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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   811-04861


Fidelity Garrison Street Trust

 (Exact name of registrant as specified in charter)


245 Summer St., Boston, MA 02210

 (Address of principal executive offices)       (Zip code)


Nicole Macarchuk, Secretary

245 Summer St.

Boston, Massachusetts  02210

(Name and address of agent for service)



Registrant's telephone number, including area code:

617-563-7000



Date of fiscal year end:

December 31

 

 

Date of reporting period:

June 30, 2025


Item 1.

Reports to Stockholders






 
 
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JUNE 30, 2025
 
 
Fidelity® VIP Investment Grade Central Fund
VIP Investment Grade Central Fund true 
 
 
 
 
This semi-annual shareholder report contains information about Fidelity® VIP Investment Grade Central Fund for the period January 1, 2025 to June 30, 2025. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-544-8544.
 
What were your Fund costs for the last six months?
(based on hypothetical $10,000 investment)
 
 
 
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
 
VIP Investment Grade Central Fund 
$ 0 A
0.00%B
 
A Amount represents less than $.50
B Amount represents less than 0.005%
 
Key Fund Statistics
(as of June 30, 2025)
 
KEY FACTS 
 
 
Fund Size
$3,119,027,408
 
Number of Holdings
1,907
 
Portfolio Turnover
119%
 
What did the Fund invest in?
(as of June 30, 2025)
 
U.S. Government and U.S. Government Agency Obligations
63.5
AAA
7.2
AA
0.4
A
9.1
BBB
14.4
BB
1.7
B
0.9
Not Rated
2.3
Short-Term Investments and Net Other Assets (Liabilities)
0.5
QUALITY DIVERSIFICATION (% of Fund's net assets)
 
 
U.S. Government and U.S. Government Agency Obligations - 63.5
 
AAA - 7.2                               
 
AA - 0.4                                
 
A - 9.1                                 
 
BBB - 14.4                              
 
BB - 1.7                                
 
B - 0.9                                 
 
Not Rated - 2.3                         
 
Short-Term Investments and Net Other Assets (Liabilities) - 0.5
 
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.
 
 
 
 
U.S. Treasury Obligations
45.4
Corporate Bonds
24.1
U.S. Government Agency - Mortgage Securities
18.1
Asset-Backed Securities
8.0
CMOs and Other Mortgage Related Securities
3.8
Other Investments
0.1
Foreign Government and Government Agency Obligations
0.0
Short-Term Investments and Net Other Assets (Liabilities)
0.5
ASSET ALLOCATION (% of Fund's net assets)
 
 
U.S. Treasury Obligations - 45.4        
 
Corporate Bonds - 24.1                  
 
U.S. Government Agency - Mortgage Securities - 18.1
 
Asset-Backed Securities - 8.0           
 
CMOs and Other Mortgage Related Securities - 3.8
 
Other Investments - 0.1                 
 
Foreign Government and Government Agency Obligations - 0.0
 
Short-Term Investments and Net Other Assets (Liabilities) - 0.5
 
United States
90.4
Grand Cayman (UK Overseas Ter)
5.4
Mexico
0.8
United Kingdom
0.7
Ireland
0.5
Bailiwick Of Jersey
0.5
Netherlands
0.4
Switzerland
0.3
France
0.3
Others
0.7
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)
 
 
United States - 90.4                    
 
Grand Cayman (UK Overseas Ter) - 5.4    
 
Mexico - 0.8                            
 
United Kingdom - 0.7                    
 
Ireland - 0.5                           
 
Bailiwick Of Jersey - 0.5               
 
Netherlands - 0.4                       
 
Switzerland - 0.3                       
 
France - 0.3                            
 
Others - 0.7                            
 
 
 
TOP HOLDINGS
(% of Fund's net assets)
 
 
US Treasury Notes
33.8
 
US Treasury Bonds
11.6
 
Fannie Mae Mortgage pass-thru certificates
5.8
 
Ginnie Mae II Pool
4.8
 
Freddie Mac Gold Pool
4.2
 
Uniform Mortgage Backed Securities
2.2
 
Morgan Stanley
1.4
 
JPMorgan Chase & Co
1.4
 
Bank of America Corp
1.2
 
Wells Fargo & Co
0.9
 
 
67.3
 
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2025 FMR LLC. All rights reserved.
 
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9916116.101    1619-TSRS-0825    
 

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.

Financial Statements and Financial Highlights for Open-End Management Investment Companies




Fidelity® VIP Investment Grade Central Fund
 
 
Semi-Annual Report
June 30, 2025

Contents

Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)

Fidelity® VIP Investment Grade Central Fund

Notes to Financial Statements

Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies

Item 9: Proxy Disclosures for Open-End Management Investment Companies

Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies

Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract

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. © 2025 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.
Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)
Fidelity® VIP Investment Grade Central Fund
Schedule of Investments June 30, 2025 (Unaudited)
Showing Percentage of Net Assets
Asset-Backed Securities - 8.0%
 
 
Principal
Amount (a)
 
Value ($)
 
BAILIWICK OF JERSEY - 0.5%
 
 
 
Aimco Clo 17 Ltd / Aimco Clo 17 LLC Series 2024-17A Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.6224% 7/20/2037 (b)(c)(d)
 
2,147,000
2,151,294
Aimco Clo 19 Ltd / Aimco Clo 19 LLC Series 2024-19A Class A, CME Term SOFR 3 month Index + 1.35%, 5.6195% 10/20/2037 (b)(c)(d)
 
758,000
760,491
Aimco Clo 22 Ltd / Aimco Clo 22 LLC Series 2024-22A Class A, CME Term SOFR 3 month Index + 1.5%, 5.7695% 4/19/2037 (b)(c)(d)
 
4,137,000
4,148,770
Blueberry Park Clo Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.35%, 5.6195% 10/20/2037 (b)(c)(d)
 
2,445,000
2,450,377
Flatiron Clo 26 Ltd / Flatiron Clo 26 LLC Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.33%, 5.5861% 1/15/2038 (b)(c)(d)
 
2,057,000
2,064,771
Hamlin Pk Clo Ltd / Hamlin Pk Clo LLC Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.34%, 5.6095% 10/20/2037 (b)(c)(d)
 
2,092,000
2,104,581
Invesco US CLO Ltd Series 2024-3A Class A, CME Term SOFR 3 month Index + 1.51%, 5.7795% 7/20/2037 (b)(c)(d)
 
1,856,000
1,862,177
TOTAL BAILIWICK OF JERSEY
 
 
15,542,461
BERMUDA - 0.1%
 
 
 
SYMP Series 2022-32A Class A1, CME Term SOFR 3 month Index + 1.32%, 5.5993% 4/23/2035 (b)(c)(d)
 
2,380,000
2,380,285
GRAND CAYMAN (UK OVERSEAS TER) - 5.4%
 
 
 
Aimco CLO 11 Ltd Series 2024-11A Class A1R2, CME Term SOFR 3 month Index + 1.34%, 5.6198% 7/17/2037 (b)(c)(d)
 
2,190,000
2,196,023
Aimco Clo 14 Ltd / Aimco Clo 14 LLC Series 2021-14A Class A, CME Term SOFR 3 month Index + 1.2516%, 5.5211% 4/20/2034 (b)(c)(d)
 
3,132,569
3,133,246
AIMCO CLO Series 2024-BA Class ARR, CME Term SOFR 3 month Index + 1.5%, 5.7605% 4/16/2037 (b)(c)(d)
 
2,577,000
2,584,311
Allegro Clo Ltd Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.4016%, 5.6711% 7/20/2034 (b)(c)(d)
 
1,532,085
1,534,582
Allegro Clo Xii Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.44%, 5.7095% 7/21/2037 (b)(c)(d)
 
3,308,000
3,317,593
Ares LIV CLO Ltd Series 2024-54A Class AR, CME Term SOFR 3 month Index + 1.27%, 5.5261% 10/15/2032 (b)(c)(d)
 
2,116,187
2,116,187
Ares LIV CLO Ltd Series 2025-54A Class AR2, CME Term SOFR 3 month Index + 1.31%, 0% 7/15/2038 (b)(c)(d)
 
2,687,000
2,687,001
Ares Lix Clo Ltd Series 2021-59A Class A, CME Term SOFR 3 month Index + 1.2916%, 5.5734% 4/25/2034 (b)(c)(d)
 
1,039,487
1,040,367
Ares Lv Clo Ltd Series 2024-55A Class A1R2, CME Term SOFR 3 month Index + 1.37%, 5.6261% 10/15/2037 (b)(c)(d)
 
1,386,000
1,388,869
Ares Lviii Clo Ltd / Ares Lviii Clo LLC Series 2025-58A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 5.5279% 4/15/2038 (b)(c)(d)
 
2,126,000
2,137,015
Ares XLI Clo Ltd Series 2021-41A Class AR2, CME Term SOFR 3 month Index + 1.3316%, 5.5877% 4/15/2034 (b)(c)(d)
 
2,173,138
2,174,811
Babson CLO Ltd/Cayman Islands Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.26%, 5.5161% 1/15/2038 (b)(c)(d)
 
1,292,000
1,293,355
Barings Clo Ltd  Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.75%, 6.0195% 1/20/2037 (b)(c)(d)
 
3,122,000
3,133,252
Barings Clo Ltd  Series 2024-4A Class AR, CME Term SOFR 3 month Index + 1.37%, 5.6395% 10/20/2037 (b)(c)(d)
 
2,095,000
2,100,298
Barings Clo Ltd Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.2816%, 5.5634% 4/25/2034 (b)(c)(d)
 
2,282,638
2,285,692
BCRED BSL Static Clo Ltd / LLC Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.5413% 7/24/2035 (b)(c)(d)
 
2,122,000
2,117,767
Beechwood Park Clo Ltd Series 2022-1A Class A1R, CME Term SOFR 3 month Index + 1.3%, 5.5798% 1/17/2035 (b)(c)(d)
 
2,810,000
2,815,131
BETHP Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.6477% 1/15/2035 (b)(c)(d)
 
1,601,217
1,603,500
Carlyle US CLO Ltd Series 2024-10A Class A1R, CME Term SOFR 3 month Index + 1.31%, 5.5795% 1/20/2038 (b)(c)(d)
 
1,648,000
1,650,942
Carlyle US CLO Ltd Series 2024-11A Class A1R, CME Term SOFR 3 month Index + 1.41%, 5.6918% 7/25/2037 (b)(c)(d)
 
2,843,000
2,850,369
Cedar Fdg Xii Clo Ltd / Cedar Fdg Xii Clo LLC Series 2025-12A Class ARR, CME Term SOFR 3 month Index + 1.2%, 5.4566% 1/25/2038 (b)(c)(d)
 
1,960,000
1,954,710
Cedar Fdg Xvii Clo Ltd Series 2023-17A Class A, CME Term SOFR 3 month Index + 1.85%, 6.1195% 7/20/2036 (b)(c)(d)
 
1,848,000
1,850,931
Cedar Funding Ltd Series 2022-15A Class A, CME Term SOFR 3 month Index + 1.32%, 5.5924% 4/20/2035 (b)(c)(d)
 
2,429,000
2,428,988
Cedar Funding Ltd Series 2024-10A Class AR2, CME Term SOFR 3 month Index + 1.36%, 5.6295% 10/20/2037 (b)(c)(d)
 
1,562,000
1,564,535
CEDF Series 2021-6A Class ARR, CME Term SOFR 3 month Index + 1.3116%, 5.5811% 4/20/2034 (b)(c)(d)
 
1,887,884
1,892,415
Clover Clo Ltd Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1%, 5.3091% 4/18/2035 (b)(c)(d)
 
2,425,000
2,411,912
Columbia Cent Clo 29 Ltd / Columbia Cent Clo 29 Corp Series 2021-29A Class AR, CME Term SOFR 3 month Index + 1.4316%, 5.7011% 10/20/2034 (b)(c)(d)
 
1,944,015
1,942,137
Dryden CLO Ltd Series 2022-98A Class A, CME Term SOFR 3 month Index + 1.3%, 5.5695% 4/20/2035 (b)(c)(d)
 
2,990,000
2,990,356
Dryden CLO Ltd Series 2024-83A Class AR, CME Term SOFR 3 month Index + 1.53%, 5.7995% 4/18/2037 (b)(c)(d)
 
2,356,000
2,363,815
Dryden CLO Ltd Series 2024-85A Class A1R2, CME Term SOFR 3 month Index + 1.38%, 5.6361% 7/15/2037 (b)(c)(d)
 
2,806,000
2,811,230
Dryden Senior Loan Fund Series 2021-90A Class A1A, CME Term SOFR 3 month Index + 1.3916%, 5.7136% 2/20/2035 (b)(c)(d)
 
2,075,083
2,076,044
Eaton Vance CLO Ltd Series 2021-1A Class A13R, CME Term SOFR 3 month Index + 1.5116%, 5.7677% 1/15/2034 (b)(c)(d)
 
444,749
445,067
Eaton Vance CLO Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.39%, 5.6461% 10/15/2037 (b)(c)(d)
 
2,219,000
2,225,708
Eaton Vance CLO Ltd Series 2024-2A Class AR2, CME Term SOFR 3 month Index + 1.38%, 5.6361% 10/15/2037 (b)(c)(d)
 
2,283,000
2,289,561
Flat Series 2025-30A Class A1, CME Term SOFR 3 month Index + 1.16%, 5.4434% 4/15/2038 (b)(c)(d)
 
2,121,000
2,116,018
Flatiron Clo 20 Ltd / Flatiron Clo 20 LLC Series 2024-1A Class AR, CME Term SOFR 3 month Index + 1.38%, 5.702% 5/20/2036 (b)(c)(d)
 
2,662,000
2,665,721
Flatiron Clo 32 Ltd Series 2025-32A Class A1, CME Term SOFR 3 month Index + 1.29%, 1.29% 10/22/2038 (b)(c)(d)(e)
 
2,133,000
2,133,000
Flatiron Clo Ltd  Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.6295% 10/19/2037 (b)(c)(d)
 
2,396,000
2,408,910
Horizon Aircraft Finance Ltd Series 2019-1 Class A, 3.721% 7/15/2039 (b)
 
971,132
938,083
Invesco Clo Ltd Series 2021-3A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.664% 10/22/2034 (b)(c)(d)
 
1,367,988
1,368,757
Invesco US CLO Series 2024-1RA Class AR, CME Term SOFR 3 month Index + 1.55%, 5.8061% 4/15/2037 (b)(c)(d)
 
2,115,000
2,121,442
Lakeside Pk Clo Ltd / Lakeside Pk Clo LLC Series 2025-1A Class A, CME Term SOFR 3 month Index + 1.15%, 5.4061% 4/15/2038 (b)(c)(d)
 
1,534,000
1,529,622
Madison Park Funding 2015 Series 2024-19A Class AR3, CME Term SOFR 3 month Index + 1.6%, 5.8724% 1/22/2037 (b)(c)(d)
 
1,000,000
1,002,921
Madison Pk Fdg L Ltd / Madison Pk Fdg L LLC Series 2021-50A Class A, CME Term SOFR 3 month Index + 1.4016%, 5.6711% 4/19/2034 (b)(c)(d)
 
2,186,940
2,189,203
Madison Pk Fdg Lii Ltd / Madison Pk Fdg Lii LLC Series 2021-52A Class A, CME Term SOFR 3 month Index + 1.3616%, 5.634% 1/22/2035 (b)(c)(d)
 
1,888,747
1,889,808
Madison Pk Fdg Lxvii Ltd / Madison Pk Fdg Lxvii LLC Series 2024-67A Class A1, CME Term SOFR 3 month Index + 1.51%, 5.7918% 4/25/2037 (b)(c)(d)
 
2,724,000
2,731,812
Madison Pk Fdg Xlv Ltd / Madison Pk Fdg Xlv LLC Series 2024-45A Class ARR, CME Term SOFR 3 month Index + 1.08%, 5.3361% 7/15/2034 (b)(c)(d)
 
1,390,072
1,391,090
MAGNE AR Series 2021-27A Class AR, CME Term SOFR 3 month Index + 1.4016%, 5.6711% 10/20/2034 (b)(c)(d)
 
461,006
461,261
Magnetite CLO LTD     Series 2025-36A Class AR, CME Term SOFR 3 month Index + 1.32%, 5.6363% 7/25/2038 (b)(c)(d)
 
2,169,000
2,176,049
Magnetite CLO Ltd Series 2024-30A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.6318% 10/25/2037 (b)(c)(d)
 
2,357,478
2,363,494
Magnetite Clo Ltd Series 2025-45A Class A1, CME Term SOFR 3 month Index + 1.15%, 5.435% 4/15/2038 (b)(c)(d)
 
1,483,000
1,487,059
Magnetite Xli Ltd Series 2024-41A Class A, CME Term SOFR 3 month Index + 1.29%, 5.603% 1/25/2038 (b)(c)(d)
 
1,342,000
1,345,001
Magnetite XXI Ltd Series 2021-21A Class AR, CME Term SOFR 3 month Index + 1.2816%, 5.5511% 4/20/2034 (b)(c)(d)
 
1,823,166
1,823,952
Magnetite Xxiii Ltd Series 2021-23A Class AR, CME Term SOFR 3 month Index + 1.3916%, 5.6734% 1/25/2035 (b)(c)(d)
 
5,340,000
5,347,311
Magnetite Xxix Ltd / Magnetite Xxix LLC Series 2024-29A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.6061% 7/15/2037 (b)(c)(d)
 
2,086,000
2,091,469
Magnetite Xxvi Ltd / Magnetite Xxvi LLC Series 2025-26A Class AR2, CME Term SOFR 3 month Index + 1.15%, 5.4163% 1/25/2038 (b)(c)(d)
 
1,997,000
2,003,175
Magnetite Xxviii Ltd Series 2025-28A Class A1RR, CME Term SOFR 3 month Index + 1.24%, 5.4961% 1/15/2038 (b)(c)(d)
 
2,717,000
2,725,396
Morgan Stanley Eaton Vance CLO Ltd / LLC Series 2025-21A Class A1, CME Term SOFR 3 month Index + 1.17%, 5.2849% 4/15/2038 (b)(c)(d)
 
2,531,000
2,535,543
Neuberger Berman Loan Advisers Clo 25 Ltd Series 2024-25A Class AR2, CME Term SOFR 3 month Index + 1.4%, 5.6695% 7/18/2038 (b)(c)(d)
 
2,147,000
2,152,939
Oak Hill Credit Partners Series 2024-13A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.6195% 7/20/2037 (b)(c)(d)
 
3,605,000
3,612,668
Oha Cr Fdg 4 Ltd / Oha Cr Fdg 4 LLC Series 2024-4A Class AR2, CME Term SOFR 3 month Index + 1.29%, 5.5624% 1/22/2038 (b)(c)(d)
 
2,452,000
2,456,879
Oha Credit Funding 14-R Ltd Series 2025-14RA Class A, CME Term SOFR 3 month Index + 1.23%, 5.6252% 4/20/2038 (b)(c)(d)
 
1,397,000
1,398,204
OHA Credit Funding 6 Ltd Series 2024-6A Class AR2, CME Term SOFR 3 month Index + 1.33%, 5.5995% 10/20/2037 (b)(c)(d)
 
1,921,000
1,927,314
OHA Credit Partners Ltd Series 2024-18A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.7695% 4/20/2037 (b)(c)(d)
 
3,069,000
3,078,388
OHA Credit Partners Ltd Series 2024-18A Class A2, CME Term SOFR 3 month Index + 1.65%, 5.9195% 4/20/2037 (b)(c)(d)
 
250,000
250,506
Oha Credit Partners VII Ltd Series 2025-7A Class AR4, CME Term SOFR 3 month Index + 1.14%, 5.462% 2/20/2038 (b)(c)(d)
 
1,936,000
1,931,830
OHA Credit Partners XVII Ltd Series 2024-17A Class A, CME Term SOFR 3 month Index + 1.32%, 5.7215% 1/18/2038 (b)(c)(d)
 
834,000
835,775
Palmer Square Ln Fdg 2025-2 Ltd / Palmer Square Ln Fdg 2025-2 LLC Series 2025-2A Class A1, CME Term SOFR 3 month Index + 0.94%, 0% 7/15/2033 (b)(c)(d)(e)
 
2,158,000
2,158,000
Palmer Square Loan Funding Ltd Series 2024-2A Class A1N, CME Term SOFR 3 month Index + 1%, 5.2561% 1/15/2033 (b)(c)(d)
 
1,178,861
1,179,043
Palmer Square Loan Funding Ltd Series 2025-1A Class A1, CME Term SOFR 3 month Index + 0.8%, 5.1206% 2/15/2033 (b)(c)(d)
 
2,428,000
2,420,043
Peace Park Clo Ltd Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.6611% 10/20/2034 (b)(c)(d)
 
760,982
761,426
Project Silver Series 2019-1 Class A, 3.967% 7/15/2044 (b)
 
1,014,508
979,111
Rockland Park Clo Ltd Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3816%, 5.6511% 4/20/2034 (b)(c)(d)
 
2,604,698
2,608,605
Rr 34 Ltd Series 2024-34RA Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.6061% 10/15/2039 (b)(c)(d)
 
1,065,000
1,069,445
Rr 7 Ltd Series 2022-7A Class A1AB, CME Term SOFR 3 month Index + 1.34%, 5.5961% 1/15/2037 (b)(c)(d)
 
2,626,000
2,630,173
Sixth Street CLO XX Ltd Series 2025-20A Class A1R, CME Term SOFR 3 month Index + 1.32%, 1.32% 7/17/2038 (b)(c)(d)
 
1,771,000
1,771,000
Symphony Clo 43 Ltd Series 2024-43A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.7761% 4/15/2037 (b)(c)(d)
 
1,886,000
1,890,760
Symphony Clo Xxvi Ltd / Symphony Clo Xxvi LLC Series 2021-26A Class AR, CME Term SOFR 3 month Index + 1.3416%, 5.6111% 4/20/2033 (b)(c)(d)
 
1,797,217
1,797,731
Thunderbolt Aircraft Lease Series 2018-A Class A, 4.147% 9/15/2038 (b)(d)
 
687,777
684,411
Thunderbolt III Aircraft Lease Ltd Series 2019-1 Class A, 3.671% 11/15/2039 (b)
 
1,065,187
1,030,961
Voya CLO Ltd Series 2023-1A Class A1, CME Term SOFR 3 month Index + 1.8%, 6.0695% 1/20/2037 (b)(c)(d)
 
2,387,000
2,395,753
Voya Clo Ltd Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.7761% 4/15/2037 (b)(c)(d)
 
1,190,000
1,195,355
Voya CLO Ltd/Voya CLO LLC Series 2025-2A Class A1RR, CME Term SOFR 3 month Index + 1.31%, 5.5904% 1/20/2038 (b)(c)(d)
 
648,000
648,938
TOTAL GRAND CAYMAN (UK OVERSEAS TER)
 
 
165,119,075
IRELAND - 0.0%
 
 
 
Volofin Finance Designated Activity Co Series 2024-1A Class A, 5.935% 6/15/2037 (b)
 
913,758
922,651
MULTI-NATIONAL - 0.1%
 
 
 
Allegro Clo Xv Ltd / Allegro Clo Vx LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.18%, 5.4911% 4/20/2038 (b)(c)(d)
 
1,736,000
1,733,967
Ares Ln Fdg V Ltd / Ares Ln Fdg V LLC Series 2024-ALF5A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.7818% 7/27/2037 (b)(c)(d)
 
2,418,000
2,425,037
TOTAL MULTI-NATIONAL
 
 
4,159,004
UNITED STATES - 1.9%
 
 
 
Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A1, 6.261% 5/16/2049 (b)
 
1,579,628
1,621,135
Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A2, 6.261% 5/16/2049 (b)
 
1,442,556
1,480,461
Aaset 2025-1 Ltd / Aaset 2025-1 LLC Series 2025-1A Class A, 5.943% 2/16/2050 (b)
 
1,295,474
1,318,850
AASET Trust Series 2019-2 Class A, 3.376% 10/16/2039 (b)
 
380,464
378,034
AASET Trust Series 2019-2 Class B, 4.458% 10/16/2039 (b)
 
75,249
73,836
AASET Trust Series 2021-1A Class A, 2.95% 11/16/2041 (b)
 
954,247
906,617
AASET Trust Series 2021-2A Class A, 2.798% 1/15/2047 (b)
 
2,439,236
2,270,115
Altde Trust Series 2025-1A Class A, 5.9% 8/15/2050 (b)
 
1,759,931
1,794,217
Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/2040 (b)
 
189,073
183,618
Blackbird Cap II Aircraft Lease Ltd / Blackbird Cap II Aircraft Lease Us L Series 2021-1A Class A, 2.443% 7/15/2046 (b)
 
1,871,153
1,754,322
Blackbird Capital Aircraft Lease Securitization Ltd Series 2016-1A Class A, 4.213% 12/16/2041 (b)(f)
 
657,965
656,838
Castlelake Aircraft Securitization Series 2018-1 Class A, 4.125% 6/15/2043 (b)
 
239,114
232,441
Castlelake Aircraft Securitization Trust Series 2019-1A Class A, 3.967% 4/15/2039 (b)
 
751,953
712,487
Castlelake Aircraft Securitization Trust Series 2019-1A Class B, 5.095% 4/15/2039 (b)
 
666,261
553,012
Castlelake Aircraft Structured Trust Series 2021-1A Class A, 3.474% 1/15/2046 (b)
 
83,721
82,480
DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/2047 (b)
 
1,714,948
1,696,408
DB Master Finance LLC Series 2021-1A Class A23, 2.791% 11/20/2051 (b)
 
4,605,945
4,015,853
DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/2051 (b)
 
849,200
817,472
Eaton Vance CLO Ltd Series 2024-1A Class AR2, CME Term SOFR 3 month Index + 1.51%, 5.7661% 7/15/2037 (b)(c)(d)
 
2,272,000
2,278,271
Gilead Aviation LLC Series 2025-1A Class A, 5.789% 3/15/2050 (b)
 
2,975,159
3,027,981
GMF Floorplan Owner Revolving Trust Series 2024-4A Class A1, 4.73% 11/15/2029 (b)
 
1,690,000
1,709,239
Green Lakes Park Clo LLC Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1.18%, 5.4618% 1/25/2038 (b)(c)(d)
 
2,081,000
2,081,006
Horizon Aircraft Finance I Limited Series 2018-1 Class A, 4.458% 12/15/2038 (b)
 
670,893
640,685
Jersey Mike's Funding Series 2019-1A Class A2, 4.433% 2/15/2050 (b)
 
3,263,688
3,234,369
Jersey Mike's Funding Series 2024-1A Class A2, 5.636% 2/15/2055 (b)
 
1,795,500
1,823,428
Pk Alift Loan Funding 3 LP Series 2024-1 Class A1, 5.842% 9/15/2039 (b)
 
428,408
433,634
Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/2049 (b)
 
1,404,270
1,336,747
Planet Fitness Master Issuer LLC Series 2022-1A Class A2I, 3.251% 12/5/2051 (b)
 
1,522,845
1,482,805
Planet Fitness Master Issuer LLC Series 2022-1A Class A2II, 4.008% 12/5/2051 (b)
 
1,360,305
1,255,295
SAPPHIRE AVIATION FINANCE Series 2020-1A Class A, 3.228% 3/15/2040 (b)
 
955,167
912,242
SBA Tower Trust Series 2020, 1.884% 7/15/2050 (b)
 
733,000
721,011
SBA Tower Trust Series 2020, 2.328% 7/15/2052 (b)
 
560,000
529,362
SLAM Ltd Series 2025-1A Class A, 5.807% 5/15/2050 (b)
 
1,465,000
1,489,493
Subway Funding LLC Series 2024-1A Class A23, 6.505% 7/30/2054 (b)
 
1,943,235
1,991,729
Subway Funding LLC Series 2024-1A Class A2I, 6.028% 7/30/2054 (b)
 
3,727,270
3,789,657
Subway Funding LLC Series 2024-1A Class A2II, 6.268% 7/30/2054 (b)
 
2,215,865
2,269,876
Subway Funding LLC Series 2024-3A Class A23, 5.914% 7/30/2054 (b)
 
2,649,685
2,621,308
Subway Funding LLC Series 2024-3A Class A2I, 5.246% 7/30/2054 (b)
 
2,763,115
2,747,324
Subway Funding LLC Series 2024-3A Class A2II, 5.566% 7/30/2054 (b)
 
1,307,430
1,302,302
Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 month Index + 0.9745%, 5.2937% 9/25/2034 (c)(d)
 
2,041
2,111
Westf 2025-A Series 2025-A Class A, 5.582% 6/15/2050 (b)
 
1,785,000
1,804,824
TOTAL UNITED STATES
 
 
60,032,895
 
TOTAL ASSET-BACKED SECURITIES
 (Cost $248,101,876)
 
 
 
248,156,371
 
 
 
 
Bank Notes - 0.1%
 
 
Principal
Amount (a)
 
Value ($)
 
UNITED STATES - 0.1%
 
 
 
Financials - 0.1%
 
 
 
Banks - 0.1%
 
 
 
Capital One NA USD SOFR Spread-Adj ICE Swap Rate 5Y + 1.73%, 5.974% 8/9/2028 (c)(d)
 
847,000
867,802
Regions Bank/Birmingham AL 6.45% 6/26/2037
 
2,368,000
2,448,051
 
 
 
 
 
TOTAL BANK NOTES
 (Cost $3,278,549)
 
 
 
3,315,853
 
 
 
 
Collateralized Mortgage Obligations - 0.0%
 
 
Principal
Amount (a)
 
Value ($)
 
UNITED STATES - 0.0%
 
 
 
Fannie Mae Mortgage pass-thru certificates Series 1999-57 Class PH, 6.5% 12/25/2029
 
9,253
9,488
Sequoia Mortgage Trust Series 2004-6 Class A3B, CME Term SOFR 6 month Index + 1.3083%, 5.5468% 7/20/2034 (c)(d)
 
343
319
TOTAL UNITED STATES
 
 
9,807
 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
 (Cost $9,275)
 
 
 
9,807
 
 
 
 
Commercial Mortgage Securities - 3.8%
 
 
Principal
Amount (a)
 
Value ($)
 
UNITED STATES - 3.8%
 
 
 
BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (b)
 
920,849
879,138
BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class BNM, 3.465% 11/5/2032 (b)
 
265,000
247,696
BAMLL Commercial Mortgage Securities Trust Series 2022-DKLX Class A, CME Term SOFR 1 month Index + 1.15%, 5.462% 1/15/2039 (b)(c)(d)
 
1,283,272
1,279,262
BAMLL Commercial Mortgage Securities Trust Series 2022-DKLX Class B, CME Term SOFR 1 month Index + 1.55%, 5.862% 1/15/2039 (b)(c)(d)
 
242,144
240,347
BAMLL Commercial Mortgage Securities Trust Series 2022-DKLX Class C, CME Term SOFR 1 month Index + 2.15%, 6.462% 1/15/2039 (b)(c)(d)
 
173,219
171,632
BANK Series 2018-BN10 Class A5, 3.688% 2/15/2061
 
118,089
115,864
BANK Series 2019-BN21 Class A5, 2.851% 10/17/2052
 
201,824
186,085
BBCMS Mortgage Trust Series 2023-C21 Class A3, 6.5058% 9/15/2056 (d)
 
1,307,000
1,405,141
Benchmark Mortgage Trust Series 2018-B4 Class A5, 4.121% 7/15/2051
 
420,518
413,905
Benchmark Mortgage Trust Series 2018-B8 Class A5, 4.2317% 1/15/2052
 
2,882,896
2,822,354
Benchmark Mortgage Trust Series 2019-B10 Class A4, 3.717% 3/15/2062
 
389,846
376,977
BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.6539% 3/15/2041 (b)(c)(d)
 
1,158,518
1,159,966
BMP Series 2024-MF23 Class A, CME Term SOFR 1 month Index + 1.3719%, 5.6837% 6/15/2041 (b)(c)(d)
 
1,665,000
1,667,081
BMP Series 2024-MF23 Class B, CME Term SOFR 1 month Index + 1.6416%, 5.9533% 6/15/2041 (b)(c)(d)
 
822,000
823,028
BMP Series 2024-MF23 Class C, CME Term SOFR 1 month Index + 1.8413%, 6.153% 6/15/2041 (b)(c)(d)
 
581,000
581,726
BPR Commercial Mortgage Trust Series 2024-PARK Class A, 5.218% 11/5/2039 (b)(d)
 
4,579,000
4,637,113
BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.7034% 3/15/2041 (b)(c)(d)
 
5,428,689
5,433,779
BX Commercial Mortgage Trust 21-SOAR Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.8028% 4/15/2037 (b)(c)(d)
 
1,583,738
1,584,727
BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 5.9531% 5/15/2041 (b)(d)
 
2,925,317
2,928,974
BX Commercial Mortgage Trust Series 2019-IMC Class A, CME Term SOFR 1 month Index + 1.0463%, 5.3583% 4/15/2034 (b)(c)(d)
 
780,087
774,236
BX Commercial Mortgage Trust Series 2019-IMC Class B, CME Term SOFR 1 month Index + 1.3463%, 5.6583% 4/15/2034 (b)(c)(d)
 
1,007,281
994,061
BX Commercial Mortgage Trust Series 2019-IMC Class C, CME Term SOFR 1 month Index + 1.6463%, 5.9583% 4/15/2034 (b)(c)(d)
 
665,897
655,076
BX Commercial Mortgage Trust Series 2019-IMC Class D, CME Term SOFR 1 month Index + 1.9463%, 6.2583% 4/15/2034 (b)(c)(d)
 
699,023
685,916
BX Commercial Mortgage Trust Series 2020-VIV2 Class C, 3.5424% 3/9/2044 (b)(d)
 
5,519,000
5,077,307
BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 5.1156% 10/15/2036 (b)(c)(d)
 
2,648,253
2,642,461
BX Commercial Mortgage Trust Series 2021-PAC Class B, CME Term SOFR 1 month Index + 1.0133%, 5.3253% 10/15/2036 (b)(c)(d)
 
396,287
394,553
BX Commercial Mortgage Trust Series 2021-PAC Class C, CME Term SOFR 1 month Index + 1.2131%, 5.5251% 10/15/2036 (b)(c)(d)
 
530,325
527,342
BX Commercial Mortgage Trust Series 2021-PAC Class D, CME Term SOFR 1 month Index + 1.4128%, 5.7248% 10/15/2036 (b)(c)(d)
 
514,682
511,465
BX Commercial Mortgage Trust Series 2021-PAC Class E, CME Term SOFR 1 month Index + 2.062%, 6.374% 10/15/2036 (b)(c)(d)
 
1,789,733
1,780,784
BX Commercial Mortgage Trust Series 2022-LP2 Class A, CME Term SOFR 1 month Index + 1.0129%, 5.3247% 2/15/2039 (b)(c)(d)
 
1,903,830
1,902,641
BX Commercial Mortgage Trust Series 2022-LP2 Class B, CME Term SOFR 1 month Index + 1.3123%, 5.6241% 2/15/2039 (b)(c)(d)
 
758,100
757,152
BX Commercial Mortgage Trust Series 2022-LP2 Class C, CME Term SOFR 1 month Index + 1.5617%, 5.8735% 2/15/2039 (b)(c)(d)
 
758,100
756,212
BX Commercial Mortgage Trust Series 2022-LP2 Class D, CME Term SOFR 1 month Index + 1.9608%, 6.2726% 2/15/2039 (b)(c)(d)
 
758,100
756,205
BX Commercial Mortgage Trust Series 2023-XL3 Class A, CME Term SOFR 1 month Index + 1.7614%, 6.0732% 12/9/2040 (b)(c)(d)
 
1,346,813
1,350,590
BX Commercial Mortgage Trust Series 2023-XL3 Class B, CME Term SOFR 1 month Index + 2.1908%, 6.5026% 12/9/2040 (b)(c)(d)
 
297,860
298,787
BX Commercial Mortgage Trust Series 2023-XL3 Class C, CME Term SOFR 1 month Index + 2.6402%, 6.9519% 12/9/2040 (b)(c)(d)
 
161,102
161,577
BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 5.6046% 12/15/2039 (b)(c)(d)
 
755,797
756,506
BX Commercial Mortgage Trust Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.7551% 4/15/2040 (b)(c)(d)
 
4,645,000
4,643,548
Bx Tr 2025-Tail Series 2025-TAIL Class A, CME Term SOFR 1 month Index + 1.4%, 5.7118% 6/15/2035 (b)(c)(d)
 
816,000
817,272
BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.7536% 4/15/2041 (b)(c)(d)
 
3,742,188
3,750,281
BX Trust 2024-CNY Series 2024-CNYN Class B, CME Term SOFR 1 month Index + 1.6915%, 6.0033% 4/15/2041 (b)(c)(d)
 
596,702
597,635
BX Trust 2024-CNY Series 2024-CNYN Class C, CME Term SOFR 1 month Index + 1.9412%, 6.2529% 4/15/2041 (b)(c)(d)
 
495,154
495,928
BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 5.4556% 3/15/2030 (b)(c)(d)
 
6,080,000
6,042,000
BX Trust 2025-ROIC Series 2025-ROIC Class B, CME Term SOFR 1 month Index + 1.3935%, 5.7052% 3/15/2030 (b)(c)(d)
 
890,000
883,325
BX Trust 2025-ROIC Series 2025-ROIC Class C, CME Term SOFR 1 month Index + 1.69%, 5.855% 3/15/2030 (b)(c)(d)
 
1,254,000
1,243,028
BX Trust Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 5.2265% 2/15/2036 (b)(c)(d)
 
278,000
277,826
BX Trust Series 2021-SOAR Class A, CME Term SOFR 1 month Index + 0.7845%, 5.0965% 6/15/2038 (b)(c)(d)
 
213,047
212,981
BX Trust Series 2022-IND Class B, CME Term SOFR 1 month Index + 1.94%, 6.2518% 4/15/2037 (b)(c)(d)
 
970,200
971,110
BX Trust Series 2022-IND Class C, CME Term SOFR 1 month Index + 2.29%, 6.6018% 4/15/2037 (b)(c)(d)
 
219,100
219,374
BX Trust Series 2022-IND Class D, CME Term SOFR 1 month Index + 2.839%, 7.1508% 4/15/2037 (b)(c)(d)
 
183,400
183,743
BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.7538% 2/15/2039 (b)(c)(d)
 
2,715,909
2,719,295
BX Trust Series 2024-XL4 Class B, CME Term SOFR 1 month Index + 1.7915%, 6.1033% 2/15/2039 (b)(c)(d)
 
350,379
351,145
BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 6.003% 3/15/2041 (b)(c)(d)
 
927,835
928,995
BX Trust Series 2024-XL5 Class C, CME Term SOFR 1 month Index + 1.9409%, 6.2526% 3/15/2041 (b)(c)(d)
 
1,231,674
1,233,213
BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 5.4618% 2/15/2035 (b)(c)(d)
 
2,038,000
2,031,122
CF Hippolyta Issuer LLC Series 2021-1A Class A1, 1.53% 3/15/2061 (b)
 
2,918,461
2,807,827
Computershare Corporate Trust Series 2018-C48 Class A5, 4.302% 1/15/2052
 
850,545
844,023
DTP Commercial Mortgage Trust Series 2023-STE2 Class A, 6.038% 1/15/2041 (b)(d)
 
563,000
576,686
ELP Commercial Mortgage Trust Series 2021-ELP Class A, CME Term SOFR 1 month Index + 0.8155%, 5.1275% 11/15/2038 (b)(c)(d)
 
3,654,041
3,649,473
ELP Commercial Mortgage Trust Series 2021-ELP Class B, CME Term SOFR 1 month Index + 1.2347%, 5.5467% 11/15/2038 (b)(c)(d)
 
1,013,820
1,012,553
Extended Stay America Trust Series 2021-ESH Class A, CME Term SOFR 1 month Index + 1.1945%, 5.5065% 7/15/2038 (b)(c)(d)
 
1,039,566
1,039,891
Extended Stay America Trust Series 2021-ESH Class B, CME Term SOFR 1 month Index + 1.4945%, 5.8065% 7/15/2038 (b)(c)(d)
 
591,832
592,016
Extended Stay America Trust Series 2021-ESH Class C, CME Term SOFR 1 month Index + 1.8145%, 6.1265% 7/15/2038 (b)(c)(d)
 
2,141,746
2,143,085
Extended Stay America Trust Series 2021-ESH Class D, CME Term SOFR 1 month Index + 2.3645%, 6.6765% 7/15/2038 (b)(c)(d)
 
880,029
881,129
GS Mortgage Securities Trust Series 2021-IP Class A, CME Term SOFR 1 month Index + 1.0645%, 5.3765% 10/15/2036 (b)(c)(d)
 
1,559,690
1,553,877
GS Mortgage Securities Trust Series 2021-IP Class B, CME Term SOFR 1 month Index + 1.2645%, 5.5765% 10/15/2036 (b)(c)(d)
 
241,085
239,587
GS Mortgage Securities Trust Series 2021-IP Class C, CME Term SOFR 1 month Index + 1.6645%, 5.9765% 10/15/2036 (b)(c)(d)
 
2,497,757
2,482,240
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class CFX, 4.9498% 7/5/2033 (b)
 
223,602
166,583
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class DFX, 5.3503% 7/5/2033 (b)
 
386,779
245,605
Life Financial Services Trust Series 2022-BMR2 Class A1, CME Term SOFR 1 month Index + 1.2952%, 5.607% 5/15/2039 (b)(c)(d)
 
3,430,000
3,322,813
Life Financial Services Trust Series 2022-BMR2 Class B, CME Term SOFR 1 month Index + 1.7939%, 6.1057% 5/15/2039 (b)(c)(d)
 
2,383,000
2,168,530
Life Financial Services Trust Series 2022-BMR2 Class C, CME Term SOFR 1 month Index + 2.0931%, 6.4049% 5/15/2039 (b)(c)(d)
 
1,335,000
1,201,500
Life Financial Services Trust Series 2022-BMR2 Class D, CME Term SOFR 1 month Index + 2.5419%, 6.8537% 5/15/2039 (b)(c)(d)
 
1,187,000
1,062,505
LIFE Mortgage Trust Series 2021-BMR Class C, CME Term SOFR 1 month Index + 1.2145%, 5.5265% 3/15/2038 (b)(c)(d)
 
36,263
36,059
LIFE Mortgage Trust Series 2021-BMR Class D, CME Term SOFR 1 month Index + 1.5145%, 5.8265% 3/15/2038 (b)(c)(d)
 
330,648
328,169
LIFE Mortgage Trust Series 2021-BMR Class E, CME Term SOFR 1 month Index + 1.8645%, 6.1765% 3/15/2038 (b)(c)(d)
 
288,995
286,105
Morgan Stanley Capital I Trust Series 2018-H4 Class A4, 4.31% 12/15/2051
 
1,895,246
1,877,187
OPEN Trust Series 2023-AIR Class A, CME Term SOFR 1 month Index + 3.0891%, 7.4008% 11/15/2040 (b)(c)(d)
 
429,800
429,934
OPEN Trust Series 2023-AIR Class B, CME Term SOFR 1 month Index + 3.838%, 8.1667% 11/15/2040 (b)(c)(d)
 
804,800
805,303
Providence Place Group LP Series 2000-C1 Class A2, 7.75% 7/20/2028 (b)
 
607,128
618,406
SPGN Mortgage Trust Series 2022-TFLM Class B, CME Term SOFR 1 month Index + 2%, 6.3118% 2/15/2039 (b)(c)(d)
 
642,000
631,982
SPGN Mortgage Trust Series 2022-TFLM Class C, CME Term SOFR 1 month Index + 2.65%, 6.9618% 2/15/2039 (b)(c)(d)
 
334,000
327,023
SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 5.157% 11/15/2038 (b)(c)(d)
 
2,830,547
2,828,779
SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 5.506% 11/15/2038 (b)(c)(d)
 
1,734,655
1,733,570
SREIT Trust Series 2021-MFP Class C, CME Term SOFR 1 month Index + 1.4435%, 5.7552% 11/15/2038 (b)(c)(d)
 
737,143
736,682
SREIT Trust Series 2021-MFP Class D, CME Term SOFR 1 month Index + 1.6927%, 6.0044% 11/15/2038 (b)(c)(d)
 
484,482
484,179
TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 5.5547% 12/15/2039 (b)(c)(d)
 
2,518,000
2,517,210
TCO Commercial Mortgage Trust Series 2024-DPM Class B, CME Term SOFR 1 month Index + 1.5924%, 5.9042% 12/15/2039 (b)(c)(d)
 
613,000
611,466
TCO Commercial Mortgage Trust Series 2024-DPM Class C, CME Term SOFR 1 month Index + 1.9919%, 6.3036% 12/15/2039 (b)(c)(d)
 
452,000
450,870
VLS Commercial Mortgage Trust Series 2020-LAB Class A, 2.13% 10/10/2042 (b)
 
1,766,729
1,500,313
VLS Commercial Mortgage Trust Series 2020-LAB Class B, 2.453% 10/10/2042 (b)
 
113,488
91,490
Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 5.6265% 5/15/2031 (b)(c)(d)
 
1,349,000
1,342,372
TOTAL UNITED STATES
 
 
118,966,509
 
TOTAL COMMERCIAL MORTGAGE SECURITIES
 (Cost $120,777,487)
 
 
 
118,966,509
 
 
 
 
Foreign Government and Government Agency Obligations - 0.0%
 
 
Principal
Amount (a)
 
Value ($)
 
SAUDI ARABIA - 0.0%
 
 
 
Kingdom of Saudi Arabia 3.25% 10/22/2030 (b)
 
966,000
905,287
Kingdom of Saudi Arabia 4.5% 4/22/2060 (b)
 
736,000
570,864
TOTAL SAUDI ARABIA
 
 
1,476,151
 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $1,691,637)
 
 
 
1,476,151
 
 
 
 
Non-Convertible Corporate Bonds - 24.1%
 
 
Principal
Amount (a)
 
Value ($)
 
AUSTRALIA - 0.1%
 
 
 
Financials - 0.1%
 
 
 
Banks - 0.1%
 
 
 
Commonwealth Bank of Australia 3.61% 9/12/2034 (b)(d)
 
802,000
759,514
Westpac Banking Corp 4.11% 7/24/2034 (d)
 
1,139,000
1,100,689
 
 
 
 
TOTAL AUSTRALIA
 
 
1,860,203
BELGIUM - 0.1%
 
 
 
Consumer Staples - 0.1%
 
 
 
Beverages - 0.1%
 
 
 
Anheuser-Busch InBev Worldwide Inc 3.5% 6/1/2030
 
1,135,000
1,094,997
Anheuser-Busch InBev Worldwide Inc 5.8% 1/23/2059
 
3,472,000
3,555,925
 
 
 
 
TOTAL BELGIUM
 
 
4,650,922
CANADA - 0.1%
 
 
 
Energy - 0.1%
 
 
 
Oil, Gas & Consumable Fuels - 0.1%
 
 
 
Canadian Natural Resources Ltd 5.85% 2/1/2035
 
766,000
778,912
Cenovus Energy Inc 3.75% 2/15/2052
 
2,600,000
1,765,659
Cenovus Energy Inc 5.25% 6/15/2037
 
1,010,000
951,497
Enbridge Inc 4.25% 12/1/2026
 
544,000
542,945
 
 
 
4,039,013
Utilities - 0.0%
 
 
 
Independent Power and Renewable Electricity Producers - 0.0%
 
 
 
Emera US Finance LP 3.55% 6/15/2026
 
580,000
573,656
TOTAL CANADA
 
 
4,612,669
FRANCE - 0.3%
 
 
 
Financials - 0.3%
 
 
 
Banks - 0.3%
 
 
 
BNP Paribas SA 5.786% 1/13/2033 (b)(d)
 
2,966,000
3,085,541
Societe Generale SA 1.488% 12/14/2026 (b)(d)
 
2,986,000
2,942,530
Societe Generale SA 5.5% 4/13/2029 (b)(d)
 
2,025,000
2,061,203
 
 
 
 
TOTAL FRANCE
 
 
8,089,274
GERMANY - 0.1%
 
 
 
Financials - 0.1%
 
 
 
Capital Markets - 0.1%
 
 
 
Deutsche Bank AG/New York NY 4.999% 9/11/2030 (d)
 
600,000
604,543
Deutsche Bank AG/New York NY 6.72% 1/18/2029 (d)
 
1,600,000
1,680,756
 
 
 
2,285,299
Health Care - 0.0%
 
 
 
Pharmaceuticals - 0.0%
 
 
 
Bayer US Finance II LLC 4.25% 12/15/2025 (b)
 
1,338,000
1,334,234
TOTAL GERMANY
 
 
3,619,533
HONG KONG - 0.0%
 
 
 
Financials - 0.0%
 
 
 
Insurance - 0.0%
 
 
 
AIA Group Ltd 3.2% 9/16/2040 (b)
 
1,070,000
822,455
IRELAND - 0.5%
 
 
 
Financials - 0.3%
 
 
 
Consumer Finance - 0.3%
 
 
 
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026
 
1,236,000
1,204,206
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3% 10/29/2028
 
1,295,000
1,233,714
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.3% 1/30/2032
 
1,385,000
1,254,796
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.45% 4/3/2026
 
959,000
957,378
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.45% 4/15/2027
 
4,054,000
4,186,088
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.5% 7/15/2025
 
1,112,000
1,112,710
 
 
 
9,948,892
Industrials - 0.2%
 
 
 
Transportation Infrastructure - 0.2%
 
 
 
Avolon Holdings Funding Ltd 4.25% 4/15/2026 (b)
 
485,000
482,184
Avolon Holdings Funding Ltd 4.375% 5/1/2026 (b)
 
1,433,000
1,424,362
Avolon Holdings Funding Ltd 5.15% 1/15/2030 (b)
 
219,000
220,593
Avolon Holdings Funding Ltd 5.375% 5/30/2030 (b)
 
1,183,000
1,203,697
Avolon Holdings Funding Ltd 6.375% 5/4/2028 (b)
 
2,774,000
2,892,594
 
 
 
6,223,430
TOTAL IRELAND
 
 
16,172,322
ITALY - 0.1%
 
 
 
Financials - 0.1%
 
 
 
Banks - 0.1%
 
 
 
Intesa Sanpaolo SpA 5.71% 1/15/2026 (b)
 
3,922,000
3,930,687
MEXICO - 0.8%
 
 
 
Energy - 0.8%
 
 
 
Oil, Gas & Consumable Fuels - 0.8%
 
 
 
Petroleos Mexicanos 4.5% 1/23/2026
 
1,632,000
1,609,560
Petroleos Mexicanos 5.95% 1/28/2031
 
1,957,000
1,764,431
Petroleos Mexicanos 6.35% 2/12/2048
 
4,049,000
2,817,699
Petroleos Mexicanos 6.49% 1/23/2027
 
1,175,000
1,166,775
Petroleos Mexicanos 6.5% 1/23/2029
 
1,705,000
1,669,007
Petroleos Mexicanos 6.5% 3/13/2027
 
1,481,000
1,470,633
Petroleos Mexicanos 6.7% 2/16/2032
 
5,440,000
5,050,497
Petroleos Mexicanos 6.75% 9/21/2047
 
3,713,000
2,689,697
Petroleos Mexicanos 6.84% 1/23/2030
 
1,194,000
1,152,091
Petroleos Mexicanos 6.95% 1/28/2060
 
2,417,000
1,737,581
Petroleos Mexicanos 7.69% 1/23/2050
 
4,972,000
3,903,020
 
 
 
 
TOTAL MEXICO
 
 
25,030,991
NETHERLANDS - 0.4%
 
 
 
Financials - 0.4%
 
 
 
Banks - 0.4%
 
 
 
ABN AMRO Bank NV 4.988% 12/3/2028 (b)(d)
 
9,000,000
9,121,199
Cooperatieve Rabobank UA 4.375% 8/4/2025
 
2,285,000
2,283,892
 
 
 
 
TOTAL NETHERLANDS
 
 
11,405,091
QATAR - 0.0%
 
 
 
Utilities - 0.0%
 
 
 
Gas Utilities - 0.0%
 
 
 
Nakilat Inc 6.067% 12/31/2033 (b)
 
409,102
427,127
SWITZERLAND - 0.3%
 
 
 
Financials - 0.3%
 
 
 
Capital Markets - 0.3%
 
 
 
UBS Group AG 1.494% 8/10/2027 (b)(d)
 
1,788,000
1,729,292
UBS Group AG 3.869% 1/12/2029 (b)(d)
 
1,233,000
1,213,971
UBS Group AG 4.125% 9/24/2025 (b)
 
1,614,000
1,611,316
UBS Group AG 4.194% 4/1/2031 (b)(d)
 
2,950,000
2,888,757
UBS Group AG 4.55% 4/17/2026
 
790,000
790,142
 
 
 
8,233,478
Insurance - 0.0%
 
 
 
Swiss Re Finance Luxembourg SA 5% 4/2/2049 (b)(d)
 
200,000
199,200
TOTAL SWITZERLAND
 
 
8,432,678
UNITED KINGDOM - 0.7%
 
 
 
Consumer Staples - 0.2%
 
 
 
Tobacco - 0.2%
 
 
 
BAT Capital Corp 6.421% 8/2/2033
 
1,030,000
1,118,601
Imperial Brands Finance PLC 4.25% 7/21/2025 (b)
 
490,000
489,834
Imperial Brands Finance PLC 6.125% 7/27/2027 (b)
 
1,136,000
1,172,487
Reynolds American Inc 5.7% 8/15/2035
 
373,000
380,767
Reynolds American Inc 6.15% 9/15/2043
 
1,227,000
1,241,306
Reynolds American Inc 7.25% 6/15/2037
 
909,000
1,016,143
 
 
 
5,419,138
Financials - 0.5%
 
 
 
Banks - 0.5%
 
 
 
Barclays PLC 5.088% 6/20/2030 (d)
 
2,253,000
2,263,857
Barclays PLC 5.2% 5/12/2026
 
1,908,000
1,916,604
Barclays PLC 5.829% 5/9/2027 (d)
 
2,670,000
2,697,186
Barclays PLC 6.224% 5/9/2034 (d)
 
2,277,000
2,416,706
Barclays PLC 6.49% 9/13/2029 (d)
 
642,000
678,763
Barclays PLC 6.692% 9/13/2034 (d)
 
3,300,000
3,602,669
NatWest Group PLC 3.073% 5/22/2028 (d)
 
1,427,000
1,391,445
 
 
 
14,967,230
Industrials - 0.0%
 
 
 
Aerospace & Defense - 0.0%
 
 
 
BAE Systems PLC 3.4% 4/15/2030 (b)
 
696,000
664,157
TOTAL UNITED KINGDOM
 
 
21,050,525
UNITED STATES - 20.6%
 
 
 
Communication Services - 2.0%
 
 
 
Diversified Telecommunication Services - 0.6%
 
 
 
AT&T Inc 2.55% 12/1/2033
 
4,584,000
3,836,377
AT&T Inc 3.65% 9/15/2059
 
712,000
477,684
AT&T Inc 3.8% 12/1/2057
 
4,678,000
3,273,203
AT&T Inc 4.3% 2/15/2030
 
859,000
856,205
AT&T Inc 4.75% 5/15/2046
 
4,816,000
4,202,280
Verizon Communications Inc 2.55% 3/21/2031
 
1,698,000
1,522,916
Verizon Communications Inc 4.78% 2/15/2035
 
2,099,000
2,044,845
Verizon Communications Inc 4.862% 8/21/2046
 
2,282,000
2,036,825
Verizon Communications Inc 5.012% 4/15/2049
 
89,000
81,630
 
 
 
18,331,965
Entertainment - 0.3%
 
 
 
Walt Disney Co/The 3.8% 3/22/2030
 
7,061,000
6,952,239
Walt Disney Co/The 4.7% 3/23/2050
 
2,229,000
1,990,305
 
 
 
8,942,544
Media - 1.0%
 
 
 
Charter Communications Operating LLC / Charter Communications Operating Capital 2.25% 1/15/2029
 
1,100,000
1,013,083
Charter Communications Operating LLC / Charter Communications Operating Capital 2.3% 2/1/2032
 
369,000
311,341
Charter Communications Operating LLC / Charter Communications Operating Capital 4.4% 4/1/2033
 
1,073,000
1,010,307
Charter Communications Operating LLC / Charter Communications Operating Capital 4.8% 3/1/2050
 
816,000
652,856
Charter Communications Operating LLC / Charter Communications Operating Capital 4.908% 7/23/2025
 
273,000
272,979
Charter Communications Operating LLC / Charter Communications Operating Capital 5.05% 3/30/2029
 
850,000
858,103
Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/2047
 
5,834,000
5,063,390
Charter Communications Operating LLC / Charter Communications Operating Capital 5.5% 4/1/2063
 
1,073,000
907,301
Charter Communications Operating LLC / Charter Communications Operating Capital 6.1% 6/1/2029
 
1,545,000
1,617,529
Charter Communications Operating LLC / Charter Communications Operating Capital 6.484% 10/23/2045
 
842,000
834,288
Charter Communications Operating LLC / Charter Communications Operating Capital 6.55% 6/1/2034
 
1,067,000
1,138,444
Comcast Corp 2.937% 11/1/2056
 
2,100,000
1,233,018
Comcast Corp 3.9% 3/1/2038
 
329,000
286,144
Comcast Corp 4.65% 7/15/2042
 
779,000
692,022
Discovery Communications LLC 3.625% 5/15/2030
 
1,843,000
1,627,093
Discovery Communications LLC 4.125% 5/15/2029
 
64,000
59,443
Discovery Communications LLC 5% 9/20/2037
 
2,600,000
1,864,584
Time Warner Cable LLC 4.5% 9/15/2042
 
283,000
225,405
Time Warner Cable LLC 5.5% 9/1/2041
 
521,000
473,729
Time Warner Cable LLC 5.875% 11/15/2040
 
460,000
441,629
Time Warner Cable LLC 6.55% 5/1/2037
 
6,199,000
6,402,446
Time Warner Cable LLC 7.3% 7/1/2038
 
1,160,000
1,264,972
Warnermedia Holdings Inc 3.755% 3/15/2027
 
184,000
178,939
Warnermedia Holdings Inc 4.054% 3/15/2029
 
406,000
377,166
Warnermedia Holdings Inc 4.279% 3/15/2032
 
1,144,000
962,390
Warnermedia Holdings Inc 5.05% 3/15/2042
 
996,000
671,055
Warnermedia Holdings Inc 5.141% 3/15/2052
 
393,000
242,678
 
 
 
30,682,334
Wireless Telecommunication Services - 0.1%
 
 
 
T-Mobile USA Inc 3.75% 4/15/2027
 
1,871,000
1,851,463
T-Mobile USA Inc 3.875% 4/15/2030
 
2,705,000
2,627,144
T-Mobile USA Inc 4.375% 4/15/2040
 
404,000
357,979
T-Mobile USA Inc 4.5% 4/15/2050
 
793,000
655,694
 
 
 
5,492,280
TOTAL COMMUNICATION SERVICES
 
 
63,449,123
 
 
 
 
Consumer Discretionary - 0.3%
 
 
 
Automobiles - 0.0%
 
 
 
General Motors Financial Co Inc 5.85% 4/6/2030
 
953,000
985,183
Hotels, Restaurants & Leisure - 0.0%
 
 
 
McDonald's Corp 3.5% 7/1/2027
 
517,000
510,629
McDonald's Corp 3.6% 7/1/2030
 
615,000
594,926
 
 
 
1,105,555
Specialty Retail - 0.3%
 
 
 
AutoNation Inc 4.75% 6/1/2030
 
234,000
232,665
AutoZone Inc 4% 4/15/2030
 
1,629,000
1,594,855
Lowe's Cos Inc 3.35% 4/1/2027
 
211,000
207,857
Lowe's Cos Inc 3.75% 4/1/2032
 
649,000
612,087
Lowe's Cos Inc 4.25% 4/1/2052
 
2,647,000
2,071,820
Lowe's Cos Inc 4.45% 4/1/2062
 
2,720,000
2,110,707
Lowe's Cos Inc 4.5% 4/15/2030
 
1,170,000
1,178,928
O'Reilly Automotive Inc 4.2% 4/1/2030
 
361,000
357,337
 
 
 
8,366,256
TOTAL CONSUMER DISCRETIONARY
 
 
10,456,994
 
 
 
 
Consumer Staples - 0.6%
 
 
 
Beverages - 0.2%
 
 
 
Molson Coors Beverage Co 3% 7/15/2026
 
2,300,000
2,265,772
Molson Coors Beverage Co 5% 5/1/2042
 
4,016,000
3,663,082
 
 
 
5,928,854
Consumer Staples Distribution & Retail - 0.3%
 
 
 
Mars Inc 4.8% 3/1/2030 (b)
 
2,106,000
2,133,799
Mars Inc 5% 3/1/2032 (b)
 
1,581,000
1,602,018
Mars Inc 5.2% 3/1/2035 (b)
 
1,314,000
1,329,741
Mars Inc 5.65% 5/1/2045 (b)
 
1,278,000
1,281,090
Mars Inc 5.7% 5/1/2055 (b)
 
2,548,000
2,541,780
 
 
 
8,888,428
Food Products - 0.0%
 
 
 
General Mills Inc 2.875% 4/15/2030
 
220,000
204,649
Tobacco - 0.1%
 
 
 
Altria Group Inc 4.25% 8/9/2042
 
1,696,000
1,378,655
Altria Group Inc 4.5% 5/2/2043
 
1,137,000
947,871
Altria Group Inc 4.8% 2/14/2029
 
311,000
314,450
Altria Group Inc 5.95% 2/14/2049
 
407,000
404,743
 
 
 
3,045,719
TOTAL CONSUMER STAPLES
 
 
18,067,650
 
 
 
 
Energy - 1.7%
 
 
 
Energy Equipment & Services - 0.0%
 
 
 
Halliburton Co 3.8% 11/15/2025
 
18,000
17,931
Halliburton Co 4.85% 11/15/2035
 
661,000
636,185
 
 
 
654,116
Oil, Gas & Consumable Fuels - 1.7%
 
 
 
Columbia Pipelines Operating Co LLC 5.927% 8/15/2030 (b)
 
394,000
415,918
Columbia Pipelines Operating Co LLC 6.036% 11/15/2033 (b)
 
1,061,000
1,113,289
Columbia Pipelines Operating Co LLC 6.497% 8/15/2043 (b)
 
317,000
327,353
Columbia Pipelines Operating Co LLC 6.544% 11/15/2053 (b)
 
571,000
590,151
Columbia Pipelines Operating Co LLC 6.714% 8/15/2063 (b)
 
342,000
360,478
DCP Midstream Operating LP 5.6% 4/1/2044
 
376,000
343,033
DCP Midstream Operating LP 6.45% 11/3/2036 (b)
 
760,000
779,585
DCP Midstream Operating LP 6.75% 9/15/2037 (b)
 
1,037,000
1,091,951
Energy Transfer LP 3.75% 5/15/2030
 
710,000
681,216
Energy Transfer LP 4.95% 6/15/2028
 
1,242,000
1,260,446
Energy Transfer LP 5% 5/15/2050
 
2,045,000
1,708,946
Energy Transfer LP 5.25% 4/15/2029
 
629,000
644,168
Energy Transfer LP 5.4% 10/1/2047
 
414,000
368,675
Energy Transfer LP 5.8% 6/15/2038
 
692,000
694,322
Energy Transfer LP 6% 6/15/2048
 
451,000
433,077
Energy Transfer LP 6.25% 4/15/2049
 
432,000
426,114
Enterprise Products Operating LLC 3.7% 2/15/2026
 
1,472,000
1,464,577
Hess Corp 4.3% 4/1/2027
 
1,500,000
1,496,482
Hess Corp 5.6% 2/15/2041
 
4,059,000
4,030,411
Hess Corp 7.125% 3/15/2033
 
308,000
348,790
Hess Corp 7.3% 8/15/2031
 
411,000
466,137
Hess Corp 7.875% 10/1/2029
 
1,346,000
1,514,844
Kinder Morgan Energy Partners LP 6.55% 9/15/2040
 
141,000
150,764
Kinder Morgan Inc 5.55% 6/1/2045
 
747,000
704,645
MPLX LP 4.8% 2/15/2029
 
345,000
348,300
MPLX LP 4.95% 9/1/2032
 
2,116,000
2,096,430
MPLX LP 5.5% 2/15/2049
 
1,036,000
935,424
Occidental Petroleum Corp 6.2% 3/15/2040
 
521,000
509,782
Occidental Petroleum Corp 6.45% 9/15/2036
 
1,412,000
1,444,649
Occidental Petroleum Corp 6.6% 3/15/2046
 
1,751,000
1,725,511
Occidental Petroleum Corp 7.5% 5/1/2031
 
2,356,000
2,593,108
ONEOK Inc 4.25% 9/24/2027
 
752,000
750,735
ONEOK Inc 4.4% 10/15/2029
 
786,000
779,979
ONEOK Inc 4.75% 10/15/2031
 
1,529,000
1,513,831
Plains All American Pipeline LP / PAA Finance Corp 3.55% 12/15/2029
 
405,000
387,122
Sabine Pass Liquefaction LLC 4.5% 5/15/2030
 
2,447,000
2,442,906
Targa Resources Corp 4.9% 9/15/2030
 
1,131,000
1,140,548
Targa Resources Corp 5.65% 2/15/2036
 
2,723,000
2,748,591
Transcontinental Gas Pipe Line Co LLC 3.25% 5/15/2030
 
312,000
294,271
Transcontinental Gas Pipe Line Co LLC 3.95% 5/15/2050
 
1,007,000
760,554
Western Gas Partners LP 4.5% 3/1/2028
 
613,000
609,259
Western Gas Partners LP 4.65% 7/1/2026
 
2,778,000
2,772,158
Western Gas Partners LP 4.75% 8/15/2028
 
354,000
353,826
Western Gas Partners LP 6.35% 1/15/2029
 
978,000
1,023,853
Williams Cos Inc/The 3.5% 11/15/2030
 
2,609,000
2,466,408
Williams Cos Inc/The 4.65% 8/15/2032
 
2,206,000
2,163,782
Williams Cos Inc/The 5.3% 8/15/2052
 
500,000
456,198
 
 
 
51,732,597
TOTAL ENERGY
 
 
52,386,713
 
 
 
 
Financials - 10.6%
 
 
 
Banks - 4.8%
 
 
 
Bank of America Corp 2.299% 7/21/2032 (d)
 
4,656,000
4,057,349
Bank of America Corp 3.419% 12/20/2028 (d)
 
5,817,000
5,686,023
Bank of America Corp 4.25% 10/22/2026
 
1,307,000
1,304,620
Bank of America Corp 4.45% 3/3/2026
 
465,000
464,505
Bank of America Corp 4.623% 5/9/2029 (d)
 
5,903,000
5,940,461
Bank of America Corp 5.015% 7/22/2033 (d)
 
17,054,000
17,253,673
Bank of America Corp 5.468% 1/23/2035 (d)
 
1,410,000
1,448,547
Citigroup Inc 4.3% 11/20/2026
 
532,000
531,231
Citigroup Inc 4.412% 3/31/2031 (d)
 
3,258,000
3,223,424
Citigroup Inc 4.45% 9/29/2027
 
5,245,000
5,250,034
Citigroup Inc 4.6% 3/9/2026
 
673,000
672,905
Citigroup Inc 4.91% 5/24/2033 (d)
 
3,492,000
3,484,174
Citigroup Inc 5.5% 9/13/2025
 
1,694,000
1,696,040
Citigroup Inc 6.174% 5/25/2034 (d)
 
1,574,000
1,647,709
Citigroup Inc 6.27% 11/17/2033 (d)
 
7,000,000
7,537,404
Citizens Financial Group Inc 2.638% 9/30/2032
 
1,490,000
1,255,416
Citizens Financial Group Inc 5.841% 1/23/2030 (d)
 
9,000,000
9,321,677
Fifth Third Bancorp 4.895% 9/6/2030 (d)
 
3,000,000
3,033,279
JPMorgan Chase & Co 2.956% 5/13/2031 (d)
 
1,324,000
1,224,303
JPMorgan Chase & Co 4.125% 12/15/2026
 
4,319,000
4,314,056
JPMorgan Chase & Co 4.493% 3/24/2031 (d)
 
3,926,000
3,921,067
JPMorgan Chase & Co 4.586% 4/26/2033 (d)
 
12,887,000
12,754,820
JPMorgan Chase & Co 4.912% 7/25/2033 (d)
 
5,229,000
5,259,272
JPMorgan Chase & Co 5.103% 4/22/2031 (d)
 
2,202,000
2,256,619
JPMorgan Chase & Co 5.14% 1/24/2031 (d)
 
4,500,000
4,614,655
JPMorgan Chase & Co 5.572% 4/22/2036 (d)
 
2,615,000
2,710,038
JPMorgan Chase & Co 5.717% 9/14/2033 (d)
 
2,500,000
2,605,744
Santander Holdings USA Inc 2.49% 1/6/2028 (d)
 
1,754,000
1,697,909
Santander Holdings USA Inc 6.499% 3/9/2029 (d)
 
2,600,000
2,710,955
Wells Fargo & Co 3.526% 3/24/2028 (d)
 
2,893,000
2,852,857
Wells Fargo & Co 4.478% 4/4/2031 (d)
 
4,386,000
4,365,302
Wells Fargo & Co 4.897% 7/25/2033 (d)
 
5,000,000
5,000,972
Wells Fargo & Co 5.013% 4/4/2051 (d)
 
4,931,000
4,489,762
Wells Fargo & Co 5.15% 4/23/2031 (d)
 
2,981,000
3,053,030
Wells Fargo & Co 5.244% 1/24/2031 (d)
 
4,173,000
4,280,820
Wells Fargo & Co 5.499% 1/23/2035 (d)
 
1,539,000
1,578,272
Wells Fargo & Co 5.605% 4/23/2036 (d)
 
2,633,000
2,717,834
 
 
 
146,216,758
Capital Markets - 3.2%
 
 
 
Ares Strategic Income Fund 5.45% 9/9/2028 (b)
 
1,840,000
1,840,903
Ares Strategic Income Fund 5.7% 3/15/2028
 
8,922,000
8,994,108
Ares Strategic Income Fund 5.8% 9/9/2030 (b)
 
1,489,000
1,494,202
Athene Global Funding 5.339% 1/15/2027 (b)
 
4,132,000
4,180,856
Athene Global Funding 5.583% 1/9/2029 (b)
 
2,079,000
2,137,019
Blackstone Private Credit Fund 7.05% 9/29/2025
 
2,656,000
2,670,623
Blackstone Private Credit Fund 7.3% 11/27/2028
 
3,100,000
3,306,134
Goldman Sachs Group Inc/The 2.383% 7/21/2032 (d)
 
2,893,000
2,526,590
Goldman Sachs Group Inc/The 3.102% 2/24/2033 (d)
 
4,837,000
4,353,526
Goldman Sachs Group Inc/The 3.691% 6/5/2028 (d)
 
12,774,000
12,592,427
Goldman Sachs Group Inc/The 3.8% 3/15/2030
 
4,751,000
4,636,335
Goldman Sachs Group Inc/The 4.25% 10/21/2025
 
696,000
695,146
Goldman Sachs Group Inc/The 6.75% 10/1/2037
 
689,000
756,370
HPS Corporate Lending Fund 5.45% 1/14/2028
 
5,651,000
5,666,928
Moody's Corp 3.25% 1/15/2028
 
732,000
716,659
Morgan Stanley 3.125% 7/27/2026
 
6,737,000
6,652,771
Morgan Stanley 3.622% 4/1/2031 (d)
 
3,078,000
2,951,671
Morgan Stanley 3.625% 1/20/2027
 
3,374,000
3,344,942
Morgan Stanley 4.431% 1/23/2030 (d)
 
1,348,000
1,346,105
Morgan Stanley 4.889% 7/20/2033 (d)
 
6,522,000
6,528,576
Morgan Stanley 5% 11/24/2025
 
4,489,000
4,495,733
Morgan Stanley 5.192% 4/17/2031 (d)
 
1,996,000
2,046,159
Morgan Stanley 5.25% 4/21/2034 (d)
 
2,830,000
2,878,812
Morgan Stanley 5.424% 7/21/2034 (d)
 
3,524,000
3,609,994
Morgan Stanley 5.664% 4/17/2036 (d)
 
1,583,000
1,640,380
Morgan Stanley 6.296% 10/18/2028 (d)
 
2,500,000
2,604,190
Morgan Stanley 6.342% 10/18/2033 (d)
 
5,000,000
5,428,539
Sixth Street Specialty Lending Inc 6.125% 3/1/2029
 
1,118,000
1,144,435
 
 
 
101,240,133
Consumer Finance - 1.1%
 
 
 
Ally Financial Inc 5.543% 1/17/2031 (d)
 
451,000
457,337
Ally Financial Inc 5.737% 5/15/2029 (d)
 
555,000
564,881
Ally Financial Inc 6.184% 7/26/2035 (d)
 
2,021,000
2,061,376
Ally Financial Inc 6.7% 2/14/2033
 
2,979,000
3,103,923
Ally Financial Inc 7.1% 11/15/2027
 
2,560,000
2,697,606
Ally Financial Inc 8% 11/1/2031
 
829,000
943,916
Capital One Financial Corp 3.273% 3/1/2030 (d)
 
1,912,000
1,828,845
Capital One Financial Corp 3.65% 5/11/2027
 
4,134,000
4,089,814
Capital One Financial Corp 3.8% 1/31/2028
 
2,165,000
2,136,429
Capital One Financial Corp 4.1% 2/9/2027
 
875,000
870,902
Capital One Financial Corp 4.5% 1/30/2026
 
1,437,000
1,436,306
Capital One Financial Corp 4.927% 5/10/2028 (d)
 
2,300,000
2,316,837
Capital One Financial Corp 4.985% 7/24/2026 (d)
 
2,151,000
2,150,903
Capital One Financial Corp 5.247% 7/26/2030 (d)
 
2,770,000
2,831,699
Capital One Financial Corp 5.468% 2/1/2029 (d)
 
1,952,000
1,998,807
Capital One Financial Corp 5.817% 2/1/2034 (d)
 
2,680,000
2,764,741
Synchrony Financial 3.95% 12/1/2027
 
2,356,000
2,316,713
 
 
 
34,571,035
Financial Services - 0.7%
 
 
 
Corebridge Financial Inc 3.65% 4/5/2027
 
2,280,000
2,249,839
Corebridge Financial Inc 3.85% 4/5/2029
 
904,000
885,741
Corebridge Financial Inc 3.9% 4/5/2032
 
1,076,000
1,009,945
Corebridge Financial Inc 4.35% 4/5/2042
 
245,000
205,642
Corebridge Financial Inc 4.4% 4/5/2052
 
724,000
578,434
Corebridge Global Funding 4.9% 12/3/2029 (b)
 
3,000,000
3,042,187
Corebridge Global Funding 5.9% 9/19/2028 (b)
 
1,659,000
1,733,348
Equitable Holdings Inc 4.35% 4/20/2028
 
1,304,000
1,301,524
Equitable Holdings Inc 4.572% 2/15/2029 (b)
 
450,000
448,968
Jackson Financial Inc 3.125% 11/23/2031
 
273,000
241,684
Jackson Financial Inc 5.17% 6/8/2027
 
1,014,000
1,027,454
Jackson Financial Inc 5.67% 6/8/2032
 
1,092,000
1,113,917
JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3% 5/15/2032
 
3,400,000
2,976,571
JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3.625% 1/15/2032
 
320,000
292,605
JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 5.125% 2/1/2028
 
1,340,000
1,367,336
JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 5.5% 1/15/2030
 
122,000
124,795
Pine Street Trust II 5.568% 2/15/2049 (b)
 
1,748,000
1,595,955
Sixth Street Lending Partners 6.125% 7/15/2030 (b)
 
1,928,000
1,963,225
 
 
 
22,159,170
Insurance - 0.8%
 
 
 
Five Corners Funding Trust II 2.85% 5/15/2030 (b)
 
3,419,000
3,173,812
Liberty Mutual Group Inc 4.569% 2/1/2029 (b)
 
1,255,000
1,255,813
Marsh & McLennan Cos Inc 4.375% 3/15/2029
 
1,220,000
1,224,682
Marsh & McLennan Cos Inc 4.75% 3/15/2039
 
560,000
532,073
Massachusetts Mutual Life Insurance Co 3.729% 10/15/2070 (b)
 
1,782,000
1,178,892
MetLife Inc 5.3% 12/15/2034
 
4,063,000
4,173,830
Pacific LifeCorp 5.125% 1/30/2043 (b)
 
1,611,000
1,490,917
Reinsurance Group of America Inc 6% 9/15/2033
 
3,764,000
3,945,316
Teachers Insurance & Annuity Association of America 4.9% 9/15/2044 (b)
 
1,640,000
1,474,275
Unum Group 3.875% 11/5/2025
 
1,491,000
1,485,477
Unum Group 4% 6/15/2029
 
1,353,000
1,328,070
Unum Group 4.046% 8/15/2041 (b)
 
101,000
80,691
Unum Group 5.75% 8/15/2042
 
2,118,000
2,041,822
Western-Southern Global Funding 4.9% 5/1/2030 (b)
 
871,000
879,194
 
 
 
24,264,864
TOTAL FINANCIALS
 
 
328,451,960
 
 
 
 
Health Care - 1.1%
 
 
 
Biotechnology - 0.1%
 
 
 
Amgen Inc 5.15% 3/2/2028
 
1,463,000
1,494,837
Amgen Inc 5.25% 3/2/2030
 
1,336,000
1,376,590
Amgen Inc 5.25% 3/2/2033
 
1,508,000
1,544,227
 
 
 
4,415,654
Health Care Providers & Services - 0.9%
 
 
 
Centene Corp 2.45% 7/15/2028
 
3,009,000
2,794,263
Centene Corp 2.625% 8/1/2031
 
1,403,000
1,202,095
Centene Corp 3.375% 2/15/2030
 
1,564,000
1,440,496
Centene Corp 4.25% 12/15/2027
 
1,762,000
1,735,301
Centene Corp 4.625% 12/15/2029
 
2,738,000
2,663,068
Cigna Group/The 3.05% 10/15/2027
 
982,000
956,916
Cigna Group/The 4.375% 10/15/2028
 
1,860,000
1,862,237
Cigna Group/The 4.8% 8/15/2038
 
1,158,000
1,088,673
Cigna Group/The 4.9% 12/15/2048
 
1,157,000
1,010,105
CVS Health Corp 3% 8/15/2026
 
192,000
188,961
CVS Health Corp 3.625% 4/1/2027
 
551,000
544,069
CVS Health Corp 4.78% 3/25/2038
 
1,830,000
1,679,444
CVS Health Corp 5% 1/30/2029
 
1,114,000
1,130,946
CVS Health Corp 5.25% 1/30/2031
 
457,000
467,235
HCA Inc 3.5% 9/1/2030
 
1,260,000
1,191,498
HCA Inc 3.625% 3/15/2032
 
287,000
264,724
HCA Inc 5.625% 9/1/2028
 
1,311,000
1,349,050
HCA Inc 5.875% 2/1/2029
 
1,446,000
1,500,748
Humana Inc 3.7% 3/23/2029
 
827,000
801,452
Sabra Health Care LP 3.2% 12/1/2031
 
2,870,000
2,557,523
Toledo Hospital/The Series 2018 B, 5.325% 11/15/2028
 
647,000
644,977
 
 
 
27,073,781
Pharmaceuticals - 0.1%
 
 
 
Elanco Animal Health Inc 6.65% 8/28/2028 (d)
 
409,000
425,449
Mylan Inc 4.55% 4/15/2028
 
1,227,000
1,216,793
Utah Acquisition Sub Inc 3.95% 6/15/2026
 
472,000
467,541
 
 
 
2,109,783
TOTAL HEALTH CARE
 
 
33,599,218
 
 
 
 
Industrials - 0.4%
 
 
 
Aerospace & Defense - 0.3%
 
 
 
Boeing Co 5.04% 5/1/2027
 
909,000
915,772
Boeing Co 5.15% 5/1/2030
 
909,000
925,452
Boeing Co 5.705% 5/1/2040
 
920,000
908,904
Boeing Co 5.805% 5/1/2050
 
920,000
882,281
Boeing Co 5.93% 5/1/2060
 
908,000
863,110
Boeing Co 6.259% 5/1/2027
 
645,000
663,586
Boeing Co 6.298% 5/1/2029
 
827,000
874,264
Boeing Co 6.388% 5/1/2031
 
626,000
672,759
Boeing Co 6.528% 5/1/2034
 
670,000
727,974
Boeing Co 6.858% 5/1/2054
 
1,009,000
1,104,569
Boeing Co 7.008% 5/1/2064
 
952,000
1,045,626
 
 
 
9,584,297
Building Products - 0.0%
 
 
 
Carrier Global Corp 5.9% 3/15/2034
 
262,000
278,939
Carrier Global Corp 6.2% 3/15/2054
 
163,000
174,655
 
 
 
453,594
Professional Services - 0.0%
 
 
 
Paychex Inc 5.1% 4/15/2030
 
271,000
277,552
Paychex Inc 5.35% 4/15/2032
 
377,000
387,121
Paychex Inc 5.6% 4/15/2035
 
294,000
303,897
 
 
 
968,570
Trading Companies & Distributors - 0.1%
 
 
 
Air Lease Corp 3.375% 7/1/2025
 
1,977,000
1,977,000
TOTAL INDUSTRIALS
 
 
12,983,461
 
 
 
 
Information Technology - 0.8%
 
 
 
Electronic Equipment, Instruments & Components - 0.0%
 
 
 
Dell International LLC / EMC Corp 6.02% 6/15/2026
 
342,000
345,232
Dell International LLC / EMC Corp 6.1% 7/15/2027
 
729,000
753,427
Dell International LLC / EMC Corp 6.2% 7/15/2030
 
631,000
675,233
 
 
 
1,773,892
Semiconductors & Semiconductor Equipment - 0.5%
 
 
 
Broadcom Inc 1.95% 2/15/2028 (b)
 
510,000
481,001
Broadcom Inc 2.45% 2/15/2031 (b)
 
4,340,000
3,880,806
Broadcom Inc 2.6% 2/15/2033 (b)
 
4,340,000
3,712,151
Broadcom Inc 3.419% 4/15/2033 (b)
 
392,000
355,516
Broadcom Inc 3.5% 2/15/2041 (b)
 
3,113,000
2,467,202
Broadcom Inc 3.75% 2/15/2051 (b)
 
1,645,000
1,230,469
Marvell Technology Inc 4.75% 7/15/2030
 
807,000
810,573
Marvell Technology Inc 5.45% 7/15/2035
 
1,313,000
1,322,137
 
 
 
14,259,855
Software - 0.3%
 
 
 
Oracle Corp 1.65% 3/25/2026
 
1,992,000
1,951,266
Oracle Corp 2.3% 3/25/2028
 
3,147,000
2,986,866
Oracle Corp 2.8% 4/1/2027
 
1,797,000
1,751,671
Oracle Corp 3.6% 4/1/2040
 
1,797,000
1,438,277
 
 
 
8,128,080
TOTAL INFORMATION TECHNOLOGY
 
 
24,161,827
 
 
 
 
Materials - 0.1%
 
 
 
Chemicals - 0.1%
 
 
 
Celanese US Holdings LLC 6.85% 11/15/2028 (d)
 
1,381,000
1,451,122
Celanese US Holdings LLC 7.05% 11/15/2030 (d)
 
1,399,000
1,472,386
Celanese US Holdings LLC 7.2% 11/15/2033 (d)
 
817,000
867,294
 
 
 
3,790,802
Real Estate - 2.2%
 
 
 
Diversified REITs - 0.4%
 
 
 
Piedmont Operating Partnership LP 2.75% 4/1/2032
 
451,000
375,578
Store Capital LLC 2.75% 11/18/2030
 
2,676,000
2,358,231
Store Capital LLC 4.625% 3/15/2029
 
550,000
540,874
VICI Properties LP 4.75% 2/15/2028
 
2,029,000
2,040,128
VICI Properties LP 4.75% 4/1/2028
 
496,000
500,057
VICI Properties LP 4.95% 2/15/2030
 
2,648,000
2,663,491
VICI Properties LP 5.125% 5/15/2032
 
720,000
717,350
VICI Properties LP 5.75% 4/1/2034
 
374,000
382,322
Vornado Realty LP 2.15% 6/1/2026
 
578,000
561,453
WP Carey Inc 2.4% 2/1/2031
 
1,166,000
1,025,248
WP Carey Inc 3.85% 7/15/2029
 
391,000
380,484
 
 
 
11,545,216
Health Care REITs - 0.8%
 
 
 
Alexandria Real Estate Equities Inc 4.9% 12/15/2030
 
1,278,000
1,287,126
Healthcare Realty Holdings LP 3.1% 2/15/2030
 
402,000
372,835
Healthcare Realty Holdings LP 3.5% 8/1/2026
 
419,000
413,750
Healthpeak OP LLC 3.25% 7/15/2026
 
176,000
173,888
Healthpeak OP LLC 3.5% 7/15/2029
 
201,000
194,043
Omega Healthcare Investors Inc 3.25% 4/15/2033
 
1,822,000
1,572,854
Omega Healthcare Investors Inc 3.375% 2/1/2031
 
810,000
741,210
Omega Healthcare Investors Inc 3.625% 10/1/2029
 
1,814,000
1,726,776
Omega Healthcare Investors Inc 4.5% 4/1/2027
 
4,967,000
4,976,894
Omega Healthcare Investors Inc 4.75% 1/15/2028
 
1,958,000
1,966,375
Omega Healthcare Investors Inc 5.25% 1/15/2026
 
1,744,000
1,744,861
Ventas Realty LP 3% 1/15/2030
 
2,340,000
2,195,975
Ventas Realty LP 4% 3/1/2028
 
688,000
681,606
Ventas Realty LP 4.125% 1/15/2026
 
478,000
476,050
Ventas Realty LP 4.375% 2/1/2045
 
234,000
191,088
Ventas Realty LP 4.75% 11/15/2030
 
3,072,000
3,083,826
 
 
 
21,799,157
Industrial REITs - 0.0%
 
 
 
LXP Industrial Trust 2.7% 9/15/2030
 
560,000
501,838
Office REITs - 0.2%
 
 
 
Boston Properties LP 3.25% 1/30/2031
 
1,190,000
1,090,474
Boston Properties LP 4.5% 12/1/2028
 
1,193,000
1,183,585
Boston Properties LP 6.75% 12/1/2027
 
1,655,000
1,737,903
COPT Defense Properties LP 2% 1/15/2029
 
199,000
181,302
COPT Defense Properties LP 2.25% 3/15/2026
 
510,000
500,274
COPT Defense Properties LP 2.75% 4/15/2031
 
509,000
450,207
Hudson Pacific Properties LP 4.65% 4/1/2029
 
2,374,000
2,132,952
 
 
 
7,276,697
Real Estate Management & Development - 0.3%
 
 
 
Brandywine Operating Partnership LP 3.95% 11/15/2027
 
1,415,000
1,377,417
Brandywine Operating Partnership LP 4.55% 10/1/2029
 
1,792,000
1,687,823
Brandywine Operating Partnership LP 8.3% 3/15/2028
 
2,334,000
2,502,452
CBRE Services Inc 2.5% 4/1/2031
 
1,708,000
1,509,485
Tanger Properties LP 2.75% 9/1/2031
 
1,346,000
1,180,317
Tanger Properties LP 3.125% 9/1/2026
 
1,874,000
1,840,042
 
 
 
10,097,536
Residential REITs - 0.2%
 
 
 
American Homes 4 Rent LP 2.375% 7/15/2031
 
231,000
201,147
American Homes 4 Rent LP 3.625% 4/15/2032
 
989,000
912,549
American Homes 4 Rent LP 5.5% 7/15/2034
 
3,001,000
3,041,046
Invitation Homes Operating Partnership LP 4.15% 4/15/2032
 
1,453,000
1,375,413
Sun Communities Operating LP 2.3% 11/1/2028
 
512,000
478,600
Sun Communities Operating LP 2.7% 7/15/2031
 
1,323,000
1,172,480
 
 
 
7,181,235
Retail REITs - 0.3%
 
 
 
Brixmor Operating Partnership LP 4.05% 7/1/2030
 
1,554,000
1,507,560
Brixmor Operating Partnership LP 4.125% 5/15/2029
 
1,549,000
1,523,132
Brixmor Operating Partnership LP 4.125% 6/15/2026
 
1,425,000
1,419,572
Kite Realty Group Trust 4.75% 9/15/2030
 
2,980,000
2,974,585
Phillips Edison Grocery Center Operating Partnership I LP 5.75% 7/15/2034
 
473,000
486,511
Realty Income Corp 2.2% 6/15/2028
 
244,000
230,359
Realty Income Corp 2.85% 12/15/2032
 
301,000
263,433
Realty Income Corp 3.25% 1/15/2031
 
313,000
293,384
Realty Income Corp 3.4% 1/15/2028
 
489,000
479,522
Simon Property Group LP 2.45% 9/13/2029
 
499,000
463,685
 
 
 
9,641,743
TOTAL REAL ESTATE
 
 
68,043,422
 
 
 
 
Utilities - 0.8%
 
 
 
Electric Utilities - 0.5%
 
 
 
Alabama Power Co 3.05% 3/15/2032
 
2,030,000
1,851,276
Cleco Corporate Holdings LLC 3.375% 9/15/2029
 
1,057,000
982,802
Cleco Corporate Holdings LLC 3.743% 5/1/2026
 
4,043,000
4,014,395
Consolidated Edison Co of New York Inc 3.35% 4/1/2030
 
242,000
232,577
Duke Energy Corp 2.45% 6/1/2030
 
854,000
774,953
Duquesne Light Holdings Inc 2.532% 10/1/2030 (b)
 
405,000
358,009
Duquesne Light Holdings Inc 2.775% 1/7/2032 (b)
 
1,402,000
1,208,918
Entergy Corp 2.8% 6/15/2030
 
876,000
809,179
Exelon Corp 2.75% 3/15/2027
 
449,000
438,086
Exelon Corp 3.35% 3/15/2032
 
546,000
503,662
Exelon Corp 4.05% 4/15/2030
 
534,000
525,319
Exelon Corp 4.1% 3/15/2052
 
404,000
309,731
Exelon Corp 4.7% 4/15/2050
 
238,000
200,639
Southern Co/The 4.85% 3/15/2035
 
1,930,000
1,886,697
Southern Co/The 5.7% 3/15/2034
 
2,053,000
2,145,329
 
 
 
16,241,572
Independent Power and Renewable Electricity Producers - 0.1%
 
 
 
AES Corp/The 2.45% 1/15/2031
 
673,000
588,365
AES Corp/The 3.95% 7/15/2030 (b)
 
2,298,000
2,184,770
 
 
 
2,773,135
Multi-Utilities - 0.2%
 
 
 
NiSource Inc 2.95% 9/1/2029
 
2,624,000
2,475,499
NiSource Inc 3.6% 5/1/2030
 
1,602,000
1,536,600
Puget Energy Inc 4.1% 6/15/2030
 
1,032,000
996,830
Puget Energy Inc 4.224% 3/15/2032
 
1,875,000
1,764,588
 
 
 
6,773,517
TOTAL UTILITIES
 
 
25,788,224
 
 
 
 
TOTAL UNITED STATES
 
 
641,179,394
 
TOTAL NON-CONVERTIBLE CORPORATE BONDS
 (Cost $778,184,001)
 
 
 
751,283,871
 
 
 
 
U.S. Government Agency - Mortgage Securities - 21.1%
 
 
Principal
Amount (a)
 
Value ($)
 
UNITED STATES - 21.1%
 
 
 
Fannie Mae 2.5% 1/1/2052
 
253,148
211,632
Fannie Mae 2.5% 4/1/2052
 
1,370,113
1,149,275
Fannie Mae 2.5% 6/1/2052
 
813,945
687,585
Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.48%, 7.48% 7/1/2034 (c)(d)
 
724
739
Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.553%, 7.428% 6/1/2036 (c)(d)
 
857
879
Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.643%, 6.905% 11/1/2036 (c)(d)
 
12,768
13,125
Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.645%, 6.395% 5/1/2036 (c)(d)
 
10,161
10,458
Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.7%, 6.564% 6/1/2042 (c)(d)
 
10,053
10,449
Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.814% 7/1/2035 (c)(d)
 
917
943
Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.788%, 6.788% 2/1/2036 (c)(d)
 
5,559
5,742
Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 7.622% 7/1/2041 (c)(d)
 
2,495
2,599
Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 7.318% 9/1/2041 (c)(d)
 
4,589
4,779
Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 7.569% 7/1/2041 (c)(d)
 
5,578
5,817
Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.82%, 6.695% 12/1/2035 (c)(d)
 
5,946
6,144
Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.83%, 7.33% 10/1/2041 (c)(d)
 
1,492
1,536
Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.95%, 7.385% 9/1/2036 (c)(d)
 
10,797
11,179
Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.955%, 6.738% 7/1/2037 (c)(d)
 
3,778
3,924
Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 1.945%, 6.995% 10/1/2033 (c)(d)
 
14,660
14,878
Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.208%, 6.458% 3/1/2035 (c)(d)
 
1,221
1,250
Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.224%, 6.508% 8/1/2036 (c)(d)
 
18,028
18,457
Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.277%, 7.24% 10/1/2033 (c)(d)
 
1,641
1,674
Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.464%, 6.711% 5/1/2035 (c)(d)
 
2,078
2,129
Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036
 
592,071
528,575
Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041
 
97,528
81,166
Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035
 
1,264,918
1,129,263
Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035
 
1,203,491
1,079,313
Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035
 
655,993
585,642
Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035
 
12,720
11,408
Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040
 
94,284
78,593
Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041
 
1,746,587
1,440,834
Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035
 
1,252,246
1,117,950
Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035
 
13,203
11,787
Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040
 
95,527
79,565
Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036
 
298,143
266,169
Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036
 
14,741
13,160
Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036
 
13,907
12,415
Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2041
 
99,514
82,752
Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036
 
162,144
144,755
Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036
 
17,356
15,495
Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041
 
101,593
84,421
Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036
 
356,220
318,018
Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036
 
17,876
15,959
Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036
 
15,386
13,712
Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036
 
19,594
17,462
Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036
 
18,808
16,762
Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051
 
821,055
617,493
Fannie Mae Mortgage pass-thru certificates 1.5% 7/1/2036
 
15,973
14,235
Fannie Mae Mortgage pass-thru certificates 1.5% 8/1/2036
 
19,810
17,642
Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2036
 
20,549
18,300
Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051
 
202,421
161,577
Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052
 
4,628,410
3,714,752
Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052
 
2,016,198
1,612,526
Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052
 
313,228
248,851
Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052
 
65,536
52,292
Fannie Mae Mortgage pass-thru certificates 2% 10/1/2035
 
742,861
682,516
Fannie Mae Mortgage pass-thru certificates 2% 10/1/2040
 
40,134
34,683
Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041
 
1,539,746
1,315,617
Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041
 
1,530,841
1,309,891
Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041
 
323,498
276,788
Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050
 
183,737
148,615
Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051
 
1,340,532
1,076,746
Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051
 
997,350
804,835
Fannie Mae Mortgage pass-thru certificates 2% 11/1/2040
 
2,429,585
2,097,021
Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041
 
1,469,752
1,256,952
Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041
 
716,595
613,178
Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041
 
573,708
490,835
Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041
 
329,087
281,453
Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050
 
135,653
108,705
Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040
 
140,632
121,683
Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040
 
15,092
13,017
Fannie Mae Mortgage pass-thru certificates 2% 12/1/2041
 
777,142
663,666
Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050
 
737,745
589,807
Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051
 
2,759,510
2,214,777
Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051
 
785,945
629,816
Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051
 
545,818
438,072
Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051
 
305,228
246,024
Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041
 
16,065
13,837
Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051
 
1,530,941
1,222,989
Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051
 
16,865
13,483
Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052
 
4,761,389
3,805,114
Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052
 
734,995
586,460
Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041
 
16,450
14,159
Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051
 
17,655
14,104
Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041
 
47,691
41,260
Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051
 
1,897,679
1,512,992
Fannie Mae Mortgage pass-thru certificates 2% 5/1/2042
 
12,117,043
10,442,209
Fannie Mae Mortgage pass-thru certificates 2% 6/1/2036
 
372,085
340,581
Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041
 
35,000
30,255
Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041
 
17,625
15,135
Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041
 
676,851
580,500
Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041
 
489,124
418,684
Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041
 
460,194
396,522
Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050
 
4,736,856
3,788,468
Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050
 
175,896
141,503
Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050
 
150,636
120,947
Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051
 
60,059
48,184
Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051
 
48,981
39,374
Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051
 
33,913
27,081
Fannie Mae Mortgage pass-thru certificates 2% 8/1/2041
 
931,060
796,946
Fannie Mae Mortgage pass-thru certificates 2% 8/1/2041
 
749,600
642,465
Fannie Mae Mortgage pass-thru certificates 2% 8/1/2041
 
93,634
80,188
Fannie Mae Mortgage pass-thru certificates 2% 9/1/2041
 
484,693
414,622
Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2033
 
24,193
23,171
Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043
 
514,236
453,334
Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051
 
467,405
391,629
Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052
 
380,215
316,554
Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2039
 
95,337
85,773
Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2041
 
390,686
347,504
Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2050
 
2,685,775
2,270,500
Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051
 
2,687,737
2,237,723
Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051
 
144,769
121,344
Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032
 
28,262
27,079
Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2036
 
2,032,659
1,900,435
Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2040
 
327,176
292,260
Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041
 
209,858
185,500
Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041
 
136,754
120,944
Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051
 
3,111,571
2,590,593
Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051
 
1,874,969
1,575,100
Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051
 
1,308,896
1,095,880
Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051
 
1,009,294
845,037
Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051
 
1,279,987
1,071,676
Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051
 
755,561
634,723
Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051
 
683,828
573,607
Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035
 
151,946
143,629
Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035
 
51,378
48,566
Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2041
 
289,304
257,415
Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040
 
89,498
80,086
Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2047
 
86,055
72,830
Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050
 
421,252
353,486
Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052
 
494,580
415,326
Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2041
 
271,578
241,562
Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051
 
1,055,399
894,522
Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052
 
566,281
471,113
Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052
 
523,675
438,941
Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052
 
415,107
348,847
Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2040
 
65,958
59,015
Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041
 
110,410
98,393
Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2046
 
51,913
44,016
Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051
 
4,685,323
3,925,740
Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051
 
1,237,286
1,045,204
Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051
 
1,149,348
960,142
Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2053
 
290,444
241,633
Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2033
 
19,648
18,799
Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2050
 
375,349
317,430
Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2031
 
1,858,609
1,791,360
Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041
 
410,822
365,363
Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041
 
187,102
166,031
Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2039
 
20,412
18,362
Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2041
 
663,165
589,897
Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051
 
167,463
139,686
Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2036
 
40,338
37,727
Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2041
 
176,775
156,592
Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035
 
356,558
343,235
Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035
 
62,622
60,420
Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043
 
63,580
58,041
Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043
 
58,532
53,547
Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043
 
48,069
43,824
Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043
 
23,488
21,623
Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043
 
14,468
13,291
Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043
 
11,363
10,350
Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043
 
11,286
10,320
Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043
 
10,285
9,363
Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043
 
8,591
7,842
Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043
 
8,403
7,698
Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043
 
7,884
7,204
Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043
 
7,858
7,181
Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043
 
3,689
3,339
Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051
 
536,320
468,993
Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046
 
624,127
558,454
Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049
 
273,519
241,747
Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051
 
937,578
819,585
Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032
 
10,929
10,597
Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042
 
18,719
17,043
Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042
 
9,273
8,491
Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042
 
8,259
7,599
Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042
 
7,900
7,324
Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042
 
7,114
6,437
Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046
 
799,622
715,482
Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046
 
770,407
689,341
Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050
 
103,934
90,886
Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051
 
1,221,824
1,070,731
Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051
 
749,015
656,859
Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032
 
149,753
145,179
Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034
 
484,851
466,735
Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034
 
138,008
133,154
Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042
 
62,015
56,647
Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042
 
35,678
32,620
Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042
 
25,698
23,397
Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042
 
25,595
23,369
Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042
 
25,408
23,228
Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042
 
24,567
22,260
Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042
 
23,917
21,865
Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042
 
10,545
9,725
Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042
 
8,081
7,385
Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042
 
7,026
6,421
Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042
 
5,131
4,641
Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042
 
3,225
2,974
Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050
 
973,041
850,889
Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051
 
1,041,943
910,816
Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051
 
582,804
509,641
Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051
 
327,770
287,238
Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043
 
387,140
353,217
Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043
 
296,095
270,264
Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043
 
156,429
142,984
Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043
 
143,374
130,862
Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043
 
35,506
32,465
Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043
 
31,014
28,078
Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043
 
21,379
19,463
Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043
 
2,384
2,234
Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050
 
546,984
481,907
Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052
 
5,375,210
4,695,385
Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052
 
1,690,937
1,472,850
Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052
 
814,436
711,431
Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033
 
202,880
196,585
Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033
 
59,403
57,748
Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033
 
32,985
31,945
Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033
 
19,444
18,869
Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043
 
32,183
29,398
Fannie Mae Mortgage pass-thru certificates 3% 3/1/2044
 
36,871
33,229
Fannie Mae Mortgage pass-thru certificates 3% 3/1/2047
 
285,770
255,700
Fannie Mae Mortgage pass-thru certificates 3% 3/1/2048
 
3,642,569
3,258,145
Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052
 
1,393,246
1,215,295
Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043
 
78,869
72,037
Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043
 
65,977
59,479
Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043
 
29,784
27,169
Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043
 
23,656
21,561
Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043
 
21,463
19,563
Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043
 
11,558
10,548
Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045
 
41,790
37,575
Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045
 
3,651
3,306
Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046
 
258,462
231,427
Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050
 
141,676
124,820
Fannie Mae Mortgage pass-thru certificates 3% 6/1/2033
 
256,321
247,592
Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043
 
28,208
25,783
Fannie Mae Mortgage pass-thru certificates 3% 6/1/2045
 
16,400
14,636
Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043
 
20,389
18,584
Fannie Mae Mortgage pass-thru certificates 3% 7/1/2045
 
20,268
18,161
Fannie Mae Mortgage pass-thru certificates 3% 7/1/2045
 
18,066
16,188
Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050
 
905,718
796,545
Fannie Mae Mortgage pass-thru certificates 3% 8/1/2032
 
186,359
180,848
Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043
 
184,476
167,948
Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045
 
90,914
81,433
Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045
 
35,136
31,472
Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045
 
12,879
11,536
Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051
 
449,675
394,630
Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032
 
39,109
37,962
Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032
 
32,256
31,294
Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049
 
225,484
199,080
Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043
 
73,532
68,921
Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046
 
32,930
30,408
Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047
 
547,267
504,664
Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047
 
500,676
461,544
Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047
 
190,867
175,949
Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047
 
104,962
96,758
Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047
 
69,537
64,102
Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047
 
69,006
63,613
Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047
 
64,030
59,026
Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047
 
15,641
14,418
Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052
 
509,510
462,402
Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052
 
75,837
68,920
Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2046
 
623,396
574,867
Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2046
 
67,189
61,938
Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2034
 
667,861
653,994
Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042
 
29,547
27,601
Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2046
 
27,019
24,908
Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2048
 
2,443,808
2,252,801
Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046
 
869,397
813,609
Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2035
 
939,385
915,771
Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2042
 
31,814
29,836
Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046
 
96,811
89,395
Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2047
 
44,420
40,948
Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052
 
159,113
144,402
Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043
 
66,133
61,921
Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2039
 
4,979
4,771
Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042
 
201,141
188,708
Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042
 
71,891
67,469
Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042
 
47,113
44,100
Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043
 
3,615
3,383
Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046
 
376,272
347,568
Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046
 
317,535
293,312
Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046
 
206,413
190,602
Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042
 
165,832
155,947
Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042
 
120,550
113,169
Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042
 
20,655
19,307
Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042
 
6,140
5,837
Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046
 
111,338
102,706
Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046
 
47,475
43,795
Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046
 
92,937
85,732
Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046
 
61,960
57,156
Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046
 
59,758
55,125
Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046
 
54,291
50,082
Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2034
 
1,416,444
1,384,821
Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2037
 
21,983
21,075
Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043
 
88,882
83,463
Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046
 
94,921
87,561
Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046
 
91,546
84,448
Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2050
 
1,046,686
957,027
Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046
 
54,040
49,816
Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042
 
2,641
2,549
Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040
 
12,074
11,689
Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043
 
89,760
86,583
Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046
 
217,069
206,980
Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040
 
2,226
2,166
Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041
 
7,151
6,895
Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042
 
64,070
61,772
Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042
 
7,292
7,023
Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047
 
811,834
772,831
Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045
 
499,778
478,744
Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046
 
9,183
8,750
Fannie Mae Mortgage pass-thru certificates 4% 4/1/2049
 
315,373
296,220
Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052
 
1,090,564
1,024,879
Fannie Mae Mortgage pass-thru certificates 4% 5/1/2045
 
2,911
2,799
Fannie Mae Mortgage pass-thru certificates 4% 6/1/2041
 
37,233
35,702
Fannie Mae Mortgage pass-thru certificates 4% 6/1/2045
 
2,002
1,909
Fannie Mae Mortgage pass-thru certificates 4% 7/1/2039
 
936
908
Fannie Mae Mortgage pass-thru certificates 4% 7/1/2042
 
2,178
2,100
Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046
 
198,848
189,854
Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046
 
17,398
16,573
Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040
 
11,758
11,360
Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046
 
235,857
225,041
Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046
 
10,591
10,082
Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044
 
14,239
14,046
Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2045
 
29,438
28,915
Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044
 
6,086
5,978
Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052
 
21,663
20,777
Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040
 
92,115
91,208
Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2041
 
8,728
8,648
Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042
 
64,338
63,698
Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044
 
62,191
61,086
Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2038
 
7,343
7,311
Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040
 
199,878
197,816
Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2043
 
71,690
70,747
Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044
 
24,436
24,001
Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044
 
23,040
22,631
Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044
 
10,564
10,376
Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044
 
7,174
7,055
Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046
 
16,594
16,196
Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048
 
460,372
449,167
Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2052
 
1,610,860
1,545,981
Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2044
 
16,830
16,571
Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2045
 
2,382
2,347
Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2047
 
175,289
172,502
Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2040
 
925
916
Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046
 
157,500
156,005
Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046
 
10,575
10,337
Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2029
 
332
331
Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039
 
716,460
712,991
Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039
 
123,575
123,018
Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041
 
26,786
26,477
Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044
 
52,563
51,727
Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044
 
24,457
24,068
Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2045
 
16,185
15,877
Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048
 
27,035
26,310
Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039
 
298,437
297,422
Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044
 
30,433
29,949
Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047
 
187,806
183,235
Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047
 
32,867
32,026
Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2038
 
27,732
27,475
Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047
 
148,235
144,627
Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033
 
29,351
29,227
Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033
 
13,167
13,111
Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033
 
5,889
5,864
Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2037
 
4,262
4,246
Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041
 
13,508
13,371
Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041
 
5,442
5,386
Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044
 
26,555
26,132
Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044
 
22,345
21,947
Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2049
 
519,089
503,373
Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2052
 
1,895,671
1,820,061
Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033
 
32,386
32,245
Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033
 
15,461
15,394
Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033
 
12,159
12,106
Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033
 
6,641
6,613
Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035
 
69,780
69,408
Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2044
 
34,106
33,500
Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2049
 
700,218
682,738
Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2052
 
731,436
702,263
Fannie Mae Mortgage pass-thru certificates 5% 10/1/2041
 
165,558
167,488
Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052
 
81,976
81,310
Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052
 
1,323,465
1,316,426
Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052
 
704,600
698,871
Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052
 
462,994
459,229
Fannie Mae Mortgage pass-thru certificates 5% 11/1/2054
 
8,379,771
8,214,089
Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052
 
795,363
783,179
Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052
 
465,486
461,556
Fannie Mae Mortgage pass-thru certificates 5% 2/1/2035
 
13,107
13,242
Fannie Mae Mortgage pass-thru certificates 5% 3/1/2033
 
6,178
6,236
Fannie Mae Mortgage pass-thru certificates 5% 5/1/2044
 
9,824
9,938
Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053
 
245,969
247,658
Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053
 
450,611
456,381
Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054
 
143,888
144,247
Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053
 
1,529,784
1,549,374
Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054
 
776,898
778,349
Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.313%, 5.938% 5/1/2034 (c)(d)
 
5,789
5,847
Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.42%, 5.998% 9/1/2033 (c)(d)
 
14,725
14,853
Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.55%, 6.195% 10/1/2033 (c)(d)
 
580
589
Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.565%, 6.369% 7/1/2035 (c)(d)
 
803
818
Fannie Mae Mortgage pass-thru certificates 6% 1/1/2038
 
35,988
37,881
Fannie Mae Mortgage pass-thru certificates 6% 1/1/2040
 
35,393
37,308
Fannie Mae Mortgage pass-thru certificates 6% 1/1/2042
 
3,331
3,514
Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034
 
13,365
13,952
Fannie Mae Mortgage pass-thru certificates 6% 10/1/2037
 
36,642
38,513
Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054
 
286,245
294,988
Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035
 
20,934
21,840
Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054
 
686,323
706,859
Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054
 
261,988
269,990
Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054
 
93,639
96,616
Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055
 
1,024,262
1,053,948
Fannie Mae Mortgage pass-thru certificates 6% 3/1/2038
 
12,990
13,696
Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055
 
496,316
511,476
Fannie Mae Mortgage pass-thru certificates 6% 5/1/2036
 
268,369
280,859
Fannie Mae Mortgage pass-thru certificates 6% 5/1/2040
 
50,417
53,107
Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055
 
882,144
908,056
Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053
 
2,751,941
2,828,261
Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053
 
1,984,959
2,036,908
Fannie Mae Mortgage pass-thru certificates 6% 6/1/2055
 
499,157
515,067
Fannie Mae Mortgage pass-thru certificates 6% 7/1/2038
 
5,824
6,142
Fannie Mae Mortgage pass-thru certificates 6% 7/1/2041
 
107,791
113,601
Fannie Mae Mortgage pass-thru certificates 6% 8/1/2037
 
57,590
59,991
Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054
 
6,446,176
6,566,534
Fannie Mae Mortgage pass-thru certificates 6% 9/1/2037
 
3,394
3,574
Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054
 
7,853,291
7,999,921
Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054
 
191,936
198,038
Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2054
 
977,215
1,018,292
Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055
 
190,847
200,330
Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2053
 
891,595
929,073
Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2032
 
3,140
3,274
Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2035
 
30,972
32,386
Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2036
 
1,414
1,497
Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054
 
176,045
182,220
Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053
 
2,219,402
2,321,884
Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032
 
8,965
9,348
Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032
 
1,706
1,778
Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035
 
3,702
3,878
Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054
 
310,905
323,974
Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036
 
27,385
28,623
Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036
 
21,485
22,446
Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036
 
5,039
5,272
Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053
 
579,670
605,712
Fannie Mae Mortgage pass-thru certificates 7% 1/1/2027
 
239
252
Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028
 
240
252
Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028
 
81
86
Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028
 
50
53
Fannie Mae Mortgage pass-thru certificates 7% 1/1/2029
 
34
36
Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028
 
176
186
Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028
 
5
5
Fannie Mae Mortgage pass-thru certificates 7% 11/1/2025
 
31
31
Fannie Mae Mortgage pass-thru certificates 7% 11/1/2025
 
19
19
Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027
 
312
328
Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027
 
6
6
Fannie Mae Mortgage pass-thru certificates 7% 12/1/2026
 
1
1
Fannie Mae Mortgage pass-thru certificates 7% 12/1/2027
 
73
76
Fannie Mae Mortgage pass-thru certificates 7% 12/1/2028
 
86
90
Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028
 
40
42
Fannie Mae Mortgage pass-thru certificates 7% 2/1/2029
 
3,412
3,589
Fannie Mae Mortgage pass-thru certificates 7% 3/1/2026
 
14
14
Fannie Mae Mortgage pass-thru certificates 7% 4/1/2026
 
161
161
Fannie Mae Mortgage pass-thru certificates 7% 4/1/2026
 
129
129
Fannie Mae Mortgage pass-thru certificates 7% 4/1/2026
 
36
36
Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026
 
91
91
Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026
 
76
76
Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026
 
20
20
Fannie Mae Mortgage pass-thru certificates 7% 6/1/2026
 
454
456
Fannie Mae Mortgage pass-thru certificates 7% 8/1/2025
 
4
4
Fannie Mae Mortgage pass-thru certificates 7% 8/1/2027
 
31
32
Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026
 
11
11
Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028
 
287
294
Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026
 
238
240
Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027
 
51
52
Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027
 
251
256
Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027
 
8
8
Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2028
 
77
78
Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2029
 
132
138
Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2031
 
2,234
2,352
Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027
 
79
80
Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2028
 
18
18
Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2029
 
81
84
Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2026
 
19
19
Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2027
 
164
166
Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028
 
45
46
Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028
 
56
57
Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2029
 
50
51
Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2029
 
21
21
Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027
 
41
41
Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2028
 
591
608
Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2029
 
55
58
Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027
 
1,244
1,271
Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2028
 
204
210
Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027
 
37
37
Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2028
 
1,303
1,325
Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2028
 
200
200
Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029
 
531
554
Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029
 
409
426
Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029
 
108
111
Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029
 
106
109
Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029
 
40
41
Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029
 
24
25
Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029
 
8
9
Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2025
 
7
7
Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029
 
3,923
4,101
Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029
 
268
281
Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029
 
9
9
Freddie Mac Gold Pool 1.5% 1/1/2036
 
587,333
524,345
Freddie Mac Gold Pool 1.5% 11/1/2035
 
5,031,564
4,512,399
Freddie Mac Gold Pool 1.5% 11/1/2035
 
22,537
20,212
Freddie Mac Gold Pool 1.5% 12/1/2035
 
1,237,621
1,104,893
Freddie Mac Gold Pool 1.5% 12/1/2040
 
59,044
49,176
Freddie Mac Gold Pool 1.5% 2/1/2036
 
1,585,673
1,415,619
Freddie Mac Gold Pool 1.5% 2/1/2036
 
17,003
15,179
Freddie Mac Gold Pool 1.5% 2/1/2041
 
100,484
83,550
Freddie Mac Gold Pool 1.5% 3/1/2036
 
14,529
12,971
Freddie Mac Gold Pool 1.5% 3/1/2041
 
101,949
84,701
Freddie Mac Gold Pool 1.5% 4/1/2036
 
18,479
16,497
Freddie Mac Gold Pool 1.5% 4/1/2041
 
102,806
85,349
Freddie Mac Gold Pool 1.5% 4/1/2051
 
10,437,076
7,855,966
Freddie Mac Gold Pool 1.5% 5/1/2036
 
18,949
16,887
Freddie Mac Gold Pool 1.5% 6/1/2036
 
19,209
17,119
Freddie Mac Gold Pool 1.5% 7/1/2036
 
17,192
15,322
Freddie Mac Gold Pool 1.5% 8/1/2035
 
4,262,626
3,822,801
Freddie Mac Gold Pool 1.5% 8/1/2036
 
15,866
14,129
Freddie Mac Gold Pool 2% 1/1/2051
 
1,380,116
1,103,365
Freddie Mac Gold Pool 2% 1/1/2052
 
285,267
228,954
Freddie Mac Gold Pool 2% 10/1/2041
 
18,237
15,605
Freddie Mac Gold Pool 2% 10/1/2051
 
1,317,630
1,056,704
Freddie Mac Gold Pool 2% 11/1/2041
 
579,679
495,491
Freddie Mac Gold Pool 2% 11/1/2050
 
102,931
82,162
Freddie Mac Gold Pool 2% 11/1/2051
 
2,580,471
2,067,855
Freddie Mac Gold Pool 2% 11/1/2051
 
774,860
619,722
Freddie Mac Gold Pool 2% 12/1/2051
 
1,039,670
834,437
Freddie Mac Gold Pool 2% 12/1/2051
 
52,654
42,013
Freddie Mac Gold Pool 2% 2/1/2041
 
240,052
206,612
Freddie Mac Gold Pool 2% 2/1/2052
 
2,673,130
2,136,260
Freddie Mac Gold Pool 2% 2/1/2052
 
1,212,152
970,976
Freddie Mac Gold Pool 2% 2/1/2052
 
749,624
601,178
Freddie Mac Gold Pool 2% 3/1/2041
 
113,058
97,836
Freddie Mac Gold Pool 2% 3/1/2051
 
428,470
342,416
Freddie Mac Gold Pool 2% 3/1/2052
 
248,871
197,488
Freddie Mac Gold Pool 2% 4/1/2041
 
16,981
14,597
Freddie Mac Gold Pool 2% 5/1/2051
 
928,853
748,978
Freddie Mac Gold Pool 2% 5/1/2051
 
192,721
153,894
Freddie Mac Gold Pool 2% 5/1/2051
 
107,346
86,290
Freddie Mac Gold Pool 2% 5/1/2051
 
81,019
64,697
Freddie Mac Gold Pool 2% 6/1/2035
 
6,398,526
5,890,751
Freddie Mac Gold Pool 2% 6/1/2036
 
2,471,823
2,262,533
Freddie Mac Gold Pool 2% 6/1/2050
 
3,785,742
3,027,781
Freddie Mac Gold Pool 2% 6/1/2050
 
455,219
366,211
Freddie Mac Gold Pool 2% 7/1/2041
 
1,681,498
1,450,254
Freddie Mac Gold Pool 2% 7/1/2041
 
17,545
15,041
Freddie Mac Gold Pool 2% 7/1/2051
 
59,792
48,063
Freddie Mac Gold Pool 2% 9/1/2050
 
6,514,794
5,206,366
Freddie Mac Gold Pool 2.5% 1/1/2042
 
204,570
180,681
Freddie Mac Gold Pool 2.5% 1/1/2052
 
1,162,061
972,215
Freddie Mac Gold Pool 2.5% 10/1/2041
 
100,474
88,912
Freddie Mac Gold Pool 2.5% 10/1/2051
 
249,409
208,819
Freddie Mac Gold Pool 2.5% 11/1/2032
 
10,155
9,740
Freddie Mac Gold Pool 2.5% 11/1/2049
 
12,932
10,872
Freddie Mac Gold Pool 2.5% 11/1/2050
 
2,351,097
1,980,223
Freddie Mac Gold Pool 2.5% 11/1/2050
 
130,522
110,423
Freddie Mac Gold Pool 2.5% 11/1/2051
 
156,192
130,040
Freddie Mac Gold Pool 2.5% 12/1/2050
 
106,959
90,488
Freddie Mac Gold Pool 2.5% 12/1/2051
 
1,307,583
1,096,824
Freddie Mac Gold Pool 2.5% 12/1/2051
 
956,324
800,687
Freddie Mac Gold Pool 2.5% 12/1/2051
 
336,390
280,068
Freddie Mac Gold Pool 2.5% 2/1/2035
 
125,568
118,695
Freddie Mac Gold Pool 2.5% 2/1/2051
 
3,560,867
2,983,580
Freddie Mac Gold Pool 2.5% 2/1/2051
 
539,435
455,859
Freddie Mac Gold Pool 2.5% 3/1/2033
 
66,521
63,727
Freddie Mac Gold Pool 2.5% 3/1/2050
 
245,975
206,405
Freddie Mac Gold Pool 2.5% 3/1/2051
 
3,353,676
2,809,978
Freddie Mac Gold Pool 2.5% 4/1/2033
 
29,754
28,479
Freddie Mac Gold Pool 2.5% 4/1/2047
 
1,254,577
1,061,771
Freddie Mac Gold Pool 2.5% 4/1/2052
 
297,459
250,815
Freddie Mac Gold Pool 2.5% 5/1/2033
 
7,866
7,528
Freddie Mac Gold Pool 2.5% 5/1/2051
 
2,133,261
1,782,084
Freddie Mac Gold Pool 2.5% 5/1/2051
 
518,951
438,387
Freddie Mac Gold Pool 2.5% 6/1/2040
 
56,471
50,638
Freddie Mac Gold Pool 2.5% 7/1/2036
 
820,067
770,053
Freddie Mac Gold Pool 2.5% 8/1/2032
 
7,120
6,837
Freddie Mac Gold Pool 2.5% 8/1/2050
 
2,240,363
1,883,457
Freddie Mac Gold Pool 2.5% 8/1/2050
 
551,035
466,007
Freddie Mac Gold Pool 3% 1/1/2033
 
27,278
26,413
Freddie Mac Gold Pool 3% 1/1/2034
 
45,996
44,600
Freddie Mac Gold Pool 3% 1/1/2043
 
58,001
53,057
Freddie Mac Gold Pool 3% 1/1/2052
 
735,552
642,524
Freddie Mac Gold Pool 3% 11/1/2042
 
69,382
64,172
Freddie Mac Gold Pool 3% 11/1/2042
 
17,231
15,758
Freddie Mac Gold Pool 3% 11/1/2042
 
4,160
3,820
Freddie Mac Gold Pool 3% 11/1/2050
 
69,916
61,139
Freddie Mac Gold Pool 3% 11/1/2051
 
689,033
601,888
Freddie Mac Gold Pool 3% 12/1/2032
 
56,205
54,574
Freddie Mac Gold Pool 3% 12/1/2044
 
13,767
12,302
Freddie Mac Gold Pool 3% 12/1/2046
 
1,180,744
1,055,273
Freddie Mac Gold Pool 3% 12/1/2050
 
569,087
497,646
Freddie Mac Gold Pool 3% 2/1/2033
 
23,222
22,501
Freddie Mac Gold Pool 3% 2/1/2043
 
163,479
149,883
Freddie Mac Gold Pool 3% 2/1/2043
 
33,014
30,353
Freddie Mac Gold Pool 3% 2/1/2043
 
26,872
24,522
Freddie Mac Gold Pool 3% 2/1/2043
 
15,160
13,882
Freddie Mac Gold Pool 3% 2/1/2043
 
7,098
6,443
Freddie Mac Gold Pool 3% 3/1/2033
 
46,392
45,001
Freddie Mac Gold Pool 3% 3/1/2052
 
1,362,914
1,190,540
Freddie Mac Gold Pool 3% 3/1/2052
 
373,430
325,734
Freddie Mac Gold Pool 3% 4/1/2033
 
21,578
20,925
Freddie Mac Gold Pool 3% 4/1/2034
 
111,154
107,641
Freddie Mac Gold Pool 3% 4/1/2046
 
20,595
18,458
Freddie Mac Gold Pool 3% 4/1/2046
 
17,071
15,299
Freddie Mac Gold Pool 3% 4/1/2050
 
285,418
251,282
Freddie Mac Gold Pool 3% 5/1/2045
 
14,284
12,828
Freddie Mac Gold Pool 3% 5/1/2045
 
11,181
10,053
Freddie Mac Gold Pool 3% 5/1/2045
 
8,229
7,398
Freddie Mac Gold Pool 3% 5/1/2046
 
313,818
281,255
Freddie Mac Gold Pool 3% 5/1/2046
 
49,408
44,281
Freddie Mac Gold Pool 3% 5/1/2051
 
617,614
540,080
Freddie Mac Gold Pool 3% 5/1/2052
 
3,508,311
3,063,503
Freddie Mac Gold Pool 3% 6/1/2031
 
21,007
20,482
Freddie Mac Gold Pool 3% 6/1/2031
 
7,604
7,416
Freddie Mac Gold Pool 3% 6/1/2031
 
4,472
4,357
Freddie Mac Gold Pool 3% 6/1/2045
 
36,776
33,179
Freddie Mac Gold Pool 3% 6/1/2045
 
13,746
12,345
Freddie Mac Gold Pool 3% 6/1/2045
 
5,567
5,003
Freddie Mac Gold Pool 3% 6/1/2046
 
311,105
278,823
Freddie Mac Gold Pool 3% 6/1/2050
 
1,007,195
888,309
Freddie Mac Gold Pool 3% 6/1/2052
 
1,225,251
1,068,756
Freddie Mac Gold Pool 3% 7/1/2032
 
8,996
8,748
Freddie Mac Gold Pool 3% 7/1/2045
 
25,449
22,832
Freddie Mac Gold Pool 3% 7/1/2045
 
8,925
8,063
Freddie Mac Gold Pool 3% 7/1/2045
 
7,105
6,375
Freddie Mac Gold Pool 3% 8/1/2032
 
10,317
10,036
Freddie Mac Gold Pool 3% 8/1/2032
 
7,051
6,855
Freddie Mac Gold Pool 3% 8/1/2042
 
5,810
5,327
Freddie Mac Gold Pool 3% 8/1/2042
 
4,457
4,071
Freddie Mac Gold Pool 3% 8/1/2045
 
18,253
16,394
Freddie Mac Gold Pool 3% 8/1/2045
 
15,159
13,615
Freddie Mac Gold Pool 3% 8/1/2045
 
13,536
12,157
Freddie Mac Gold Pool 3% 8/1/2045
 
8,384
7,522
Freddie Mac Gold Pool 3% 8/1/2045
 
6,582
5,915
Freddie Mac Gold Pool 3% 9/1/2051
 
608,336
531,778
Freddie Mac Gold Pool 3.5% 1/1/2043
 
6,955
6,481
Freddie Mac Gold Pool 3.5% 1/1/2046
 
18,375
16,990
Freddie Mac Gold Pool 3.5% 1/1/2046
 
4,526
4,189
Freddie Mac Gold Pool 3.5% 10/1/2040
 
10,773
10,038
Freddie Mac Gold Pool 3.5% 10/1/2042
 
64,324
60,377
Freddie Mac Gold Pool 3.5% 10/1/2049
 
1,036,308
949,482
Freddie Mac Gold Pool 3.5% 11/1/2033
 
869,087
850,023
Freddie Mac Gold Pool 3.5% 11/1/2033
 
11,491
11,251
Freddie Mac Gold Pool 3.5% 11/1/2040
 
22,529
20,992
Freddie Mac Gold Pool 3.5% 11/1/2045
 
4,996
4,624
Freddie Mac Gold Pool 3.5% 12/1/2033
 
96,534
94,364
Freddie Mac Gold Pool 3.5% 12/1/2040
 
21,907
20,392
Freddie Mac Gold Pool 3.5% 2/1/2034
 
2,586,901
2,529,504
Freddie Mac Gold Pool 3.5% 2/1/2034
 
130,455
127,070
Freddie Mac Gold Pool 3.5% 2/1/2043
 
524,382
491,947
Freddie Mac Gold Pool 3.5% 2/1/2043
 
56,190
52,846
Freddie Mac Gold Pool 3.5% 2/1/2043
 
22,803
21,566
Freddie Mac Gold Pool 3.5% 2/1/2045
 
3,216
3,008
Freddie Mac Gold Pool 3.5% 2/1/2052
 
134,839
122,541
Freddie Mac Gold Pool 3.5% 3/1/2032
 
245,365
240,749
Freddie Mac Gold Pool 3.5% 3/1/2045
 
31,637
29,400
Freddie Mac Gold Pool 3.5% 3/1/2045
 
8,010
7,460
Freddie Mac Gold Pool 3.5% 3/1/2045
 
6,011
5,597
Freddie Mac Gold Pool 3.5% 3/1/2052
 
182,115
165,207
Freddie Mac Gold Pool 3.5% 4/1/2033
 
2,121,350
2,089,237
Freddie Mac Gold Pool 3.5% 4/1/2040
 
26,706
25,225
Freddie Mac Gold Pool 3.5% 4/1/2042
 
24,422
22,987
Freddie Mac Gold Pool 3.5% 4/1/2043
 
425,921
399,123
Freddie Mac Gold Pool 3.5% 4/1/2043
 
94,473
88,563
Freddie Mac Gold Pool 3.5% 4/1/2043
 
44,121
41,433
Freddie Mac Gold Pool 3.5% 4/1/2046
 
258,447
239,039
Freddie Mac Gold Pool 3.5% 4/1/2046
 
141,513
130,842
Freddie Mac Gold Pool 3.5% 4/1/2052
 
6,766,250
6,102,078
Freddie Mac Gold Pool 3.5% 5/1/2034
 
112,383
109,578
Freddie Mac Gold Pool 3.5% 5/1/2040
 
52,639
49,757
Freddie Mac Gold Pool 3.5% 5/1/2045
 
351,919
326,566
Freddie Mac Gold Pool 3.5% 5/1/2045
 
3,675
3,398
Freddie Mac Gold Pool 3.5% 5/1/2045
 
3,169
2,976
Freddie Mac Gold Pool 3.5% 5/1/2046
 
230,191
213,193
Freddie Mac Gold Pool 3.5% 6/1/2032
 
1,170,936
1,148,306
Freddie Mac Gold Pool 3.5% 6/1/2040
 
47,772
45,215
Freddie Mac Gold Pool 3.5% 6/1/2045
 
425,981
395,739
Freddie Mac Gold Pool 3.5% 6/1/2045
 
68,087
63,426
Freddie Mac Gold Pool 3.5% 6/1/2045
 
7,019
6,529
Freddie Mac Gold Pool 3.5% 6/1/2045
 
6,887
6,414
Freddie Mac Gold Pool 3.5% 6/1/2048
 
6,712
6,157
Freddie Mac Gold Pool 3.5% 7/1/2040
 
6,874
6,405
Freddie Mac Gold Pool 3.5% 7/1/2042
 
230,810
216,560
Freddie Mac Gold Pool 3.5% 7/1/2042
 
32,205
30,289
Freddie Mac Gold Pool 3.5% 7/1/2046
 
6,995
6,464
Freddie Mac Gold Pool 3.5% 8/1/2034
 
190,039
185,216
Freddie Mac Gold Pool 3.5% 8/1/2040
 
31,194
29,066
Freddie Mac Gold Pool 3.5% 8/1/2042
 
10,032
9,412
Freddie Mac Gold Pool 3.5% 9/1/2040
 
23,509
21,758
Freddie Mac Gold Pool 3.5% 9/1/2042
 
745,937
699,439
Freddie Mac Gold Pool 3.5% 9/1/2042
 
293,933
275,460
Freddie Mac Gold Pool 3.5% 9/1/2042
 
3,466
3,249
Freddie Mac Gold Pool 3.5% 9/1/2046
 
97,050
89,823
Freddie Mac Gold Pool 3.5% 9/1/2051
 
1,852,738
1,681,440
Freddie Mac Gold Pool 4% 1/1/2041
 
264,493
256,287
Freddie Mac Gold Pool 4% 1/1/2043
 
3,941
3,786
Freddie Mac Gold Pool 4% 1/1/2044
 
9,702
9,297
Freddie Mac Gold Pool 4% 10/1/2042
 
5,017
4,838
Freddie Mac Gold Pool 4% 10/1/2042
 
3,020
2,940
Freddie Mac Gold Pool 4% 10/1/2042
 
2,073
1,992
Freddie Mac Gold Pool 4% 10/1/2043
 
25,649
24,633
Freddie Mac Gold Pool 4% 10/1/2043
 
10,284
9,855
Freddie Mac Gold Pool 4% 10/1/2044
 
30,579
29,253
Freddie Mac Gold Pool 4% 10/1/2047
 
22,896
21,766
Freddie Mac Gold Pool 4% 10/1/2047
 
3,888
3,697
Freddie Mac Gold Pool 4% 10/1/2052
 
1,162,276
1,094,814
Freddie Mac Gold Pool 4% 11/1/2042
 
695,114
672,575
Freddie Mac Gold Pool 4% 11/1/2042
 
21,496
20,732
Freddie Mac Gold Pool 4% 11/1/2042
 
18,467
17,780
Freddie Mac Gold Pool 4% 11/1/2042
 
13,374
12,897
Freddie Mac Gold Pool 4% 11/1/2042
 
6,728
6,466
Freddie Mac Gold Pool 4% 11/1/2042
 
671
657
Freddie Mac Gold Pool 4% 11/1/2043
 
116,217
111,824
Freddie Mac Gold Pool 4% 11/1/2045
 
22,604
21,517
Freddie Mac Gold Pool 4% 12/1/2042
 
11,248
10,829
Freddie Mac Gold Pool 4% 12/1/2042
 
6,101
5,906
Freddie Mac Gold Pool 4% 2/1/2043
 
20,046
19,296
Freddie Mac Gold Pool 4% 2/1/2043
 
13,218
12,701
Freddie Mac Gold Pool 4% 2/1/2043
 
12,853
12,352
Freddie Mac Gold Pool 4% 2/1/2043
 
5,684
5,457
Freddie Mac Gold Pool 4% 2/1/2044
 
10,392
9,976
Freddie Mac Gold Pool 4% 2/1/2044
 
6,321
6,052
Freddie Mac Gold Pool 4% 2/1/2045
 
173,993
166,881
Freddie Mac Gold Pool 4% 2/1/2046
 
85,866
81,684
Freddie Mac Gold Pool 4% 2/1/2046
 
8,783
8,355
Freddie Mac Gold Pool 4% 2/1/2048
 
12,697
12,055
Freddie Mac Gold Pool 4% 3/1/2043
 
6,973
6,745
Freddie Mac Gold Pool 4% 3/1/2044
 
14,003
13,421
Freddie Mac Gold Pool 4% 4/1/2042
 
524,657
506,132
Freddie Mac Gold Pool 4% 4/1/2042
 
297,140
287,026
Freddie Mac Gold Pool 4% 4/1/2043
 
9,208
8,875
Freddie Mac Gold Pool 4% 4/1/2043
 
4,021
3,913
Freddie Mac Gold Pool 4% 4/1/2046
 
60,016
57,224
Freddie Mac Gold Pool 4% 4/1/2046
 
15,283
14,572
Freddie Mac Gold Pool 4% 5/1/2037
 
715,015
696,691
Freddie Mac Gold Pool 4% 5/1/2043
 
11,276
10,829
Freddie Mac Gold Pool 4% 5/1/2043
 
3,728
3,576
Freddie Mac Gold Pool 4% 5/1/2048
 
418,221
395,776
Freddie Mac Gold Pool 4% 5/1/2048
 
284,318
269,938
Freddie Mac Gold Pool 4% 6/1/2043
 
10,443
10,104
Freddie Mac Gold Pool 4% 6/1/2043
 
7,187
6,898
Freddie Mac Gold Pool 4% 6/1/2044
 
10,262
9,820
Freddie Mac Gold Pool 4% 6/1/2045
 
10,759
10,302
Freddie Mac Gold Pool 4% 6/1/2047
 
201,367
191,685
Freddie Mac Gold Pool 4% 6/1/2048
 
753,064
716,386
Freddie Mac Gold Pool 4% 7/1/2043
 
23,686
22,745
Freddie Mac Gold Pool 4% 7/1/2043
 
21,433
20,650
Freddie Mac Gold Pool 4% 7/1/2043
 
11,773
11,340
Freddie Mac Gold Pool 4% 7/1/2043
 
7,664
7,352
Freddie Mac Gold Pool 4% 7/1/2043
 
6,754
6,480
Freddie Mac Gold Pool 4% 7/1/2043
 
5,859
5,619
Freddie Mac Gold Pool 4% 7/1/2043
 
2,585
2,480
Freddie Mac Gold Pool 4% 7/1/2048
 
113,770
108,442
Freddie Mac Gold Pool 4% 8/1/2043
 
13,045
12,524
Freddie Mac Gold Pool 4% 8/1/2043
 
10,194
9,861
Freddie Mac Gold Pool 4% 8/1/2043
 
8,844
8,554
Freddie Mac Gold Pool 4% 8/1/2044
 
11,516
11,035
Freddie Mac Gold Pool 4% 8/1/2044
 
2,762
2,663
Freddie Mac Gold Pool 4% 9/1/2041
 
21,372
20,680
Freddie Mac Gold Pool 4% 9/1/2042
 
13,591
13,174
Freddie Mac Gold Pool 4% 9/1/2043
 
20,766
19,982
Freddie Mac Gold Pool 4% 9/1/2043
 
18,651
17,918
Freddie Mac Gold Pool 4% 9/1/2043
 
15,653
15,022
Freddie Mac Gold Pool 4% 9/1/2043
 
15,589
15,007
Freddie Mac Gold Pool 4% 9/1/2043
 
13,228
12,686
Freddie Mac Gold Pool 4% 9/1/2043
 
10,753
10,346
Freddie Mac Gold Pool 4% 9/1/2043
 
4,927
4,722
Freddie Mac Gold Pool 4% 9/1/2043
 
2,151
2,076
Freddie Mac Gold Pool 4% 9/1/2044
 
17,957
17,225
Freddie Mac Gold Pool 4% 9/1/2044
 
13,073
12,506
Freddie Mac Gold Pool 4% 9/1/2047
 
10,417
9,903
Freddie Mac Gold Pool 4.5% 1/1/2041
 
8,202
8,144
Freddie Mac Gold Pool 4.5% 1/1/2042
 
330,487
327,663
Freddie Mac Gold Pool 4.5% 1/1/2047
 
8,109
7,925
Freddie Mac Gold Pool 4.5% 10/1/2041
 
92,105
91,279
Freddie Mac Gold Pool 4.5% 10/1/2041
 
4,549
4,516
Freddie Mac Gold Pool 4.5% 10/1/2048
 
619,941
606,596
Freddie Mac Gold Pool 4.5% 10/1/2048
 
30,475
29,609
Freddie Mac Gold Pool 4.5% 12/1/2040
 
22,812
22,632
Freddie Mac Gold Pool 4.5% 12/1/2045
 
24,855
24,673
Freddie Mac Gold Pool 4.5% 12/1/2046
 
11,002
10,752
Freddie Mac Gold Pool 4.5% 12/1/2047
 
177,488
173,057
Freddie Mac Gold Pool 4.5% 2/1/2041
 
15,422
15,291
Freddie Mac Gold Pool 4.5% 2/1/2041
 
15,417
15,283
Freddie Mac Gold Pool 4.5% 2/1/2041
 
11,542
11,427
Freddie Mac Gold Pool 4.5% 2/1/2041
 
11,239
11,149
Freddie Mac Gold Pool 4.5% 2/1/2041
 
9,483
9,412
Freddie Mac Gold Pool 4.5% 2/1/2041
 
6,557
6,494
Freddie Mac Gold Pool 4.5% 2/1/2044
 
57,772
57,036
Freddie Mac Gold Pool 4.5% 2/1/2047
 
40,667
39,740
Freddie Mac Gold Pool 4.5% 3/1/2041
 
63,822
63,281
Freddie Mac Gold Pool 4.5% 3/1/2041
 
14,779
14,654
Freddie Mac Gold Pool 4.5% 3/1/2041
 
10,495
10,400
Freddie Mac Gold Pool 4.5% 3/1/2044
 
58,346
57,492
Freddie Mac Gold Pool 4.5% 3/1/2044
 
51,852
51,199
Freddie Mac Gold Pool 4.5% 3/1/2044
 
34,994
34,481
Freddie Mac Gold Pool 4.5% 3/1/2044
 
21,178
20,868
Freddie Mac Gold Pool 4.5% 4/1/2041
 
102,480
101,583
Freddie Mac Gold Pool 4.5% 4/1/2041
 
15,690
15,532
Freddie Mac Gold Pool 4.5% 4/1/2041
 
15,374
15,231
Freddie Mac Gold Pool 4.5% 4/1/2048
 
82,678
80,562
Freddie Mac Gold Pool 4.5% 4/1/2048
 
32,448
31,618
Freddie Mac Gold Pool 4.5% 4/1/2048
 
31,756
30,944
Freddie Mac Gold Pool 4.5% 5/1/2039
 
49,463
49,120
Freddie Mac Gold Pool 4.5% 5/1/2041
 
16,720
16,561
Freddie Mac Gold Pool 4.5% 5/1/2041
 
16,388
16,222
Freddie Mac Gold Pool 4.5% 5/1/2041
 
1,980
1,963
Freddie Mac Gold Pool 4.5% 5/1/2047
 
101,968
99,614
Freddie Mac Gold Pool 4.5% 5/1/2047
 
76,489
74,723
Freddie Mac Gold Pool 4.5% 5/1/2047
 
33,189
32,422
Freddie Mac Gold Pool 4.5% 5/1/2048
 
64,724
63,048
Freddie Mac Gold Pool 4.5% 6/1/2041
 
17,563
17,427
Freddie Mac Gold Pool 4.5% 6/1/2041
 
12,738
12,615
Freddie Mac Gold Pool 4.5% 6/1/2041
 
10,890
10,806
Freddie Mac Gold Pool 4.5% 6/1/2041
 
5,207
5,175
Freddie Mac Gold Pool 4.5% 6/1/2047
 
146,512
143,129
Freddie Mac Gold Pool 4.5% 6/1/2047
 
43,810
42,908
Freddie Mac Gold Pool 4.5% 7/1/2025
 
7
7
Freddie Mac Gold Pool 4.5% 7/1/2047
 
79,577
77,963
Freddie Mac Gold Pool 4.5% 7/1/2047
 
61,498
60,078
Freddie Mac Gold Pool 4.5% 7/1/2047
 
34,643
33,930
Freddie Mac Gold Pool 4.5% 8/1/2040
 
2,633
2,612
Freddie Mac Gold Pool 4.5% 8/1/2041
 
30,889
30,617
Freddie Mac Gold Pool 4.5% 8/1/2041
 
2,327
2,308
Freddie Mac Gold Pool 4.5% 9/1/2041
 
241,157
239,003
Freddie Mac Gold Pool 4.5% 9/1/2041
 
42,947
42,577
Freddie Mac Gold Pool 5% 1/1/2040
 
30,272
30,662
Freddie Mac Gold Pool 5% 10/1/2052
 
80,131
79,479
Freddie Mac Gold Pool 5% 11/1/2052
 
813,843
809,514
Freddie Mac Gold Pool 5% 12/1/2052
 
1,905,439
1,889,946
Freddie Mac Gold Pool 5% 4/1/2040
 
57,898
58,651
Freddie Mac Gold Pool 5% 5/1/2040
 
5,594
5,666
Freddie Mac Gold Pool 5% 5/1/2052
 
381,692
378,738
Freddie Mac Gold Pool 5% 6/1/2040
 
20,186
20,448
Freddie Mac Gold Pool 5% 6/1/2041
 
98,521
99,805
Freddie Mac Gold Pool 5% 6/1/2052
 
479,511
475,799
Freddie Mac Gold Pool 5% 7/1/2040
 
6,655
6,740
Freddie Mac Gold Pool 5% 8/1/2040
 
30,378
30,768
Freddie Mac Gold Pool 5.5% 1/1/2055
 
1,566,222
1,589,705
Freddie Mac Gold Pool 5.5% 3/1/2053
 
2,499,490
2,536,185
Freddie Mac Gold Pool 5.5% 3/1/2055
 
123,908
123,907
Freddie Mac Gold Pool 5.5% 9/1/2052
 
1,258,290
1,270,078
Freddie Mac Gold Pool 6% 2/1/2055
 
1,927,006
1,985,266
Freddie Mac Gold Pool 6% 4/1/2032
 
30,766
31,892
Freddie Mac Gold Pool 6% 4/1/2054
 
1,020,953
1,051,182
Freddie Mac Gold Pool 6% 5/1/2033
 
10,398
10,742
Freddie Mac Gold Pool 6% 5/1/2054
 
1,606,087
1,654,644
Freddie Mac Gold Pool 6% 7/1/2037
 
1,720
1,813
Freddie Mac Gold Pool 6% 8/1/2037
 
17,619
18,538
Freddie Mac Gold Pool 6% 9/1/2054
 
415,959
429,185
Freddie Mac Gold Pool 6% 9/1/2054
 
186,132
190,945
Freddie Mac Gold Pool 6.5% 1/1/2053
 
755,558
783,540
Freddie Mac Gold Pool 6.5% 1/1/2054
 
1,288,218
1,345,991
Freddie Mac Gold Pool 6.5% 6/1/2054
 
1,240,453
1,302,383
Freddie Mac Gold Pool 6.5% 9/1/2053
 
126,746
132,678
Freddie Mac Gold Pool 6.5% 9/1/2053
 
122,505
127,664
Freddie Mac Gold Pool 6.5% 9/1/2054
 
1,475,214
1,549,326
Freddie Mac Gold Pool 7.5% 1/1/2027
 
46
46
Freddie Mac Gold Pool 7.5% 10/1/2027
 
10
10
Freddie Mac Gold Pool 7.5% 11/1/2029
 
617
645
Freddie Mac Gold Pool 7.5% 11/1/2031
 
46
50
Freddie Mac Gold Pool 7.5% 2/1/2028
 
30
31
Freddie Mac Gold Pool 7.5% 8/1/2026
 
7
7
Freddie Mac Gold Pool 7.5% 9/1/2031
 
1,224
1,297
Freddie Mac Gold Pool 8% 4/1/2027
 
40
40
Freddie Mac Gold Pool 8% 5/1/2027
 
18
19
Freddie Mac Gold Pool 8.5% 1/1/2028
 
52
53
Freddie Mac Gold Pool 8.5% 5/1/2027
 
11
11
Freddie Mac Manufactured Housing participation certificates 6% 3/1/2055
 
451,993
465,093
Freddie Mac Manufactured Housing participation certificates 6.5% 6/1/2055
 
800,339
841,922
Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.375%, 6.382% 3/1/2036 (c)(d)
 
9,191
9,354
Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.88% 4/1/2041 (c)(d)
 
873
910
Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 7.601% 9/1/2041 (c)(d)
 
6,730
6,991
Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.777% 5/1/2041 (c)(d)
 
8,633
9,002
Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.838% 5/1/2041 (c)(d)
 
12,664
13,208
Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.919% 6/1/2041 (c)(d)
 
12,129
12,642
Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 7.785% 6/1/2041 (c)(d)
 
3,476
3,611
Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.031%, 7.658% 3/1/2033 (c)(d)
 
126
128
Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.16%, 6.785% 11/1/2035 (c)(d)
 
662
685
Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.247%, 6.496% 1/1/2035 (c)(d)
 
1,001
1,022
Freddie Mac Non Gold Pool 5.5% 5/1/2053
 
1,073,114
1,086,521
Freddie Mac Non Gold Pool 5.5% 6/1/2053
 
539,185
544,742
Freddie Mac Non Gold Pool 5.5% 7/1/2053
 
4,504,392
4,549,406
Freddie Mac Non Gold Pool 5.5% 8/1/2053
 
1,300,911
1,316,757
Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.655%, 6.303% 4/1/2035 (c)(d)
 
8,459
8,605
Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 3.645%, 8.27% 10/1/2035 (c)(d)
 
147
154
Freddie Mac Non Gold Pool 6% 6/1/2053
 
563,283
578,905
Freddie Mac Non Gold Pool 6% 6/1/2053
 
520,016
533,463
Freddie Mac Non Gold Pool 6% 6/1/2053
 
479,189
491,730
Freddie Mac Non Gold Pool 6.5% 1/1/2055
 
435,930
454,969
Ginnie Mae I Pool 2.5% 12/20/2051
 
679,194
572,453
Ginnie Mae I Pool 2.5% 8/20/2051
 
571,784
481,924
Ginnie Mae I Pool 2.5% 9/20/2051
 
503,016
423,963
Ginnie Mae I Pool 3% 1/15/2045
 
5,524
4,949
Ginnie Mae I Pool 3% 1/15/2045
 
5,345
4,794
Ginnie Mae I Pool 3% 1/15/2045
 
1,497
1,340
Ginnie Mae I Pool 3% 12/20/2042
 
616,995
564,365
Ginnie Mae I Pool 3% 2/15/2045
 
5,272
4,730
Ginnie Mae I Pool 3% 2/15/2045
 
4,664
4,180
Ginnie Mae I Pool 3% 2/15/2045
 
2,376
2,131
Ginnie Mae I Pool 3% 3/15/2045
 
10,125
9,071
Ginnie Mae I Pool 3% 3/15/2045
 
6,418
5,744
Ginnie Mae I Pool 3% 3/15/2045
 
6,014
5,406
Ginnie Mae I Pool 3% 3/15/2045
 
4,940
4,427
Ginnie Mae I Pool 3% 3/15/2045
 
4,546
4,093
Ginnie Mae I Pool 3% 3/15/2045
 
2,926
2,615
Ginnie Mae I Pool 3% 3/15/2045
 
2,446
2,207
Ginnie Mae I Pool 3% 3/15/2045
 
2,112
1,900
Ginnie Mae I Pool 3% 3/15/2045
 
1,915
1,713
Ginnie Mae I Pool 3% 3/15/2045
 
1,444
1,293
Ginnie Mae I Pool 3% 3/20/2043
 
406,557
371,927
Ginnie Mae I Pool 3% 3/20/2043
 
169,153
154,863
Ginnie Mae I Pool 3% 6/15/2045
 
3,370
3,044
Ginnie Mae I Pool 3% 6/15/2045
 
2,413
2,158
Ginnie Mae I Pool 3% 6/15/2045
 
1,614
1,444
Ginnie Mae I Pool 3% 7/15/2045
 
6,361
5,691
Ginnie Mae I Pool 3% 7/15/2045
 
6,059
5,434
Ginnie Mae I Pool 3% 7/15/2045
 
5,550
4,965
Ginnie Mae I Pool 3% 7/15/2045
 
5,248
4,695
Ginnie Mae I Pool 3% 7/15/2045
 
4,960
4,431
Ginnie Mae I Pool 3% 7/15/2045
 
4,037
3,611
Ginnie Mae I Pool 3% 7/15/2045
 
3,916
3,503
Ginnie Mae I Pool 3% 7/15/2045
 
3,695
3,305
Ginnie Mae I Pool 3% 7/15/2045
 
1,504
1,345
Ginnie Mae I Pool 3.5% 1/15/2041
 
28,772
27,080
Ginnie Mae I Pool 3.5% 1/20/2050
 
187,794
171,319
Ginnie Mae I Pool 3.5% 1/20/2050
 
95,840
87,672
Ginnie Mae I Pool 3.5% 1/20/2050
 
93,472
85,505
Ginnie Mae I Pool 3.5% 1/20/2050
 
53,148
48,602
Ginnie Mae I Pool 3.5% 10/20/2052
 
342,875
312,714
Ginnie Mae I Pool 3.5% 11/15/2042
 
106,514
99,488
Ginnie Mae I Pool 3.5% 12/20/2049
 
23,837
21,812
Ginnie Mae I Pool 3.5% 12/20/2049
 
10,859
9,913
Ginnie Mae I Pool 3.5% 12/20/2049
 
8,420
7,708
Ginnie Mae I Pool 3.5% 12/20/2049
 
2,516
2,297
Ginnie Mae I Pool 3.5% 2/15/2041
 
51,387
48,157
Ginnie Mae I Pool 3.5% 2/15/2042
 
46,838
43,796
Ginnie Mae I Pool 3.5% 3/15/2043
 
50,943
47,336
Ginnie Mae I Pool 3.5% 5/15/2042
 
117,729
110,266
Ginnie Mae I Pool 3.5% 5/15/2042
 
82,931
77,652
Ginnie Mae I Pool 3.5% 5/15/2042
 
33,204
30,998
Ginnie Mae I Pool 3.5% 7/15/2043
 
74,979
69,601
Ginnie Mae I Pool 3.5% 7/20/2052
 
1,933,763
1,764,867
Ginnie Mae I Pool 3.5% 8/15/2042
 
58,087
54,329
Ginnie Mae I Pool 3.5% 8/20/2052
 
1,150,668
1,049,449
Ginnie Mae I Pool 3.5% 9/20/2052
 
4,451,471
4,059,895
Ginnie Mae I Pool 4% 1/15/2042
 
2,082
2,009
Ginnie Mae I Pool 4% 1/15/2043
 
9,808
9,437
Ginnie Mae I Pool 4% 10/15/2040
 
12,039
11,642
Ginnie Mae I Pool 4% 10/15/2041
 
102,914
99,209
Ginnie Mae I Pool 4% 10/15/2041
 
92,452
89,232
Ginnie Mae I Pool 4% 10/15/2041
 
80,437
77,515
Ginnie Mae I Pool 4% 10/15/2041
 
50,564
48,829
Ginnie Mae I Pool 4% 10/15/2041
 
23,242
22,473
Ginnie Mae I Pool 4% 10/15/2041
 
15,686
15,132
Ginnie Mae I Pool 4% 10/15/2041
 
12,216
11,797
Ginnie Mae I Pool 4% 10/15/2041
 
11,898
11,490
Ginnie Mae I Pool 4% 10/15/2041
 
9,243
8,934
Ginnie Mae I Pool 4% 10/15/2041
 
6,278
6,057
Ginnie Mae I Pool 4% 10/15/2041
 
4,623
4,456
Ginnie Mae I Pool 4% 10/15/2041
 
4,207
4,050
Ginnie Mae I Pool 4% 10/15/2041
 
1,121
1,083
Ginnie Mae I Pool 4% 10/20/2052
 
3,218,865
3,019,376
Ginnie Mae I Pool 4% 11/15/2040
 
29,154
28,119
Ginnie Mae I Pool 4% 11/15/2040
 
5,911
5,709
Ginnie Mae I Pool 4% 11/15/2040
 
2,878
2,777
Ginnie Mae I Pool 4% 11/15/2041
 
32,423
31,288
Ginnie Mae I Pool 4% 11/15/2042
 
2,447
2,355
Ginnie Mae I Pool 4% 12/15/2041
 
45,972
44,325
Ginnie Mae I Pool 4% 12/15/2041
 
25,870
24,943
Ginnie Mae I Pool 4% 12/15/2041
 
15,049
14,530
Ginnie Mae I Pool 4% 12/15/2041
 
10,080
9,715
Ginnie Mae I Pool 4% 12/15/2041
 
5,777
5,590
Ginnie Mae I Pool 4% 12/15/2041
 
1,113
1,074
Ginnie Mae I Pool 4% 12/15/2042
 
2,618
2,523
Ginnie Mae I Pool 4% 2/15/2041
 
5,296
5,119
Ginnie Mae I Pool 4% 2/15/2042
 
3,604
3,476
Ginnie Mae I Pool 4% 3/15/2040
 
38,782
37,584
Ginnie Mae I Pool 4% 3/15/2041
 
3,488
3,372
Ginnie Mae I Pool 4% 3/15/2042
 
16,296
15,704
Ginnie Mae I Pool 4% 3/15/2042
 
5,240
5,043
Ginnie Mae I Pool 4% 4/15/2042
 
6,431
6,194
Ginnie Mae I Pool 4% 4/15/2043
 
1,935
1,868
Ginnie Mae I Pool 4% 4/15/2046
 
436,052
417,701
Ginnie Mae I Pool 4% 4/20/2047
 
163,465
153,832
Ginnie Mae I Pool 4% 4/20/2047
 
160,131
150,695
Ginnie Mae I Pool 4% 4/20/2048
 
133,125
125,239
Ginnie Mae I Pool 4% 4/20/2048
 
126,402
118,914
Ginnie Mae I Pool 4% 6/15/2041
 
4,094
3,952
Ginnie Mae I Pool 4% 7/15/2040
 
14,263
13,810
Ginnie Mae I Pool 4% 7/15/2041
 
8,996
8,682
Ginnie Mae I Pool 4% 8/15/2041
 
135,736
130,963
Ginnie Mae I Pool 4% 8/15/2041
 
13,435
12,967
Ginnie Mae I Pool 4% 8/15/2043
 
2,808
2,693
Ginnie Mae I Pool 4% 9/15/2040
 
6,289
6,081
Ginnie Mae I Pool 4% 9/15/2041
 
14,953
14,427
Ginnie Mae I Pool 4% 9/15/2041
 
12,587
12,151
Ginnie Mae I Pool 4% 9/15/2041
 
11,126
10,755
Ginnie Mae I Pool 4% 9/15/2041
 
2,774
2,674
Ginnie Mae I Pool 4% 9/15/2041
 
1,325
1,284
Ginnie Mae I Pool 4.5% 2/15/2040
 
11,639
11,514
Ginnie Mae I Pool 4.5% 2/15/2040
 
1,357
1,342
Ginnie Mae I Pool 4.5% 3/15/2041
 
223,361
220,595
Ginnie Mae I Pool 4.5% 3/15/2041
 
175,468
173,513
Ginnie Mae I Pool 4.5% 3/15/2041
 
58,120
57,479
Ginnie Mae I Pool 4.5% 3/15/2041
 
2,630
2,601
Ginnie Mae I Pool 4.5% 4/15/2041
 
23,526
23,248
Ginnie Mae I Pool 4.5% 4/20/2053
 
4,272,805
4,118,198
Ginnie Mae I Pool 4.5% 5/15/2039
 
3,794
3,755
Ginnie Mae I Pool 4.5% 6/15/2040
 
33,291
32,924
Ginnie Mae I Pool 4.5% 6/15/2040
 
22,630
22,388
Ginnie Mae I Pool 4.5% 6/15/2040
 
16,069
15,895
Ginnie Mae I Pool 4.5% 7/15/2040
 
42,961
42,493
Ginnie Mae I Pool 4.5% 7/15/2040
 
20,344
20,121
Ginnie Mae I Pool 4.5% 7/15/2040
 
14,597
14,432
Ginnie Mae I Pool 4.5% 7/15/2040
 
2,269
2,241
Ginnie Mae I Pool 4.5% 8/15/2039
 
40,254
39,838
Ginnie Mae I Pool 4.5% 8/15/2040
 
14,685
14,523
Ginnie Mae I Pool 5% 10/15/2039
 
11,743
11,871
Ginnie Mae I Pool 5% 10/15/2039
 
4,980
5,034
Ginnie Mae I Pool 5% 11/15/2040
 
10,432
10,546
Ginnie Mae I Pool 5% 11/15/2040
 
4,189
4,235
Ginnie Mae I Pool 5% 12/15/2039
 
14,355
14,512
Ginnie Mae I Pool 5% 3/15/2039
 
6,783
6,856
Ginnie Mae I Pool 5% 4/15/2040
 
1,748
1,767
Ginnie Mae I Pool 5% 4/15/2041
 
5,390
5,449
Ginnie Mae I Pool 5% 4/15/2041
 
3,086
3,120
Ginnie Mae I Pool 5% 4/15/2041
 
2,008
2,030
Ginnie Mae I Pool 5% 4/20/2048
 
354,953
357,592
Ginnie Mae I Pool 5% 6/15/2040
 
7,720
7,804
Ginnie Mae I Pool 5% 7/15/2040
 
12,795
12,935
Ginnie Mae I Pool 5% 7/15/2040
 
9,369
9,471
Ginnie Mae I Pool 5% 7/15/2040
 
7,835
7,920
Ginnie Mae I Pool 5% 8/15/2039
 
11,226
11,348
Ginnie Mae I Pool 5% 8/15/2039
 
915
925
Ginnie Mae I Pool 5% 8/15/2040
 
22,558
22,804
Ginnie Mae I Pool 5% 8/15/2040
 
18,648
18,852
Ginnie Mae I Pool 5% 9/15/2039
 
8,963
9,060
Ginnie Mae I Pool 5% 9/15/2040
 
13,819
13,970
Ginnie Mae I Pool 5% 9/15/2040
 
8,323
8,414
Ginnie Mae I Pool 6.5% 11/15/2035
 
2,449
2,557
Ginnie Mae I Pool 6.5% 4/15/2035
 
3,175
3,308
Ginnie Mae I Pool 6.5% 9/15/2035
 
7,178
7,462
Ginnie Mae I Pool 7% 1/15/2028
 
457
462
Ginnie Mae I Pool 7% 1/15/2028
 
21
20
Ginnie Mae I Pool 7% 10/15/2028
 
81
82
Ginnie Mae I Pool 7% 10/15/2031
 
1,936
1,996
Ginnie Mae I Pool 7% 12/15/2028
 
134
136
Ginnie Mae I Pool 7% 12/15/2030
 
3,032
3,124
Ginnie Mae I Pool 7% 2/15/2028
 
1,868
1,890
Ginnie Mae I Pool 7% 2/15/2028
 
30
30
Ginnie Mae I Pool 7% 2/15/2032
 
6,497
6,709
Ginnie Mae I Pool 7% 2/15/2032
 
197
204
Ginnie Mae I Pool 7% 3/15/2028
 
126
127
Ginnie Mae I Pool 7% 3/15/2029
 
883
900
Ginnie Mae I Pool 7% 3/15/2032
 
3,491
3,593
Ginnie Mae I Pool 7% 3/15/2032
 
2,638
2,724
Ginnie Mae I Pool 7% 3/15/2032
 
28
29
Ginnie Mae I Pool 7% 4/15/2028
 
279
282
Ginnie Mae I Pool 7% 4/15/2028
 
14
13
Ginnie Mae I Pool 7% 4/15/2029
 
753
767
Ginnie Mae I Pool 7% 4/15/2029
 
387
394
Ginnie Mae I Pool 7% 4/15/2031
 
521
533
Ginnie Mae I Pool 7% 4/15/2032
 
9,002
9,331
Ginnie Mae I Pool 7% 4/15/2032
 
995
1,031
Ginnie Mae I Pool 7% 4/15/2032
 
673
693
Ginnie Mae I Pool 7% 4/15/2032
 
158
163
Ginnie Mae I Pool 7% 5/15/2029
 
711
725
Ginnie Mae I Pool 7% 5/15/2032
 
285
295
Ginnie Mae I Pool 7% 6/15/2028
 
1,277
1,282
Ginnie Mae I Pool 7% 6/15/2028
 
336
341
Ginnie Mae I Pool 7% 6/15/2028
 
109
110
Ginnie Mae I Pool 7% 6/15/2032
 
2,634
2,728
Ginnie Mae I Pool 7% 6/15/2032
 
961
991
Ginnie Mae I Pool 7% 6/15/2032
 
77
80
Ginnie Mae I Pool 7% 6/15/2032
 
72
75
Ginnie Mae I Pool 7% 7/15/2028
 
403
404
Ginnie Mae I Pool 7% 7/15/2028
 
58
59
Ginnie Mae I Pool 7% 7/15/2028
 
22
22
Ginnie Mae I Pool 7% 7/15/2031
 
1,445
1,490
Ginnie Mae I Pool 7% 7/15/2031
 
596
613
Ginnie Mae I Pool 7% 7/15/2031
 
319
330
Ginnie Mae I Pool 7% 7/15/2032
 
942
963
Ginnie Mae I Pool 7% 7/15/2032
 
341
354
Ginnie Mae I Pool 7% 8/15/2031
 
1,220
1,235
Ginnie Mae I Pool 7% 8/15/2031
 
896
926
Ginnie Mae I Pool 7% 8/15/2031
 
95
97
Ginnie Mae I Pool 7% 9/15/2031
 
1,111
1,141
Ginnie Mae I Pool 7% 9/15/2031
 
301
309
Ginnie Mae I Pool 7% 9/15/2031
 
149
154
Ginnie Mae I Pool 7.5% 1/15/2026
 
4
3
Ginnie Mae I Pool 7.5% 10/15/2027
 
137
139
Ginnie Mae I Pool 7.5% 10/15/2027
 
20
19
Ginnie Mae I Pool 7.5% 10/15/2028
 
1,777
1,818
Ginnie Mae I Pool 7.5% 11/15/2027
 
1
0
Ginnie Mae I Pool 7.5% 12/15/2025
 
3
2
Ginnie Mae I Pool 7.5% 12/15/2027
 
358
366
Ginnie Mae I Pool 7.5% 2/15/2027
 
75
76
Ginnie Mae I Pool 7.5% 3/15/2028
 
1,160
1,182
Ginnie Mae I Pool 7.5% 4/15/2027
 
450
454
Ginnie Mae I Pool 7.5% 4/15/2027
 
377
382
Ginnie Mae I Pool 7.5% 4/15/2027
 
170
172
Ginnie Mae I Pool 7.5% 4/15/2027
 
138
140
Ginnie Mae I Pool 7.5% 4/15/2027
 
116
118
Ginnie Mae I Pool 7.5% 4/15/2027
 
71
72
Ginnie Mae I Pool 7.5% 4/15/2027
 
50
50
Ginnie Mae I Pool 7.5% 4/15/2027
 
39
39
Ginnie Mae I Pool 7.5% 4/15/2027
 
26
26
Ginnie Mae I Pool 7.5% 6/15/2027
 
143
144
Ginnie Mae I Pool 7.5% 8/15/2028
 
186
187
Ginnie Mae I Pool 8% 3/15/2030
 
603
620
Ginnie Mae I Pool 8% 5/15/2030
 
312
321
Ginnie Mae I Pool 8% 9/15/2030
 
620
638
Ginnie Mae II Pool 2% 1/20/2051
 
20,991,402
17,114,802
Ginnie Mae II Pool 2% 10/20/2050
 
4,990,977
4,070,825
Ginnie Mae II Pool 2% 11/20/2050
 
2,226,347
1,815,195
Ginnie Mae II Pool 2% 12/20/2050
 
4,150,783
3,384,234
Ginnie Mae II Pool 2% 2/20/2051
 
4,607,850
3,756,892
Ginnie Mae II Pool 2% 9/20/2050
 
3,396,600
2,771,454
Ginnie Mae II Pool 2.5% 12/20/2051
 
74,445
63,304
Ginnie Mae II Pool 2.5% 2/20/2052
 
10,089,408
8,584,175
Ginnie Mae II Pool 2.5% 5/20/2052
 
14,244,066
12,119,002
Ginnie Mae II Pool 2.5% 6/20/2051
 
834,440
710,081
Ginnie Mae II Pool 2.5% 6/20/2054
 
434,374
369,672
Ginnie Mae II Pool 2.5% 7/20/2051
 
1,960,378
1,666,992
Ginnie Mae II Pool 2.5% 9/20/2051
 
1,985,843
1,688,646
Ginnie Mae II Pool 3% 1/20/2032
 
644,315
626,733
Ginnie Mae II Pool 3% 10/20/2031
 
213,389
207,675
Ginnie Mae II Pool 3% 11/20/2031
 
226,060
219,949
Ginnie Mae II Pool 3% 12/20/2031
 
345,764
336,417
Ginnie Mae II Pool 3% 12/20/2046
 
309,076
276,745
Ginnie Mae II Pool 3% 2/20/2031
 
27,695
27,022
Ginnie Mae II Pool 3% 3/20/2031
 
56,466
55,076
Ginnie Mae II Pool 3% 3/20/2046
 
53,192
47,678
Ginnie Mae II Pool 3% 3/20/2050
 
431,882
382,925
Ginnie Mae II Pool 3% 4/20/2031
 
209,378
204,167
Ginnie Mae II Pool 3% 4/20/2047
 
17,407
15,576
Ginnie Mae II Pool 3% 4/20/2052
 
2,649,736
2,342,953
Ginnie Mae II Pool 3% 5/20/2031
 
443,752
432,583
Ginnie Mae II Pool 3% 5/20/2052
 
7,624,997
6,742,184
Ginnie Mae II Pool 3% 7/1/2055 (e)
 
8,600,000
7,599,469
Ginnie Mae II Pool 3% 7/20/2031
 
5,793
5,642
Ginnie Mae II Pool 3% 8/20/2031
 
67,781
66,020
Ginnie Mae II Pool 3% 9/20/2031
 
27,468
26,747
Ginnie Mae II Pool 3.5% 12/20/2040
 
51,199
47,982
Ginnie Mae II Pool 3.5% 7/1/2055 (e)
 
11,775,000
10,688,733
Ginnie Mae II Pool 3.5% 8/1/2055 (e)
 
1,525,000
1,380,384
Ginnie Mae II Pool 4% 1/20/2041
 
169,205
163,307
Ginnie Mae II Pool 4% 1/20/2042
 
577,328
556,063
Ginnie Mae II Pool 4% 1/20/2046
 
2,264
2,146
Ginnie Mae II Pool 4% 10/20/2040
 
82,344
79,493
Ginnie Mae II Pool 4% 10/20/2045
 
2,026
1,924
Ginnie Mae II Pool 4% 11/20/2040
 
332,965
321,398
Ginnie Mae II Pool 4% 12/20/2045
 
2,723
2,587
Ginnie Mae II Pool 4% 12/20/2054
 
7,211,071
6,702,194
Ginnie Mae II Pool 4% 2/20/2041
 
5,499
5,306
Ginnie Mae II Pool 4% 3/20/2047
 
86,568
81,846
Ginnie Mae II Pool 4% 4/20/2047
 
311,004
293,843
Ginnie Mae II Pool 4% 5/20/2046
 
483,956
458,916
Ginnie Mae II Pool 4% 6/20/2045
 
55,129
52,656
Ginnie Mae II Pool 4% 7/20/2044
 
2,836
2,714
Ginnie Mae II Pool 4% 8/20/2043
 
20,460
19,641
Ginnie Mae II Pool 4% 8/20/2045
 
398,171
378,192
Ginnie Mae II Pool 4% 9/20/2040
 
129,971
125,465
Ginnie Mae II Pool 4% 9/20/2045
 
1,918
1,821
Ginnie Mae II Pool 4.5% 11/20/2054
 
1,871,317
1,792,055
Ginnie Mae II Pool 4.5% 3/20/2041
 
7,469
7,393
Ginnie Mae II Pool 4.5% 5/20/2040
 
50,089
49,600
Ginnie Mae II Pool 4.5% 5/20/2041
 
14,577
14,427
Ginnie Mae II Pool 4.5% 7/20/2040
 
38,146
37,767
Ginnie Mae II Pool 4.5% 7/20/2054
 
878,497
841,287
Ginnie Mae II Pool 4.5% 9/20/2040
 
173,507
171,769
Ginnie Mae II Pool 5% 12/20/2054
 
720,828
708,841
Ginnie Mae II Pool 5% 5/20/2055
 
7,699,997
7,563,535
Ginnie Mae II Pool 5.5% 12/20/2054
 
592,874
593,806
Ginnie Mae II Pool 5.5% 7/1/2055 (e)
 
12,000,000
12,011,921
Ginnie Mae II Pool 5.5% 8/1/2055 (e)
 
5,850,000
5,851,241
Ginnie Mae II Pool 6% 1/20/2055
 
983,115
997,588
Ginnie Mae II Pool 6% 12/20/2054
 
2,059,519
2,089,838
Ginnie Mae II Pool 6% 7/1/2055 (e)
 
25,600,000
25,958,461
Ginnie Mae II Pool 6% 8/1/2055 (e)
 
22,375,000
22,662,957
Ginnie Mae II Pool 6.5% 5/20/2055
 
3,649,968
3,750,588
Ginnie Mae II Pool 6.5% 7/1/2055 (e)
 
7,100,000
7,288,217
Ginnie Mae II Pool 6.5% 8/1/2055 (e)
 
2,600,000
2,663,237
Uniform Mortgage Backed Securities 2% 7/1/2055 (e)
 
43,825,000
34,676,522
Uniform Mortgage Backed Securities 2% 8/1/2055 (e)
 
21,800,000
17,258,611
Uniform Mortgage Backed Securities 2.5% 7/1/2055 (e)
 
8,600,000
7,129,598
Uniform Mortgage Backed Securities 2.5% 8/1/2055 (e)
 
5,600,000
4,644,279
Uniform Mortgage Backed Securities 3.5% 7/1/2055 (e)
 
1,375,000
1,237,554
Uniform Mortgage Backed Securities 3.5% 8/1/2055 (e)
 
850,000
764,934
Uniform Mortgage Backed Securities 4.5% 7/1/2055 (e)
 
2,625,000
2,509,951
Uniform Mortgage Backed Securities 6% 7/1/2055 (e)
 
19,550,000
19,865,402
Uniform Mortgage Backed Securities 6% 8/1/2055 (e)
 
10,700,000
10,864,265
Uniform Mortgage Backed Securities 6.5% 7/1/2055 (e)
 
8,600,000
8,876,813
Uniform Mortgage Backed Securities 6.5% 8/1/2055 (e)
 
7,000,000
7,215,470
TOTAL UNITED STATES
 
 
656,826,204
 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
 (Cost $669,539,502)
 
 
 
656,826,204
 
 
 
 
U.S. Treasury Obligations - 45.4%
 
 
Yield (%) (g)
Principal
Amount (a)
 
Value ($)
 
US Treasury Bonds 1.125% 5/15/2040
 
1.02
12,353,900
7,680,651
US Treasury Bonds 1.75% 8/15/2041
 
1.94
43,542,800
28,908,337
US Treasury Bonds 1.875% 11/15/2051
 
1.95 to 2.04
13,856,800
7,708,927
US Treasury Bonds 2% 11/15/2041
 
2.00 to 2.14
16,500,000
11,347,617
US Treasury Bonds 2% 8/15/2051
 
1.86 to 1.94
32,104,200
18,508,824
US Treasury Bonds 2.25% 2/15/2052
 
2.26 to 2.90
36,300,000
22,172,777
US Treasury Bonds 2.875% 5/15/2052
 
3.07 to 3.19
23,300,000
16,397,375
US Treasury Bonds 3.375% 8/15/2042
 
3.46 to 3.75
34,200,000
28,705,289
US Treasury Bonds 3.625% 5/15/2053
 
3.90 to 4.02
26,100,000
21,287,813
US Treasury Bonds 4.125% 8/15/2053
 
4.18 to 5.00
53,171,000
47,494,580
US Treasury Bonds 4.25% 2/15/2054
 
4.37 to 4.78
67,700,000
61,755,094
US Treasury Bonds 4.25% 8/15/2054
 
3.96 to 4.65
41,100,000
37,532,648
US Treasury Bonds 4.625% 2/15/2055
 
4.60
5,000,000
4,865,643
US Treasury Bonds 4.625% 5/15/2054
 
4.49 to 4.65
12,830,000
12,461,138
US Treasury Bonds 4.75% 5/15/2055
 
4.82 to 4.98
34,951,000
34,754,401
US Treasury Notes 2.375% 3/31/2029
 
2.67
10,000,000
9,528,125
US Treasury Notes 3.375% 5/15/2033
 
3.64 to 4.04
67,451,000
64,297,139
US Treasury Notes 3.5% 2/15/2033
 
3.92
63,000,000
60,731,016
US Treasury Notes 3.75% 6/30/2030
 
3.91 to 4.12
64,800,000
64,635,469
US Treasury Notes 3.875% 11/30/2029
 
3.65 to 3.86
123,000,000
123,542,930
US Treasury Notes 3.875% 12/31/2029
 
3.47
85,000,000
85,361,914
US Treasury Notes 3.875% 8/15/2033
 
4.02 to 4.77
36,190,000
35,638,668
US Treasury Notes 3.875% 8/15/2034
 
3.64 to 4.27
128,800,000
125,745,380
US Treasury Notes 4% 1/31/2029
 
4.30
28,000,000
28,252,656
US Treasury Notes 4% 1/31/2031
 
4.13
39,100,000
39,376,449
US Treasury Notes 4% 4/30/2032
 
4.26 to 4.27
65,800,000
65,882,250
US Treasury Notes 4% 6/30/2032
 
3.98
4,600,000
4,603,594
US Treasury Notes 4.125% 11/15/2032
 
3.59
38,824,000
39,092,431
US Treasury Notes 4.125% 2/29/2032
 
4.15 to 4.23
70,000,000
70,639,843
US Treasury Notes 4.125% 5/31/2032
 
4.05
593,000
597,920
US Treasury Notes 4.125% 8/31/2030
 
4.61
24,900,000
25,259,883
US Treasury Notes 4.25% 11/15/2034
 
4.44
7,500,000
7,524,609
US Treasury Notes 4.25% 5/15/2035
 
4.48 to 4.49
25,000,000
25,039,063
US Treasury Notes 4.375% 1/31/2032
 
4.41
16,400,000
16,788,859
US Treasury Notes 4.375% 11/30/2030
 
4.27 to 4.35
88,200,000
90,480,798
US Treasury Notes 4.625% 2/15/2035
 
4.17 to 4.24
47,300,000
48,797,972
US Treasury Notes 4.875% 10/31/2030
 
4.91
22,600,000
23,723,820
 
TOTAL U.S. TREASURY OBLIGATIONS
 (Cost $1,495,569,340)
 
 
 
1,417,121,902
 
 
 
 
 
Money Market Funds - 3.8%
 
 
Yield (%)
Shares
Value ($)
 
Fidelity Cash Central Fund (h)
 (Cost $118,603,248)
 
4.32
118,579,925
118,603,641
 
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 106.3%
 (Cost $3,435,754,915)
 
 
 
3,315,760,309
NET OTHER ASSETS (LIABILITIES) - (6.3)%  
(196,732,901)
NET ASSETS - 100.0%
3,119,027,408
 
 
 TBA Sale Commitments
 
Principal
Amount (a)
Value ($)
U.S. Government Agency - Mortgage Securities
 
 
Ginnie Mae II Pool 3.5% 7/1/2055
(11,775,000)
(10,688,733)
Ginnie Mae II Pool 5.5% 7/1/2055
(5,850,000)
(5,855,810)
Ginnie Mae II Pool 6% 7/1/2055
(22,375,000)
(22,688,304)
Ginnie Mae II Pool 6.5% 7/1/2055
(7,100,000)
(7,288,217)
Uniform Mortgage Backed Securities 2% 7/1/2055
(22,800,000)
(18,040,496)
Uniform Mortgage Backed Securities 2.5% 7/1/2055
(6,700,000)
(5,554,454)
Uniform Mortgage Backed Securities 3.5% 7/1/2055
(1,750,000)
(1,575,069)
Uniform Mortgage Backed Securities 6% 7/1/2055
(13,900,000)
(14,124,250)
Uniform Mortgage Backed Securities 6.5% 7/1/2055
(8,600,000)
(8,876,813)
 
 
 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
 
(94,692,146)
 
 
 
TOTAL TBA SALE COMMITMENTS
 (Proceeds $94,053,087)
 
 
(94,692,146)
 
 
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 $458,648,570 or 14.7% of net assets.
 
(c)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(d)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(e)
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
 
(f)
Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.
 
(g)
Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.
 
(h)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
 
 
 
Affiliated Central Funds
 
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 ($)
 
 
Shares,
end
of period
% ownership,
end
of period
Fidelity Cash Central Fund
36,534,283
255,161,983
173,092,624
1,353,086
-
(1)
118,603,641
118,579,925
0.2%
Fidelity Securities Lending Cash Central Fund
7,141,810
124,356,334
131,498,144
2,631
-
-
-
-
0.0%
Total
43,676,093
379,518,317
304,590,768
1,355,717
-
(1)
118,603,641
 
 
 
 
 
 
 
 
 
 
 
 
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 income 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 June 30, 2025, 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:
 
 
 
 
 Asset-Backed Securities
248,156,371
-
248,156,371
-
 Bank Notes
 
 
 
 
Financials
3,315,853
-
3,315,853
-
 Collateralized Mortgage Obligations
9,807
-
9,807
-
 Commercial Mortgage Securities
118,966,509
-
118,966,509
-
 Foreign Government and Government Agency Obligations
1,476,151
-
1,476,151
-
 Non-Convertible Corporate Bonds
 
 
 
 
Communication Services
63,449,123
-
63,449,123
-
Consumer Discretionary
10,456,994
-
10,456,994
-
Consumer Staples
28,137,710
-
28,137,710
-
Energy
81,456,717
-
81,456,717
-
Financials
390,193,769
-
390,193,769
-
Health Care
34,933,452
-
34,933,452
-
Industrials
19,871,048
-
19,871,048
-
Information Technology
24,161,827
-
24,161,827
-
Materials
3,790,802
-
3,790,802
-
Real Estate
68,043,422
-
68,043,422
-
Utilities
26,789,007
-
26,789,007
-
 U.S. Government Agency - Mortgage Securities
656,826,204
-
656,826,204
-
 U.S. Treasury Obligations
1,417,121,902
-
1,417,121,902
-
 Money Market Funds
118,603,641
118,603,641
-
-
 Total Investments in Securities:
3,315,760,309
118,603,641
3,197,156,668
-
 Other Financial Instruments:
 
 
 
 
 TBA Sale Commitments
(94,692,146)
-
(94,692,146)
-
 Total Other Financial Instruments:
(94,692,146)
-
(94,692,146)
-
Financial Statements (Unaudited)
Statement of Assets and Liabilities
 
As of June 30, 2025 (Unaudited)
Assets
 
 
 
 
Investment in securities, at value  - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $3,317,151,667)
$
3,197,156,668
 
 
Fidelity Central Funds (cost $118,603,248)
118,603,641
 
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $3,435,754,915)
 
 
$
3,315,760,309
Cash
 
 
31,172
Foreign currency held at value (cost $2)
 
 
2
Receivable for investments sold
 
 
7,016,657
Receivable for TBA sale commitments
 
 
94,053,087
Receivable for fund shares sold
 
 
4,910,781
Interest receivable
 
 
27,416,305
Distributions receivable from Fidelity Central Funds
 
 
459,226
Other receivables
 
 
7,056
  Total assets
 
 
3,449,654,595
Liabilities
 
 
 
 
Payable for investments purchased
 
 
 
 
Regular delivery
$
22,736,288
 
 
Delayed delivery
213,174,356
 
 
TBA sale commitments, at value
94,692,146
 
 
Payable for fund shares redeemed
23,180
 
 
Distributions payable
137
 
 
Other payables and accrued expenses
1,080
 
 
  Total liabilities
 
 
 
330,627,187
Net Assets  
 
 
$
3,119,027,408
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
3,392,903,578
Total accumulated earnings (loss)
 
 
 
(273,876,170)
Net Assets
 
 
$
3,119,027,408
Net Asset Value, offering price and redemption price per share ($3,119,027,408 ÷ 33,360,227 shares)
 
 
$
93.50
Statement of Operations
Six months ended June 30, 2025 (Unaudited)
 
 
Investment Income
 
 
 
 
Interest  
 
 
$
64,728,634
Income from Fidelity Central Funds (including $2,631 from security lending)
 
 
1,355,717
 Total income
 
 
 
66,084,351
Expenses
 
 
 
 
Custodian fees and expenses
$
3,235
 
 
Independent trustees' fees and expenses
3,781
 
 
 Total expenses before reductions
 
7,016
 
 
 Expense reductions
 
(5,272)
 
 
 Total expenses after reductions
 
 
 
1,744
Net Investment income (loss)
 
 
 
66,082,607
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers  
 
(15,906,635)
 
 
Total net realized gain (loss)
 
 
 
(15,906,635)
Change in net unrealized appreciation (depreciation) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers  
 
80,894,932
 
 
   Fidelity Central Funds
 
(1)
 
 
 TBA sale commitments
 
(725,908)
 
 
Total change in net unrealized appreciation (depreciation)
 
 
 
80,169,023
Net gain (loss)
 
 
 
64,262,388
Net increase (decrease) in net assets resulting from operations
 
 
$
130,344,995
Statement of Changes in Net Assets
 
 
Six months ended
June 30, 2025
(Unaudited)
 
Year ended
December 31, 2024
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
66,082,607
$
128,401,332
Net realized gain (loss)
 
(15,906,635)
 
(30,155,778)
Change in net unrealized appreciation (depreciation)
 
80,169,023
 
(39,161,363)
Net increase (decrease) in net assets resulting from operations
 
130,344,995
 
59,084,191
Distributions to shareholders
 
(63,968,758)
 
(125,649,885)
 
 
 
 
 
Affiliated share transactions
 
 
 
 
Proceeds from sales of shares
 
180,196,249
 
148,208,210
  Reinvestment of distributions
 
63,968,697
 
126,302,464
Cost of shares redeemed
 
(122,105,758)
 
(174,129,028)
 
 
 
 
 
  Net increase (decrease) in net assets resulting from share transactions
 
122,059,188
 
100,381,646
Total increase (decrease) in net assets
 
188,435,425
 
33,815,952
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
2,930,591,983
 
2,896,776,031
End of period
$
3,119,027,408
$
2,930,591,983
 
 
 
 
 
Other Information
 
 
 
 
Shares
 
 
 
 
Sold
 
1,953,846
 
1,618,586
  Issued in reinvestment of distributions
 
688,246
 
1,365,447
Redeemed
 
(1,316,586)
 
(1,862,421)
Net increase (decrease)
 
1,325,506
 
1,121,612
 
 
 
 
 
Financial Highlights
 
VIP Investment Grade Central Fund
 
 
Six months ended
June 30, 2025
(Unaudited) 
 
Years ended December 31, 2024 
 
2023  
 
2022 
 
2021 
 
2020   
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
91.48
$
93.71
$
91.75
$
109.19
$
114.93
$
108.80
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
 
2.052
 
4.025
 
3.608
 
2.711
 
2.481
 
3.026
     Net realized and unrealized gain (loss)
 
1.955
 
(2.296)
 
1.882
 
(16.386)
 
(2.817)
 
7.583
  Total from investment operations
 
4.007  
 
1.729  
 
5.490  
 
(13.675)  
 
(.336)
 
10.609
  Distributions from net investment income
 
(1.987)
 
(3.959)
 
(3.530)
 
(2.765)
 
(2.717)
 
(3.070)
  Distributions from net realized gain
 
-
 
-
 
-
 
(1.000)
 
(2.687)
 
(1.409)
     Total distributions
 
(1.987)
 
(3.959)
 
(3.530)
 
(3.765)
 
(5.404)
 
(4.479)
  Net asset value, end of period
$
93.50
$
91.48
$
93.71
$
91.75
$
109.19
$
114.93
 Total Return C,D
 
4.41
%
 
1.88%
 
6.13%
 
(12.69)%
 
(.28)%
 
9.87%
 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, if any G
 
-% H
 
-%
 
-%
 
-%
 
-%
 
-%
    Net investment income (loss)
 
4.48% H
 
4.35%
 
3.93%
 
2.79%
 
2.23%
 
2.68%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
3,119,027
$
2,930,592
$
2,896,776
$
2,458,557
$
2,404,652
$
7,119,394
    Portfolio turnover rate I
 
119
% H
 
196%
 
205%
 
188%
 
178% J
 
169%
 
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 $.0005 per share.
HAnnualized.
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
JPortfolio turnover rate excludes securities received or delivered in-kind.
Notes to Financial Statements
 (Unaudited)
For the period ended June 30, 2025
 
1. Organization.
Fidelity VIP Investment Grade Central Fund (the Fund) is a fund of Fidelity Garrison Street Trust (the Trust) 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 Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
 
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
 
Fidelity Central Fund
Investment Manager
Investment Objective
Investment Practices
Expense RatioA
Fidelity Money Market Central Funds
Fidelity Management & Research Company LLC (FMR)
Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.
Short-term Investments
Less than .005%
 
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
 
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
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. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. 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 but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
 
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
 
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
 
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
 
Valuation techniques used to value the Fund's investments by major category are as follows:
 
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Brokers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing 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 June 30, 2025 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 market discount, capital loss carryforwards and losses deferred due to wash sales.
 
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
 
Gross unrealized appreciation
$29,629,338
Gross unrealized depreciation
(143,972,672)
Net unrealized appreciation (depreciation)
$(114,343,334)
Tax cost
$3,429,464,584
 
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
$(38,447,660)
 Long-term
(106,416,706)
Total capital loss carryforward
$(144,864,366)
 
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
 
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.
 
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
 
TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The value of these commitments and proceeds to be received at contractual settlement date are reflected in the Statement of Assets and Liabilities as "TBA sale commitments, at value" and "Receivable for TBA sale commitments," respectively. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, a fund realizes a gain or loss. If a fund delivers securities under the commitment, a fund realizes a gain or loss from the sale of the securities based upon the price established at the date the commitment was entered into.
 
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
 
New Accounting Pronouncement. 
In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
 
 
Purchases ($)
Sales ($)
Fidelity VIP Investment Grade Central Fund
752,234,970
669,952,448
5. 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 Trustees, 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 of Trustees. 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.
6. 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, the borrowers provide 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 fair value of the loaned securities during the period of the loan. The fair 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 or gaining access to non-cash collateral. 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, plus any premium income received, or for non-cash collateral, fees received from borrowers as compensation for the securities loaned. Securities lending income is reduced by any lending agent fees associated with the loan. Any security lending income earned on investing cash collateral is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Any security lending income earned on non-cash collateral is presented in the Statement of Operations as a component of interest. 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 VIP Investment Grade Central Fund
276
 -
-
7. 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 $5,272.
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
 
At the end of the period, mutual funds managed by FMR or its affiliates were the owners of record of all of the outstanding shares as shown below.
 
Fund
Ownership %
VIP Asset Manager 50% Portfolio
9.2%
VIP Asset Manager 70% Portfolio
1.6%
VIP Balanced Portfolio
89.2%
9. 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.
10. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, 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.
Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies
(Unaudited)
Note: This is not applicable for any fund included in this document.
Item 9: Proxy Disclosures for Open-End Management Investment Companies
(Unaudited)
Note: This is not applicable for any fund included in this document.
Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies
(Unaudited)
Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.
Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract
(Unaudited)
Note: This is not applicable for any fund included in this document.
 
1.831205.119
VIGC-SANN-0825

Item 8.

Changes in and Disagreements with Accountants for Open-End Management Investment Companies


See Item 7.


Item 9.

Proxy Disclosures for Open-End Management Investment Companies


See Item 7.


Item 10.

Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies


See Item 7.


Item 11.

Statement Regarding Basis for Approval of Investment Advisory Contract


See Item 7.


Item 12.

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


Not applicable.


Item 13.

Portfolio Managers of Closed-End Management Investment Companies


Not applicable.


Item 14.  

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


Not applicable.


Item 15.

Submission of Matters to a Vote of Security Holders


There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Garrison Street Trust’s Board of Trustees.


Item 16.

Controls and Procedures


(a)(i)  The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Garrison Street Trust’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 17.

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies


Not applicable.


Item 18.

Recovery of Erroneously Awarded Compensation


(a)

Not applicable.


(b)

Not applicable.


Item 19.

Exhibits


(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 Garrison Street Trust



By:

/s/Laura M. Del Prato

 

Laura M. Del Prato

 

President and Treasurer (Principal Executive Officer)

 

 

Date:

August 22, 2025


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:

August 22, 2025



By:

/s/Stephanie Caron

 

Stephanie Caron

 

Chief Financial Officer (Principal Financial Officer)

 

 

Date:

August 22, 2025

 








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