,951
Option on an interest rate swap with Citibank N.A. to pay annually a fixed rate of 3.778% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.
2/24/25
  
82,200,000
2,342,588
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.3525% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.
2/03/25
  
27,100,000
1,247,351
 
  
  
  
  
 TOTAL PUT OPTIONS
  
  
  
6,417,065
Call Options - 0.0%
  
  
  
  
Option on an interest rate swap with Bank of America N.A. to receive annually a fixed rate of 3.7375% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.
2/26/25
  
50,000,000
1,673,573
Option on an interest rate swap with Citibank N.A. to receive annually a fixed rate of 3.755% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring March 2034.
3/19/29
  
35,100,000
1,456,295
Option on an interest rate swap with Citibank N.A. to receive annually a fixed rate of 3.778% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.
2/24/25
  
82,200,000
2,890,699
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive annually a fixed rate of 3.3525% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.
2/03/25
  
27,100,000
497,279
 
  
  
  
  
 TOTAL CALL OPTIONS
  
  
  
6,517,846
TOTAL PURCHASED SWAPTIONS
 (Cost $14,436,620)
  
  
  
  
12,934,911
 
 
TOTAL INVESTMENT IN SECURITIES - 112.4%
 (Cost $47,894,677,193)
 
  
 
44,944,539,898
NET OTHER ASSETS (LIABILITIES) - (12.4)%  
(4,943,385,184)
NET ASSETS - 100.0%
40,001,154,714
 
  
 TBA Sale Commitments
 
Principal
Amount (a)
Value ($)
Ginnie Mae
  
  
2% 4/1/54
(175,000)
(143,384)
2% 4/1/54
(68,200,000)
(55,877,638)
2% 4/1/54
(33,500,000)
(27,447,227)
2% 4/1/54
(100,350,000)
(82,218,782)
2% 4/1/54
(132,300,000)
(108,396,062)
2% 4/1/54
(1,025,000)
(839,803)
2% 4/1/54
(25,350,000)
(20,769,767)
2.5% 4/1/54
(64,000,000)
(54,506,925)
2.5% 4/1/54
(61,100,000)
(52,037,080)
3% 4/1/54
(125,650,000)
(110,825,625)
5% 4/1/54
(47,850,000)
(47,034,670)
5.5% 4/1/54
(59,300,000)
(59,265,090)
6.5% 4/1/54
(45,000,000)
(45,747,950)
6.5% 4/1/54
(37,200,000)
(37,818,305)
6.5% 4/1/54
(60,400,000)
(61,403,914)
 
  
  
TOTAL GINNIE MAE
 
(764,332,222)
 
  
  
Uniform Mortgage Backed Securities
  
  
2% 4/1/54
(48,000,000)
(37,975,032)
2% 4/1/54
(15,000,000)
(11,867,198)
2% 4/1/54
(24,625,000)
(19,481,983)
2% 4/1/54
(219,500,000)
(173,656,657)
2% 4/1/54
(97,300,000)
(76,978,554)
2.5% 4/1/54
(45,150,000)
(37,321,062)
2.5% 4/1/54
(27,150,000)
(22,442,233)
2.5% 4/1/54
(4,900,000)
(4,050,348)
2.5% 4/1/54
(30,800,000)
(25,459,329)
3% 4/1/54
(39,900,000)
(34,335,821)
3% 4/1/54
(41,475,000)
(35,691,183)
3% 4/1/54
(34,300,000)
(29,516,759)
3% 4/1/54
(13,400,000)
(11,531,328)
3% 4/1/54
(85,950,000)
(73,964,006)
3% 4/1/54
(330,300,000)
(284,238,641)
3.5% 4/1/54
(600,000)
(536,836)
4% 4/1/54
(32,700,000)
(30,280,710)
4% 4/1/54
(70,200,000)
(65,006,295)
4.5% 4/1/54
(13,000,000)
(12,378,946)
4.5% 4/1/54
(10,700,000)
(10,188,825)
5% 4/1/54
(8,800,000)
(8,588,937)
5% 4/1/54
(31,100,000)
(30,354,085)
5% 4/1/54
(31,300,000)
(30,549,288)
5.5% 4/1/54
(11,300,000)
(11,245,707)
5.5% 4/1/54
(9,700,000)
(9,653,394)
5.5% 4/1/54
(12,925,000)
(12,862,899)
5.5% 4/1/54
(34,300,000)
(34,135,199)
5.5% 4/1/54
(43,500,000)
(43,290,996)
6% 4/1/54
(1,800,000)
(1,817,086)
6% 4/1/54
(18,100,000)
(18,271,809)
6% 4/1/54
(37,700,000)
(38,057,856)
6% 4/1/54
(24,000,000)
(24,227,813)
6% 4/1/54
(38,300,000)
(38,663,551)
6% 4/1/54
(60,400,000)
(60,973,329)
6% 4/1/54
(32,725,000)
(33,035,632)
6% 4/1/54
(7,000,000)
(7,066,445)
6% 4/1/54
(13,225,000)
(13,350,534)
6.5% 4/1/54
(25,200,000)
(25,741,407)
6.5% 4/1/54
(38,000,000)
(38,816,407)
6.5% 4/1/54
(23,000,000)
(23,494,141)
6.5% 4/1/54
(3,400,000)
(3,473,047)
6.5% 4/1/54
(38,200,000)
(39,020,704)
6.5% 4/1/54
(70,700,000)
(72,218,947)
6.5% 4/1/54
(35,900,000)
(36,671,290)
 
  
  
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
 
(1,652,482,249)
 
  
  
TOTAL TBA SALE COMMITMENTS
 (Proceeds $2,415,444,782)
  
  
(2,416,814,471)
 
 
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Purchased
  
  
  
  
  
 
  
  
  
  
  
Treasury Contracts
  
  
  
  
  
CBOT 2-Year U.S. Treasury Note Contracts (United States)
787
Jun 2024
160,929,203
(69,277)
(69,277)
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States)
73
Jun 2024
9,417,000
217,690
217,690
 
  
  
  
  
  
TOTAL PURCHASED
  
  
  
  
148,413
 
  
  
  
  
  
Sold
  
  
  
  
  
 
  
  
  
  
  
Treasury Contracts
  
  
  
  
  
CBOT 10-Year U.S. Treasury Note Contracts (United States)
2,312
Jun 2024
256,162,375
(3,186)
(3,186)
CBOT 5-Year U.S. Treasury Note Contracts (United States)
730
Jun 2024
78,121,406
235,704
235,704
CBOT Long Term U.S. Treasury Bond Contracts (United States)
779
Jun 2024
93,820,813
(1,240,741)
(1,240,741)
 
  
  
  
  
  
TOTAL SOLD
  
  
  
  
(1,008,223)
 
  
  
  
  
  
TOTAL FUTURES CONTRACTS
  
  
  
  
(859,810)
The notional amount of futures purchased as a percentage of Net Assets is 0.4%
The notional amount of futures sold as a percentage of Net Assets is 1.0%
 
 Credit Default Swaps
Underlying Reference
Rating(1)
Maturity
Date
Clearinghouse /
Counterparty
Fixed
Payment
Received/
(Paid)
Payment
Frequency
Notional
Amount(2)(3)
Value ($)(1)
Upfront
Premium
Received/
(Paid) ($)
Unrealized
Appreciation/
(Depreciation) ($)
Buy Protection
  
  
  
  
  
  
  
  
  
  
CMBX N.A. AAA Index Series 13
  
Dec 2072
Citigroup Global Markets Ltd.
(0.5%)
Monthly
  
17,690,000
87,689
(159,128)
(71,439)
CMBX N.A. AAA Index Series 13
  
Dec 2072
Citigroup Global Markets Ltd.
(0.5%)
Monthly
  
10,070,000
49,917
(108,512)
(58,595)
CMBX N.A. AAA Index Series 13
  
Dec 2072
Morgan Stanley Capital Services LLC
(0.5%)
Monthly
  
13,100,000
64,937
(210,240)
(145,303)
CMBX N.A. AAA Index Series 13
  
Dec 2072
Morgan Stanley Capital Services LLC
(0.5%)
Monthly
  
16,000,000
79,312
(107,038)
(27,726)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Citigroup Global Markets Ltd.
(3%)
Monthly
  
1,240,000
182,347
(327,674)
(145,327)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Citigroup Global Markets Ltd.
(3%)
Monthly
  
2,000,000
294,107
(448,393)
(154,286)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Citigroup Global Markets Ltd.
(3%)
Monthly
  
2,420,000
355,870
(668,266)
(312,396)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Goldman Sachs & Co. LLC
(3%)
Monthly
  
1,800,000
264,697
(350,863)
(86,166)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Goldman Sachs & Co. LLC
(3%)
Monthly
  
6,600,000
970,554
(1,092,440)
(121,886)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Goldman Sachs & Co. LLC
(3%)
Monthly
  
2,700,000
397,045
(713,112)
(316,067)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Goldman Sachs & Co. LLC
(3%)
Monthly
  
1,170,000
172,053
(287,608)
(115,555)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
JPMorgan Securities LLC
(3%)
Monthly
  
2,480,000
364,693
(712,183)
(347,490)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
JPMorgan Securities LLC
(3%)
Monthly
  
2,550,000
374,987
(775,346)
(400,359)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
JPMorgan Securities LLC
(3%)
Monthly
  
1,650,000
242,639
(437,934)
(195,295)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Morgan Stanley Capital Services LLC
(3%)
Monthly
  
1,760,000
258,815
(406,884)
(148,069)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Morgan Stanley Capital Services LLC
(3%)
Monthly
  
1,100,000
161,759
(186,168)
(24,409)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Morgan Stanley Capital Services LLC
(3%)
Monthly
  
3,200,000
470,572
(813,007)
(342,435)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Morgan Stanley Capital Services LLC
(3%)
Monthly
  
3,470,000
510,276
(865,984)
(355,708)
CMBX N.A. BBB- Index Series 16
  
Apr 2065
Morgan Stanley Capital Services LLC
(3%)
Monthly
  
2,390,000
351,458
(567,773)
(216,315)
CMBX N.A. BBB- Index Series 17
  
Dec 2056
Goldman Sachs & Co. LLC
(3%)
Monthly
  
2,000,000
240,401
(284,022)
(43,621)
CMBX N.A. BBB- Index Series 17
  
Dec 2056
JPMorgan Securities LLC
(3%)
Monthly
  
1,500,000
180,301
(200,056)
(19,755)
CMBX N.A. BBB- Index Series 17
  
Dec 2056
Morgan Stanley Capital Services LLC
(3%)
Monthly
  
1,300,000
156,261
(183,390)
(27,129)
 
  
  
  
  
  
  
  
  
  
  
TOTAL BUY PROTECTION
  
  
  
  
  
  
  
6,230,690
(9,906,021)
(3,675,331)
Sell Protection
  
  
  
  
  
  
  
  
  
  
CMBX N.A. AAA Index Series 13
NR
Dec 2072
Morgan Stanley Capital Services LLC
0.5%
Monthly
  
36,460,000
(180,732)
829,093
648,361
CMBX N.A. AAA Index Series 13
NR
Dec 2072
Morgan Stanley Capital Services LLC
0.5%
Monthly
  
20,930,000
(103,750)
489,466
385,716
CMBX N.A. AAA Index Series 15
NR
Nov 2064
Goldman Sachs & Co. LLC
0.5%
Monthly
  
8,840,000
(90,770)
237,067
146,297
CMBX N.A. AAA Index Series 15
NR
Nov 2064
Goldman Sachs & Co. LLC
0.5%
Monthly
  
1,430,000
(14,683)
38,349
23,666
 
  
  
  
  
  
  
  
  
  
  
TOTAL SELL PROTECTION
  
  
  
  
  
  
  
(389,935)
1,593,975
1,204,040
TOTAL CREDIT DEFAULT SWAPS
  
  
  
  
  
  
  
5,840,755
(8,312,046)
(2,471,291)
 
(1)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.
 
 
(2)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.
 
 
(3)Notional amount is stated in U.S. Dollars unless otherwise noted.
 
 
 
 Interest Rate Swaps
Payment Received
Payment
Frequency
Payment Paid
Payment
Frequency
Clearinghouse /
Counterparty(1)
Maturity
Date
Notional
Amount(2)
Value ($)
 
Upfront
Premium
Received/
(Paid) ($)(3)
Unrealized
Appreciation/
(Depreciation) ($)
 
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
Annual
4%
Annual
LCH
Jun 2026
  
394,843,000
738,052
0
738,052
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
Annual
4%
Annual
LCH
Jun 2027
  
59,753,000
134,051
0
134,051
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
Annual
3.75%
Annual
LCH
Jun 2031
  
234,958,000
737,002
0
737,002
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
Annual
3.75%
Annual
LCH
Jun 2044
  
44,564,000
217,085
0
217,085
TOTAL INTEREST RATE SWAPS
  
  
  
  
  
  
  
1,826,190
0
1,826,190
 
(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.
 
 
(2)Notional amount is stated in U.S. Dollars unless otherwise noted.
 
 
(3)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
 
 
(4)Represents floating rate.
 
 
 
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 $6,033,941,903 or 15.1% of net assets.
 
(c)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(d)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(e)
Security 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 $9,108,368.
 
(f)
Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $21,909,413.
 
(g)
Security or a portion of the security has been segregated as collateral for open options and bi-lateral over the counter (OTC) swaps. At period end, the value of securities pledged amounted to $1,144,679.
 
(h)
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 $268,756.
 
(i)
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
 
(j)
Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
 
(k)
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.
 
(l)
Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.
 
(m)
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.
 
(n)
Level 3 security
 
(o)
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
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund 5.39%
363,138,224
4,372,552,701
4,421,175,046
20,125,115
-
1
314,515,880
0.6%
Fidelity Securities Lending Cash Central Fund 5.39%
-
2,683,505,309
2,683,505,309
235,300
-
-
-
0.0%
Total
363,138,224
7,056,058,010
7,104,680,355
20,360,415
-
1
314,515,880
  
 
  
  
  
  
  
  
  
  
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
 
The following is a summary of the inputs used, as of March 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
 Investments in Securities:
  
  
  
  
 Corporate Bonds
11,550,764,328
-
11,550,764,328
-
 U.S. Government and Government Agency Obligations
16,621,821,072
-
16,621,821,072
-
 U.S. Government Agency - Mortgage Securities
10,288,786,599
-
10,288,786,599
-
 Asset-Backed Securities
2,939,733,627
-
2,939,733,627
-
 Collateralized Mortgage Obligations
570,613,086
-
570,613,086
-
 Commercial Mortgage Securities
2,504,473,909
-
2,503,230,915
1,242,994
 Municipal Securities
34,798,520
-
34,798,520
-
 Foreign Government and Government Agency Obligations
50,705,768
-
50,705,768
-
 Bank Notes
55,392,198
-
55,392,198
-
 Money Market Funds
314,515,880
314,515,880
-
-
  Purchased Swaptions
12,934,911
-
12,934,911
-
 Total Investments in Securities:
44,944,539,898
314,515,880
44,628,781,024
1,242,994
 Derivative Instruments:
 Assets
  
  
  
  
Futures Contracts
453,394
453,394
-
-
Swaps
8,056,880
-
8,056,880
-
  Total Assets
8,510,274
453,394
8,056,880
-
 Liabilities
  
  
  
  
Futures Contracts
(1,313,204)
(1,313,204)
-
-
Swaps
(389,935)
-
(389,935)
-
  Total Liabilities
(1,703,139)
(1,313,204)
(389,935)
-
 Total Derivative Instruments:
6,807,135
(859,810)
7,666,945
-
 Other Financial Instruments:
  
  
  
  
 TBA Sale Commitments
(2,416,814,471)
-
(2,416,814,471)
-
 Total Other Financial Instruments:
(2,416,814,471)
-
(2,416,814,471)
-
 
Value of Derivative Instruments
 
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of March 31, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
 
Primary Risk Exposure / Derivative Type                                                                                                                                                                                   
 
Value
Asset ($)
Liability ($)
Credit Risk
  
  
Swaps (a) 
6,230,690
(389,935)
Total Credit Risk
6,230,690
(389,935)
Interest Rate Risk
  
  
Futures Contracts (b) 
453,394
(1,313,204)
Purchased Swaptions (c) 
12,934,911
0
Swaps (d) 
1,826,190
0
Total Interest Rate Risk
15,214,495
(1,313,204)
Total Value of Derivatives
21,445,185
(1,703,139)
 
(a)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.
 
 
(b)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
 
 
(c)Gross value is presented in the Statement of Assets and Liabilities in the Investments in Securities at value line-item.
 
 
(d)For centrally cleared swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).
 
 
 
Financial Statements (Unaudited)
Statement of Assets and Liabilities
 
  
  
March 31, 2024
(Unaudited)
 
  
  
  
  
Assets
 
  
  
  
Investment in securities, at value  - See accompanying schedule:
  
  
  
  
Unaffiliated issuers (cost $47,580,161,903)
$
44,630,024,018
  
  
Fidelity Central Funds (cost $314,515,290)
314,515,880
  
  
 
  
  
  
  
 
  
  
  
  
Total Investment in Securities (cost $47,894,677,193)
  
  
$
44,944,539,898
Cash
  
  
17,883,379
Receivable for investments sold
  
  
93,932,209
Receivable for TBA sale commitments
  
  
2,415,444,782
Receivable for fund shares sold
  
  
1,681,758
Interest receivable
  
  
338,923,274
Distributions receivable from Fidelity Central Funds
  
  
2,591,667
Receivable for daily variation margin on futures contracts
  
  
37,297
Receivable for daily variation margin on centrally cleared swaps
  
  
621,301
Bi-lateral OTC swaps, at value
  
  
6,230,690
Other receivables
  
  
8,105
  Total assets
  
  
47,821,894,360
Liabilities
  
  
  
  
Payable for investments purchased
  
  
  
  
Regular delivery
$
275,700,010
  
  
Delayed delivery
5,123,792,552
  
  
TBA sale commitments, at value
2,416,814,471
  
  
Payable for fund shares redeemed
4,037,060
  
  
Bi-lateral OTC swaps, at value
389,935
  
  
Other payables and accrued expenses
5,618
  
  
  Total liabilities
  
  
  
7,820,739,646
Net Assets  
  
  
$
40,001,154,714
Net Assets consist of:
  
  
  
  
Paid in capital
  
  
$
44,492,913,517
Total accumulated earnings (loss)
  
  
  
(4,491,758,803)
Net Assets
  
  
$
40,001,154,714
Net Asset Value, offering price and redemption price per share ($40,001,154,714 ÷ 409,955,173 shares)
  
  
$
97.57
Statement of Operations
 
  
  
Six months ended
March 31, 2024
(Unaudited)
Investment Income
  
  
  
  
Interest  
  
  
$
792,417,037
Income from Fidelity Central Funds (including $235,300 from security lending)
 
  
20,360,415
 Total income
  
  
  
812,777,452
Expenses
  
  
  
  
Custodian fees and expenses
$
8,964
  
  
Independent trustees' fees and expenses
58,718
  
  
 Total expenses before reductions
  
67,682
  
  
 Expense reductions
  
(7,362)
  
  
 Total expenses after reductions
  
  
  
60,320
Net Investment income (loss)
  
  
  
812,717,132
Realized and Unrealized Gain (Loss)
  
  
  
  
Net realized gain (loss) on:
  
  
  
  
 Investment Securities:
  
  
  
  
   Unaffiliated issuers  
  
(221,444,590)
  
  
 Futures contracts
  
(13,766,787)
  
  
 Swaps
  
(10,058,114)
  
  
 Written options
  
254,250
  
  
Total net realized gain (loss)
  
  
  
(245,015,241)
Change in net unrealized appreciation (depreciation) on:
  
  
  
  
 Investment Securities:
  
  
  
  
   Unaffiliated issuers  
  
1,850,254,293
  
  
   Fidelity Central Funds
 
1
  
  
 Futures contracts
  
(12,428,614)
  
  
 Swaps
  
(809,210)
  
  
 Written options
  
147,421
  
  
 TBA Sale commitments
  
(16,199,101)
  
  
Total change in net unrealized appreciation (depreciation)
  
  
  
1,820,964,790
Net gain (loss)
  
  
  
1,575,949,549
Net increase (decrease) in net assets resulting from operations
  
  
$
2,388,666,681
Statement of Changes in Net Assets
 
 
Six months ended
March 31, 2024
(Unaudited)
  
Year ended
September 30, 2023
Increase (Decrease) in Net Assets
  
  
  
  
Operations
  
  
  
Net investment income (loss)
$
812,717,132
$
1,353,282,266
Net realized gain (loss)
  
(245,015,241)
 
  
(712,027,754)
 
Change in net unrealized appreciation (depreciation)
  
1,820,964,790
  
(281,554,785)
 
Net increase (decrease) in net assets resulting from operations
  
2,388,666,681
 
  
359,699,727
 
Distributions to shareholders
  
(810,104,051)
 
  
(1,344,400,074)
 
 
  
  
  
  
Affiliated share transactions
  
  
  
  
Proceeds from sales of shares
  
1,649,038,438
  
6,154,992,243
  Reinvestment of distributions
  
810,104,051
 
  
1,344,397,865
 
Cost of shares redeemed
  
(1,031,289,268)
  
(1,454,049,597)
 
  
  
  
  
  Net increase (decrease) in net assets resulting from share transactions
  
1,427,853,221
 
  
6,045,340,511
 
Total increase (decrease) in net assets
  
3,006,415,851
 
  
5,060,640,164
 
 
  
  
  
  
Net Assets
  
  
  
  
Beginning of period
  
36,994,738,863
  
31,934,098,699
 
End of period
$
40,001,154,714
$
36,994,738,863
 
  
  
  
  
Other Information
  
  
  
  
Shares
  
  
  
  
Sold
  
16,843,064
  
63,031,003
  Issued in reinvestment of distributions
  
8,392,906
 
  
13,833,701
 
Redeemed
  
(10,501,142)
  
(14,901,688)
Net increase (decrease)
  
14,734,828
  
61,963,016
 
  
  
  
  
 
Financial Highlights
 
Fidelity® Investment Grade Bond Central Fund
 
 
Six months ended
(Unaudited) March 31, 2024 
  
Years ended September 30, 2023 
  
2022  
  
2021 
  
2020 
  
2019   
  Selected Per-Share Data 
  
  
  
  
  
  
  
  
  
  
  
  
  Net asset value, beginning of period
$
93.61
$
95.82
$
114.50
$
118.41
$
112.59
$
105.24
  Income from Investment Operations
 
  
  
  
  
  
  
  
  
  
  
  
     Net investment income (loss) A,B
  
2.031
 
3.682
 
2.699
 
2.569
 
3.127
 
3.512
     Net realized and unrealized gain (loss)
 
3.961
 
(2.239)
 
(18.662)
 
(1.197)
 
6.011
 
7.580
  Total from investment operations
 
5.992  
  
1.443  
  
(15.963)  
  
1.372  
  
9.138
 
11.092
  Distributions from net investment income
 
(2.032)
 
(3.653)
 
(2.717)
 
(2.615)
 
(3.192)
 
(3.742)
  Distributions from net realized gain
 
-
 
-
 
-
 
(2.667)
 
(.126)
 
-
     Total distributions
 
(2.032)
 
(3.653)
 
(2.717)
 
(5.282)
 
(3.318)
 
(3.742)
  Net asset value, end of period
$
97.57
$
93.61
$
95.82
$
114.50
$
118.41
$
112.59
 Total Return C,D
  
6.44
%
 
  
1.43%
 
(14.14)%
 
1.18%
 
8.24%
 
10.75%
 Ratios to Average Net Assets B,E,F
  
  
  
  
  
  
  
  
  
  
  
  
    Expenses before reductions G
  
-% H
  
-%
 
-%
 
-%
 
-%
 
-%
    Expenses net of fee waivers, if any G
  
-
% H
 
  
-%
 
-%
 
-%
 
-%
 
-%
    Expenses net of all reductions G
  
-% H
  
-%
 
-%
 
-%
 
-%
 
-%
    Net investment income (loss)
 
4.22% H
  
3.79%
 
2.53%
 
2.22%
 
2.72%
 
3.27%
 Supplemental Data
  
  
  
  
  
  
  
  
  
  
  
  
    Net assets, end of period (000 omitted)
$
40,001,155
$
36,994,739
$
31,934,099
$
32,962,327
$
29,136,547
$
26,647,348
    Portfolio turnover rate I
  
202
% H
 
  
174%
 
181%
 
245%
 
204% J
  
186% J
 
ACalculated based on average shares outstanding during the period.
 
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
CTotal returns for periods of less than one year are not annualized.
 
DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
EFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
FExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
GAmount represents less than .005%.
 
HAnnualized.
 
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
JPortfolio turnover rate excludes securities received or delivered in-kind.
 
Notes to Financial Statements (Unaudited)
For the period ended March 31, 2024
 
1. Organization.
Fidelity Investment Grade Bond Central Fund (the Fund) is a fund of Fidelity Central Investment Portfolios II LLC (the LLC) and is authorized to issue an unlimited number of shares. Shares of the Fund are only offered to other investment companies and accounts managed by Fidelity Management & Research Company LLC (FMR), or its affiliates (the Investing Funds). The LLC is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware Limited Liability Company.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
 
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
 
Fidelity Central Fund
Investment Manager
Investment Objective
Investment Practices
Expense RatioA
Fidelity Money Market Central Funds
Fidelity Management & Research Company LLC (FMR)
Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.
Short-term Investments
Less than .005%
 
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
 
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
 
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Directors (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
 
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
 
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
 
Valuation techniques used to value the Fund's investments by major category are as follows:
 
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities and swaps 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 service or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
 
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of March 31, 2024 is included at the end of the Fund's Schedule of Investments.
 
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
 
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
 
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
 
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
 
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
 
Book-tax differences are primarily due to futures contracts, swaps, capital loss carryforwards and losses deferred due to wash sales and futures contracts.
 
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
 
Gross unrealized appreciation
$ 153,972,929
Gross unrealized depreciation
(3,111,136,268)
Net unrealized appreciation (depreciation)
$ (2,957,163,339)
Tax cost
$ 47,898,828,637
 
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
 
Short-term
$(720,575,726)
Long-term
(535,782,903)
Total capital loss carryforward
$(1,256,358,629)
 
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
 
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.
 
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
 
TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Statement of Assets and Liabilities as "Receivable for TBA sale commitments" and "TBA sale commitments, at value," respectively.
 
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, swaps and options. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
 
Derivatives were used to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
 
Derivatives were used to increase or decrease exposure to the following risk(s):
 
 
 
Credit Risk
Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund.
 
Interest Rate Risk
Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
 
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options and bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. For OTC written options with upfront premiums received, a fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.
 
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
 
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
 
Primary Risk Exposure / Derivative Type
Net Realized Gain (Loss)($)
Change in Net Unrealized Appreciation (Depreciation)($)
Fidelity Investment Grade Bond Central Fund
 
 
Credit Risk
 
 
Swaps
             281,380
       (2,465,340)
Total Credit Risk
             281,380
       (2,465,340)
Interest Rate Risk
 
 
Futures Contracts
 (13,766,787)
 (12,428,614)
Purchased Options
 145,628
 (2,356,504)
Written Options
 254,250
 147,421
Swaps
     (10,339,494)
          1,656,130
Total Interest Rate Risk
     (23,706,403)
     (12,981,567)
Totals
     (23,425,023)
     (15,446,907)
 
If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.
 
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the bond market and fluctuations in interest rates.
 
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
 
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
 
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. OTC options, such as swaptions, which are options where the underlying instrument is a swap, were used to manage exposure to fluctuations in interest rates.
 
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.
 
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period unless an average notional amount is presented.
 
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
 
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
 
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in total accumulated earnings (loss) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
 
Centrally cleared swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities. Centrally cleared swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in total accumulated earnings (loss) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
 
For both bi-lateral and centrally cleared swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.
 
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period unless an average notional amount is presented.
 
Credit Default Swaps. Credit default swaps enable a fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. A fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
 
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
 
As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
 
As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
 
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
 
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. A fund enters into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
 
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
 
 
Purchases ($)
Sales ($)
Fidelity Investment Grade Bond Central Fund
23,599,860,737
23,304,247,260
6. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Management & Research Company LLC (the investment adviser) provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's expense contract, the investment adviser also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Directors, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
 
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
 
Sub-Advisory Arrangements. Effective March 1, 2024, the Fund's sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Hong Kong) Limited, and Fidelity Management & Research (Japan) Limited were amended to provide that the investment adviser pays each sub-adviser monthly fees equal to 110% of the sub-adviser's costs for providing sub-advisory services.
7. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
 
 
Total Security Lending Fees Paid to NFS ($)
Security Lending Income From Securities Loaned to NFS ($)
Value of Securities Loaned to NFS at Period End ($)
Fidelity Investment Grade Bond Central Fund
25,077
 -
-
8. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $7,362.
9. Other.
A fund's organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
 
At the end of the period, mutual funds managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.
 
10. Credit Risk.
The Fund invests a significant portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Shareholder Expense Example  
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
 
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2023 to March 31, 2024).
 
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
 
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
 
 
  
  
  
Annualized Expense Ratio- A
  
Beginning Account Value October 1, 2023
 
Ending Account Value March 31, 2024
  
Expenses Paid During Period- C October 1, 2023 to March 31, 2024
 
  
  
  
  
  
  
  
  
  
Fidelity® Investment Grade Bond Central Fund
  
  
  
0.0004%
  
  
  
  
  
  
Actual
  
  
  
  
  
$ 1,000
  
$ 1,064.40
  
$-D
 
Hypothetical-B
  
  
  
  
  
$ 1,000
  
$ 1,025.00
  
$-D
 
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.
 
B   5% return per year before expenses
 
C   Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
D   Amount represents less than $.005.
 
 
 
 
Board Approval of Investment Advisory Contracts
 
Board Approval of Investment Advisory Contracts
Fidelity Investment Grade Bond Central Fund
At its January 2024 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), approved an amended and restated management contract with Fidelity Management & Research Company LLC (FMR) (the Management Contract), and amended and restated sub-advisory agreements (the Sub-Advisory Contracts, and together with the Management Contract, the Advisory Contracts) for the fund, including the fund's sub-advisory agreements with FMR Investment Management (UK) Limited (FMR UK), Fidelity Management & Research (Hong Kong) Limited (FMR H.K.), and Fidelity Management & Research (Japan) Limited (FMR Japan). The Advisory Contracts will be effective March 1, 2024. The Board will consider the annual renewal of the fund's Advisory Contracts in September 2024, following its review of additional materials provided by FMR.
Management Contract. The Board approved the Management Contract, which eliminates the fee that FMR previously received from each investing fund's investment adviser. The Board noted the fund will continue to pay no management fee to FMR for services provided under the Management Contract.
Sub-Advisory Contracts. In connection with the Management Contract changes, the Board considered the Sub-Advisory Contracts, which changed the arrangements for fees paid by FMR to the sub-advisers under the agreements. The Board noted that the agreements with FMR UK, FMR H.K., and FMR Japan were amended to provide that FMR will compensate each sub-adviser at a fee equal to 110% of the sub-adviser's costs incurred in providing services under the agreement. The Board considered that, under the Sub-Advisory Contracts, FMR, and not the fund, will continue to pay the sub-advisory fees to each applicable sub-adviser.
The Board considered that the approval of the fund's Advisory Contracts will not result in any changes in the investment process or strategies employed in the management of the fund's assets or the day-to-day management of the fund or the persons primarily responsible for such management. Further, the Board considered that the Management Contract would not change the obligations and services of FMR and its affiliates on behalf of the fund, and, in particular, there would be no change in the nature and level of advisory, management, administration, transfer agent, and pricing and bookkeeping services provided to the fund by FMR and its affiliates.
In connection with its consideration of future renewals of the fund's Advisory Contracts, the Board will consider: (i) the nature, extent and quality of services provided to the fund, including shareholder and administrative services and investment performance; (ii) the competitiveness of the management fee and total expenses for the fund; (iii) the costs of the services and profitability, including the revenues earned and the expenses incurred in conducting the business of developing, marketing, distributing, managing, administering, and servicing the fund and its shareholders, to the extent applicable; and (iv) whether there have been economies of scale in respect of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is the potential for realization of any further economies.
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the fund's management fee structure is fair and reasonable, and that the fund's Advisory Contracts should be approved.
 
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) certain factors specific to ETFs including the effect of the Fund's prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund's portfolio, as applicable.
In accordance with the Program, each of the Fund's portfolio investments is classified into one of four defined liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund's illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund's net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM).  The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund's Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of the Program for the period December 1, 2022 through November 30, 2023.  The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.  
Proxy Voting Results
A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
Proposal 1
To elect a Board of Trustees.
 
# of
Votes
% of
Votes
Abigail P. Johnson
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Jennifer Toolin McAuliffe
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Christine J. Thompson
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Elizabeth S. Acton
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Laura M. Bishop
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Ann E. Dunwoody
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
John Engler
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Robert F. Gartland
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Robert W. Helm
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Arthur E. Johnson
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Michael E. Kenneally
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Mark A. Murray
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
Carol J. Zierhoffer
Affirmative
37,482,316,252.70
100.00
TOTAL
37,482,316,252.70
100.00
 
  
  
Proposal 1 reflects trust-wide proposal and voting results.
 
 
 
1.807412.119
TP1-SANN-0524

Item 2.

Code of Ethics


Not applicable.

 

Item 3.

Audit Committee Financial Expert


Not applicable.


Item 4.

Principal Accountant Fees and Services


Not applicable.


Item 5.

Audit Committee of Listed Registrants


Not applicable.


Item 6.  

Investments


(a)

Not applicable.


(b)

Not applicable


Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies


Not applicable.


Item 8.

Portfolio Managers of Closed-End Management Investment Companies


Not applicable.


Item 9.  

Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers


Not applicable.


Item 10.

Submission of Matters to a Vote of Security Holders


There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Central Investment Portfolios II LLC’s Board of Trustees.


Item 11.

Controls and Procedures


(a)(i)  The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Central Investment Portfolios II LLC’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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.


Item 12.

Disclosure of Securities Lending Activities for Closed-End Management

Investment Companies


Not applicable.


Item 18.

Recovery of Erroneously Awarded Compensation


(a)

Not applicable.


(b)

Not applicable.


Item 19.

Exhibits


(a)

(1)

Not applicable.

(a)

(2)

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.

(a)

(3)

Not applicable.

(b)


Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.




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 Central Investment Portfolios II LLC



By:

/s/Laura M. Del Prato

Laura M. Del Prato

President and Treasurer (Principal Executive Officer)


Date:

May 22, 2024


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.



By:

/s/Laura M. Del Prato

Laura M. Del Prato

President and Treasurer (Principal Executive Officer)


Date:

May 22, 2024



By:

/s/John J. Burke III

John J. Burke III

Chief Financial Officer (Principal Financial Officer)


Date:

May 22, 2024

 






ATTACHMENTS / EXHIBITS

ATTACHMENTS / EXHIBITS

EX99CERT.HTM

EX99906CERT.HTM