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Name | Symbol | Market | Type |
---|---|---|---|
Fidelity Limited Term Bond ETF | AMEX:FLTB | AMEX | Exchange Traded Fund |
Price Change | % Change | Price | High Price | Low Price | Open Price | Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
-0.13 | -0.26% | 50.3491 | 50.3491 | 50.27 | 50.27 | 1,083 | 14:53:33 |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22796
Fidelity Merrimack Street Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, MA 02210 |
|
(Address of principal executive offices) |
(Zip code) |
Cynthia Lo Bessette, 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: |
August 31 |
Date of reporting period: |
February 29, 2020 |
Item 1. Reports to Stockholders
Account Type | Website | Phone Number |
Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose ‘no’ under Required Disclosures to continue print) | 1-800-343-0860 |
3 |
4 |
5 |
6 |
(by issuer, excluding cash equivalents) |
% of fund’s
net assets |
U.S. Treasury Notes | 7.5 |
JPMorgan Chase & Co. | 3.7 |
The Goldman Sachs Group, Inc. | 3.5 |
Morgan Stanley | 3.2 |
Wells Fargo & Co. | 2.9 |
20.8 |
% of fund's
net assets |
||
Financials | 62.0 | |
Communication Services | 5.0 | |
Energy | 3.6 | |
Industrials | 3.1 | |
Consumer Discretionary | 3.0 |
7 |
8 |
Nonconvertible Bonds – 90.8% | ||
Principal Amount | Value | |
COMMUNICATION SERVICES – 6.5% | ||
Diversified Telecommunication Services – 2.1% | ||
AT&T, Inc.: | ||
4.50% 5/15/35 to 3/9/48 | $1,468,000 | $1,676,273 |
4.90% 6/15/42 |
150,000 | 176,907 |
5.55% 8/15/41 |
197,000 | 255,134 |
Level 3 Financing, Inc.
3.40% 3/1/27 (a) |
725,000 | 753,761 |
Verizon Communications, Inc.
4.522% 9/15/48 |
400,000 | 515,622 |
3,377,697 | ||
Media – 3.5% | ||
Charter Communications Operating LLC / Charter Communications Operating Capital: | ||
4.20% 3/15/28 |
150,000 | 162,893 |
5.375% 5/1/47 |
474,000 | 545,404 |
Comcast Corp.: | ||
4.50% 1/15/43 |
470,000 | 588,121 |
4.95% 10/15/58 |
330,000 | 450,898 |
Cox Communications, Inc.
3.25% 12/15/22 (a) |
410,000 | 426,254 |
Discovery Communications LLC
4.125% 5/15/29 |
1,000,000 | 1,099,657 |
Fox Corp.: | ||
3.666% 1/25/22 (a) |
7,000 | 7,289 |
4.03% 1/25/24 (a) |
13,000 | 14,059 |
4.709% 1/25/29 (a) |
19,000 | 22,279 |
5.476% 1/25/39 (a) |
18,000 | 23,082 |
5.576% 1/25/49 (a) |
212,000 | 284,966 |
Tencent Holdings Ltd.
3.575% 4/11/26 (a) |
200,000 | 217,048 |
The Walt Disney Co.: | ||
3.00% 9/15/22 |
27,000 | 28,112 |
4.75% 11/15/46 |
176,000 | 237,874 |
Time Warner Cable LLC
4.125% 2/15/21 |
500,000 | 507,359 |
Time Warner Cable, Inc.: | ||
4.50% 9/15/42 |
53,000 | 55,172 |
5.875% 11/15/40 |
634,000 | 758,186 |
7.30% 7/1/38 |
150,000 | 203,639 |
5,632,292 | ||
Wireless Telecommunication Services – 0.9% | ||
Rogers Communications, Inc.
4.30% 2/15/48 |
100,000 | 118,466 |
Vodafone Group PLC: | ||
4.375% 5/30/28 |
650,000 | 747,689 |
|
||
Principal Amount | Value | |
5.25% 5/30/48 |
$400,000 | $504,820 |
1,370,975 | ||
TOTAL COMMUNICATION SERVICES | 10,380,964 | |
CONSUMER DISCRETIONARY – 6.1% | ||
Automobiles – 0.9% | ||
General Motors Co.: | ||
5.40% 4/1/48 |
60,000 | 60,550 |
5.95% 4/1/49 |
120,000 | 131,351 |
Volkswagen Group of America Finance LLC: | ||
2.70% 9/26/22 (a) |
650,000 | 664,737 |
4.75% 11/13/28 (a) |
550,000 | 634,760 |
1,491,398 | ||
Diversified Consumer Services – 0.5% | ||
Ingersoll-Rand Luxembourg Finance S.A.: | ||
3.50% 3/21/26 |
250,000 | 273,055 |
3.80% 3/21/29 |
450,000 | 505,992 |
779,047 | ||
Hotels, Restaurants & Leisure – 1.7% | ||
Marriott International, Inc.
2.125% 10/3/22 |
645,000 | 648,377 |
McDonald's Corp.: | ||
3.625% 9/1/49 |
600,000 | 644,785 |
4.875% 12/9/45 |
510,000 | 647,994 |
Starbucks Corp.: | ||
3.80% 8/15/25 |
410,000 | 452,162 |
4.45% 8/15/49 |
250,000 | 301,917 |
2,695,235 | ||
Household Durables – 0.9% | ||
DR Horton, Inc.: | ||
2.50% 10/15/24 |
674,000 | 697,381 |
2.55% 12/1/20 |
97,000 | 97,682 |
Lennar Corp.
4.875% 12/15/23 |
315,000 | 336,001 |
Toll Brothers Finance Corp.
4.375% 4/15/23 |
227,000 | 236,080 |
1,367,144 | ||
Multiline Retail – 0.5% | ||
Dollar Tree, Inc.
4.00% 5/15/25 |
770,000 | 846,184 |
Specialty Retail – 1.6% | ||
AutoZone, Inc.
3.125% 4/18/24 |
550,000 | 580,129 |
Lowe's Cos., Inc.: | ||
3.65% 4/5/29 |
550,000 | 609,781 |
4.375% 9/15/45 |
300,000 | 352,281 |
O'Reilly Automotive, Inc.: | ||
3.90% 6/1/29 |
250,000 | 284,444 |
9 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
CONSUMER DISCRETIONARY – continued | ||
Specialty Retail – continued | ||
4.35% 6/1/28 |
$350,000 | $403,598 |
The Home Depot, Inc.
3.90% 6/15/47 |
200,000 | 239,320 |
2,469,553 | ||
TOTAL CONSUMER DISCRETIONARY | 9,648,561 | |
CONSUMER STAPLES – 6.8% | ||
Beverages – 1.8% | ||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc.: | ||
3.65% 2/1/26 |
400,000 | 435,987 |
4.70% 2/1/36 |
150,000 | 178,670 |
Anheuser-Busch InBev Finance, Inc.: | ||
4.70% 2/1/36 |
183,000 | 215,005 |
4.90% 2/1/46 |
698,000 | 855,426 |
Anheuser-Busch InBev Worldwide, Inc.
4.90% 1/23/31 |
250,000 | 303,721 |
Molson Coors Brewing Co.: | ||
3.00% 7/15/26 |
550,000 | 574,954 |
5.00% 5/1/42 |
250,000 | 282,885 |
2,846,648 | ||
Food & Staples Retailing – 1.1% | ||
Alimentation Couche-Tard, Inc.
2.95% 1/25/30 (a) |
139,000 | 142,937 |
CVS Health Corp.: | ||
3 month U.S. LIBOR + 0.720%
2.605% 3/9/21 (b)(c) |
180,000 | 180,504 |
2.75% 12/1/22 |
250,000 | 257,434 |
4.78% 3/25/38 |
208,000 | 245,306 |
4.875% 7/20/35 |
134,000 | 162,275 |
5.05% 3/25/48 |
500,000 | 615,364 |
5.125% 7/20/45 |
147,000 | 179,127 |
1,782,947 | ||
Food Products – 1.1% | ||
Conagra Brands, Inc.
4.60% 11/1/25 |
725,000 | 811,049 |
Kraft Heinz Foods Co.
3.75% 4/1/30 (a) |
850,000 | 863,813 |
1,674,862 | ||
Tobacco – 2.8% | ||
Altria Group, Inc.: | ||
2.85% 8/9/22 |
182,000 | 186,982 |
4.25% 8/9/42 |
55,000 | 55,999 |
4.40% 2/14/26 |
250,000 | 279,990 |
4.80% 2/14/29 |
325,000 | 371,798 |
|
||
Principal Amount | Value | |
BAT Capital Corp.: | ||
2.764% 8/15/22 |
$500,000 | $512,009 |
3.557% 8/15/27 |
950,000 | 1,002,891 |
Imperial Brands Finance PLC: | ||
3.50% 7/26/26 (a) |
550,000 | 577,282 |
4.25% 7/21/25 (a) |
250,000 | 271,727 |
Reynolds American, Inc.: | ||
4.45% 6/12/25 |
376,000 | 415,141 |
4.85% 9/15/23 |
750,000 | 829,552 |
4,503,371 | ||
TOTAL CONSUMER STAPLES | 10,807,828 | |
ENERGY – 8.5% | ||
Energy Equipment & Services – 0.7% | ||
DCP Midstream Operating LP: | ||
3.875% 3/15/23 |
450,000 | 447,975 |
5.125% 5/15/29 |
365,000 | 358,612 |
5.85% 5/21/43 (a)(c) |
352,000 | 316,800 |
1,123,387 | ||
Oil, Gas & Consumable Fuels – 7.8% | ||
Boardwalk Pipelines LP
3.375% 2/1/23 |
482,000 | 497,667 |
Canadian Natural Resources Ltd.: | ||
3.90% 2/1/25 |
458,000 | 497,666 |
4.95% 6/1/47 |
134,000 | 159,456 |
Cenovus Energy, Inc.: | ||
3.00% 8/15/22 |
285,000 | 293,579 |
4.25% 4/15/27 |
722,000 | 773,957 |
Cheniere Corpus Christi Holdings LLC
5.875% 3/31/25 |
275,000 | 305,552 |
ConocoPhillips
6.50% 2/1/39 |
229,000 | 335,226 |
ConocoPhillips Holding Co.
6.95% 4/15/29 |
196,000 | 267,291 |
Continental Resources, Inc.
5.00% 9/15/22 |
145,000 | 144,752 |
Enbridge, Inc.: | ||
4.25% 12/1/26 |
14,000 | 15,615 |
5.50% 12/1/46 |
114,000 | 152,130 |
Encana Corp.
7.20% 11/1/31 |
228,000 | 273,417 |
Energy Transfer Operating LP: | ||
4.20% 9/15/23 |
514,000 | 550,573 |
4.95% 6/15/28 |
48,000 | 52,895 |
5.80% 6/15/38 |
127,000 | 141,848 |
6.00% 6/15/48 |
17,000 | 19,093 |
Enterprise Products Operating LLC: | ||
4.85% 3/15/44 |
176,000 | 206,996 |
4.90% 5/15/46 |
155,000 | 181,261 |
10 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
ENERGY – continued | ||
Oil, Gas & Consumable Fuels – continued | ||
Hess Corp.
6.00% 1/15/40 |
$425,000 | $475,421 |
Marathon Petroleum Corp.
4.75% 9/15/44 |
250,000 | 286,730 |
MPLX LP
4.875% 12/1/24 |
30,000 | 33,276 |
Newfield Exploration Co.
5.625% 7/1/24 |
300,000 | 326,481 |
Occidental Petroleum Corp.: | ||
2.60% 8/13/21 |
29,000 | 29,370 |
3 month U.S. LIBOR + 0.950%
2.684% 2/8/21 (b)(c) |
96,000 | 96,576 |
2.70% 8/15/22 |
26,000 | 26,494 |
2.90% 8/15/24 |
86,000 | 87,162 |
3 month U.S. LIBOR + 1.250%
2.957% 8/13/21 (b)(c) |
111,000 | 111,332 |
3 month U.S. LIBOR + 1.450%
3.142% 8/15/22 (b)(c) |
538,000 | 539,950 |
3.20% 8/15/26 |
12,000 | 12,218 |
3.45% 7/15/24 |
440,000 | 449,801 |
4.30% 8/15/39 |
5,000 | 4,801 |
4.40% 8/15/49 |
405,000 | 385,320 |
Ovintiv, Inc.
8.125% 9/15/30 |
134,000 | 168,755 |
Petroleos Mexicanos: | ||
5.35% 2/12/28 |
394,000 | 384,938 |
6.49% 1/23/27 (a) |
85,000 | 89,037 |
6.50% 3/13/27 |
200,000 | 209,250 |
6.875% 8/4/26 |
75,000 | 81,555 |
Plains All American Pipeline LP / PAA Finance Corp.: | ||
3.65% 6/1/22 |
123,000 | 126,447 |
3.85% 10/15/23 |
245,000 | 255,133 |
4.65% 10/15/25 |
300,000 | 326,818 |
Spectra Energy Partners LP
3.375% 10/15/26 |
138,000 | 148,255 |
Suncor Energy, Inc.
6.85% 6/1/39 |
86,000 | 126,483 |
Sunoco Logistics Partners Operations LP: | ||
4.00% 10/1/27 |
222,000 | 232,371 |
4.25% 4/1/24 |
200,000 | 214,401 |
5.40% 10/1/47 |
96,000 | 101,772 |
The Williams Companies., Inc.
5.75% 6/24/44 |
427,000 | 506,074 |
TransCanada PipeLines Ltd.
4.875% 5/15/48 |
300,000 | 362,006 |
Western Midstream Operating LP: | ||
4.05% 2/1/30 |
989,000 | 974,227 |
|
||
Principal Amount | Value | |
5.375% 6/1/21 |
$394,000 | $405,999 |
12,447,427 | ||
TOTAL ENERGY | 13,570,814 | |
FINANCIALS – 31.0% | ||
Banks – 14.3% | ||
Bank of America Corp.: | ||
2.816% 7/21/23 (c) |
1,025,000 | 1,053,590 |
2.884% 10/22/30 (c) |
500,000 | 523,357 |
3.194% 7/23/30 (c) |
250,000 | 267,633 |
3.458% 3/15/25 (c) |
285,000 | 303,506 |
3.705% 4/24/28 (c) |
222,000 | 243,035 |
4.20% 8/26/24 |
227,000 | 249,192 |
4.25% 10/22/26 |
540,000 | 602,872 |
4.45% 3/3/26 |
50,000 | 56,438 |
Bank of Ireland Group PLC
4.50% 11/25/23 (a) |
600,000 | 648,610 |
Barclays PLC: | ||
3.684% 1/10/23 |
400,000 | 412,569 |
4.836% 5/9/28 |
415,000 | 459,120 |
5.088% 6/20/30 (c) |
200,000 | 227,087 |
BBVA USA
2.875% 6/29/22 |
500,000 | 514,783 |
BPCE SA
4.875% 4/1/26 (a) |
500,000 | 561,731 |
Citibank N.A.
3.65% 1/23/24 |
260,000 | 279,615 |
Citigroup, Inc.: | ||
2.666% 1/29/31 (c) |
500,000 | 512,712 |
4.05% 7/30/22 |
352,000 | 371,456 |
4.30% 11/20/26 |
750,000 | 830,322 |
4.40% 6/10/25 |
1,420,000 | 1,580,204 |
Citizens Financial Group, Inc.: | ||
4.15% 9/28/22 (a) |
600,000 | 636,050 |
4.35% 8/1/25 |
129,000 | 143,645 |
Cooperatieve Rabobank UA: | ||
3.75% 7/21/26 |
700,000 | 759,246 |
4.625% 12/1/23 |
400,000 | 434,786 |
Credit Suisse Group AG
2.593% 9/11/25 (a)(c) |
351,000 | 358,347 |
Credit Suisse Group Funding Guernsey Ltd.
4.55% 4/17/26 |
250,000 | 281,994 |
Danske Bank A/S
3.001% 9/20/22 (a)(c) |
650,000 | 659,606 |
Fifth Third Bancorp
8.25% 3/1/38 |
300,000 | 500,406 |
HSBC Holdings PLC
4.041% 3/13/28 (c) |
300,000 | 328,669 |
11 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
FINANCIALS – continued | ||
Banks – continued | ||
JPMorgan Chase & Co.: | ||
4.125% 12/15/26 |
$264,000 | $297,044 |
4.95% 6/1/45 |
176,000 | 236,422 |
Lloyds Banking Group PLC: | ||
2.858% 3/17/23 (c) |
700,000 | 714,007 |
2.907% 11/7/23 (c) |
500,000 | 512,038 |
Royal Bank of Canada
2.55% 7/16/24 |
700,000 | 727,832 |
Royal Bank of Scotland Group PLC
6.00% 12/19/23 |
360,000 | 403,631 |
Santander Holdings USA, Inc.: | ||
3.40% 1/18/23 |
482,000 | 502,788 |
3.50% 6/7/24 |
450,000 | 473,206 |
Standard Chartered PLC
3.785% 5/21/25 (a)(c) |
500,000 | 529,010 |
Synchrony Bank
3.00% 6/15/22 |
550,000 | 565,544 |
Synovus Financial Corp.
3.125% 11/1/22 |
351,000 | 359,698 |
The Bank of Nova Scotia
4.50% 12/16/25 |
264,000 | 298,259 |
UBS Group Funding Switzerland AG
3.491% 5/23/23 (a) |
650,000 | 675,670 |
Wells Fargo & Co.: | ||
2.164% 2/11/26 (c) |
745,000 | 753,938 |
4.65% 11/4/44 |
176,000 | 214,153 |
Wells Fargo Bank N.A.
2.082% 9/9/22 (c) |
650,000 | 654,976 |
Zions Bancorp N.A.
3.25% 10/29/29 |
900,000 | 943,222 |
22,662,019 | ||
Capital Markets – 4.8% | ||
Ares Capital Corp.: | ||
4.20% 6/10/24 |
300,000 | 318,592 |
4.25% 3/1/25 |
352,000 | 373,855 |
Credit Suisse Group AG: | ||
3.574% 1/9/23 (a) |
250,000 | 258,483 |
3.869% 1/12/29 (a)(c) |
250,000 | 271,728 |
Goldman Sachs Group, Inc.: | ||
2.905% 7/24/23 (c) |
616,000 | 632,808 |
3.50% 11/16/26 |
170,000 | 182,777 |
3.75% 2/25/26 |
222,000 | 242,659 |
4.223% 5/1/29 (c) |
350,000 | 396,903 |
Morgan Stanley: | ||
2.699% 1/22/31 (c) |
900,000 | 928,245 |
3.625% 1/20/27 |
176,000 | 193,156 |
4.35% 9/8/26 |
415,000 | 464,569 |
4.431% 1/23/30 (c) |
400,000 | 464,537 |
4.875% 11/1/22 |
710,000 | 768,271 |
|
||
Principal Amount | Value | |
5.00% 11/24/25 |
$500,000 | $576,962 |
S&P Global, Inc.: | ||
2.50% 12/1/29 |
725,000 | 742,411 |
4.00% 6/15/25 |
142,000 | 159,656 |
The Goldman Sachs Group, Inc.
3.75% 5/22/25 |
134,000 | 145,026 |
UBS Group AG
3.126% 8/13/30 (a)(c) |
500,000 | 530,228 |
7,650,866 | ||
Consumer Finance – 3.2% | ||
Ally Financial, Inc.
4.125% 2/13/22 |
500,000 | 519,255 |
Capital One Financial Corp.: | ||
3.20% 2/5/25 |
400,000 | 423,053 |
3.90% 1/29/24 |
600,000 | 642,384 |
Discover Bank
2.45% 9/12/24 |
650,000 | 664,571 |
Discover Financial Services: | ||
4.50% 1/30/26 |
48,000 | 53,448 |
5.20% 4/27/22 |
343,000 | 369,416 |
Ford Motor Credit Co. LLC: | ||
3.336% 3/18/21 |
500,000 | 504,392 |
3.339% 3/28/22 |
300,000 | 303,187 |
4.063% 11/1/24 |
350,000 | 356,650 |
5.875% 8/2/21 |
602,000 | 629,290 |
Synchrony Financial: | ||
3.75% 8/15/21 |
550,000 | 564,279 |
4.375% 3/19/24 |
24,000 | 25,864 |
5,055,789 | ||
Diversified Financial Services – 5.2% | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
3.30% 1/23/23 |
700,000 | 722,972 |
AIB Group PLC: | ||
4.263% 4/10/25 (a)(c) |
250,000 | 267,355 |
4.75% 10/12/23 (a) |
625,000 | 680,200 |
Blackstone Holdings Finance Co. LLC
3.50% 9/10/49 (a) |
625,000 | 673,916 |
BNP Paribas S.A.
4.25% 10/15/24 |
500,000 | 545,221 |
Citigroup, Inc.
2.312% 11/4/22 (c) |
400,000 | 403,537 |
Credit Agricole S.A.
2.375% 1/22/25 (a) |
350,000 | 358,456 |
Deutsche Bank AG
2.70% 7/13/20 |
394,000 | 394,973 |
GE Capital International Funding Co. Unlimited Co.: | ||
2.342% 11/15/20 |
250,000 | 250,682 |
4.418% 11/15/35 |
350,000 | 399,664 |
12 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
FINANCIALS – continued | ||
Diversified Financial Services – continued | ||
General Motors Financial Co., Inc.: | ||
3.25% 1/5/23 |
$250,000 | $257,631 |
5.10% 1/17/24 |
300,000 | 328,356 |
HSBC USA, Inc.
5.00% 9/27/20 |
300,000 | 305,507 |
International Lease Finance Corp.
4.625% 4/15/21 |
352,000 | 362,525 |
Mitsubishi UFJ Financial Group, Inc.
3.761% 7/26/23 |
750,000 | 801,666 |
Moody's Corp.
2.75% 12/15/21 |
11,000 | 11,267 |
Park Aerospace Holdings Ltd.
5.25% 8/15/22 (a) |
800,000 | 851,358 |
Societe Generale S.A.
3.00% 1/22/30 (a) |
625,000 | 635,102 |
8,250,388 | ||
Insurance – 3.5% | ||
American International Group, Inc.: | ||
4.50% 7/16/44 |
414,000 | 507,752 |
5.75% 4/1/48 (c) |
352,000 | 389,400 |
Equitable Holdings, Inc.: | ||
3.90% 4/20/23 |
325,000 | 345,583 |
4.35% 4/20/28 |
500,000 | 562,265 |
Fairfax Financial Holdings Ltd.
4.85% 4/17/28 |
250,000 | 280,708 |
Marsh & McLennan Cos., Inc.: | ||
4.05% 10/15/23 |
210,000 | 227,032 |
4.375% 3/15/29 |
40,000 | 46,616 |
4.90% 3/15/49 |
37,000 | 49,609 |
Massachusetts Mutual Life Insurance Co.
3.729% 10/15/70 (a) |
372,000 | 398,946 |
Pacific LifeCorp.
5.125% 1/30/43 (a) |
270,000 | 354,506 |
Principal Financial Group, Inc.
3.70% 5/15/29 |
77,000 | 87,601 |
The Hartford Financial Services Group, Inc.
3.60% 8/19/49 |
400,000 | 439,650 |
Unum Group
4.00% 3/15/24 |
601,000 | 651,698 |
Voya Financial, Inc.: | ||
3.65% 6/15/26 |
222,000 | 245,600 |
4.70% 1/23/48 (c) |
362,000 | 362,206 |
4.80% 6/15/46 |
176,000 | 227,295 |
5.70% 7/15/43 |
56,000 | 79,384 |
|
||
Principal Amount | Value | |
Willis North America, Inc.
3.60% 5/15/24 |
$280,000 | $301,535 |
5,557,386 | ||
TOTAL FINANCIALS | 49,176,448 | |
HEALTH CARE – 8.1% | ||
Health Care Equipment & Supplies – 1.7% | ||
Abbott Laboratories
4.75% 11/30/36 |
177,000 | 231,424 |
Allergan Sales LLC
5.00% 12/15/21 (a) |
290,000 | 305,462 |
DH Europe Finance II Sarl: | ||
2.60% 11/15/29 |
581,000 | 602,870 |
3.40% 11/15/49 |
700,000 | 771,971 |
Shire Acquisitions Investments Ireland DAC
2.875% 9/23/23 |
694,000 | 720,414 |
2,632,141 | ||
Health Care Providers & Services – 2.1% | ||
Centene Corp.: | ||
4.25% 12/15/27 (a) |
140,000 | 144,032 |
4.625% 12/15/29 (a) |
220,000 | 235,400 |
4.75% 1/15/25 (a) |
110,000 | 112,788 |
Cigna Corp.: | ||
4.125% 11/15/25 |
925,000 | 1,029,130 |
4.375% 10/15/28 |
315,000 | 358,279 |
4.80% 8/15/38 |
190,000 | 228,479 |
4.90% 12/15/48 |
40,000 | 49,628 |
HCA, Inc.: | ||
5.125% 6/15/39 |
190,000 | 221,025 |
5.25% 6/15/49 |
230,000 | 267,377 |
UnitedHealth Group, Inc.: | ||
3.75% 7/15/25 to 10/15/47 | 356,000 | 399,743 |
4.75% 7/15/45 |
198,000 | 254,299 |
3,300,180 | ||
Pharmaceuticals – 4.3% | ||
AbbVie, Inc.: | ||
2.95% 11/21/26 (a) |
715,000 | 749,602 |
4.25% 11/21/49 (a) |
700,000 | 789,149 |
Allergan Funding SCS
4.55% 3/15/35 |
141,000 | 168,330 |
AstraZeneca PLC
6.45% 9/15/37 |
300,000 | 443,479 |
Bayer US Finance II LLC
4.25% 12/15/25 (a) |
327,000 | 363,997 |
Bristol-Myers Squibb Co.: | ||
3.20% 6/15/26 (a) |
390,000 | 425,706 |
3.90% 2/20/28 (a) |
500,000 | 567,926 |
4.125% 6/15/39 (a) |
112,000 | 136,202 |
4.25% 10/26/49 (a) |
390,000 | 501,683 |
13 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
HEALTH CARE – continued | ||
Pharmaceuticals – continued | ||
Elanco Animal Health, Inc.: | ||
4.662% 8/27/21 |
$161,000 | $168,806 |
5.022% 8/28/23 |
514,000 | 550,539 |
5.65% 8/28/28 |
384,000 | 439,856 |
Mylan N.V.
3.95% 6/15/26 |
500,000 | 543,621 |
Mylan, Inc.
4.55% 4/15/28 |
929,000 | 1,043,546 |
6,892,442 | ||
TOTAL HEALTH CARE | 12,824,763 | |
INDUSTRIALS – 4.5% | ||
Aerospace & Defense – 0.5% | ||
Lockheed Martin Corp.
4.09% 9/15/52 |
146,000 | 187,876 |
Northrop Grumman Corp.: | ||
2.93% 1/15/25 |
330,000 | 349,417 |
4.03% 10/15/47 |
290,000 | 345,732 |
883,025 | ||
Air Freight & Logistics – 0.1% | ||
FedEx Corp.
4.05% 2/15/48 |
160,000 | 161,592 |
Airlines – 1.0% | ||
American Airlines Pass Through Trust: | ||
3.70% 4/15/27 |
632,862 | 653,928 |
3.75% 4/15/27 |
217,334 | 225,959 |
3.85% 8/15/29 |
224,872 | 233,438 |
Delta Air Lines, Inc.
3.40% 4/19/21 |
104,000 | 105,910 |
United Airlines Pass Through Trust: | ||
3.50% 11/1/29 |
199,000 | 204,174 |
4.60% 9/1/27 |
117,611 | 124,167 |
1,547,576 | ||
Electrical Equipment – 0.2% | ||
Rockwell Automation, Inc.
3.50% 3/1/29 |
270,000 | 307,918 |
Industrial Conglomerates – 0.6% | ||
Roper Technologies, Inc.: | ||
2.95% 9/15/29 |
500,000 | 530,240 |
3.65% 9/15/23 |
277,000 | 296,536 |
3.80% 12/15/26 |
61,000 | 67,792 |
894,568 | ||
Machinery – 0.4% | ||
Caterpillar, Inc.
3.25% 9/19/49 |
455,000 | 495,319 |
|
||
Principal Amount | Value | |
Deere & Co.
2.875% 9/7/49 |
$126,000 | $132,150 |
627,469 | ||
Road & Rail – 1.2% | ||
Burlington Northern Santa Fe LLC
4.70% 9/1/45 |
500,000 | 640,132 |
CSX Corp.
4.75% 11/15/48 |
600,000 | 777,268 |
Union Pacific Corp.
3.75% 2/5/70 |
400,000 | 418,177 |
1,835,577 | ||
Trading Companies & Distributors – 0.5% | ||
Air Lease Corp.: | ||
2.25% 1/15/23 |
29,000 | 29,217 |
3.25% 3/1/25 |
750,000 | 784,129 |
813,346 | ||
TOTAL INDUSTRIALS | 7,071,071 | |
INFORMATION TECHNOLOGY – 3.0% | ||
IT Services – 0.5% | ||
Fiserv, Inc.
3.50% 7/1/29 |
252,000 | 275,436 |
International Business Machines Corp.
4.25% 5/15/49 |
390,000 | 484,374 |
The Western Union Co.
2.85% 1/10/25 |
66,000 | 67,867 |
827,677 | ||
Semiconductors & Semiconductor Equipment – 1.2% | ||
Applied Materials, Inc.
4.35% 4/1/47 |
222,000 | 289,886 |
Micron Technology, Inc.: | ||
4.185% 2/15/27 |
550,000 | 588,829 |
4.64% 2/6/24 |
887,000 | 971,032 |
1,849,747 | ||
Software – 0.2% | ||
Oracle Corp.
4.30% 7/8/34 |
225,000 | 276,626 |
Technology Hardware, Storage & Peripherals – 1.1% | ||
Apple, Inc.: | ||
3.75% 9/12/47 |
250,000 | 295,454 |
4.65% 2/23/46 |
150,000 | 199,517 |
Dell International LLC / EMC Corp.: | ||
4.00% 7/15/24 (a) |
450,000 | 482,024 |
4.42% 6/15/21 (a) |
446,000 | 459,405 |
6.02% 6/15/26 (a) |
334,000 | 391,157 |
1,827,557 | ||
TOTAL INFORMATION TECHNOLOGY | 4,781,607 |
14 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
MATERIALS – 1.3% | ||
Chemicals – 1.0% | ||
Nutrien Ltd.
4.00% 12/15/26 |
$350,000 | $387,668 |
The Dow Chemical Co.: | ||
3.625% 5/15/26 |
390,000 | 424,559 |
4.55% 11/30/25 |
97,000 | 109,966 |
The Mosaic Co.
3.25% 11/15/22 |
400,000 | 415,926 |
The Sherwin-Williams Co.
2.75% 6/1/22 |
194,000 | 198,595 |
1,536,714 | ||
Containers & Packaging – 0.2% | ||
Avery Dennison Corp.
4.875% 12/6/28 |
275,000 | 329,051 |
Metals & Mining – 0.1% | ||
BHP Billiton Finance (USA) Ltd.
6.75% 10/19/75 (a)(c) |
200,000 | 232,500 |
TOTAL MATERIALS | 2,098,265 | |
REAL ESTATE – 5.1% | ||
Equity Real Estate Investment Trusts (REITs) – 3.1% | ||
Alexandria Real Estate Equities, Inc.
4.70% 7/1/30 |
75,000 | 90,586 |
American Tower Corp.
2.40% 3/15/25 |
690,000 | 708,251 |
Brixmor Operating Partnership LP
4.125% 5/15/29 |
85,000 | 94,910 |
Camden Property Trust
3.15% 7/1/29 |
500,000 | 543,796 |
Hudson Pacific Properties LP
3.95% 11/1/27 |
422,000 | 467,083 |
Kimco Realty Corp.
3.30% 2/1/25 |
269,000 | 288,581 |
Lexington Realty Trust
4.40% 6/15/24 |
227,000 | 240,129 |
Omega Healthcare Investors, Inc.: | ||
3.625% 10/1/29 |
500,000 | 525,817 |
4.375% 8/1/23 |
248,000 | 267,786 |
4.50% 1/15/25 |
176,000 | 191,848 |
Simon Property Group LP
2.45% 9/13/29 |
650,000 | 662,894 |
SITE Centers Corp.
4.625% 7/15/22 |
98,000 | 104,368 |
Welltower, Inc.: | ||
4.125% 3/15/29 |
300,000 | 341,964 |
4.50% 1/15/24 |
300,000 | 329,323 |
4,857,336 |
15 |
Municipal Securities – 0.3% | ||
Principal Amount | Value | |
State of California
7.550% 4/1/39 (Cost $420,944) |
$280,000 | $480,833 |
Foreign Government
and Government Agency
Obligations – 0.2% |
||
Qatar Government International Bond
3.375% 3/14/24 (a) (Cost $259,765) |
260,000 | 273,975 |
Asset-Backed Securities – 0.1% | ||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.116% 7/25/48 (a)
(Cost $127,065) |
127,065 | 133,688 |
Money Market Fund – 2.8% | ||
Shares | ||
Fidelity Cash Central Fund, 1.60% (d)
(Cost $4,442,518) |
4,441,712 | 4,442,601 |
TOTAL INVESTMENT IN SECURITIES – 99.6%
(Cost $147,958,683) |
158,170,858 | |
NET OTHER ASSETS (LIABILITIES) – 0.4% | 570,201 | |
NET ASSETS – 100.0% | $158,741,059 |
Legend | ||
(a) | Security is 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 $22,033,092 or 13.9% of net assets. | |
(b) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. | |
(c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. | |
(d) | 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. |
Fund | Income earned |
Fidelity Cash Central Fund | $31,694 |
16 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Corporate Bonds | $144,244,791 | $— | $144,244,791 | $— | ||||
U.S. Treasury Obligations | 8,594,970 | — | 8,594,970 | — | ||||
Municipal Securities | 480,833 | — | 480,833 | — | ||||
Foreign Government and Government Agency Obligations | 273,975 | — | 273,975 | — | ||||
Asset-Backed Securities | 133,688 | — | 133,688 | — | ||||
Money Market Funds | 4,442,601 | 4,442,601 | — | — | ||||
Total Investments in Securities: | $158,170,858 | $4,442,601 | $153,728,257 | $— |
United States of America | 82.3 |
United Kingdom | 3.9 |
Canada | 2.7 |
Ireland | 2.3 |
Luxembourg | 1.5 |
France | 1.3 |
Switzerland | 1.3 |
Netherlands | 1.1 |
Others (Individually Less Than 1%) | 3.2 |
99.6% |
17 |
Nonconvertible Bonds – 73.1% | ||
Principal Amount | Value | |
COMMUNICATION SERVICES – 6.6% | ||
Diversified Telecommunication Services – 3.5% | ||
AT&T, Inc.: | ||
2.45% 6/30/20 |
$608,000 | $608,586 |
2.80% 2/17/21 |
915,000 | 922,497 |
3.60% 2/17/23 |
1,025,000 | 1,079,492 |
Verizon Communications, Inc.: | ||
2.946% 3/15/22 |
100,000 | 103,165 |
3.125% 3/16/22 |
1,386,000 | 1,438,421 |
5.15% 9/15/23 |
1,000,000 | 1,126,187 |
5,278,348 | ||
Media – 3.1% | ||
Charter Communications Operating LLC / Charter Communications Operating Capital: | ||
3.579% 7/23/20 |
367,000 | 369,047 |
4.464% 7/23/22 |
1,585,000 | 1,681,994 |
Comcast Corp.: | ||
3.70% 4/15/24 |
1,525,000 | 1,656,167 |
3.95% 10/15/25 |
165,000 | 184,661 |
Discovery Communications LLC
2.95% 3/20/23 |
652,000 | 674,272 |
4,566,141 | ||
TOTAL COMMUNICATION SERVICES | 9,844,489 | |
CONSUMER DISCRETIONARY – 2.0% | ||
Automobiles – 1.1% | ||
BMW US Capital LLC: | ||
2.70% 4/6/22 (a) |
319,000 | 325,994 |
3.45% 4/12/23 (a) |
209,000 | 219,824 |
Daimler Finance North America LLC: | ||
2.25% 3/2/20 (a) |
500,000 | 500,000 |
2.30% 2/12/21 (a) |
200,000 | 200,979 |
Volkswagen Group of America Finance LLC: | ||
2.40% 5/22/20 (a) |
200,000 | 200,383 |
4.00% 11/12/21 (a) |
200,000 | 208,232 |
1,655,412 | ||
Hotels, Restaurants & Leisure – 0.3% | ||
McDonald's Corp.
2.625% 1/15/22 |
260,000 | 265,849 |
Starbucks Corp.
3.80% 8/15/25 |
126,000 | 138,957 |
404,806 | ||
Leisure Products – 0.1% | ||
Hasbro, Inc.
2.60% 11/19/22 |
152,000 | 156,396 |
|
||
Principal Amount | Value | |
Multiline Retail – 0.4% | ||
Dollar Tree, Inc.
4.00% 5/15/25 |
$570,000 | $626,396 |
Specialty Retail – 0.1% | ||
AutoZone, Inc.
3.125% 7/15/23 |
179,000 | 187,949 |
TOTAL CONSUMER DISCRETIONARY | 3,030,959 | |
CONSUMER STAPLES – 4.7% | ||
Beverages – 1.6% | ||
Anheuser-Busch InBev Finance, Inc.
3.30% 2/1/23 |
1,159,000 | 1,217,336 |
Anheuser-Busch InBev Worldwide, Inc.
4.15% 1/23/25 |
236,000 | 262,607 |
Molson Coors Brewing Co.: | ||
3.00% 7/15/26 |
428,000 | 447,419 |
3.50% 5/1/22 |
233,000 | 242,334 |
PepsiCo, Inc.
1.70% 10/6/21 |
144,000 | 144,736 |
2,314,432 | ||
Food & Staples Retailing – 0.9% | ||
CVS Health Corp.: | ||
2.80% 7/20/20 |
90,000 | 90,261 |
3.35% 3/9/21 |
296,000 | 300,821 |
3.70% 3/9/23 |
905,000 | 956,482 |
1,347,564 | ||
Food Products – 0.3% | ||
Conagra Brands, Inc.
3.80% 10/22/21 |
338,000 | 351,347 |
The JM Smucker Co.
2.50% 3/15/20 |
145,000 | 145,010 |
496,357 | ||
Tobacco – 1.9% | ||
Altria Group, Inc.: | ||
2.85% 8/9/22 |
313,000 | 321,568 |
3.49% 2/14/22 |
231,000 | 239,264 |
3.80% 2/14/24 |
124,000 | 133,145 |
BAT Capital Corp.
3.222% 8/15/24 |
530,000 | 556,535 |
BAT International Finance PLC
3.50% 6/15/22 (a) |
260,000 | 269,696 |
Imperial Brands Finance PLC: | ||
2.95% 7/21/20 (a) |
500,000 | 502,073 |
3.125% 7/26/24 (a) |
250,000 | 258,232 |
3.75% 7/21/22 (a) |
200,000 | 208,980 |
Philip Morris International, Inc.: | ||
2.625% 2/18/22 |
93,000 | 95,094 |
18 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
CONSUMER STAPLES – continued | ||
Tobacco – continued | ||
2.875% 5/1/24 |
$252,000 | $264,533 |
2,849,120 | ||
TOTAL CONSUMER STAPLES | 7,007,473 | |
ENERGY – 6.7% | ||
Oil, Gas & Consumable Fuels – 6.7% | ||
Canadian Natural Resources Ltd.
3.45% 11/15/21 |
1,113,000 | 1,143,858 |
Cenovus Energy, Inc.: | ||
3.00% 8/15/22 |
452,000 | 465,607 |
3.80% 9/15/23 |
209,000 | 221,294 |
Columbia Pipeline Group, Inc.
3.30% 6/1/20 |
41,000 | 41,105 |
Energy Transfer Operating LP: | ||
2.90% 5/15/25 |
242,000 | 246,855 |
4.20% 9/15/23 |
276,000 | 295,638 |
4.50% 4/15/24 |
193,000 | 209,092 |
Enterprise Products Operating LLC: | ||
2.80% 2/15/21 |
460,000 | 464,729 |
2.85% 4/15/21 |
413,000 | 418,515 |
Kinder Morgan Energy Partners LP
3.50% 9/1/23 |
310,000 | 324,180 |
Kinder Morgan, Inc.
3.15% 1/15/23 |
277,000 | 287,401 |
MPLX LP: | ||
3 month U.S. LIBOR + 1.100%
2.985% 9/9/22 (b)(c) |
52,000 | 52,191 |
3.375% 3/15/23 |
357,000 | 373,511 |
4.50% 7/15/23 |
231,000 | 249,437 |
Newfield Exploration Co.
5.625% 7/1/24 |
99,000 | 107,739 |
Occidental Petroleum Corp.: | ||
2.60% 8/13/21 |
34,000 | 34,433 |
2.70% 8/15/22 |
30,000 | 30,570 |
2.90% 8/15/24 |
281,000 | 284,798 |
3.125% 2/15/22 |
66,000 | 67,548 |
3 month U.S. LIBOR + 1.450%
3.142% 8/15/22 (b)(c) |
126,000 | 126,457 |
3.20% 8/15/26 |
224,000 | 228,064 |
4.85% 3/15/21 |
525,000 | 538,746 |
Petrobras Global Finance BV
5.299% 1/27/25 |
313,000 | 341,503 |
Petroleos Mexicanos
6.49% 1/23/27 (a) |
420,000 | 439,950 |
Plains All American Pipeline LP / PAA Finance Corp.
3.65% 6/1/22 |
954,000 | 980,732 |
|
||
Principal Amount | Value | |
Suncor Energy, Inc.
3.60% 12/1/24 |
$325,000 | $351,301 |
The Williams Cos., Inc.
3.60% 3/15/22 |
834,000 | 860,658 |
Total Capital International S.A.
2.75% 6/19/21 |
146,000 | 148,325 |
Western Midstream Operating LP: | ||
3 month U.S. LIBOR + 0.850%
2.698% 1/13/23 (b)(c) |
101,000 | 100,606 |
3.10% 2/1/25 |
156,000 | 155,895 |
5.375% 6/1/21 |
498,000 | 513,166 |
TOTAL ENERGY | 10,103,904 | |
FINANCIALS – 30.4% | ||
Banks – 15.2% | ||
Bank of America Corp.: | ||
2.015% 2/13/26 (c) |
1,275,000 | 1,284,830 |
2.625% 4/19/21 |
1,512,000 | 1,530,619 |
4.20% 8/26/24 |
322,000 | 353,480 |
Barclays PLC: | ||
3.25% 1/12/21 |
1,203,000 | 1,219,962 |
3.932% 5/7/25 (c) |
500,000 | 531,771 |
BBVA USA: | ||
2.875% 6/29/22 |
250,000 | 257,392 |
3.50% 6/11/21 |
266,000 | 272,678 |
Capital One Bank USA N.A.
2.28% 1/28/26 (c) |
350,000 | 356,077 |
Capital One N.A.
2.15% 9/6/22 |
250,000 | 252,508 |
CIT Bank N.A.
2.969% 9/27/25 (c) |
325,000 | 328,250 |
Citibank N.A.
3.65% 1/23/24 |
250,000 | 268,861 |
Citigroup, Inc.: | ||
2.65% 10/26/20 |
56,000 | 56,358 |
2.70% 10/27/22 |
2,025,000 | 2,084,201 |
4.40% 6/10/25 |
346,000 | 385,036 |
Citizens Bank N.A.
2.55% 5/13/21 |
500,000 | 506,664 |
Credit Suisse AG
2.10% 11/12/21 |
250,000 | 252,489 |
Credit Suisse Group AG
2.593% 9/11/25 (a)(c) |
320,000 | 326,699 |
Discover Bank
3.35% 2/6/23 |
1,000,000 | 1,048,723 |
Fifth Third Bancorp
2.875% 7/27/20 |
101,000 | 101,397 |
First Horizon National Corp.
3.50% 12/15/20 |
111,000 | 112,457 |
First Republic Bank
1.912% 2/12/24 (c) |
250,000 | 253,393 |
19 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
FINANCIALS – continued | ||
Banks – continued | ||
HSBC Holdings PLC
3.803% 3/11/25 (c) |
$250,000 | $267,535 |
ING Groep N.V.
3.15% 3/29/22 |
250,000 | 257,723 |
Intesa Sanpaolo SpA
3.375% 1/12/23 (a) |
475,000 | 490,599 |
JPMorgan Chase & Co.: | ||
2.55% 3/1/21 |
1,503,000 | 1,515,521 |
2.75% 6/23/20 |
269,000 | 269,699 |
3.207% 4/1/23 (c) |
326,000 | 336,437 |
3.22% 3/1/25 (c) |
1,000,000 | 1,056,039 |
KeyBank N.A.
3.30% 2/1/22 |
250,000 | 258,640 |
KeyCorp
2.90% 9/15/20 |
469,000 | 472,551 |
Lloyds Banking Group PLC
2.438% 2/5/26 (c) |
200,000 | 203,696 |
Regions Financial Corp.
2.75% 8/14/22 |
594,000 | 609,977 |
Royal Bank of Scotland Group PLC
4.519% 6/25/24 (c) |
1,250,000 | 1,343,373 |
Santander Holdings USA, Inc.
3.40% 1/18/23 |
507,000 | 528,866 |
Synovus Financial Corp.
3.125% 11/1/22 |
137,000 | 140,395 |
The Huntington National Bank
2.50% 8/7/22 |
250,000 | 256,301 |
Truist Financial Corp.
2.90% 3/3/21 |
252,000 | 254,719 |
Wells Fargo & Co.: | ||
2.164% 2/11/26 (c) |
800,000 | 809,598 |
2.406% 10/30/25 (c) |
964,000 | 987,436 |
4.30% 7/22/27 |
326,000 | 366,836 |
Westpac Banking Corp.
4.11% 7/24/34 (c) |
196,000 | 214,540 |
Zions Bancorp N.A.
3.35% 3/4/22 |
250,000 | 257,767 |
22,682,093 | ||
Capital Markets – 3.5% | ||
Credit Suisse Group AG
3.574% 1/9/23 (a) |
750,000 | 775,449 |
Morgan Stanley: | ||
2.50% 4/21/21 |
70,000 | 70,780 |
2.625% 11/17/21 |
1,864,000 | 1,897,563 |
2.72% 7/22/25 (c) |
525,000 | 543,399 |
4.875% 11/1/22 |
46,000 | 49,775 |
The Goldman Sachs Group, Inc.: | ||
2.625% 4/25/21 |
1,412,000 | 1,428,148 |
|
||
Principal Amount | Value | |
3.20% 2/23/23 |
$498,000 | $520,765 |
5,285,879 | ||
Consumer Finance – 3.6% | ||
Ally Financial, Inc.
5.125% 9/30/24 |
244,000 | 270,308 |
American Honda Finance Corp.
2.15% 3/13/20 |
140,000 | 140,002 |
Capital One Financial Corp.
3.20% 1/30/23 |
1,375,000 | 1,427,626 |
Ford Motor Credit Co. LLC
3.339% 3/28/22 |
1,500,000 | 1,515,936 |
Hyundai Capital America
2.60% 3/19/20 (a) |
90,000 | 90,042 |
Synchrony Financial: | ||
2.85% 7/25/22 |
174,000 | 177,935 |
4.25% 8/15/24 |
366,000 | 393,479 |
4.375% 3/19/24 |
571,000 | 615,348 |
Toyota Motor Credit Corp.
2.60% 1/11/22 |
745,000 | 762,718 |
5,393,394 | ||
Diversified Financial Services – 4.7% | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust: | ||
3.30% 1/23/23 |
300,000 | 309,845 |
4.875% 1/16/24 |
150,000 | 163,226 |
Aon PLC
2.80% 3/15/21 |
464,000 | 469,815 |
Avolon Holdings Funding Ltd.: | ||
3.625% 5/1/22 (a) |
37,000 | 37,875 |
3.95% 7/1/24 (a) |
49,000 | 50,975 |
Deutsche Bank AG: | ||
3.15% 1/22/21 |
125,000 | 126,133 |
3.30% 11/16/22 |
1,250,000 | 1,282,986 |
GE Capital International Funding Co. Unlimited Co.
2.342% 11/15/20 |
500,000 | 501,365 |
General Motors Financial Co., Inc.: | ||
3.20% 7/13/20 |
529,000 | 530,758 |
3.25% 1/5/23 |
1,047,000 | 1,078,958 |
4.20% 3/1/21 |
304,000 | 310,080 |
Intercontinental Exchange, Inc.
3.45% 9/21/23 |
177,000 | 188,844 |
International Lease Finance Corp.
5.875% 8/15/22 |
153,000 | 166,707 |
Mitsubishi UFJ Financial Group, Inc.: | ||
2.193% 2/25/25 |
330,000 | 333,501 |
2.623% 7/18/22 |
250,000 | 255,845 |
3.218% 3/7/22 |
260,000 | 268,778 |
Moody's Corp.: | ||
2.625% 1/15/23 |
519,000 | 534,093 |
2.75% 12/15/21 |
97,000 | 99,352 |
20 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
FINANCIALS – continued | ||
Diversified Financial Services – continued | ||
UBS AG
2.45% 12/1/20 (a) |
$200,000 | $201,202 |
Washington Prime Group LP
3.85% 4/1/20 |
123,000 | 123,000 |
7,033,338 | ||
Insurance – 3.4% | ||
AIG Global Funding
2.30% 7/1/22 (a) |
319,000 | 322,949 |
American International Group, Inc.: | ||
3.30% 3/1/21 |
198,000 | 200,858 |
4.20% 4/1/28 |
260,000 | 294,556 |
4.875% 6/1/22 |
1,126,000 | 1,199,842 |
Aon Corp.: | ||
2.20% 11/15/22 |
397,000 | 406,193 |
5.00% 9/30/20 |
97,000 | 98,838 |
Equitable Holdings, Inc.
3.90% 4/20/23 |
229,000 | 243,503 |
Liberty Mutual Group, Inc.
5.00% 6/1/21 (a) |
251,000 | 261,980 |
Marsh & McLennan Cos., Inc.: | ||
2.75% 1/30/22 |
465,000 | 475,911 |
3.875% 3/15/24 |
377,000 | 409,912 |
4.80% 7/15/21 |
212,000 | 220,078 |
Metropolitan Life Global Funding I
1.95% 1/13/23 (a) |
250,000 | 253,536 |
Pricoa Global Funding I
2.40% 9/23/24 (a) |
317,000 | 327,397 |
The Hartford Financial Services Group, Inc.
5.50% 3/30/20 |
404,000 | 405,153 |
5,120,706 | ||
TOTAL FINANCIALS | 45,515,410 | |
HEALTH CARE – 6.9% | ||
Biotechnology – 0.1% | ||
Amgen, Inc.
2.65% 5/11/22 |
142,000 | 145,403 |
Health Care Equipment & Supplies – 1.5% | ||
Alcon Finance Corp.
2.75% 9/23/26 (a) |
200,000 | 209,309 |
Becton Dickinson & Co.: | ||
3 month U.S. LIBOR + 0.875%
2.836% 12/29/20 (b)(c) |
113,000 | 113,070 |
2.894% 6/6/22 |
275,000 | 282,357 |
Boston Scientific Corp.
3.45% 3/1/24 |
394,000 | 419,815 |
|
||
Principal Amount | Value | |
Shire Acquisitions Investments Ireland DAC
2.40% 9/23/21 |
$1,110,000 | $1,124,275 |
Zimmer Biomet Holdings, Inc. 3 month U.S. LIBOR + 0.750%
2.653% 3/19/21 (b)(c) |
129,000 | 129,025 |
2,277,851 | ||
Health Care Providers & Services – 1.7% | ||
Anthem, Inc.
2.95% 12/1/22 |
62,000 | 63,955 |
Centene Corp.
4.75% 1/15/25 (a) |
107,000 | 109,713 |
Cigna Corp.: | ||
3.40% 9/17/21 |
432,000 | 443,202 |
3.75% 7/15/23 |
116,000 | 123,492 |
4.75% 11/15/21 (a) |
1,107,000 | 1,163,169 |
Express Scripts Holding Co.
2.60% 11/30/20 |
48,000 | 48,405 |
Humana, Inc.
2.50% 12/15/20 |
152,000 | 152,974 |
UnitedHealth Group, Inc.
2.125% 3/15/21 |
481,000 | 483,218 |
2,588,128 | ||
Life Sciences Tools & Services – 0.2% | ||
Thermo Fisher Scientific, Inc.
2.95% 9/19/26 |
260,000 | 277,477 |
Pharmaceuticals – 3.4% | ||
AbbVie, Inc.: | ||
2.30% 11/21/22 (a) |
214,000 | 217,572 |
2.50% 5/14/20 |
124,000 | 124,095 |
Allergan Funding SCS: | ||
3.00% 3/12/20 |
200,000 | 200,056 |
3.45% 3/15/22 |
969,000 | 1,003,785 |
Bayer US Finance II LLC
3.50% 6/25/21 (a) |
500,000 | 511,381 |
Bristol-Myers Squibb Co.: | ||
2.60% 5/16/22 (a) |
251,000 | 257,496 |
2.90% 7/26/24 (a) |
313,000 | 329,803 |
3.20% 6/15/26 (a) |
260,000 | 283,804 |
Elanco Animal Health, Inc.: | ||
4.662% 8/27/21 |
204,000 | 213,891 |
5.022% 8/28/23 |
207,000 | 221,715 |
GlaxoSmithKline Capital PLC
3.125% 5/14/21 |
174,000 | 178,046 |
Mylan N.V.
3.15% 6/15/21 |
1,189,000 | 1,207,937 |
Perrigo Finance Unlimited Co.
3.50% 12/15/21 |
211,000 | 216,078 |
21 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
HEALTH CARE – continued | ||
Pharmaceuticals – continued | ||
Zoetis, Inc.
3.45% 11/13/20 |
$29,000 | $29,356 |
4,995,015 | ||
TOTAL HEALTH CARE | 10,283,874 | |
INDUSTRIALS – 3.5% | ||
Aerospace & Defense – 0.1% | ||
BAE Systems Holdings, Inc.
2.85% 12/15/20 (a) |
190,000 | 191,253 |
Airlines – 0.9% | ||
American Airlines Pass Through Trust
3.85% 8/15/29 |
277,440 | 288,007 |
Delta Air Lines, Inc.: | ||
2.875% 3/13/20 |
542,000 | 542,075 |
2.90% 10/28/24 |
313,000 | 315,382 |
United Airlines Pass Through Trust
3.50% 11/1/29 |
208,000 | 213,408 |
1,358,872 | ||
Building Products – 0.1% | ||
Carrier Global Corp.
2.242% 2/15/25 (a) |
183,000 | 186,184 |
Commercial Services & Supplies – 0.2% | ||
Waste Management, Inc.
2.95% 6/15/24 |
260,000 | 274,435 |
Diversified Financial Services – 0.2% | ||
Avolon Holdings Funding Ltd.
2.875% 2/15/25 (a) |
350,000 | 349,643 |
Industrial Conglomerates – 0.4% | ||
Ingersoll-Rand Global Holding Co. Ltd.
2.90% 2/21/21 |
114,000 | 115,366 |
Roper Technologies, Inc.: | ||
2.80% 12/15/21 |
138,000 | 141,423 |
3.00% 12/15/20 |
94,000 | 94,824 |
3.65% 9/15/23 |
166,000 | 177,708 |
529,321 | ||
Machinery – 0.7% | ||
John Deere Capital Corp.
2.60% 3/7/24 |
80,000 | 83,576 |
Otis Worldwide Corp.: | ||
2.056% 4/5/25 (a) |
350,000 | 355,626 |
3 month U.S. LIBOR + 0.450%
2.069% 4/5/23 (a)(b)(c) |
185,000 | 184,905 |
Wabtec Corp.
4.40% 3/15/24 |
338,000 | 366,304 |
990,411 |
|
||
Principal Amount | Value | |
Trading Companies & Distributors – 0.9% | ||
Air Lease Corp.: | ||
2.50% 3/1/21 |
$130,000 | $130,655 |
2.625% 7/1/22 |
782,000 | 791,781 |
3.375% 6/1/21 |
281,000 | 286,918 |
4.75% 3/1/20 |
117,000 | 117,000 |
1,326,354 | ||
TOTAL INDUSTRIALS | 5,206,473 | |
INFORMATION TECHNOLOGY – 2.6% | ||
Electronic Equipment, Instruments & Components – 0.1% | ||
Amphenol Corp.: | ||
2.20% 4/1/20 |
132,000 | 132,054 |
3.20% 4/1/24 |
37,000 | 39,298 |
171,352 | ||
IT Services – 0.8% | ||
International Business Machines Corp.
2.85% 5/13/22 |
300,000 | 309,229 |
The Western Union Co.
4.25% 6/9/23 |
853,000 | 916,716 |
1,225,945 | ||
Semiconductors & Semiconductor Equipment – 0.3% | ||
Analog Devices, Inc.
2.85% 3/12/20 |
148,000 | 148,042 |
Micron Technology, Inc.
4.185% 2/15/27 |
313,000 | 335,097 |
483,139 | ||
Software – 0.3% | ||
Oracle Corp.
1.90% 9/15/21 |
466,000 | 470,044 |
Technology Hardware, Storage & Peripherals – 1.1% | ||
Dell International LLC / EMC Corp.: | ||
4.42% 6/15/21 (a) |
1,107,000 | 1,140,272 |
5.45% 6/15/23 (a) |
419,000 | 461,166 |
1,601,438 | ||
TOTAL INFORMATION TECHNOLOGY | 3,951,918 | |
MATERIALS – 0.4% | ||
Chemicals – 0.4% | ||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP
3.30% 5/1/23 (a) |
127,000 | 133,451 |
The Mosaic Co.
3.25% 11/15/22 |
519,000 | 539,664 |
TOTAL MATERIALS | 673,115 |
22 |
|
||
Principal Amount | Value | |
Exelon Corp.: | ||
2.85% 6/15/20 |
$94,000 | $94,223 |
3.497% 6/1/22 |
473,000 | 490,876 |
FirstEnergy Corp.
2.05% 3/1/25 |
152,000 | 154,117 |
ITC Holdings Corp.
2.70% 11/15/22 |
174,000 | 179,471 |
Mississippi Power Co. 3 month U.S. LIBOR + 0.650%
2.597% 3/27/20 (b)(c) |
104,000 | 104,050 |
The Southern Co.
2.35% 7/1/21 |
152,000 | 153,051 |
Xcel Energy, Inc.
2.40% 3/15/21 |
70,000 | 70,613 |
3,020,560 | ||
Multi-Utilities – 4.3% | ||
American Electric Power Co., Inc.
2.15% 11/13/20 |
482,000 | 484,038 |
CenterPoint Energy, Inc.
2.50% 9/1/22 |
453,000 | 464,129 |
Consolidated Edison, Inc.
2.00% 5/15/21 |
212,000 | 213,673 |
Dominion Energy Gas Holdings LLC
2.50% 11/15/24 |
388,000 | 400,091 |
Dominion Energy, Inc.: | ||
2.00% 8/15/21 |
1,333,000 | 1,346,062 |
2.715% 8/15/21 |
201,000 | 204,210 |
DTE Energy Co.
2.25% 11/1/22 |
313,000 | 318,228 |
NiSource, Inc.: | ||
2.65% 11/17/22 |
139,000 | 142,276 |
2.95% 9/1/29 |
198,000 | 207,535 |
3.65% 6/15/23 |
622,000 | 656,938 |
Public Service Enterprise Group, Inc.: | ||
2.00% 11/15/21 |
153,000 | 154,666 |
2.65% 11/15/22 |
153,000 | 157,243 |
Sempra Energy: | ||
2.40% 3/15/20 |
404,000 | 404,000 |
2.85% 11/15/20 |
128,000 | 129,104 |
2.90% 2/1/23 |
224,000 | 233,059 |
Virginia Electric & Power Co.
2.75% 3/15/23 |
148,000 | 152,941 |
WEC Energy Group, Inc.: | ||
3.10% 3/8/22 |
207,000 | 213,569 |
3.375% 6/15/21 |
520,000 | 531,861 |
6,413,623 | ||
TOTAL UTILITIES | 9,434,183 | |
TOTAL NONCONVERTIBLE BONDS
(Cost $107,315,353) |
109,560,569 |
23 |
|
||
Principal Amount | Value | |
JP Morgan Chase Commercial Mortgage Securities Trust Series 2012-LC9, Class AS
3.353% 12/15/47 (a) |
$770,000 | $801,869 |
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-C20, Class A3A1
3.472% 7/15/47 |
104,689 | 106,622 |
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-BKWD, Class A 1 month U.S. LIBOR + 1.000%
2.659% 9/15/29 (a)(b)(c) |
121,000 | 121,037 |
JPMBB Commercial Mortgage Securities Trust Series 2013-C17, Class AS
4.458% 1/15/47 |
327,000 | 358,192 |
JPMBB Commercial Mortgage Securities Trust Series 2014-C22, Class A4
3.801% 9/15/47 |
226,000 | 246,475 |
Lanark Master Issuer PLC Series 2019-2A, Class 1A
2.71% 12/22/69 (a) |
273,000 | 277,591 |
Lanark Master Issuer PLC Series 2020-1A, Class 1A
2.277% 12/22/69 (a)(c) |
200,000 | 201,874 |
Morgan Stanley Capital I Trust Series 2019-MEAD, Class A
3.17% 11/10/36 (a) |
302,000 | 318,129 |
New Residential Mortgage Loan Trust Series 2019-5A, Class A1B
3.50% 8/25/59 (a)(c) |
158,753 | 165,058 |
UBS-Barclays Commercial Mortgage Trust Series 2013-C5, Class AAB
2.687% 3/10/46 |
313,881 | 318,822 |
TOTAL PRIVATE SPONSOR | 5,579,604 | |
U.S. GOVERNMENT AGENCY – 1.1% | ||
Fannie Mae guaranteed REMIC Series 2015-28, Class P
2.50% 5/25/45 |
80,067 | 83,229 |
Fannie Mae guaranteed REMIC Series 2019-33, Class N
3.00% 3/25/48 |
735,702 | 759,892 |
Federal Home Loan Mortgage Corp. REMIC Series 4433, Class DE
2.00% 8/15/32 |
77,703 | 78,059 |
Federal Home Loan Mortgage Corp. REMIC Series 4437, Class DE
2.00% 10/15/32 |
81,235 | 81,623 |
24 |
|
||
Principal Amount | Value | |
DLL LLC Series 2019-MT3, Class A3 2.08% 2/21/23 (a) | $105,000 | $106,314 |
Ford Credit Auto Owner Trust Series 2019-1, Class A 3.52% 7/15/30 (a) | 250,000 | 269,214 |
Ford Credit Floorplan Master Owner Trust Series 2017-2, Class A1 2.16% 9/15/22 | 205,000 | 205,808 |
GMF Floorplan Owner Revolving Trust Series 2018-2, Class A1 3.13% 3/15/23 (a) | 328,000 | 334,119 |
Hyundai Auto Receivables Trust Series 2019-B, Class A3 1.94% 2/15/24 | 198,000 | 200,963 |
Mercedes-Benz Auto Lease Trust Series 2019-B, Class A3 2.00% 10/17/22 | 150,000 | 151,467 |
MMAF Equipment Finance LLC Series 2019-B, Class A3 2.01% 12/12/24 (a) | 202,000 | 205,236 |
Nationstar HECM Loan Trust Series 2019-2A, Class A 2.272% 11/25/29 (a)(c) | 100,240 | 99,967 |
Santander Retail Auto Lease Trust Series 2017-A, Class A3 2.22% 1/20/21 (a) | 33,218 | 33,231 |
SoFi Consumer Loan Program Series 2019-4, Class A 2.45% 8/25/28 (a) | 199,403 | 201,281 |
Tesla Auto Lease Trust Series 2019-A, Class A2 2.13% 4/20/22 (a) | 500,000 | 504,866 |
Upgrade Receivables Trust Series 2019-2A, Class A 2.77% 10/15/25 (a) | 96,983 | 97,451 |
Verizon Owner Trust Series 2020-A, Class A1A 1.85% 7/22/24 | 318,000 | 322,354 |
Volvo Financial Equipment LLC Series 2019-2A, Class A3 2.04% 11/15/23 (a) | 156,000 | 157,999 |
TOTAL ASSET-BACKED SECURITIES
(Cost $5,745,686) |
5,831,302 | |
U.S Government
Agency - Mortgage
Securities – 0.8% |
||
Fannie Mae – 0.5% | ||
4.50% 3/1/39 to 9/1/49 | 745,035 | 810,424 |
Ginnie Mae – 0.2% | ||
4.50% 6/20/48 | 233,354 | 247,415 |
25 |
U.S Government Agency
- Mortgage
Securities – continued |
||
Principal Amount | Value | |
U.S. Government Agency – 0.1% | ||
3.00% 12/1/31 | $167,046 | $173,289 |
TOTAL U.S GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $1,215,242) |
1,231,128 | |
Municipal Securities – 0.5% | ||
New York State Urban Development Corp.: | ||
2.55% 3/15/22 | 275,000 | 280,970 |
2.70% 3/15/23 | 235,000 | 243,235 |
State of California
2.400% 10/1/25 |
220,000 | 232,232 |
TOTAL MUNICIPAL SECURITIES
(Cost $731,946) |
756,437 | |
Foreign Government
and Government Agency
Obligations – 0.1% |
||
Mexico Government International Bond
3.250% 4/16/30 (Cost $198,947) |
200,000 | 205,300 |
Money Market Fund – 1.5% | ||
Shares | Value | |
Fidelity Cash Central Fund, 1.60% (d)
(Cost $2,334,999) |
2,334,540 | 2,335,007 |
TOTAL INVESTMENT IN SECURITIES – 100.7%
(Cost $147,878,883) |
150,962,873 | |
NET OTHER ASSETS (LIABILITIES) – (0.7%) | (1,099,007) | |
NET ASSETS – 100.0% | $149,863,866 |
Legend | ||
(a) | Security is 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 $19,569,677 or 13.1% of net assets. | |
(b) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. | |
(c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. | |
(d) | 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. |
Fund | Income earned |
Fidelity Cash Central Fund | $10,567 |
26 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Corporate Bonds | $109,560,569 | $— | $109,560,569 | $— | ||||
U.S. Treasury Obligations | 23,891,596 | — | 23,891,596 | — | ||||
Collateralized Mortgage Obligations | 7,151,534 | — | 7,151,534 | — | ||||
Asset-Backed Securities | 5,831,302 | — | 5,831,302 | — | ||||
U.S Government Agency - Mortgage Securities | 1,231,128 | — | 1,231,128 | — | ||||
Municipal Securities | 756,437 | — | 756,437 | — | ||||
Foreign Government and Government Agency Obligations | 205,300 | — | 205,300 | — | ||||
Money Market Funds | 2,335,007 | 2,335,007 | — | — | ||||
Total Investments in Securities: | $150,962,873 | $2,335,007 | $148,627,866 | $— |
United States of America | 87.9 |
United Kingdom | 4.0 |
Ireland | 1.6 |
Canada | 1.5 |
Netherlands | 1.2 |
Switzerland | 1.0 |
Others (Individually Less Than 1%) | 3.5 |
100.7% |
27 |
Nonconvertible Bonds – 85.7% | ||
Principal Amount | Value | |
COMMUNICATION SERVICES – 5.0% | ||
Diversified Telecommunication Services – 3.0% | ||
AT&T, Inc.: | ||
3 month U.S. LIBOR + 0.750%
2.33% 6/1/21 (a)(b) |
$1,720,000 | $1,727,970 |
3 month U.S. LIBOR + 0.950%
2.781% 7/15/21 (a)(b) |
2,589,000 | 2,613,347 |
3 month U.S. LIBOR + 1.180%
3.067% 6/12/24 (a)(b) |
1,490,000 | 1,507,478 |
Verizon Communications, Inc.: | ||
3 month U.S. LIBOR + 0.550%
2.233% 5/22/20 (a)(b) |
348,000 | 348,230 |
3 month U.S. LIBOR + 1.000%
2.894% 3/16/22 (a)(b) |
133,000 | 134,763 |
6,331,788 | ||
Media – 1.5% | ||
Charter Communications Operating LLC / Charter Communications Operating Capital 3 month U.S. LIBOR + 1.650%
3.413% 2/1/24 (a)(b) |
430,000 | 443,738 |
Comcast Corp.: | ||
3 month U.S. LIBOR + 0.330%
2.239% 10/1/20 (a)(b) |
341,000 | 341,665 |
3 month U.S. LIBOR + 0.440%
2.349% 10/1/21 (a)(b) |
704,000 | 707,137 |
3 month U.S. LIBOR + 0.630%
2.461% 4/15/24 (a)(b) |
180,000 | 181,804 |
NBCUniversal Enterprise, Inc. 3 month U.S. LIBOR + 0.400%
2.309% 4/1/21 (a)(b)(c) |
700,000 | 701,865 |
TWDC Enterprises 18 Corp.: | ||
3 month U.S. LIBOR + 0.190%
2.082% 6/5/20 (a)(b) |
146,000 | 146,056 |
3 month U.S. LIBOR + 0.390%
2.29% 3/4/22 (a)(b) |
798,000 | 802,654 |
3,324,919 | ||
Wireless Telecommunication Services – 0.5% | ||
Vodafone Group PLC 3 month U.S. LIBOR + 0.990%
2.833% 1/16/24 (a)(b) |
1,057,000 | 1,066,817 |
TOTAL COMMUNICATION SERVICES | 10,723,524 | |
CONSUMER DISCRETIONARY – 3.0% | ||
Automobiles – 2.7% | ||
BMW US Capital LLC: | ||
3 month U.S. LIBOR + 0.500%
2.207% 8/13/21 (a)(b)(c) |
332,000 | 333,756 |
3 month U.S. LIBOR + 0.530%
2.368% 4/14/22 (a)(b)(c) |
334,000 | 336,132 |
|
||
Principal Amount | Value | |
Daimler Finance North America LLC: | ||
3 month U.S. LIBOR + 0.450%
2.133% 2/22/21 (a)(b)(c) |
$300,000 | $300,715 |
3 month U.S. LIBOR + 0.550%
2.301% 5/4/21 (a)(b)(c) |
376,000 | 377,509 |
3 month U.S. LIBOR + 0.840%
2.591% 5/4/23 (a)(b)(c) |
450,000 | 452,147 |
3 month U.S. LIBOR + 0.900%
2.592% 2/15/22 (a)(b)(c) |
450,000 | 454,128 |
Ford Motor Credit Co. LLC: | ||
3 month U.S. LIBOR + 0.790%
2.677% 6/12/20 (a)(b) |
200,000 | 200,101 |
3 month U.S. LIBOR + 0.880%
2.728% 10/12/21 (a)(b) |
600,000 | 593,346 |
3 month U.S. LIBOR + 1.080%
2.843% 8/3/22 (a)(b) |
200,000 | 194,736 |
3 month U.S. LIBOR + 0.930%
2.865% 9/24/20 (a)(b) |
999,000 | 999,378 |
3 month U.S. LIBOR + 1.235%
2.927% 2/15/23 (a)(b) |
600,000 | 588,000 |
Nissan Motor Acceptance Corp.: | ||
3 month U.S. LIBOR + 0.690%
2.651% 9/28/22 (a)(b)(c) |
402,000 | 401,331 |
3 month U.S. LIBOR + 0.890%
2.738% 1/13/22 (a)(b)(c) |
50,000 | 50,327 |
Volkswagen Group of America Finance LLC 3 month U.S. LIBOR + 0.940%
2.653% 11/12/21 (a)(b)(c) |
400,000 | 403,988 |
5,685,594 | ||
Hotels, Restaurants & Leisure – 0.1% | ||
McDonald's Corp. 3 month U.S. LIBOR + 0.430%
2.225% 10/28/21 (a)(b) |
122,000 | 122,501 |
Internet & Direct Marketing Retail – 0.1% | ||
eBay, Inc. 3 month U.S. LIBOR + 0.870%
2.64% 1/30/23 (a)(b) |
130,000 | 131,203 |
Multiline Retail – 0.1% | ||
Dollar Tree, Inc. 3 month U.S. LIBOR + 0.700%
2.536% 4/17/20 (a)(b) |
316,000 | 316,036 |
Specialty Retail – 0.0% | ||
The Home Depot, Inc. 3 month U.S. LIBOR + 0.310%
1.89% 3/1/22 (a)(b) |
116,000 | 116,368 |
TOTAL CONSUMER DISCRETIONARY | 6,371,702 |
28 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
CONSUMER STAPLES – 2.3% | ||
Beverages – 0.3% | ||
Anheuser-Busch InBev Worldwide, Inc. 3 month U.S. LIBOR + 0.740%
2.588% 1/12/24 (a)(b) |
$75,000 | $75,687 |
Constellation Brands, Inc. 3 month U.S. LIBOR + 0.700%
2.392% 11/15/21 (a)(b) |
360,000 | 360,056 |
PepsiCo, Inc. 3 month U.S. LIBOR + 0.365%
2.128% 5/2/22 (a)(b) |
184,000 | 184,925 |
620,668 | ||
Food & Staples Retailing – 1.0% | ||
Campbell Soup Co. 3 month U.S. LIBOR + 0.630%
2.524% 3/15/21 (a)(b) |
318,000 | 318,310 |
Cigna Corp.: | ||
3 month U.S. LIBOR + 0.650%
2.55% 9/17/21 (a)(b) |
148,000 | 148,041 |
3 month U.S. LIBOR + 0.890%
2.721% 7/15/23 (a)(b) |
422,000 | 427,095 |
CVS Health Corp.: | ||
3 month U.S. LIBOR + 0.630%
2.515% 3/9/20 (a)(b) |
202,000 | 202,022 |
3 month U.S. LIBOR + 0.720%
2.605% 3/9/21 (a)(b) |
409,000 | 410,145 |
Reckitt Benckiser Treasury Services PLC 3 month U.S. LIBOR + 0.560%
2.495% 6/24/22 (a)(b)(c) |
200,000 | 200,400 |
Walmart, Inc.: | ||
3 month U.S. LIBOR + 0.040%
1.968% 6/23/20 (a)(b) |
425,000 | 425,077 |
3 month U.S. LIBOR + 0.230%
2.158% 6/23/21 (a)(b) |
120,000 | 120,265 |
2,251,355 | ||
Food Products – 0.8% | ||
Conagra Brands, Inc. 3 month U.S. LIBOR + 0.750%
2.552% 10/22/20 (a)(b) |
104,000 | 104,012 |
General Mills, Inc.: | ||
3 month U.S. LIBOR + 0.540%
2.383% 4/16/21 (a)(b) |
1,066,000 | 1,069,802 |
3 month U.S. LIBOR + 1.010%
2.846% 10/17/23 (a)(b) |
132,000 | 133,917 |
Kraft Heinz Foods Co. 3 month U.S. LIBOR + 0.820%
2.554% 8/10/22 (a)(b) |
326,000 | 324,381 |
1,632,112 |
|
||
Principal Amount | Value | |
Tobacco – 0.2% | ||
BAT Capital Corp. 3 month U.S. LIBOR + 0.880%
2.572% 8/15/22 (a)(b) |
$470,000 | $472,484 |
TOTAL CONSUMER STAPLES | 4,976,619 | |
ENERGY – 3.6% | ||
Oil, Gas & Consumable Fuels – 3.6% | ||
BP Capital Markets America, Inc. 3 month U.S. LIBOR + 0.650%
2.553% 9/19/22 (a)(b) |
39,000 | 39,270 |
BP Capital Markets PLC 3 month U.S. LIBOR + 0.250%
1.933% 11/24/20 (a)(b) |
714,000 | 714,527 |
Chevron Corp.: | ||
3 month U.S. LIBOR + 0.480%
1.943% 3/3/22 (a)(b) |
64,000 | 64,400 |
3 month U.S. LIBOR + 0.530%
1.993% 3/3/22 (a)(b) |
44,000 | 44,241 |
3 month U.S. LIBOR + 0.530%
2.222% 11/15/21 (a)(b) |
320,000 | 322,336 |
ConocoPhillips Co. 3 month U.S. LIBOR + 0.900%
2.592% 5/15/22 (a)(b) |
216,000 | 218,971 |
Enbridge, Inc. 3 month U.S. LIBOR + 0.700%
2.594% 6/15/20 (a)(b) |
234,000 | 234,406 |
Exxon Mobil Corp.: | ||
3 month U.S. LIBOR + 0.330%
2.022% 8/16/22 (a)(b) |
484,000 | 485,656 |
3 month U.S. LIBOR + 0.370%
2.257% 3/6/22 (a)(b) |
52,000 | 52,298 |
MPLX LP 3 month U.S. LIBOR + 1.100%
2.985% 9/9/22 (a)(b) |
1,910,000 | 1,917,000 |
Occidental Petroleum Corp.: | ||
3 month U.S. LIBOR + 0.950%
2.684% 2/8/21 (a)(b) |
1,370,000 | 1,378,216 |
3 month U.S. LIBOR + 1.450%
3.142% 8/15/22 (a)(b) |
1,042,000 | 1,045,776 |
Shell International Finance BV: | ||
3 month U.S. LIBOR + 0.400%
2.107% 11/13/23 (a)(b) |
181,000 | 181,013 |
3 month U.S. LIBOR + 0.450%
2.181% 5/11/20 (a)(b) |
273,000 | 273,249 |
Spectra Energy Partners LP 3 month U.S. LIBOR + 0.700%
2.592% 6/5/20 (a)(b) |
680,000 | 680,911 |
TOTAL ENERGY | 7,652,270 |
29 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
FINANCIALS – 62.0% | ||
Banks – 29.0% | ||
ABN AMRO Bank N.V. 3 month U.S. LIBOR + 0.570%
2.208% 8/27/21 (a)(b)(c) |
$1,200,000 | $1,205,832 |
ASB Bank Ltd. 3 month U.S. LIBOR + 0.970%
2.864% 6/14/23 (a)(b)(c) |
200,000 | 203,533 |
Australia & New Zealand Banking Group Ltd. 3 month U.S. LIBOR + 0.500%
2.193% 8/19/20 (a)(b)(c) |
750,000 | 751,837 |
Banco Santander S.A. 3 month U.S. LIBOR + 1.560%
3.408% 4/11/22 (a)(b) |
400,000 | 408,691 |
Bank of America N.A. 3 month U.S. LIBOR + 0.350%
2.033% 5/24/21 (a)(b) |
750,000 | 750,455 |
Bank of Montreal: | ||
3 month U.S. LIBOR + 0.340%
2.188% 7/13/20 (a)(b) |
1,038,000 | 1,039,381 |
3 month U.S. LIBOR + 0.400%
2.291% 9/10/21 (a)(b) |
908,000 | 911,270 |
3 month U.S. LIBOR + 0.460%
2.308% 4/13/21 (a)(b) |
61,000 | 61,255 |
3 month U.S. LIBOR + 0.440%
2.334% 6/15/20 (a)(b) |
295,000 | 295,112 |
3 month U.S. LIBOR + 0.570%
2.517% 3/26/22 (a)(b) |
776,000 | 781,190 |
3 month U.S. LIBOR + 0.630%
2.518% 9/11/22 (a)(b) |
472,000 | 476,532 |
Banque Federative du Credit Mutuel S.A.: | ||
3 month U.S. LIBOR + 0.490%
2.309% 7/20/20 (a)(b)(c) |
660,000 | 661,397 |
3 month U.S. LIBOR + 0.960%
2.779% 7/20/23 (a)(b)(c) |
600,000 | 611,262 |
Barclays Bank PLC: | ||
3 month U.S. LIBOR + 0.460%
2.308% 1/11/21 (a)(b) |
200,000 | 199,783 |
3 month U.S. LIBOR + 0.650%
2.392% 8/7/20 (a)(b) |
520,000 | 521,218 |
Barclays PLC 3 month U.S. LIBOR + 2.110%
3.844% 8/10/21 (a)(b) |
1,630,000 | 1,665,860 |
BPCE S.A.: | ||
3 month U.S. LIBOR + 1.220%
2.903% 5/22/22 (a)(b)(c) |
250,000 | 253,794 |
3 month U.S. LIBOR + 1.240%
3.127% 9/12/23 (a)(b)(c) |
250,000 | 254,670 |
|
||
Principal Amount | Value | |
Canadian Imperial Bank of Commerce: | ||
3 month U.S. LIBOR + 0.310%
2.21% 10/5/20 (a)(b) |
$171,000 | $171,252 |
3 month U.S. LIBOR + 0.660%
2.547% 9/13/23 (a)(b) |
718,000 | 727,327 |
3 month U.S. LIBOR + 0.720%
2.614% 6/16/22 (a)(b) |
116,000 | 117,372 |
Citibank N.A.: | ||
3 month U.S. LIBOR + 0.300%
2.119% 10/20/20 (a)(b) |
250,000 | 250,454 |
3 month U.S. LIBOR + 0.530%
2.223% 2/19/22 (a)(b) |
750,000 | 752,525 |
3 month U.S. LIBOR + 0.500%
2.387% 6/12/20 (a)(b) |
250,000 | 250,225 |
Commonwealth Bank of Australia: | ||
3 month U.S. LIBOR + 0.400%
2.299% 9/18/20 (a)(b)(c) |
800,000 | 801,336 |
3 month U.S. LIBOR + 0.450%
2.341% 3/10/20 (a)(b)(c) |
158,000 | 158,029 |
3 month U.S. LIBOR + 0.680%
2.579% 9/18/22 (a)(b)(c) |
151,000 | 151,886 |
3 month U.S. LIBOR + 0.700%
2.591% 3/10/22 (a)(b)(c) |
1,594,000 | 1,603,489 |
3 month U.S. LIBOR + 0.700%
2.594% 3/16/23 (a)(b)(c) |
502,000 | 507,157 |
Cooperatieve Rabobank UA 3 month U.S. LIBOR + 0.480%
2.314% 1/10/23 (a)(b) |
1,000,000 | 1,003,710 |
Credit Suisse Group Funding Guernsey Ltd. 3 month U.S. LIBOR + 2.290%
4.109% 4/16/21 (a)(b) |
250,000 | 256,080 |
Danske Bank A/S 3 month U.S. LIBOR + 1.060%
2.947% 9/12/23 (a)(b)(c) |
600,000 | 603,518 |
Fifth Third Bank 3 month U.S. LIBOR + 0.250%
2.02% 10/30/20 (a)(b) |
400,000 | 400,502 |
ING Groep N.V.: | ||
3 month U.S. LIBOR + 1.000%
2.909% 10/2/23 (a)(b) |
200,000 | 202,796 |
3 month U.S. LIBOR + 1.150%
3.111% 3/29/22 (a)(b) |
200,000 | 203,268 |
JPMorgan Chase & Co.: | ||
3 month U.S. LIBOR + 0.610%
2.509% 6/18/22 (a)(b) |
202,000 | 202,576 |
3 month U.S. LIBOR + 0.900%
2.694% 4/25/23 (a)(b) |
1,632,000 | 1,648,517 |
3 month U.S. LIBOR + 1.000%
2.831% 1/15/23 (a)(b) |
178,000 | 180,225 |
30 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
FINANCIALS – continued | ||
Banks – continued | ||
3 month U.S. LIBOR + 1.205%
2.98% 10/29/20 (a)(b) |
$409,000 | $411,525 |
3 month U.S. LIBOR + 1.230%
3.031% 10/24/23 (a)(b) |
272,000 | 276,221 |
JPMorgan Chase Bank N.A. 3 month U.S. LIBOR + 0.340%
2.134% 4/26/21 (a)(b) |
250,000 | 250,166 |
Lloyds Banking Group PLC 3 month U.S. LIBOR + 0.800%
2.728% 6/21/21 (a)(b) |
200,000 | 200,957 |
Mitsubishi UFJ Financial Group, Inc.: | ||
3 month U.S. LIBOR + 0.740%
2.32% 3/2/23 (a)(b) |
306,000 | 307,697 |
3 month U.S. LIBOR + 0.790%
2.584% 7/25/22 (a)(b) |
807,000 | 812,479 |
3 month U.S. LIBOR + 0.920%
2.599% 2/22/22 (a)(b) |
90,000 | 91,112 |
3 month U.S. LIBOR + 0.860%
2.654% 7/26/23 (a)(b) |
770,000 | 779,414 |
Mizuho Financial Group, Inc.: | ||
3 month U.S. LIBOR + 0.940%
2.553% 2/28/22 (a)(b) |
200,000 | 202,332 |
3 month U.S. LIBOR + 0.790%
2.682% 3/5/23 (a)(b) |
600,000 | 601,423 |
3 month U.S. LIBOR + 0.840%
2.683% 7/16/23 (a)(b) |
800,000 | 805,428 |
3 month U.S. LIBOR + 0.880%
2.768% 9/11/22 (a)(b) |
400,000 | 404,320 |
3 month U.S. LIBOR + 1.000%
2.888% 9/11/24 (a)(b) |
800,000 | 807,458 |
3 month U.S. LIBOR + 1.140.%
3.027% 9/13/21 (a)(b) |
200,000 | 202,482 |
National Australia Bank Ltd.: | ||
3 month U.S. LIBOR + 0.510%
2.193% 5/22/20 (a)(b)(c) |
2,000,000 | 2,001,003 |
3 month U.S. LIBOR + 0.350%
2.198% 1/12/21 (a)(b)(c) |
500,000 | 501,359 |
3 month U.S. LIBOR + 0.720%
2.403% 5/22/22 (a)(b)(c) |
250,000 | 251,642 |
3 month U.S. LIBOR + 0.710%
2.461% 11/4/21 (a)(b)(c) |
1,250,000 | 1,261,642 |
3 month U.S. LIBOR + 1.000%
2.848% 7/12/21 (a)(b)(c) |
1,500,000 | 1,518,644 |
PNC Bank N.A.: | ||
3 month U.S. LIBOR + 0.310%
2.201% 6/10/21 (a)(b) |
1,250,000 | 1,250,419 |
3 month U.S. LIBOR + 0.500%
2.294% 7/27/22 (a)(b) |
250,000 | 251,703 |
|
||
Principal Amount | Value | |
Regions Bank 3 month U.S. LIBOR + 0.500%
2.207% 8/13/21 (a)(b) |
$750,000 | $750,390 |
Royal Bank of Canada: | ||
3 month U.S. LIBOR + 0.240%
2.034% 10/26/20 (a)(b) |
429,000 | 429,382 |
3 month U.S. LIBOR + 0.300%
2.102% 7/22/20 (a)(b) |
147,000 | 147,176 |
3 month U.S. LIBOR + 0.390%
2.16% 4/30/21 (a)(b) |
1,466,000 | 1,471,071 |
3 month U.S. LIBOR + 0.400%
2.194% 1/25/21 (a)(b) |
1,280,000 | 1,282,404 |
3 month U.S. LIBOR + 0.520%
2.407% 3/6/20 (a)(b) |
25,000 | 25,002 |
3 month U.S. LIBOR + 0.660%
2.56% 10/5/23 (a)(b) |
292,000 | 292,000 |
Royal Bank of Scotland Group PLC 3 month U.S. LIBOR + 1.470%
3.162% 5/15/23 (a)(b) |
200,000 | 202,115 |
Santander UK PLC 3 month U.S. LIBOR + 0.300%
2.063% 11/3/20 (a)(b) |
200,000 | 200,319 |
Skandinaviska Enskilda Banken AB 3 month U.S. LIBOR + 0.430%
2.122% 5/17/21 (a)(b)(c) |
200,000 | 200,534 |
Sumitomo Mitsui Banking Corp. 3 month U.S. LIBOR + 0.370%
2.213% 10/16/20 (a)(b) |
250,000 | 250,282 |
Svenska Handelsbanken AB: | ||
3 month U.S. LIBOR + 0.470%
2.153% 5/24/21 (a)(b) |
1,000,000 | 1,003,950 |
3 month U.S. LIBOR + 0.360%
2.245% 9/8/20 (a)(b) |
750,000 | 751,310 |
Swedbank AB 3 month U.S. LIBOR + 0.700%
2.594% 3/14/22 (a)(b)(c) |
400,000 | 401,672 |
Synchrony Bank 3 month U.S. LIBOR + 0.625%
2.586% 3/30/20 (a)(b) |
1,000,000 | 1,000,492 |
The Huntington National Bank 3 month U.S. LIBOR + 0.510%
2.401% 3/10/20 (a)(b) |
250,000 | 250,015 |
The Toronto-Dominion Bank: | ||
3 month U.S. LIBOR + 0.240%
2.034% 1/25/21 (a)(b) |
850,000 | 851,433 |
3 month U.S. LIBOR + 0.260%
2.16% 9/17/20 (a)(b) |
182,000 | 182,130 |
3 month U.S. LIBOR + 0.640%
2.459% 7/19/23 (a)(b) |
870,000 | 880,618 |
3 month U.S. LIBOR + 1.000%
2.874% 4/7/21 (a)(b) |
1,384,000 | 1,398,442 |
31 |
|
||
Principal Amount | Value | |
3 month U.S. LIBOR + 0.850%
2.543% 8/19/21 (a)(b) |
$97,000 | $97,992 |
3 month U.S. LIBOR + 0.710%
2.671% 6/28/22 (a)(b) |
488,000 | 491,165 |
3 month U.S. LIBOR + 0.850%
2.698% 1/11/22 (a)(b) |
822,000 | 832,228 |
62,083,562 | ||
Capital Markets – 0.8% | ||
State Street Corp. 3 month U.S. LIBOR + 0.900%
2.592% 8/18/20 (a)(b) |
470,000 | 471,986 |
TD Ameritrade Holding Corp. 3 month U.S. LIBOR + 0.430%
2.193% 11/1/21 (a)(b) |
406,000 | 406,713 |
The Bank of New York Mellon Corp.: | ||
3 month U.S. LIBOR + 0.280%
2.18% 6/4/21 (a)(b) |
500,000 | 500,045 |
3 month U.S. LIBOR + 0.870%
2.562% 8/17/20 (a)(b) |
85,000 | 85,322 |
3 month U.S. LIBOR + 1.050%
2.82% 10/30/23 (a)(b) |
81,000 | 82,632 |
The Charles Schwab Corp. 3 month U.S. LIBOR + 0.320%
2.016% 5/21/21 (a)(b) |
115,000 | 115,235 |
1,661,933 | ||
Consumer Finance – 6.9% | ||
Air Lease Corp. 3 month U.S. LIBOR + 0.670%
2.133% 6/3/21 (a)(b) |
446,000 | 447,960 |
American Express Co.: | ||
3 month U.S. LIBOR + 0.330%
2.10% 10/30/20 (a)(b) |
1,037,000 | 1,038,587 |
3 month U.S. LIBOR + 0.650%
2.288% 2/27/23 (a)(b) |
26,000 | 26,117 |
3 month U.S. LIBOR + 0.620%
2.315% 5/20/22 (a)(b) |
294,000 | 295,022 |
3 month U.S. LIBOR + 0.600%
2.341% 11/5/21 (a)(b) |
149,000 | 149,999 |
3 month U.S. LIBOR + 0.750%
2.513% 8/3/23 (a)(b) |
414,000 | 416,099 |
American Express Credit Corp.: | ||
3 month U.S. LIBOR + 0.700%
2.163% 3/3/22 (a)(b) |
770,000 | 773,531 |
3 month U.S. LIBOR + 0.730%
2.377% 5/26/20 (a)(b) |
30,000 | 30,030 |
3 month U.S. LIBOR + 1.050%
2.944% 9/14/20 (a)(b) |
146,000 | 146,672 |
American Honda Finance Corp.: | ||
3 month U.S. LIBOR + 0.370%
2.104% 5/10/23 (a)(b) |
724,000 | 722,607 |
32 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
FINANCIALS – continued | ||
Consumer Finance – continued | ||
3 month U.S. LIBOR + 0.470%
2.162% 11/16/22 (a)(b) |
$1,040,000 | $1,047,245 |
3 month U.S. LIBOR + 0.540%
2.487% 6/27/22 (a)(b) |
430,000 | 433,536 |
Capital One Financial Corp.: | ||
3 month U.S. LIBOR + 0.760%
2.473% 5/12/20 (a)(b) |
429,000 | 429,359 |
3 month U.S. LIBOR + 0.720%
2.49% 1/30/23 (a)(b) |
1,392,000 | 1,396,469 |
3 month U.S. LIBOR + 0.950%
2.835% 3/9/22 (a)(b) |
612,000 | 617,401 |
Caterpillar Financial Services Corp.: | ||
3 month U.S. LIBOR + 0.180%
1.872% 5/15/20 (a)(b) |
168,000 | 168,074 |
3 month U.S. LIBOR + 0.250%
1.897% 8/26/20 (a)(b) |
709,000 | 710,133 |
3 month U.S. LIBOR + 0.390%
2.082% 5/17/21 (a)(b) |
212,000 | 212,860 |
3 month U.S. LIBOR + 0.230%
2.124% 3/15/21 (a)(b) |
1,031,000 | 1,032,054 |
3 month U.S. LIBOR + 0.280%
2.165% 9/7/21 (a)(b) |
423,000 | 423,949 |
3 month U.S. LIBOR + 0.300%
2.185% 3/8/21 (a)(b) |
1,750,000 | 1,753,114 |
3 month U.S. LIBOR + 0.290%
2.19% 9/4/20 (a)(b) |
163,000 | 163,116 |
Toyota Motor Credit Corp.: | ||
3 month U.S. LIBOR + 0.400%
2.092% 5/17/22 (a)(b) |
258,000 | 258,953 |
3 month U.S. LIBOR + 0.280%
2.128% 4/13/21 (a)(b) |
186,000 | 186,264 |
3 month U.S. LIBOR + 0.290%
2.164% 10/7/21 (a)(b) |
1,510,000 | 1,515,371 |
3 month U.S. LIBOR + 0.480%
2.365% 9/8/22 (a)(b) |
502,000 | 505,558 |
14,900,080 | ||
Diversified Financial Services – 23.5% | ||
Bank of America Corp.: | ||
3 month U.S. LIBOR + 0.380%
2.186% 1/23/22 (a)(b) |
612,000 | 613,326 |
3 month U.S. LIBOR + 0.660%
2.479% 7/21/21 (a)(b) |
640,000 | 640,731 |
3 month U.S. LIBOR + 0.650%
2.559% 10/1/21 (a)(b) |
170,000 | 170,479 |
3 month U.S. LIBOR + 0.650%
2.597% 6/25/22 (a)(b) |
392,000 | 393,852 |
3 month U.S. LIBOR + 0.790%
2.682% 3/5/24 (a)(b) |
1,718,000 | 1,718,318 |
|
||
Principal Amount | Value | |
3 month U.S. LIBOR + 0.960%
2.766% 7/23/24 (a)(b) |
$402,000 | $407,919 |
3 month U.S. LIBOR + 1.000%
2.801% 4/24/23 (a)(b) |
417,000 | 420,616 |
3 month U.S. LIBOR + 1.160%
2.979% 1/20/23 (a)(b) |
176,000 | 178,701 |
3 month U.S. LIBOR + 1.180%
2.999% 10/21/22 (a)(b) |
67,000 | 68,109 |
Barclays PLC: | ||
3 month U.S. LIBOR + 1.380%
3.072% 5/16/24 (a)(b) |
200,000 | 203,612 |
3 month U.S. LIBOR + 1.430%
3.122% 2/15/23 (a)(b) |
1,200,000 | 1,217,586 |
Citigroup, Inc.: | ||
3 month U.S. LIBOR + 0.950%
2.751% 7/24/23 (a)(b) |
988,000 | 1,000,163 |
3 month U.S. LIBOR + 0.960%
2.754% 4/25/22 (a)(b) |
1,073,000 | 1,085,018 |
3 month U.S. LIBOR + 1.100%
2.792% 5/17/24 (a)(b) |
592,000 | 598,430 |
3 month U.S. LIBOR + 1.190%
2.953% 8/2/21 (a)(b) |
383,000 | 388,653 |
3 month U.S. LIBOR + 1.070%
2.955% 12/8/21 (a)(b) |
1,262,000 | 1,275,963 |
3 month U.S. LIBOR + 1.430%
3.01% 9/1/23 (a)(b) |
1,190,000 | 1,213,579 |
Credit Agricole S.A.: | ||
3 month U.S. LIBOR + 1.020%
2.821% 4/24/23 (a)(b)(c) |
250,000 | 254,067 |
3 month U.S. LIBOR + 0.970%
2.861% 6/10/20 (a)(b)(c) |
250,000 | 250,553 |
3 month U.S. LIBOR + 1.430%
3.264% 1/10/22 (a)(b)(c) |
1,250,000 | 1,273,087 |
Credit Suisse Group AG: | ||
3 month U.S. LIBOR + 1.200%
3.094% 12/14/23 (a)(b)(c) |
250,000 | 254,362 |
3 month U.S. LIBOR + 1.240%
3.127% 6/12/24 (a)(b)(c) |
1,000,000 | 1,019,460 |
Deutsche Bank AG: | ||
3 month U.S. LIBOR + 0.815%
2.617% 1/22/21 (a)(b) |
1,284,000 | 1,281,003 |
3 month U.S. LIBOR + 0.970%
2.818% 7/13/20 (a)(b) |
1,041,000 | 1,042,346 |
3 month U.S. LIBOR + 1.230%
2.868% 2/27/23 (a)(b) |
100,000 | 99,005 |
3 month U.S. LIBOR + 1.290%
3.041% 2/4/21 (a)(b) |
600,000 | 600,371 |
General Motors Financial Co., Inc.: | ||
3 month U.S. LIBOR + 0.850%
2.728% 4/9/21 (a)(b) |
140,000 | 140,474 |
33 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
FINANCIALS – continued | ||
Diversified Financial Services – continued | ||
3 month U.S. LIBOR + 0.990%
2.89% 1/5/23 (a)(b) |
$609,000 | $606,595 |
3 month U.S. LIBOR + 1.550%
3.388% 1/14/22 (a)(b) |
1,094,000 | 1,106,382 |
HSBC Holdings PLC: | ||
3 month U.S. LIBOR + 0.600%
2.292% 5/18/21 (a)(b) |
1,600,000 | 1,601,371 |
3 month U.S. LIBOR + 0.650%
2.537% 9/11/21 (a)(b) |
926,000 | 926,853 |
3 month U.S. LIBOR + 1.000%
2.692% 5/18/24 (a)(b) |
800,000 | 804,938 |
3 month U.S. LIBOR + 1.500%
3.40% 1/5/22 (a)(b) |
1,000,000 | 1,022,179 |
3 month U.S. LIBOR + 2.240%
4.125% 3/8/21 (a)(b) |
237,000 | 241,953 |
JPMorgan Chase & Co.: | ||
3 month U.S. LIBOR + 0.680%
2.26% 6/1/21 (a)(b) |
2,814,000 | 2,817,283 |
3 month U.S. LIBOR + 0.730%
2.536% 4/23/24 (a)(b) |
558,000 | 558,575 |
3 month U.S. LIBOR + 0.890%
2.696% 7/23/24 (a)(b) |
614,000 | 619,127 |
3 month U.S. LIBOR + 1.100%
2.985% 6/7/21 (a)(b) |
1,032,000 | 1,042,040 |
Macquarie Group Ltd. 3 month U.S. LIBOR + 1.350%
3.297% 3/27/24 (a)(b)(c) |
278,000 | 283,088 |
Morgan Stanley: | ||
3 month U.S. LIBOR + 1.220%
2.954% 5/8/24 (a)(b) |
1,164,000 | 1,180,052 |
3 month U.S. LIBOR + 1.180%
2.999% 1/20/22 (a)(b) |
3,045,000 | 3,066,064 |
3 month U.S. LIBOR + 1.400%
3.201% 10/24/23 (a)(b) |
1,314,000 | 1,339,707 |
3 month U.S. LIBOR + 1.400%
3.219% 4/21/21 (a)(b) |
1,540,000 | 1,558,976 |
NatWest Markets PLC 3 month U.S. LIBOR + 1.400%
3.361% 9/29/22 (a)(b)(c) |
200,000 | 203,731 |
Royal Bank of Scotland Group PLC 3 month U.S. LIBOR + 1.550%
3.497% 6/25/24 (a)(b) |
200,000 | 202,932 |
Sumitomo Mitsui Financial Group, Inc.: | ||
3 month U.S. LIBOR + 0.740%
2.559% 10/18/22 (a)(b) |
132,000 | 133,082 |
3 month U.S. LIBOR + 0.740%
2.576% 1/17/23 (a)(b) |
260,000 | 261,186 |
|
||
Principal Amount | Value | |
3 month U.S. LIBOR + 0.780%
2.618% 7/12/22 (a)(b) |
$18,000 | $18,148 |
3 month U.S. LIBOR + 0.800%
2.643% 10/16/23 (a)(b) |
268,000 | 270,902 |
3 month U.S. LIBOR + 0.860%
2.679% 7/19/23 (a)(b) |
384,000 | 388,263 |
3 month U.S. LIBOR + 1.140%
2.959% 10/19/21 (a)(b) |
311,000 | 315,325 |
The Bank of Nova Scotia: | ||
3 month U.S. LIBOR + 0.290%
2.162% 1/8/21 (a)(b) |
802,000 | 803,503 |
3 month U.S. LIBOR + 0.620%
2.523% 9/19/22 (a)(b) |
184,000 | 185,779 |
The Goldman Sachs Group, Inc.: | ||
3 month U.S. LIBOR + 0.750%
2.433% 2/23/23 (a)(b) |
1,189,000 | 1,195,475 |
3 month U.S. LIBOR + 0.780%
2.557% 10/31/22 (a)(b) |
570,000 | 574,799 |
3 month U.S. LIBOR + 1.170%
2.862% 11/15/21 (a)(b) |
1,414,000 | 1,424,322 |
3 month U.S. LIBOR + 1.110%
2.904% 4/26/22 (a)(b) |
472,000 | 477,048 |
3 month U.S. LIBOR + 1.050%
2.942% 6/5/23 (a)(b) |
304,000 | 308,444 |
3 month U.S. LIBOR + 1.200%
3.094% 9/15/20 (a)(b) |
386,000 | 387,660 |
3 month U.S. LIBOR + 1.360%
3.154% 4/23/21 (a)(b) |
670,000 | 676,928 |
3 month U.S. LIBOR + 1.600%
3.213% 11/29/23 (a)(b) |
930,000 | 957,513 |
3 month U.S. LIBOR + 1.770%
3.449% 2/25/21 (a)(b) |
1,530,000 | 1,552,257 |
UBS AG: | ||
3 month U.S. LIBOR + 0.480%
2.06% 12/1/20 (a)(b)(c) |
864,000 | 866,020 |
3 month U.S. LIBOR + 0.580%
2.465% 6/8/20 (a)(b)(c) |
600,000 | 600,535 |
UBS Group AG: | ||
3 month U.S. LIBOR + 0.950%
2.642% 8/15/23 (a)(b)(c) |
600,000 | 606,769 |
3 month U.S. LIBOR + 1.530%
3.293% 2/1/22 (a)(b)(c) |
1,200,000 | 1,230,495 |
50,226,082 | ||
Insurance – 1.8% | ||
Jackson National Life Global Funding: | ||
3 month U.S. LIBOR + 0.300%
2.131% 10/15/20 (a)(b)(c) |
496,000 | 497,007 |
3 month U.S. LIBOR + 0.480%
2.368% 6/11/21 (a)(b)(c) |
148,000 | 148,741 |
34 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
FINANCIALS – continued | ||
Insurance – continued | ||
3 month U.S. LIBOR + 0.730%
2.677% 6/27/22 (a)(b)(c) |
$238,000 | $240,766 |
Metropolitan Life Global Funding I 3 month U.S. LIBOR + 0.400%
2.287% 6/12/20 (a)(b)(c) |
150,000 | 150,174 |
New York Life Global Funding: | ||
3 month U.S. LIBOR + 0.320%
2.057% 8/6/21 (a)(b)(c) |
78,000 | 78,297 |
3 month U.S. LIBOR + 0.160%
2.069% 10/1/20 (a)(b)(c) |
846,000 | 846,670 |
3 month U.S. LIBOR + 0.280%
2.099% 1/21/22 (a)(b)(c) |
1,362,000 | 1,366,483 |
3 month U.S. LIBOR + 0.270%
2.148% 4/9/20 (a)(b)(c) |
378,000 | 378,245 |
3 month U.S. LIBOR + 0.520%
2.411% 6/10/22 (a)(b)(c) |
150,000 | 151,059 |
3,857,442 | ||
TOTAL FINANCIALS | 132,729,099 | |
HEALTH CARE – 2.1% | ||
Health Care Equipment & Supplies – 0.4% | ||
Becton Dickinson and Co. 3 month U.S. LIBOR + 1.030%
2.917% 6/6/22 (a)(b) |
527,000 | 532,739 |
Cardinal Health, Inc. 3 month U.S. LIBOR + 0.770%
2.664% 6/15/22 (a)(b) |
96,000 | 96,520 |
Express Scripts Holding Co. 3 month U.S. LIBOR + 0.750%
2.213% 11/30/20 (a)(b) |
102,000 | 102,020 |
Medtronic, Inc. 3 month U.S. LIBOR + 0.800%
2.694% 3/15/20 (a)(b) |
84,000 | 84,034 |
815,313 | ||
Health Care Providers & Services – 0.1% | ||
UnitedHealth Group, Inc. 3 month U.S. LIBOR + 0.070%
1.901% 10/15/20 (a)(b) |
188,000 | 187,880 |
Pharmaceuticals – 1.6% | ||
AbbVie, Inc. 3 month U.S. LIBOR + 0.650%
2.346% 11/21/22 (a)(b)(c) |
860,000 | 868,221 |
Allergan Funding SCS 3 month U.S. LIBOR + 1.255%
3.142% 3/12/20 (a)(b) |
111,000 | 111,033 |
AstraZeneca PLC 3 month U.S. LIBOR + 0.665%
2.357% 8/17/23 (a)(b) |
84,000 | 84,171 |
|
||
Principal Amount | Value | |
Bayer US Finance II LLC 3 month U.S. LIBOR + 1.010%
2.904% 12/15/23 (a)(b)(c) |
$572,000 | $573,258 |
Bristol-Myers Squibb Co.: | ||
3 month U.S. LIBOR + 0.200%
1.892% 11/16/20 (a)(b)(c) |
1,144,000 | 1,145,022 |
3 month U.S. LIBOR + 0.380%
2.072% 5/16/22 (a)(b)(c) |
338,000 | 339,656 |
GlaxoSmithKline Capital PLC 3 month U.S. LIBOR + 0.350%
2.054% 5/14/21 (a)(b) |
93,000 | 93,285 |
Pfizer, Inc. 3 month U.S. LIBOR + 0.330%
2.224% 9/15/23 (a)(b) |
180,000 | 180,840 |
Zoetis, Inc. 3 month U.S. LIBOR + 0.440%
2.135% 8/20/21 (a)(b) |
50,000 | 50,041 |
3,445,527 | ||
TOTAL HEALTH CARE | 4,448,720 | |
INDUSTRIALS – 3.1% | ||
Aerospace & Defense – 0.8% | ||
General Dynamics Corp.: | ||
3 month U.S. LIBOR + 0.290%
2.021% 5/11/20 (a)(b) |
210,000 | 210,105 |
3 month U.S. LIBOR + 0.380%
2.111% 5/11/21 (a)(b) |
1,337,000 | 1,342,213 |
United Technologies Corp. 3 month U.S. LIBOR + 0.650%
2.342% 8/16/21 (a)(b) |
74,000 | 74,001 |
1,626,319 | ||
Air Freight & Logistics – 0.2% | ||
United Parcel Service, Inc.: | ||
3 month U.S. LIBOR + 0.380%
2.072% 5/16/22 (a)(b) |
58,000 | 58,326 |
3 month U.S. LIBOR + 0.450%
2.359% 4/1/23 (a)(b) |
286,000 | 287,992 |
346,318 | ||
Electrical Equipment – 0.0% | ||
Tyco Electronics Group S.A. 3 month U.S. LIBOR + 0.450%
2.342% 6/5/20 (a)(b) |
26,000 | 26,024 |
Industrial Conglomerates – 1.0% | ||
General Electric Co.: | ||
3 month U.S. LIBOR + 1.000%
2.831% 4/15/23 (a)(b) |
447,000 | 450,794 |
3 month U.S. LIBOR + 1.000%
2.894% 3/15/23 (a)(b) |
1,105,000 | 1,105,000 |
35 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
INDUSTRIALS – continued | ||
Industrial Conglomerates – continued | ||
Honeywell International, Inc. 3 month U.S. LIBOR + 0.370%
2.104% 8/8/22 (a)(b) |
$554,000 | $556,916 |
2,112,710 | ||
Machinery – 0.8% | ||
John Deere Capital Corp.: | ||
3 month U.S. LIBOR + 0.260%
2.151% 9/10/21 (a)(b) |
110,000 | 110,139 |
3 month U.S. LIBOR + 0.290%
2.218% 6/22/20 (a)(b) |
139,000 | 139,067 |
3 month U.S. LIBOR + 0.420%
2.254% 7/10/20 (a)(b) |
782,000 | 783,143 |
3 month U.S. LIBOR + 0.400%
2.285% 6/7/21 (a)(b) |
257,000 | 258,104 |
3 month U.S. LIBOR + 0.480%
2.365% 9/8/22 (a)(b) |
216,000 | 217,437 |
3 month U.S. LIBOR + 0.550%
2.435% 6/7/23 (a)(b) |
216,000 | 217,811 |
1,725,701 | ||
Trading Companies & Distributors – 0.3% | ||
Aviation Capital Group LLC 3 month U.S. LIBOR + 0.670%
2.44% 7/30/21 (a)(b)(c) |
730,000 | 732,611 |
GATX Corp. 3 month U.S. LIBOR + 0.720%
2.461% 11/5/21 (a)(b) |
23,000 | 22,998 |
755,609 | ||
TOTAL INDUSTRIALS | 6,592,681 | |
INFORMATION TECHNOLOGY – 2.8% | ||
IT Services – 1.5% | ||
IBM Credit LLC: | ||
3 month U.S. LIBOR + 0.160%
1.901% 2/5/21 (a)(b) |
100,000 | 100,127 |
3 month U.S. LIBOR + 0.260%
2.079% 1/20/21 (a)(b) |
1,500,000 | 1,503,206 |
3 month U.S. LIBOR + 0.470%
2.083% 11/30/20 (a)(b) |
800,000 | 802,544 |
International Business Machines Corp. 3 month U.S. LIBOR + 0.400%
2.107% 5/13/21 (a)(b) |
800,000 | 802,245 |
3,208,122 | ||
Semiconductors & Semiconductor Equipment – 0.3% | ||
Intel Corp.: | ||
3 month U.S. LIBOR + 0.080%
1.811% 5/11/20 (a)(b) |
150,000 | 150,083 |
3 month U.S. LIBOR + 0.350%
2.081% 5/11/22 (a)(b) |
240,000 | 241,549 |
|
||
Principal Amount | Value | |
QUALCOMM, Inc. 3 month U.S. LIBOR + 0.730%
2.50% 1/30/23 (a)(b) |
$162,000 | $163,449 |
555,081 | ||
Technology Hardware, Storage & Peripherals – 1.0% | ||
Apple, Inc.: | ||
3 month U.S. LIBOR + 0.350%
2.081% 5/11/22 (a)(b) |
440,000 | 442,525 |
3 month U.S. LIBOR + 0.500%
2.234% 2/9/22 (a)(b) |
1,181,000 | 1,191,478 |
3 month U.S. LIBOR + 1.130%
2.813% 2/23/21 (a)(b) |
274,000 | 277,066 |
Hewlett Packard Enterprise Co. 3 month U.S. LIBOR + 0.720%
2.62% 10/5/21 (a)(b) |
312,000 | 312,056 |
2,223,125 | ||
TOTAL INFORMATION TECHNOLOGY | 5,986,328 | |
MATERIALS – 0.1% | ||
Chemicals – 0.1% | ||
DuPont de Nemours, Inc. 3 month U.S. LIBOR + 1.110%
2.802% 11/15/23 (a)(b) |
252,000 | 256,154 |
UTILITIES – 1.7% | ||
Electric Utilities – 0.5% | ||
Duke Energy Corp.: | ||
3 month U.S. LIBOR + 0.500%
2.204% 5/14/21 (a)(b)(c) |
102,000 | 102,406 |
3 month U.S. LIBOR + 0.650%
2.538% 3/11/22 (a)(b) |
1,000,000 | 1,007,335 |
1,109,741 | ||
Gas Utilities – 0.1% | ||
Dominion Energy Gas Holdings LLC 3 month U.S. LIBOR + 0.600%
2.494% 6/15/21 (a)(b) |
256,000 | 257,121 |
Independent Power and Renewable Electricity Producers – 0.3% | ||
Southern Power Co. 3 month U.S. LIBOR + 0.550%
2.458% 12/20/20 (a)(b)(c) |
655,000 | 655,301 |
Multi-Utilities – 0.8% | ||
Dominion Energy, Inc. 3 month U.S. LIBOR + 0.400%
1.98% 12/1/20 (a)(b)(c) |
50,000 | 50,104 |
Duke Energy Progress LLC 3 month U.S. LIBOR + 0.180%
2.065% 9/8/20 (a)(b) |
72,000 | 72,075 |
NextEra Energy Capital Holdings, Inc.: | ||
3 month U.S. LIBOR + 0.480%
2.231% 5/4/21 (a)(b) |
169,000 | 169,422 |
36 |
Money Market Fund – 4.0% | ||
Shares | Value | |
Fidelity Cash Central Fund, 1.60% (d)
(Cost $8,566,451) |
8,564,739 | 8,566,451 |
TOTAL INVESTMENT IN SECURITIES – 99.8%
(Cost $211,917,558) |
213,626,507 | |
NET OTHER ASSETS (LIABILITIES) – 0.2% | 388,411 | |
NET ASSETS – 100.0% | $214,014,918 |
Legend | ||
(a) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. | |
(b) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. | |
(c) | Security is 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 $33,082,722 or 15.5% of net assets. | |
(d) | 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. |
Fund | Income earned |
Fidelity Cash Central Fund | $42,421 |
37 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Corporate Bonds | $183,523,675 | $— | $183,523,675 | $— | ||||
U.S. Treasury Obligations | 21,536,381 | — | 21,536,381 | — | ||||
Money Market Funds | 8,566,451 | 8,566,451 | — | — | ||||
Total Investments in Securities: | $213,626,507 | $8,566,451 | $205,060,056 | $— |
United States of America | 70.8 |
Australia | 6.0 |
Canada | 6.0 |
United Kingdom | 5.4 |
Japan | 3.1 |
Switzerland | 2.1 |
France | 1.7 |
Netherlands | 1.4 |
Germany | 1.4 |
Sweden | 1.1 |
Others (Individually Less Than 1%) | 0.8 |
99.8% |
38 |
|
||
Principal Amount | Value | |
CenturyLink, Inc.: | ||
5.125% 12/15/26 (a) |
$570,000 | $574,275 |
5.625% 4/1/25 |
205,000 | 213,713 |
6.875% 1/15/28 |
15,000 | 16,650 |
Frontier Communications Corp.: | ||
7.05% 10/1/46 |
336,000 | 154,560 |
8.00% 4/1/27 (a) |
310,000 | 321,625 |
Intelsat Jackson Holdings S.A.
8.50% 10/15/24 (a) |
145,000 | 125,183 |
Level 3 Financing, Inc.: | ||
5.125% 5/1/23 |
400,000 | 401,000 |
5.375% 1/15/24 |
720,000 | 718,214 |
Sprint Capital Corp.
6.875% 11/15/28 |
410,000 | 488,285 |
Telecom Italia Capital S.A.: | ||
6.00% 9/30/34 |
636,000 | 715,500 |
6.375% 11/15/33 |
40,000 | 46,367 |
Telecom Italia SpA
5.303% 5/30/24 (a) |
625,000 | 667,188 |
Verizon Communications, Inc.: | ||
4.862% 8/21/46 |
224,000 | 298,068 |
5.012% 4/15/49 |
386,000 | 533,305 |
5.50% 3/16/47 |
830,000 | 1,215,284 |
16,320,849 | ||
Interactive Media & Services – 0.0% | ||
Match Group, Inc.
4.125% 8/1/30 (a) |
85,000 | 83,275 |
Internet & Direct Marketing Retail – 0.0% | ||
Cogent Communications Group, Inc.
5.375% 3/1/22 (a) |
350,000 | 358,750 |
Media – 2.0% | ||
CCO Holdings LLC / CCO Holdings Capital Corp.: | ||
4.50% 8/15/30 (a) |
225,000 | 227,531 |
4.75% 3/1/30 (a) |
1,250,000 | 1,287,500 |
5.125% 5/1/27 (a) |
200,000 | 207,940 |
5.375% 5/1/25 to 6/1/29 (a) | 1,400,000 | 1,483,160 |
5.50% 5/1/26 (a) |
200,000 | 207,520 |
5.875% 5/1/27 (a) |
322,000 | 336,202 |
Charter Communications Operating LLC / Charter Communications Operating Capital: | ||
4.464% 7/23/22 |
334,000 | 354,439 |
5.375% 5/1/47 |
3,304,000 | 3,801,720 |
5.75% 4/1/48 |
406,000 | 484,162 |
6.484% 10/23/45 |
197,000 | 253,358 |
Comcast Corp.: | ||
3.90% 3/1/38 |
71,000 | 82,841 |
4.60% 8/15/45 |
181,000 | 230,588 |
39 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
COMMUNICATION SERVICES – continued | ||
Media – continued | ||
4.65% 7/15/42 |
$162,000 | $203,690 |
CSC Holdings LLC: | ||
5.375% 7/15/23 to 2/1/28 (a) | 1,815,000 | 1,881,827 |
5.50% 5/15/26 to 4/15/27 (a) | 800,000 | 838,571 |
6.625% 10/15/25 (a) |
790,000 | 825,566 |
7.75% 7/15/25 (a) |
1,030,000 | 1,084,075 |
DISH DBS Corp.
7.75% 7/1/26 |
200,000 | 214,912 |
DISH Network Corp.
3.375% 8/15/26 |
420,000 | 405,513 |
Fox Corp.: | ||
3.666% 1/25/22 (a) |
57,000 | 59,353 |
4.03% 1/25/24 (a) |
101,000 | 109,226 |
4.709% 1/25/29 (a) |
145,000 | 170,028 |
5.476% 1/25/39 (a) |
143,000 | 183,373 |
5.576% 1/25/49 (a) |
95,000 | 127,697 |
Front Range BidCo, Inc.: | ||
4.00% 3/1/27 (a)(b) |
205,000 | 199,106 |
6.125% 3/1/28 (a)(b) |
115,000 | 113,419 |
NBCUniversal Media LLC: | ||
4.45% 1/15/43 |
128,000 | 157,759 |
5.95% 4/1/41 |
90,000 | 131,091 |
Sable International Finance Ltd.
5.75% 9/7/27 (a) |
415,000 | 432,638 |
Sirius XM Radio, Inc.: | ||
4.625% 5/15/23 to 7/15/24 (a) | 1,120,000 | 1,145,284 |
5.375% 4/15/25 to 7/15/26 (a) | 385,000 | 395,886 |
Telenet Finance Luxembourg Notes Sarl
5.50% 3/1/28 (a) |
800,000 | 844,000 |
Time Warner Cable, Inc.: | ||
4.00% 9/1/21 |
1,518,000 | 1,560,091 |
5.50% 9/1/41 |
16,000 | 18,714 |
5.875% 11/15/40 |
1,242,000 | 1,485,279 |
6.55% 5/1/37 |
157,000 | 204,528 |
6.75% 6/15/39 |
220,000 | 285,142 |
7.30% 7/1/38 |
211,000 | 286,452 |
Ziggo Bond Co. BV: | ||
5.125% 2/28/30 (a) |
270,000 | 273,321 |
6.00% 1/15/27 (a) |
400,000 | 421,500 |
Ziggo BV
5.50% 1/15/27 (a) |
803,000 | 827,122 |
23,842,124 | ||
Wireless Telecommunication Services – 0.6% | ||
C&W Senior Financing DAC: | ||
6.875% 9/15/27 (a) |
1,058,000 | 1,116,190 |
7.50% 10/15/26 (a) |
557,000 | 584,850 |
|
||
Principal Amount | Value | |
Millicom International Cellular S.A.: | ||
6.00% 3/15/25 (a) |
$455,000 | $466,233 |
6.25% 3/25/29 (a) |
700,000 | 743,750 |
6.625% 10/15/26 (a) |
920,000 | 984,400 |
Sprint Communications, Inc.
6.00% 11/15/22 |
1,167,000 | 1,251,724 |
Sprint Corp.: | ||
7.125% 6/15/24 |
200,000 | 227,166 |
7.875% 9/15/23 |
1,185,000 | 1,354,846 |
Ypso Finance Bis S.A.
6.00% 2/15/28 (a) |
315,000 | 302,495 |
7,031,654 | ||
TOTAL COMMUNICATION SERVICES | 47,636,652 | |
CONSUMER DISCRETIONARY – 1.2% | ||
Diversified Consumer Services – 0.2% | ||
GEMS MENASA Cayman Ltd. / GEMS Education Delaware LLC
7.125% 7/31/26 (a) |
470,000 | 483,219 |
Global Partners LP / GLP Finance Corp. 7.00% 6/15/23 to 8/1/27 | 520,000 | 536,066 |
Ingersoll-Rand Luxembourg Finance S.A.
2.625% 5/1/20 |
14,000 | 14,011 |
Laureate Education, Inc.
8.25% 5/1/25 (a) |
388,000 | 411,330 |
Service Corp. International
5.125% 6/1/29 |
615,000 | 664,969 |
2,109,595 | ||
Hotels, Restaurants & Leisure – 0.5% | ||
1011778 BC ULC / New Red Finance, Inc.
4.25% 5/15/24 (a) |
370,000 | 370,351 |
Caesars Resort Collection LLC / CRC Finco, Inc.
5.25% 10/15/25 (a) |
489,000 | 480,208 |
Eldorado Resorts, Inc. 6.00% 4/1/25 to 9/15/26 | 280,000 | 297,400 |
GLP Capital LP / GLP Financing II, Inc.
5.25% 6/1/25 |
155,000 | 173,468 |
Golden Entertainment, Inc.
7.625% 4/15/26 (a) |
580,000 | 619,150 |
Golden Nugget, Inc.
6.75% 10/15/24 (a) |
600,000 | 589,320 |
Hilton Domestic Operating Co., Inc.
4.25% 9/1/24 |
340,000 | 341,132 |
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp.
4.625% 4/1/25 |
375,000 | 376,406 |
40 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
CONSUMER DISCRETIONARY – continued | ||
Hotels, Restaurants & Leisure – continued | ||
Penn National Gaming, Inc.
5.625% 1/15/27 (a) |
$270,000 | $279,450 |
Scientific Games International, Inc.
5.00% 10/15/25 (a) |
45,000 | 45,141 |
Stars Group Holdings BV / Stars Group US Co-Borrower LLC
7.00% 7/15/26 (a) |
774,000 | 832,050 |
Station Casinos LLC
5.00% 10/1/25 (a) |
80,000 | 80,400 |
Twin River Worldwide Holdings, Inc.
6.75% 6/1/27 (a) |
195,000 | 203,152 |
Wyndham Hotels & Resorts, Inc.
5.375% 4/15/26 (a) |
95,000 | 98,477 |
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.
5.50% 3/1/25 (a) |
75,000 | 73,594 |
Wynn Macau Ltd.: | ||
4.875% 10/1/24 (a) |
720,000 | 718,589 |
5.50% 10/1/27 (a) |
100,000 | 100,938 |
5,679,226 | ||
Internet & Direct Marketing Retail – 0.1% | ||
Netflix, Inc.: | ||
4.875% 4/15/28 |
180,000 | 189,488 |
4.875% 6/15/30 (a) |
90,000 | 94,842 |
5.375% 11/15/29 (a) |
150,000 | 163,080 |
5.875% 11/15/28 |
230,000 | 258,589 |
6.375% 5/15/29 |
70,000 | 80,157 |
Zayo Group LLC / Zayo Capital, Inc.: | ||
5.75% 1/15/27 (a) |
200,000 | 204,500 |
6.375% 5/15/25 |
800,000 | 818,000 |
1,808,656 | ||
Leisure Products – 0.1% | ||
Hasbro, Inc.: | ||
2.60% 11/19/22 |
248,000 | 255,173 |
3.00% 11/19/24 |
564,000 | 591,557 |
Mattel, Inc.
6.75% 12/31/25 (a) |
175,000 | 183,916 |
1,030,646 | ||
Media – 0.0% | ||
CCO Holdings LLC / CCO Holdings Capital Corp.
5.00% 2/1/28 (a) |
200,000 | 208,000 |
Multiline Retail – 0.2% | ||
Dollar Tree, Inc.
4.00% 5/15/25 |
2,084,000 | 2,290,192 |
|
||
Principal Amount | Value | |
Specialty Retail – 0.1% | ||
eG Global Finance PLC: | ||
6.75% 2/7/25 (a) |
$275,000 | $268,813 |
8.50% 10/30/25 (a) |
775,000 | 798,017 |
Sally Holdings LLC / Sally Capital, Inc.
5.625% 12/1/25 |
15,000 | 15,203 |
1,082,033 | ||
Textiles, Apparel & Luxury Goods – 0.0% | ||
The William Carter Co.
5.625% 3/15/27 (a) |
105,000 | 111,712 |
TOTAL CONSUMER DISCRETIONARY | 14,320,060 | |
CONSUMER STAPLES – 2.4% | ||
Beverages – 0.9% | ||
Anheuser-Busch InBev Finance, Inc.
4.90% 2/1/46 |
311,000 | 381,143 |
Anheuser-Busch InBev Worldwide, Inc.: | ||
4.75% 4/15/58 |
350,000 | 423,094 |
5.45% 1/23/39 |
377,000 | 491,050 |
5.55% 1/23/49 |
2,531,000 | 3,428,591 |
5.80% 1/23/59 |
972,000 | 1,373,179 |
Cott Holdings, Inc.
5.50% 4/1/25 (a) |
55,000 | 56,283 |
Molson Coors Brewing Co.
3.00% 7/15/26 |
3,953,000 | 4,132,349 |
10,285,689 | ||
Food & Staples Retailing – 0.6% | ||
CVS Health Corp.: | ||
3.00% 8/15/26 |
69,000 | 72,319 |
3.25% 8/15/29 |
159,000 | 166,780 |
4.00% 12/5/23 |
200,000 | 214,575 |
4.10% 3/25/25 |
2,918,000 | 3,198,013 |
4.30% 3/25/28 |
1,680,000 | 1,880,009 |
4.78% 3/25/38 |
1,181,000 | 1,392,821 |
5.05% 3/25/48 |
535,000 | 658,439 |
Walgreens Boots Alliance, Inc.
3.30% 11/18/21 |
34,000 | 34,881 |
7,617,837 | ||
Food Products – 0.5% | ||
C&S Group Enterprises LLC
5.375% 7/15/22 (a) |
200,000 | 203,020 |
Conagra Brands, Inc.
3.80% 10/22/21 |
113,000 | 117,462 |
JBS U.S.A. LUX S.A. / JBS U.S.A. Finance, Inc.: | ||
5.75% 6/15/25 (a) |
1,226,000 | 1,255,118 |
5.875% 7/15/24 (a) |
900,000 | 915,768 |
6.75% 2/15/28 (a) |
60,000 | 65,058 |
41 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
CONSUMER STAPLES – continued | ||
Food Products – continued | ||
JBS U.S.A. LUX S.A. / JBS U.S.A. Finance, Inc. (Reg. S)
5.75% 6/15/25 |
$487,000 | $498,566 |
JBS U.S.A. LUX S.A. / JBS U.S.A. Food Co. / JBS U.S.A. Finance, Inc.: | ||
5.50% 1/15/30 (a) |
1,440,000 | 1,519,646 |
6.50% 4/15/29 (a) |
1,282,000 | 1,390,585 |
Post Holdings, Inc.: | ||
4.625% 4/15/30 (a) |
40,000 | 39,424 |
5.00% 8/15/26 (a) |
145,000 | 147,900 |
5.50% 3/1/25 (a) |
100,000 | 104,100 |
5.625% 1/15/28 (a) |
130,000 | 135,877 |
US Foods, Inc.
5.875% 6/15/24 (a) |
45,000 | 45,788 |
6,438,312 | ||
Tobacco – 0.4% | ||
Altria Group, Inc.: | ||
3.875% 9/16/46 |
703,000 | 684,000 |
4.25% 8/9/42 |
448,000 | 456,139 |
4.50% 5/2/43 |
289,000 | 300,826 |
4.80% 2/14/29 |
464,000 | 530,813 |
5.375% 1/31/44 |
532,000 | 624,589 |
5.95% 2/14/49 |
300,000 | 380,884 |
Imperial Brands Finance PLC: | ||
3.75% 7/21/22 (a) |
400,000 | 417,959 |
4.25% 7/21/25 (a) |
450,000 | 489,109 |
Reynolds American, Inc.: | ||
3.25% 6/12/20 |
21,000 | 21,078 |
4.00% 6/12/22 |
73,000 | 76,669 |
4.45% 6/12/25 |
53,000 | 58,517 |
4.85% 9/15/23 |
220,000 | 243,335 |
5.70% 8/15/35 |
28,000 | 33,438 |
5.85% 8/15/45 |
180,000 | 215,315 |
4,532,671 | ||
TOTAL CONSUMER STAPLES | 28,874,509 | |
ENERGY – 5.3% | ||
Energy Equipment & Services – 0.3% | ||
DCP Midstream Operating LP: | ||
5.375% 7/15/25 |
1,035,000 | 1,084,183 |
5.85% 5/21/43 (a)(c) |
1,777,000 | 1,599,300 |
Halliburton Co.: | ||
3.80% 11/15/25 |
63,000 | 69,097 |
4.85% 11/15/35 |
55,000 | 63,498 |
Noble Holding International Ltd.
7.875% 2/1/26 (a) |
105,000 | 64,706 |
|
||
Principal Amount | Value | |
Summit Midstream Holdings LLC / Summit Midstream Finance Corp.: | ||
5.50% 8/15/22 |
$5,000 | $4,281 |
5.75% 4/15/25 |
495,000 | 366,300 |
USA Compression Partners LP / USA Compression Finance Corp. 6.875% 4/1/26 to 9/1/27 | 355,000 | 343,558 |
Valaris PLC
4.50% 10/1/24 |
340,000 | 142,800 |
Weatherford International Ltd.
11.00% 12/1/24 (a) |
91,000 | 87,033 |
3,824,756 | ||
Oil, Gas & Consumable Fuels – 5.0% | ||
California Resources Corp.
8.00% 12/15/22 (a) |
584,000 | 134,320 |
Canadian Natural Resources Ltd.
5.85% 2/1/35 |
1,132,000 | 1,457,550 |
Cenovus Energy, Inc.
4.25% 4/15/27 |
367,000 | 393,410 |
Cheniere Energy Partners LP: | ||
5.25% 10/1/25 |
604,000 | 605,522 |
5.625% 10/1/26 |
484,000 | 486,420 |
Chesapeake Energy Corp.: | ||
7.00% 10/1/24 |
185,000 | 64,750 |
8.00% 1/15/25 to 6/15/27 | 885,000 | 265,500 |
Citgo Holding, Inc.
9.25% 8/1/24 (a) |
275,000 | 286,000 |
CITGO Petroleum Corp.
6.25% 8/15/22 (a) |
253,000 | 253,000 |
Columbia Pipeline Group, Inc.: | ||
3.30% 6/1/20 |
99,000 | 99,252 |
4.50% 6/1/25 |
30,000 | 33,440 |
Comstock Resources, Inc.
9.75% 8/15/26 |
615,000 | 515,063 |
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp.: | ||
5.625% 5/1/27 (a) |
1,570,000 | 1,452,171 |
5.75% 4/1/25 |
400,000 | 391,000 |
6.25% 4/1/23 |
560,000 | 532,112 |
CVR Energy, Inc.
5.25% 2/15/25 (a) |
320,000 | 298,400 |
Denbury Resources, Inc.: | ||
7.75% 2/15/24 (a) |
305,000 | 170,953 |
9.25% 3/31/22 (a) |
650,000 | 520,000 |
Empresa Nacional del Petroleo
4.375% 10/30/24 (a) |
200,000 | 212,563 |
Enbridge, Inc.: | ||
4.00% 10/1/23 |
283,000 | 302,690 |
4.25% 12/1/26 |
66,000 | 73,612 |
42 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
ENERGY – continued | ||
Oil, Gas & Consumable Fuels – continued | ||
Energy Transfer Operating LP: | ||
3.75% 5/15/30 |
$309,000 | $313,155 |
4.20% 9/15/23 |
72,000 | 77,123 |
4.25% 3/15/23 |
102,000 | 108,024 |
4.50% 4/15/24 |
98,000 | 106,171 |
4.95% 6/15/28 |
246,000 | 271,087 |
5.00% 5/15/50 |
690,000 | 699,430 |
5.25% 4/15/29 |
1,723,000 | 1,935,048 |
5.80% 6/15/38 |
137,000 | 153,017 |
6.00% 6/15/48 |
339,000 | 380,738 |
6.25% 4/15/49 |
109,000 | 125,628 |
Energy Transfer Partners LP / Regency Energy Finance Corp.
5.875% 3/1/22 |
200,000 | 213,526 |
Enterprise Products Operating LLC
3.70% 2/15/26 |
90,000 | 97,946 |
EP Energy LLC / Everest Acquisition Finance, Inc.
7.75% 5/15/26 (a) |
100,000 | 59,000 |
EQT Corp.: | ||
3.90% 10/1/27 |
149,000 | 97,223 |
6.125% 2/1/25 |
159,000 | 120,904 |
Hess Corp.: | ||
4.30% 4/1/27 |
112,000 | 118,091 |
5.60% 2/15/41 |
171,000 | 184,838 |
5.80% 4/1/47 |
360,000 | 398,704 |
7.125% 3/15/33 |
110,000 | 139,448 |
7.30% 8/15/31 |
108,000 | 138,174 |
7.875% 10/1/29 |
303,000 | 395,338 |
Hess Midstream Operating LP
5.125% 6/15/28 (a) |
130,000 | 126,750 |
Hess Midstream Operations LP
5.625% 2/15/26 (a) |
455,000 | 453,872 |
Hilcorp Energy I LP / Hilcorp Finance Co.
5.00% 12/1/24 (a) |
240,000 | 189,600 |
Jonah Energy LLC / Jonah Energy Finance Corp.
7.25% 10/15/25 (a) |
170,000 | 40,800 |
Kinder Morgan Energy Partners LP: | ||
3.45% 2/15/23 |
190,000 | 198,401 |
3.50% 3/1/21 |
60,000 | 60,714 |
5.00% 10/1/21 |
69,000 | 71,900 |
5.50% 3/1/44 |
287,000 | 343,053 |
6.55% 9/15/40 |
13,000 | 16,829 |
Kinder Morgan, Inc.: | ||
5.00% 2/15/21 (a) |
74,000 | 75,954 |
5.05% 2/15/46 |
34,000 | 38,657 |
5.55% 6/1/45 |
193,000 | 229,644 |
|
||
Principal Amount | Value | |
MEG Energy Corp.: | ||
7.00% 3/31/24 (a) |
$126,000 | $119,385 |
7.125% 2/1/27 (a) |
335,000 | 315,995 |
MPLX LP: | ||
3 Month U.S. LIBOR + 1.900%
2.785% 9/9/21 (c)(d) |
180,000 | 180,517 |
3 month U.S. LIBOR + 1.100%
2.985% 9/9/22 (c)(d) |
271,000 | 271,993 |
4.50% 7/15/23 |
133,000 | 143,615 |
4.80% 2/15/29 |
83,000 | 92,997 |
4.875% 12/1/24 |
160,000 | 177,473 |
5.50% 2/15/49 |
249,000 | 279,685 |
Occidental Petroleum Corp.: | ||
2.60% 8/13/21 |
170,000 | 172,166 |
2.70% 8/15/22 |
151,000 | 153,871 |
2.90% 8/15/24 |
498,000 | 504,731 |
3.20% 8/15/26 |
67,000 | 68,216 |
3.50% 8/15/29 |
2,837,000 | 2,862,517 |
4.10% 2/15/47 |
1,042,000 | 931,756 |
4.30% 8/15/39 |
31,000 | 29,764 |
4.40% 8/15/49 |
31,000 | 29,494 |
4.50% 7/15/44 |
514,000 | 490,794 |
4.85% 3/15/21 |
47,000 | 48,231 |
5.55% 3/15/26 |
983,000 | 1,110,556 |
6.20% 3/15/40 |
150,000 | 170,066 |
6.45% 9/15/36 |
338,000 | 399,289 |
6.60% 3/15/46 |
216,000 | 262,223 |
7.50% 5/1/31 |
309,000 | 392,612 |
Ovintiv, Inc.: | ||
5.15% 11/15/41 |
1,322,000 | 1,287,125 |
6.625% 8/15/37 |
1,227,000 | 1,349,444 |
7.375% 11/1/31 |
290,000 | 352,214 |
8.125% 9/15/30 |
595,000 | 749,324 |
Parsley Energy LLC / Parsley Finance Corp.: | ||
5.25% 8/15/25 (a) |
165,000 | 163,350 |
5.375% 1/15/25 (a) |
55,000 | 55,001 |
6.25% 6/1/24 (a) |
200,000 | 209,420 |
PBF Holding Co. LLC / PBF Finance Corp.
6.00% 2/15/28 (a) |
300,000 | 296,250 |
Petrobras Global Finance BV: | ||
5.093% 1/15/30 (a) |
1,160,000 | 1,239,750 |
6.90% 3/19/49 |
1,357,000 | 1,625,007 |
7.25% 3/17/44 |
2,305,000 | 2,842,598 |
Petroleos Mexicanos: | ||
4.50% 1/23/26 |
157,000 | 154,410 |
5.95% 1/28/31 (a) |
2,643,000 | 2,566,089 |
6.35% 2/12/48 |
5,103,000 | 4,723,847 |
6.49% 1/23/27 (a) |
435,000 | 455,663 |
43 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
ENERGY – continued | ||
Oil, Gas & Consumable Fuels – continued | ||
6.50% 3/13/27 |
$594,000 | $621,472 |
6.75% 9/21/47 |
1,870,000 | 1,790,689 |
6.84% 1/23/30 (a) |
2,278,000 | 2,380,510 |
6.95% 1/28/60 (a) |
2,120,000 | 2,043,680 |
7.69% 1/23/50 (a) |
1,149,000 | 1,199,556 |
Plains All American Pipeline LP / PAA Finance Corp.: | ||
3.55% 12/15/29 |
2,792,000 | 2,746,702 |
3.60% 11/1/24 |
139,000 | 144,041 |
Sanchez Energy Corp.: | ||
7.25% 5/11/20 (e) |
31,000 | 31,000 |
7.25% 2/15/23 (a) |
269,000 | 147,950 |
Sunoco Logistics Partners Operations LP
5.40% 10/1/47 |
577,000 | 611,692 |
Sunoco LP / Sunoco Finance Corp.: | ||
4.875% 1/15/23 |
265,000 | 264,210 |
5.50% 2/15/26 |
405,000 | 411,116 |
Targa Resources Partners LP / Targa Resources Partners Finance Corp.: | ||
4.25% 11/15/23 |
300,000 | 297,150 |
5.125% 2/1/25 |
839,000 | 842,163 |
5.375% 2/1/27 |
105,000 | 107,625 |
5.875% 4/15/26 |
105,000 | 108,161 |
6.50% 7/15/27 |
200,000 | 208,000 |
TerraForm Power Operating LLC: | ||
4.25% 1/31/23 (a) |
375,000 | 381,101 |
5.00% 1/31/28 (a) |
35,000 | 37,671 |
The Williams Cos., Inc.: | ||
3.60% 3/15/22 |
103,000 | 106,292 |
3.70% 1/15/23 |
1,070,000 | 1,116,861 |
3.90% 1/15/25 |
521,000 | 559,797 |
4.00% 11/15/21 to 9/15/25 | 288,000 | 306,692 |
4.50% 11/15/23 |
51,000 | 55,334 |
Viper Energy Partners LP
5.375% 11/1/27 (a) |
600,000 | 609,780 |
Western Midstream Operating LP: | ||
3.95% 6/1/25 |
108,000 | 109,602 |
4.50% 3/1/28 |
300,000 | 301,566 |
4.65% 7/1/26 |
96,000 | 100,767 |
4.75% 8/15/28 |
80,000 | 81,948 |
61,527,081 | ||
TOTAL ENERGY | 65,351,837 | |
FINANCIALS – 11.0% | ||
Banks – 4.1% | ||
Bank of America Corp.: | ||
3.004% 12/20/23 (c) |
1,568,000 | 1,624,859 |
|
||
Principal Amount | Value | |
3.419% 12/20/28 (c) |
$3,391,000 | $3,664,059 |
3.50% 4/19/26 |
227,000 | 247,958 |
3.864% 7/23/24 (c) |
250,000 | 267,486 |
3.95% 4/21/25 |
229,000 | 249,946 |
4.20% 8/26/24 |
160,000 | 175,642 |
4.25% 10/22/26 |
2,400,000 | 2,679,430 |
4.45% 3/3/26 |
2,202,000 | 2,485,520 |
6.10% (c)(f) |
204,000 | 226,156 |
Barclays PLC: | ||
4.375% 1/12/26 |
200,000 | 220,690 |
5.088% 6/20/30 (c) |
2,043,000 | 2,319,690 |
5.20% 5/12/26 |
429,000 | 478,451 |
Capital One N.A.
2.15% 9/6/22 |
443,000 | 447,443 |
CIT Group, Inc.
6.125% 3/9/28 |
174,000 | 208,800 |
Citigroup, Inc.: | ||
3.142% 1/24/23 (c) |
274,000 | 280,895 |
3.352% 4/24/25 (c) |
520,000 | 550,558 |
3.875% 3/26/25 |
2,390,000 | 2,584,357 |
4.00% 8/5/24 |
115,000 | 124,564 |
4.30% 11/20/26 |
4,712,000 | 5,216,636 |
4.40% 6/10/25 |
1,234,000 | 1,373,220 |
4.45% 9/29/27 |
671,000 | 758,350 |
5.50% 9/13/25 |
821,000 | 961,290 |
Commonwealth Bank of Australia
3.61% 9/12/34 (a)(c) |
297,000 | 315,755 |
Credit Suisse Group AG
2.593% 9/11/25 (a)(c) |
1,207,000 | 1,232,266 |
Credit Suisse Group Funding Guernsey Ltd.: | ||
2.75% 3/26/20 |
250,000 | 250,132 |
3.75% 3/26/25 |
250,000 | 270,271 |
3.80% 6/9/23 |
906,000 | 962,686 |
4.55% 4/17/26 |
250,000 | 281,994 |
Intesa Sanpaolo SpA: | ||
5.017% 6/26/24 (a) |
200,000 | 210,577 |
5.71% 1/15/26 (a) |
1,065,000 | 1,158,406 |
JPMorgan Chase & Co.: | ||
2.739% 10/15/30 (c) |
2,605,000 | 2,714,791 |
2.95% 10/1/26 |
2,606,000 | 2,762,701 |
3.797% 7/23/24 (c) |
75,000 | 80,169 |
3.875% 9/10/24 |
190,000 | 205,780 |
4.125% 12/15/26 |
415,000 | 466,944 |
4.452% 12/5/29 (c) |
4,995,000 | 5,824,047 |
Royal Bank of Scotland Group PLC: | ||
5.125% 5/28/24 |
2,000,000 | 2,189,485 |
6.00% 12/19/23 |
500,000 | 560,598 |
6.125% 12/15/22 |
1,551,000 | 1,692,018 |
44 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
FINANCIALS – continued | ||
Banks – continued | ||
Synchrony Bank
3.65% 5/24/21 |
$289,000 | $296,118 |
UniCredit SpA
6.572% 1/14/22 (a) |
434,000 | 466,132 |
Westpac Banking Corp.
4.11% 7/24/34 (c) |
405,000 | 443,310 |
49,530,180 | ||
Capital Markets – 2.2% | ||
Affiliated Managers Group, Inc.: | ||
3.50% 8/1/25 |
81,000 | 87,554 |
4.25% 2/15/24 |
138,000 | 149,939 |
Ares Capital Corp.
4.20% 6/10/24 |
938,000 | 996,132 |
Credit Suisse Group AG: | ||
3.869% 1/12/29 (a)(c) |
250,000 | 271,728 |
4.207% 6/12/24 (a)(c) |
850,000 | 912,390 |
Morgan Stanley: | ||
3.125% 7/27/26 |
2,788,000 | 2,971,284 |
3.70% 10/23/24 |
86,000 | 93,516 |
3.737% 4/24/24 (c) |
407,000 | 432,254 |
4.35% 9/8/26 |
2,496,000 | 2,794,130 |
4.431% 1/23/30 (c) |
2,462,000 | 2,859,229 |
4.875% 11/1/22 |
508,000 | 549,693 |
5.00% 11/24/25 |
2,203,000 | 2,542,093 |
MSCI, Inc.
4.00% 11/15/29 (a) |
600,000 | 621,780 |
The Goldman Sachs Group, Inc.: | ||
2.876% 10/31/22 (c) |
100,000 | 101,980 |
3.20% 2/23/23 |
1,652,000 | 1,727,516 |
3.691% 6/5/28 (c) |
1,161,000 | 1,269,248 |
3.75% 5/22/25 |
200,000 | 216,457 |
3.814% 4/23/29 (c) |
1,227,000 | 1,351,527 |
4.25% 10/21/25 |
554,000 | 605,131 |
6.75% 10/1/37 |
4,373,000 | 6,266,009 |
26,819,590 | ||
Consumer Finance – 1.9% | ||
Ally Financial, Inc.: | ||
3.875% 5/21/24 |
130,000 | 136,288 |
4.125% 2/13/22 |
130,000 | 135,006 |
5.75% 11/20/25 |
894,000 | 1,009,013 |
8.00% 11/1/31 to 11/1/31 | 344,000 | 477,230 |
Capital One Financial Corp.
3.80% 1/31/28 |
463,000 | 505,231 |
Discover Bank
4.682% 8/9/28 (c) |
1,750,000 | 1,859,725 |
Discover Financial Services: | ||
3.75% 3/4/25 |
586,000 | 630,551 |
3.85% 11/21/22 |
1,161,000 | 1,227,818 |
|
||
Principal Amount | Value | |
4.10% 2/9/27 |
$253,000 | $276,328 |
4.50% 1/30/26 |
377,000 | 419,792 |
Ford Motor Credit Co. LLC: | ||
4.063% 11/1/24 |
2,533,000 | 2,581,124 |
5.085% 1/7/21 |
228,000 | 233,925 |
5.584% 3/18/24 |
1,528,000 | 1,634,886 |
5.596% 1/7/22 |
1,722,000 | 1,816,920 |
5.875% 8/2/21 |
1,350,000 | 1,411,198 |
Navient Corp.: | ||
5.50% 1/25/23 |
644,000 | 658,490 |
5.875% 10/25/24 |
15,000 | 15,375 |
6.125% 3/25/24 |
50,000 | 51,625 |
6.50% 6/15/22 |
215,000 | 224,138 |
6.625% 7/26/21 |
170,000 | 175,018 |
7.25% 1/25/22 to 9/25/23 | 410,000 | 440,300 |
Quicken Loans, Inc.
5.25% 1/15/28 (a) |
290,000 | 300,063 |
Springleaf Finance Corp.
6.875% 3/15/25 |
515,000 | 566,500 |
Synchrony Financial: | ||
2.85% 7/25/22 |
167,000 | 170,776 |
3.95% 12/1/27 |
1,747,000 | 1,874,741 |
4.375% 3/19/24 |
1,507,000 | 1,624,045 |
5.15% 3/19/29 |
2,374,000 | 2,768,015 |
23,224,121 | ||
Diversified Financial Services – 1.9% | ||
AerCap Global Aviation Trust
6.50% 6/15/45 (a)(c) |
1,145,000 | 1,230,875 |
AerCap Holdings N.V.
5.875% 10/10/79 (c) |
510,000 | 517,650 |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust: | ||
2.875% 8/14/24 |
666,000 | 678,436 |
4.125% 7/3/23 |
255,000 | 271,110 |
4.45% 12/16/21 to 4/3/26 | 505,000 | 540,251 |
4.50% 5/15/21 |
260,000 | 268,584 |
4.875% 1/16/24 |
438,000 | 476,620 |
Avolon Holdings Funding Ltd.: | ||
3.95% 7/1/24 (a) |
196,000 | 203,902 |
4.375% 5/1/26 (a) |
244,000 | 259,798 |
5.25% 5/15/24 (a) |
2,605,000 | 2,844,247 |
Deutsche Bank AG: | ||
3.15% 1/22/21 |
372,000 | 375,373 |
3.30% 11/16/22 |
247,000 | 253,518 |
4.50% 4/1/25 |
1,000,000 | 996,424 |
5.00% 2/14/22 |
732,000 | 770,336 |
General Motors Financial Co., Inc.: | ||
4.00% 1/15/25 |
50,000 | 52,904 |
4.20% 3/1/21 |
138,000 | 140,760 |
4.25% 5/15/23 |
5,000 | 5,276 |
45 |
|
||
Principal Amount | Value | |
Metropolitan Life Global Funding I U.S. Secured Overnight Financing Rate + 0.500%
2.08% 5/28/21 (a)(c)(d) |
$2,772,000 | $2,777,485 |
Nuveen Finance LLC
4.125% 11/1/24 (a) |
21,000 | 23,401 |
Pacific LifeCorp.
5.125% 1/30/43 (a) |
554,000 | 727,394 |
Swiss Re Finance Luxembourg S.A.
5.00% 4/2/49 (a)(c) |
200,000 | 226,300 |
Teachers Insurance & Annuity Association of America
4.90% 9/15/44 (a) |
322,000 | 425,083 |
Unum Group: | ||
3.875% 11/5/25 |
349,000 | 381,880 |
4.00% 3/15/24 to 6/15/29 | 931,000 | 1,019,349 |
USI, Inc.
6.875% 5/1/25 (a) |
425,000 | 423,036 |
Voya Financial, Inc.
3.125% 7/15/24 |
130,000 | 137,509 |
10,719,993 | ||
TOTAL FINANCIALS | 134,031,955 | |
HEALTH CARE – 2.3% | ||
Health Care Equipment & Supplies – 0.1% | ||
Hologic, Inc.
4.625% 2/1/28 (a) |
500,000 | 518,605 |
Teleflex, Inc.
4.875% 6/1/26 |
385,000 | 401,363 |
919,968 | ||
Health Care Providers & Services – 1.5% | ||
Centene Corp.: | ||
3.375% 2/15/30 (a) |
850,000 | 850,000 |
4.25% 12/15/27 (a) |
2,758,000 | 2,837,431 |
4.625% 12/15/29 (a) |
1,187,000 | 1,270,090 |
4.75% 1/15/25 (a) |
585,000 | 599,830 |
5.375% 8/15/26 (a) |
995,000 | 1,044,750 |
CHS / Community Health Systems, Inc.: | ||
6.25% 3/31/23 |
430,000 | 430,808 |
8.00% 3/15/26 (a) |
1,110,000 | 1,146,297 |
8.625% 1/15/24 (a) |
80,000 | 83,582 |
Cigna Corp.: | ||
3.75% 7/15/23 |
345,000 | 367,282 |
4.125% 11/15/25 |
2,204,000 | 2,452,110 |
4.375% 10/15/28 |
1,287,000 | 1,463,826 |
4.80% 8/15/38 |
268,000 | 322,275 |
4.90% 12/15/48 |
268,000 | 332,510 |
HCA, Inc.: | ||
4.75% 5/1/23 |
5,000 | 5,435 |
46 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
HEALTH CARE – continued | ||
Health Care Providers & Services – continued | ||
5.375% 2/1/25 |
$930,000 | $1,028,115 |
5.875% 2/15/26 |
300,000 | 338,664 |
MPH Acquisition Holdings LLC
7.125% 6/1/24 (a) |
600,000 | 558,132 |
Sabra Health Care LP
5.125% 8/15/26 |
195,000 | 216,782 |
Tenet Healthcare Corp.: | ||
4.625% 7/15/24 |
1,152,000 | 1,152,023 |
4.875% 1/1/26 (a) |
195,000 | 198,656 |
6.25% 2/1/27 (a) |
240,000 | 251,400 |
6.75% 6/15/23 |
255,000 | 272,850 |
7.00% 8/1/25 |
320,000 | 328,800 |
8.125% 4/1/22 |
574,000 | 621,900 |
The Toledo Hospital: | ||
5.325% 11/15/28 |
154,000 | 179,393 |
6.015% 11/15/48 |
307,000 | 397,679 |
Vizient, Inc.
6.25% 5/15/27 (a) |
20,000 | 21,350 |
WellCare Health Plans, Inc.
5.375% 8/15/26 (a) |
30,000 | 31,725 |
18,803,695 | ||
Life Sciences Tools & Services – 0.1% | ||
IQVIA, Inc.
5.00% 5/15/27 (a) |
530,000 | 547,888 |
Pharmaceuticals – 0.6% | ||
Allergan Funding SCS
3.45% 3/15/22 |
1,013,000 | 1,049,365 |
Bausch Health Americas, Inc.
9.25% 4/1/26 (a) |
90,000 | 100,559 |
Bausch Health Cos., Inc.: | ||
5.50% 11/1/25 (a) |
200,000 | 205,916 |
5.75% 8/15/27 (a) |
635,000 | 675,481 |
7.00% 3/15/24 (a) |
814,000 | 838,078 |
Bausch Health Cos., Inc. (Reg. S)
6.125% 4/15/25 |
279,000 | 284,580 |
Bayer US Finance II LLC
4.25% 12/15/25 (a) |
1,700,000 | 1,892,341 |
Catalent Pharma Solutions, Inc.
4.875% 1/15/26 (a) |
85,000 | 87,125 |
Charles River Laboratories International, Inc.: | ||
4.25% 5/1/28 (a) |
30,000 | 30,189 |
5.50% 4/1/26 (a) |
685,000 | 720,226 |
Elanco Animal Health, Inc.: | ||
4.662% 8/27/21 |
69,000 | 72,345 |
5.022% 8/28/23 |
219,000 | 234,568 |
5.65% 8/28/28 |
92,000 | 105,382 |
|
||
Principal Amount | Value | |
Mylan N.V.: | ||
3.15% 6/15/21 |
$627,000 | $636,986 |
3.95% 6/15/26 |
90,000 | 97,852 |
Mylan, Inc.
4.55% 4/15/28 |
150,000 | 168,495 |
Teva Pharmaceutical Finance Netherlands III BV
2.20% 7/21/21 |
36,000 | 34,924 |
Zoetis, Inc.
3.25% 2/1/23 |
100,000 | 104,952 |
7,339,364 | ||
TOTAL HEALTH CARE | 27,610,915 | |
INDUSTRIALS – 0.9% | ||
Aerospace & Defense – 0.4% | ||
Bombardier, Inc.: | ||
6.00% 10/15/22 (a) |
115,000 | 112,628 |
6.125% 1/15/23 (a) |
922,000 | 924,028 |
7.50% 12/1/24 (a) |
255,000 | 258,086 |
7.875% 4/15/27 (a) |
155,000 | 153,838 |
Moog, Inc.
4.25% 12/15/27 (a) |
35,000 | 35,613 |
Signature Aviation US Holdings, Inc.
5.375% 5/1/26 (a) |
305,000 | 311,208 |
TransDigm UK Holdings PLC
6.875% 5/15/26 |
120,000 | 126,000 |
TransDigm, Inc.: | ||
5.50% 11/15/27 (a) |
1,720,000 | 1,717,936 |
6.25% 3/15/26 (a) |
285,000 | 301,744 |
6.375% 6/15/26 |
1,220,000 | 1,253,611 |
7.50% 3/15/27 |
50,000 | 52,690 |
5,247,382 | ||
Commercial Services & Supplies – 0.1% | ||
Aramark Services, Inc.
5.00% 4/1/25 (a) |
300,000 | 309,750 |
IAA, Inc.
5.50% 6/15/27 (a) |
500,000 | 529,375 |
Nielsen Finance LLC / Nielsen Finance Co.
5.00% 4/15/22 (a) |
270,000 | 268,650 |
1,107,775 | ||
Construction & Engineering – 0.1% | ||
AECOM: | ||
5.125% 3/15/27 |
536,000 | 553,833 |
5.875% 10/15/24 |
410,000 | 449,975 |
Brand Industrial Services, Inc.
8.50% 7/15/25 (a) |
135,000 | 131,287 |
frontdoor, Inc.
6.75% 8/15/26 (a) |
75,000 | 82,073 |
1,217,168 |
47 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
INDUSTRIALS – continued | ||
Diversified Financial Services – 0.1% | ||
Avolon Holdings Funding Ltd.
2.875% 2/15/25 (a) |
$600,000 | $599,387 |
Machinery – 0.0% | ||
BWX Technologies, Inc.
5.375% 7/15/26 (a) |
380,000 | 397,786 |
Trading Companies & Distributors – 0.2% | ||
Air Lease Corp.: | ||
2.25% 1/15/23 |
149,000 | 150,115 |
3.375% 6/1/21 |
72,000 | 73,516 |
3.75% 2/1/22 |
51,000 | 52,502 |
3.875% 7/3/23 |
469,000 | 494,704 |
4.25% 2/1/24 to 9/15/24 | 594,000 | 639,864 |
4.75% 3/1/20 |
125,000 | 125,000 |
FLY Leasing Ltd.: | ||
5.25% 10/15/24 |
1,150,000 | 1,178,750 |
6.375% 10/15/21 |
100,000 | 101,250 |
2,815,701 | ||
TOTAL INDUSTRIALS | 11,385,199 | |
INFORMATION TECHNOLOGY – 0.9% | ||
Communications Equipment – 0.1% | ||
Radiate Holdco LLC / Radiate Finance, Inc.
6.625% 2/15/25 (a) |
654,000 | 655,635 |
Electronic Equipment, Instruments & Components – 0.1% | ||
TTM Technologies, Inc.
5.625% 10/1/25 (a) |
1,052,000 | 1,073,040 |
IT Services – 0.1% | ||
Banff Merger Sub, Inc.
9.75% 9/1/26 (a) |
425,000 | 427,104 |
Camelot Finance S.A.
4.50% 11/1/26 (a) |
250,000 | 251,225 |
Fair Isaac Corp.
5.25% 5/15/26 (a) |
110,000 | 121,825 |
800,154 | ||
Semiconductors & Semiconductor Equipment – 0.0% | ||
Qorvo, Inc.
5.50% 7/15/26 |
290,000 | 299,570 |
Software – 0.5% | ||
Ascend Learning LLC 6.875% 8/1/25 to 8/1/25 (a) | 285,000 | 293,988 |
CDK Global, Inc.: | ||
5.25% 5/15/29 (a) |
35,000 | 37,319 |
5.875% 6/15/26 |
370,000 | 387,131 |
IQVIA, Inc.
5.00% 10/15/26 (a) |
400,000 | 412,642 |
|
||
Principal Amount | Value | |
MSCI, Inc.
4.75% 8/1/26 (a) |
$115,000 | $119,423 |
NortonLifeLock, Inc.
5.00% 4/15/25 (a) |
899,000 | 912,630 |
Nuance Communications, Inc.
5.625% 12/15/26 |
630,000 | 664,650 |
Open Text Corp.: | ||
3.875% 2/15/28 (a) |
215,000 | 213,968 |
5.875% 6/1/26 (a) |
375,000 | 397,050 |
Rackspace Hosting, Inc.
8.625% 11/15/24 (a) |
455,000 | 435,662 |
Solera LLC / Solera Finance, Inc.
10.50% 3/1/24 (a) |
838,000 | 885,146 |
Sophia LP / Sophia Finance, Inc.
9.00% 9/30/23 (a) |
300,000 | 307,875 |
SS&C Technologies, Inc.
5.50% 9/30/27 (a) |
590,000 | 620,975 |
The Nielsen Co. Luxembourg Sarl
5.00% 2/1/25 (a) |
766,000 | 756,425 |
6,444,884 | ||
Technology Hardware, Storage & Peripherals – 0.1% | ||
Dell International LLC / EMC Corp.: | ||
5.45% 6/15/23 (a) |
300,000 | 330,190 |
6.02% 6/15/26 (a) |
1,164,000 | 1,363,194 |
1,693,384 | ||
TOTAL INFORMATION TECHNOLOGY | 10,966,667 | |
MATERIALS – 0.7% | ||
Chemicals – 0.2% | ||
Consolidated Energy Finance S.A. 3 Month U.S. LIBOR + 3.750%
5.644% 6/15/22 (a)(c)(d) |
200,000 | 198,006 |
Element Solutions, Inc.
5.875% 12/1/25 (a) |
235,000 | 236,180 |
Nufarm Australia Ltd. / Nufarm Americas, Inc.
5.75% 4/30/26 (a) |
725,000 | 714,125 |
OCI N.V.
6.625% 4/15/23 (a) |
125,000 | 129,500 |
The Chemours Co.: | ||
5.375% 5/15/27 |
439,000 | 376,531 |
6.625% 5/15/23 |
400,000 | 385,332 |
7.00% 5/15/25 |
350,000 | 326,375 |
Valvoline, Inc.: | ||
4.25% 2/15/30 (a) |
85,000 | 83,831 |
4.375% 8/15/25 |
290,000 | 298,700 |
5.50% 7/15/24 |
70,000 | 72,905 |
W.R. Grace & Co.-Conn.
5.625% 10/1/24 (a) |
100,000 | 110,500 |
2,931,985 |
48 |
Nonconvertible Bonds – continued | ||
Principal Amount | Value | |
MATERIALS – continued | ||
Containers & Packaging – 0.4% | ||
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.: | ||
5.25% 8/15/27 (a) |
$400,000 | $406,520 |
6.00% 2/15/25 (a) |
740,000 | 771,450 |
Berry Global, Inc.
4.875% 7/15/26 (a) |
170,000 | 172,924 |
Crown Americas LLC / Crown Americas Capital Corp. V
4.25% 9/30/26 |
45,000 | 46,319 |
Crown Americas LLC / Crown Americas Capital Corp. VI
4.75% 2/1/26 |
565,000 | 582,656 |
Crown Cork & Seal Co., Inc.
7.375% 12/15/26 |
35,000 | 41,037 |
Flex Acquisition Co., Inc.: | ||
6.875% 1/15/25 (a) |
582,000 | 566,007 |
7.875% 7/15/26 (a) |
160,000 | 162,400 |
OI European Group BV
4.00% 3/15/23 (a) |
400,000 | 404,500 |
Owens-Brockway Glass Container, Inc.
5.375% 1/15/25 (a) |
100,000 | 104,928 |
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer (Luxembourg) SA: | ||
5.125% 7/15/23 (a) |
300,000 | 303,000 |
7.00% 7/15/24 (a) |
125,000 | 126,172 |
Silgan Holdings, Inc.
4.75% 3/15/25 |
95,000 | 96,109 |
Trivium Packaging Finance BV: | ||
5.50% 8/15/26 (a) |
350,000 | 362,688 |
8.50% 8/15/27 (a) |
55,000 | 58,186 |
4,204,896 | ||
Metals & Mining – 0.1% | ||
Advanced Drainage Systems, Inc.
5.00% 9/30/27 (a) |
360,000 | 372,150 |
Allegheny Technologies, Inc.
5.875% 12/1/27 |
285,000 | 285,713 |
BHP Billiton Finance (USA) Ltd.
6.75% 10/19/75 (a)(c) |
200,000 | 232,500 |
Corporacion Nacional del Cobre de Chile
4.50% 8/1/47 (a) |
200,000 | 229,250 |
First Quantum Minerals Ltd.
6.50% 3/1/24 (a) |
200,000 | 187,766 |
|
||
Principal Amount | Value | |
Freeport-McMoRan, Inc.
3.55% 3/1/22 |
$305,000 | $307,714 |
1,615,093 | ||
TOTAL MATERIALS | 8,751,974 | |
REAL ESTATE – 2.5% | ||
Equity Real Estate Investment Trusts (REITs) – 1.6% | ||
American Tower Corp.
2.80% 6/1/20 |
100,000 | 100,177 |
Boston Properties LP
4.50% 12/1/28 |
295,000 | 348,294 |
Brixmor Operating Partnership LP: | ||
3.25% 9/15/23 |
194,000 | 204,032 |
3.85% 2/1/25 |
710,000 | 768,520 |
3.875% 8/15/22 |
296,000 | 311,281 |
4.125% 6/15/26 to 5/15/29 | 1,389,000 | 1,544,400 |
CoreCivic, Inc.: | ||
4.625% 5/1/23 |
238,000 | 238,524 |
5.00% 10/15/22 |
165,000 | 168,382 |
Digital Realty Trust LP: | ||
3.95% 7/1/22 |
412,000 | 432,188 |
4.75% 10/1/25 |
317,000 | 363,591 |
Duke Realty LP
3.75% 12/1/24 |
18,000 | 19,599 |
HCP, Inc.: | ||
3.25% 7/15/26 |
59,000 | 63,651 |
3.50% 7/15/29 |
68,000 | 74,810 |
3.875% 8/15/24 |
195,000 | 212,220 |
4.00% 6/1/25 |
1,013,000 | 1,124,431 |
Healthcare Trust of America Holdings LP: | ||
3.10% 2/15/30 |
149,000 | 155,778 |
3.50% 8/1/26 |
155,000 | 167,956 |
Hudson Pacific Properties LP
4.65% 4/1/29 |
1,469,000 | 1,713,115 |
Lexington Realty Trust
4.40% 6/15/24 |
458,000 | 484,490 |
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc.: | ||
4.50% 9/1/26 |
826,000 | 854,910 |
5.625% 5/1/24 |
400,000 | 433,000 |
5.75% 2/1/27 |
60,000 | 65,700 |
MPT Operating Partnership LP / MPT Finance Corp.: | ||
5.00% 10/15/27 |
400,000 | 417,404 |
5.25% 8/1/26 |
380,000 | 395,335 |
5.50% 5/1/24 |
90,000 | 91,575 |
6.375% 3/1/24 |
514,000 | 530,062 |
49 |
|
||
Principal Amount | Value | |
Ventas Realty LP: | ||
3.00% 1/15/30 |
$948,000 | $985,859 |
3.125% 6/15/23 |
38,000 | 39,797 |
3.50% 2/1/25 |
521,000 | 558,239 |
3.75% 5/1/24 |
201,000 | 216,323 |
4.00% 3/1/28 |
130,000 | 144,779 |
4.125% 1/15/26 |
34,000 | 37,737 |
WP Carey, Inc.: | ||
4.00% 2/1/25 |
182,000 | 196,004 |
4.60% 4/1/24 |
653,000 | 713,990 |
11,247,687 | ||
TOTAL REAL ESTATE | 30,430,322 | |
UTILITIES – 1.1% | ||
Electric Utilities – 0.7% | ||
Cleco Corporate Holdings LLC: | ||
3.375% 9/15/29 (a) |
2,499,000 | 2,567,967 |
3.743% 5/1/26 |
854,000 | 912,409 |
Emera US Finance LP: | ||
2.70% 6/15/21 |
36,000 | 36,563 |
3.55% 6/15/26 |
57,000 | 61,890 |
Exelon Corp.
2.85% 6/15/20 |
487,000 | 488,157 |
FirstEnergy Corp.: | ||
4.25% 3/15/23 |
1,248,000 | 1,335,681 |
7.375% 11/15/31 |
464,000 | 677,454 |
InterGen N.V.
7.00% 6/30/23 (a) |
235,000 | 230,300 |
IPALCO Enterprises, Inc.: | ||
3.45% 7/15/20 |
154,000 | 154,714 |
3.70% 9/1/24 |
100,000 | 105,337 |
NextEra Energy Operating Partners LP
4.25% 9/15/24 (a) |
290,000 | 291,943 |
NSG Holdings LLC / NSG Holdings, Inc.
7.75% 12/15/25 (a) |
162,157 | 179,994 |
The Cleveland Electric Illuminating Co.
5.95% 12/15/36 |
146,000 | 199,145 |
Vistra Operations Co. LLC: | ||
5.00% 7/31/27 (a) |
605,000 | 611,141 |
5.50% 9/1/26 (a) |
855,000 | 864,922 |
5.625% 2/15/27 (a) |
275,000 | 281,875 |
8,999,492 | ||
Independent Power and Renewable Electricity Producers – 0.1% | ||
Clearway Energy Operating LLC: | ||
4.75% 3/15/28 (a) |
65,000 | 66,138 |
5.75% 10/15/25 |
70,000 | 72,333 |
50 |
51 |
Asset-Backed Securities – continued | ||
Principal Amount | Value | |
Ares XXXIV CLO Ltd. Series 2015-2A, Class AR2 3 Month U.S. LIBOR + 1.250% 1.25% 4/17/33 (a)(b)(c)(d) | $369,000 | $369,000 |
Beechwood Park CLO Ltd. Series 2019-1A, Class A1 3 Month U.S. LIBOR + 1.330% 3.233% 1/17/33 (a)(c)(d) | 400,000 | 400,120 |
Blackbird Capital Aircraft Lease Securitization Ltd. Series 2016-1A, Class A 4.213% 12/16/41 (a) | 301,120 | 308,347 |
Bristol Park CLO Ltd. Series 2016-1A, Class AR 3 Month U.S. LIBOR + 0.99% 2.57% 4/15/29 (a)(c)(d) | 1,087,000 | 1,087,000 |
Castlelake Aircraft Securitization Trust Series 2018-1, Class A 4.125% 6/15/43 (a) | 362,371 | 372,698 |
Castlelake Aircraft Securitization Trust Series 2019-1A, Class A 3.967% 4/15/39 (a) | 1,461,528 | 1,503,369 |
Castlelake Aircraft Securitization Trust Series 2019-1A, Class B 5.095% 4/15/39 (a) | 218,661 | 227,574 |
Cedar Funding X CLO Ltd. Series 2019-10A, Class A 3 Month U.S. LIBOR + 1.340% 3.471% 10/20/32 (a)(c)(d) | 506,000 | 506,051 |
Cedar Funding XI CLO Ltd. Series 2019-11A, Class A1A 3 month U.S. LIBOR + 1.350% 2.93% 5/29/32 (a)(c)(d) | 307,000 | 307,031 |
DB Master Finance LLC Series 2017-1A, Class A2I 3.629% 11/20/47 (a) | 1,318,647 | 1,354,198 |
DB Master Finance LLC Series 2017-1A, Class A2II 4.03% 11/20/47 (a) | 285,430 | 303,304 |
Dryden CLO Ltd. Series 2019-72A, Class A 3 month U.S. LIBOR + 1.330% 3.022% 5/15/32 (a)(c)(d) | 503,000 | 502,799 |
Dryden CLO Ltd. Series 2019-76A, Class A1 3 Month U.S. LIBOR + 1.330% 3.264% 10/20/32 (a)(c)(d) | 250,000 | 250,075 |
Dryden CLO Ltd. Series 2020-78A, Class A 3 Month U.S. LIBOR + 1.180% 1.00% 4/17/33 (a)(b)(c)(d) | 2,400,000 | 2,400,000 |
|
||
Principal Amount | Value | |
Dryden Senior Loan Fund Series 2014-36A, Class AR2 3 month U.S. LIBOR + 1.280% 3.111% 4/15/29 (a)(c)(d) | $664,000 | $663,801 |
Flatiron CLO Ltd. Series 2019-1A, Class A 3 Month U.S. LIBOR + 1.320% 3.215% 11/16/32 (a)(c)(d) | 736,000 | 736,221 |
Horizon Aircraft Finance I Ltd.Series 2018-1, Class A 4.458% 12/15/38 (a) | 223,625 | 231,483 |
Horizon Aircraft Finance II Ltd. Series 2019-1, Class A 3.721% 7/15/39 (a) | 288,449 | 295,328 |
Madison Park Funding X Ltd. Series 2012-10A, Class AR2 3 month U.S. LIBOR + 1.220% 3.039% 1/20/29 (a)(c)(d) | 255,000 | 254,872 |
Madison Park Funding XXXIII Ltd. Series 2019-33A, Class A 3 Month U.S. LIBOR + 1.330% 3.174% 10/15/32 (a)(c)(d) | 339,000 | 339,136 |
Madison Park Funding XXXVII Ltd. Series 2019-37A, Class A1 3 month U.S. LIBOR + 1.300% 3.131% 7/15/32 (a)(c)(d) | 628,000 | 628,126 |
Magnetite XXI Ltd. Series 2019-21A, Class A 3 month U.S. LIBOR + 1.280% 3.099% 4/20/30 (a)(c)(d) | 456,000 | 456,593 |
Magnetite XXIII Ltd. Series 2019-23A, Class A 3 Month U.S. LIBOR + 1.300% 3.17% 10/25/32 (a)(c)(d) | 1,200,000 | 1,200,360 |
Magnetite XXIV Ltd. 3 Month U.S. LIBOR + 1.330% 3.237% 1/15/33 (a)(c)(d) | 515,000 | 515,566 |
Milos CLO Ltd. Series 2017-1A, Class AR 3 Month U.S. LIBOR + 1.070% 2.749% 10/20/30 (a)(c)(d) | 1,063,000 | 1,063,000 |
Niagara Park CLO Ltd. Series 2019-1A, Class A 3 month U.S. LIBOR + 1.300% 3.136% 7/17/32 (a)(c)(d) | 628,000 | 628,126 |
Planet Fitness Master Issuer LLC Series 2019-1A, Class A2 3.858% 12/5/49 (a) | 2,362,000 | 2,467,912 |
Project Silver Series 2019-1, Class A 3.967% 7/15/44 (a) | 522,455 | 542,546 |
52 |
|
||
Principal Amount | Value | |
BX Commercial Mortgage Trust Series 2019-IMC, Class A 1 Month U.S. LIBOR + 1.000%
2.659% 4/15/34 (a)(c)(d) |
$500,000 | $499,698 |
BX Commercial Mortgage Trust Series 2019-IMC, Class B 1 Month U.S. LIBOR + 1.300%
2.959% 4/15/34 (a)(c)(d) |
1,917,000 | 1,916,419 |
BX Commercial Mortgage Trust Series 2019-IMC, Class C 1 Month U.S. LIBOR + 1.600%
3.259% 4/15/34 (a)(c)(d) |
210,000 | 210,000 |
BX Commercial Mortgage Trust Series 2019-IMC, Class D 1 Month U.S. LIBOR + 1.900%
3.559% 4/15/34 (a)(c)(d) |
220,000 | 220,138 |
BX Commercial Mortgage Trust Series 2019-XL, Class B 1 Month U.S. LIBOR + 1.080%
2.739% 10/15/36 (a)(c)(d) |
1,303,166 | 1,305,259 |
BX Commercial Mortgage Trust Series 2019-XL, Class C 1 Month U.S. LIBOR + 1.250%
2.909% 10/15/36 (a)(c)(d) |
437,573 | 438,671 |
BX Commercial Mortgage Trust Series 2019-XL, Class D 1 Month U.S. LIBOR + 1.450%
3.109% 10/15/36 (a)(c)(d) |
619,100 | 621,462 |
BX Commercial Mortgage Trust Series 2019-XL, Class E 1 Month U.S. LIBOR + 1.800%
3.459% 10/15/36 (a)(c)(d) |
3,736,572 | 3,753,090 |
BX Commercial Mortgage Trust Series 2020-BXLP, Class A 1 Month U.S. LIBOR + 0.800%
2.459% 12/15/29 (a)(c)(d) |
920,000 | 920,425 |
BX Commercial Mortgage Trust Series 2020-BXLP, Class B 1 Month U.S. LIBOR + 1.000%
2.659% 12/15/29 (a)(c)(d) |
455,000 | 454,863 |
BX Commercial Mortgage Trust Series 2020-BXLP, Class C 1 Month U.S. LIBOR + 1.120%
2.779% 12/15/29 (a)(c)(d) |
362,000 | 362,341 |
BX Commercial Mortgage Trust Series 2020-BXLP, Class D 1 Month U.S. LIBOR + 1.250%
2.909% 12/15/29 (a)(c)(d) |
560,000 | 561,582 |
BX Commercial Mortgage Trust Series 2020-BXLP, Class E 1 Month U.S. LIBOR + 1.600%
3.259% 12/15/29 (a)(c)(d) |
426,000 | 428,011 |
53 |
|
||
Principal Amount | Value | |
Morgan Stanley Capital I Trust Series 2018-H4, Class A4
4.31% 12/15/51 |
$185,000 | $218,300 |
Morgan Stanley Capital I Trust Series 2019-MEAD, Class A
3.17% 11/10/36 (a) |
1,076,000 | 1,133,465 |
Morgan Stanley Capital I Trust Series 2019-MEAD, Class B
3.177% 11/10/36 (a) |
155,000 | 160,923 |
Morgan Stanley Capital I Trust Series 2019-MEAD, Class C
3.177% 11/10/36 (a) |
149,000 | 152,700 |
MSCG Trust Series 2016-SNR, Class A
3.348% 11/15/34 (a)(c) |
17,449 | 17,639 |
MSCG Trust Series 2016-SNR, Class B
4.181% 11/15/34 (a) |
61,200 | 62,344 |
MSCG Trust Series 2016-SNR, Class C
5.205% 11/15/34 (a) |
43,350 | 44,497 |
Natixis Commercial Mortgage Securities Trust Series 2020-2PAC, Class AMZ1
3.50% 1/15/37 (a)(c) |
2,266,000 | 2,341,733 |
RETL Series 2019-RVP, Class C 1 month U.S. LIBOR + 2.100%
3.759% 3/15/36 (a)(c)(d) |
1,939,000 | 1,943,273 |
Wells Fargo Commercial Mortgage Trust Series 2018-C48, Class A5
4.302% 1/15/52 |
215,000 | 252,793 |
TOTAL PRIVATE SPONSOR | 22,812,435 | |
U.S. GOVERNMENT AGENCY – 0.0% | ||
Ginnie Mae Series 2015-H21, Class JA
2.50% 6/20/65 (h) |
14,218 | 14,240 |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $22,607,044) |
22,826,675 | |
Foreign Government
and Government Agency
Obligations – 0.5% |
||
Argentine Republic Government International Bond: | ||
5.875% 1/11/28 | 1,387,000 | 564,769 |
6.875% 4/22/21 | 650,000 | 323,172 |
Brazilian Government International Bond
5.625% 1/7/41 |
1,028,000 | 1,214,646 |
54 |
|
||
Principal Amount | Value | |
Sanchez Energy Corp DIP New Money Term Loan 3 Month U.S. LIBOR + 8.000%
9.692% 5/11/20 (c)(d)(e)(j) |
$131,975 | $131,975 |
TOTAL ENERGY | 1,304,729 | |
TOTAL BANK LOAN OBLIGATIONS
(Cost $1,446,856) |
1,304,729 |
Common Stocks – 0.0% | ||
Shares | ||
ENERGY EQUIPMENT & SERVICES – 0.0% | ||
Oil & Gas Equipment & Services – 0.0% | ||
Weatherford International PLC (k)
(Cost $9,871) |
425 | 8,882 |
Money Market Fund – 4.5% | ||
|
||
Fidelity Cash Central Fund, 1.60% (l)
(Cost $55,204,281) |
55,194,225 | 55,205,264 |
TOTAL INVESTMENT IN SECURITIES – 103.7%
(Cost $1,214,667,308) |
1,264,474,012 | |
NET OTHER ASSETS (LIABILITIES) – (3.7%) | (44,893,739) | |
NET ASSETS – 100.0% | $1,219,580,273 |
TBA Sale Commitments | ||
Principal Amount | ||
Uniform Mortgage Backed Securities | ||
2.50% 3/18/35 | $(2,000,000) | (2,052,828) |
4.00% 3/12/50 | (8,000,000) | (8,426,515) |
TOTAL TBA SALE COMMITMENTS
(Proceeds $10,425,000) |
$(10,479,343) |
55 |
Legend | ||
(a) | Security is 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 $182,070,462 or 14.9% of net assets. | |
(b) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. | |
(c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. | |
(d) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. | |
(e) | Level 3 security. | |
(f) | Security is perpetual in nature with no stated maturity date. | |
(g) | A portion of the security sold on a delayed delivery basis. | |
(h) | Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. | |
(i) | The coupon rate will be determined upon settlement of the loan after period end. | |
(j) | Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $60,224 and $60,224, respectively. | |
(k) | Non-income producing. | |
(l) | 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. |
Fund | Income earned |
Fidelity Cash Central Fund | $324,845 |
56 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
U.S. Treasury Obligations | $493,591,257 | $— | $493,591,257 | $— | ||||
Corporate Bonds | 392,724,481 | — | 392,693,481 | 31,000 | ||||
U.S Government Agency - Mortgage Securities | 249,967,551 | — | 249,967,551 | — | ||||
Asset-Backed Securities | 38,049,164 | — | 38,049,164 | — | ||||
Collateralized Mortgage Obligations | 22,826,675 | — | 22,826,675 | — | ||||
Foreign Government and Government Agency Obligations | 5,549,025 | — | 5,549,025 | — | ||||
Municipal Securities | 5,246,984 | — | 5,246,984 | — | ||||
Bank Loan Obligations | 1,304,729 | — | 1,172,754 | 131,975 | ||||
Common Stocks | 8,882 | 8,882 | — | — | ||||
Money Market Funds | 55,205,264 | 55,205,264 | — | — | ||||
Total Investments in Securities: | $1,264,474,012 | $55,214,146 | $1,209,096,891 | $162,975 |
Other Financial Instruments: | ||||||||
TBA Sale Commitments | $(10,479,343) | $— | $(10,479,343) | $— |
United States of America | 93.5 |
Cayman Islands | 2.6 |
United Kingdom | 1.3 |
Mexico | 1.3 |
Others (Individually Less Than 1%) | 5.0 |
103.7% |
57 |
Fidelity Corporate Bond ETF
|
Fidelity Limited Term Bond ETF
|
Fidelity Low Duration Bond Factor ETF
|
Fidelity Total Bond ETF
|
||||
Assets | |||||||
Investments in securities, at value – See accompanying schedule: | |||||||
Unaffiliated issuers | $153,728,257 | $148,627,866 | $205,060,056 | $1,209,268,748 | |||
Fidelity Central Funds | 4,442,601 | 2,335,007 | 8,566,451 | 55,205,264 | |||
Total Investments in Securities | $158,170,858 | $150,962,873 | $213,626,507 | $1,264,474,012 | |||
Cash | — | 285,398 | 4,810 | 114,436 | |||
Receivable for investments sold | |||||||
Regular delivery | — | — | 2,184,094 | 2,781,258 | |||
Delayed delivery | — | — | — | 40,323,209 | |||
Receivable for fund shares sold | — | — | 3,822,097 | — | |||
Distributions receivable from Fidelity Central Funds | 4,700 | 1,768 | 11,603 | 84,705 | |||
Interest receivable | 1,386,891 | 1,024,775 | 678,701 | 7,919,576 | |||
Total assets | 159,562,449 | 152,274,814 | 220,327,812 | 1,315,697,196 | |||
Liabilities | |||||||
Payable for investments purchased | |||||||
Regular delivery | 404,902 | 2,118,195 | 5,925,723 | 23,733,558 | |||
Delayed delivery | — | — | — | 59,066,854 | |||
TBA sale commitments, at value (proceeds $-, $-, $- and $10,425,000, respectively) | — | — | — | 10,479,343 | |||
Distributions payable | 371,200 | 252,300 | 362,675 | 2,489,616 | |||
Accrued management fees | 45,288 | 40,453 | 24,496 | 347,552 | |||
Total liabilities | 821,390 | 2,410,948 | 6,312,894 | 96,116,923 | |||
Net Assets | $158,741,059 | $149,863,866 | $214,014,918 | $1,219,580,273 | |||
Net Assets consist of: | |||||||
Paid in capital | 149,695,888 | 146,576,862 | 212,142,507 | 1,169,440,216 | |||
Total accumulated earnings (loss) | 9,045,171 | 3,287,004 | 1,872,411 | 50,140,057 | |||
Net Assets | $158,741,059 | $149,863,866 | $214,014,918 | $1,219,580,273 | |||
Shares outstanding | 2,900,000 | 2,900,000 | 4,200,000 | 23,052,000 | |||
Net Asset Value, offering price and redemption price per share | $54.74 | $51.68 | $50.96 | $52.91 | |||
Investments at cost – Unaffiliated issuers | $143,516,165 | $145,543,884 | $203,351,107 | $1,159,463,027 | |||
Investments at cost – Fidelity Central Funds | 4,442,518 | 2,334,999 | 8,566,451 | 55,204,281 | |||
Investments at cost | $147,958,683 | $147,878,883 | $211,917,558 | $1,214,667,308 |
58 |
Fidelity Corporate Bond ETF
|
Fidelity Limited Term Bond ETF
|
Fidelity Low Duration Bond Factor ETF
|
Fidelity Total Bond ETF
|
||||
Investment Income | |||||||
Interest | $ 2,351,323 | $ 2,026,307 | $ 1,941,424 | $ 13,674,235 | |||
Income from Fidelity Central Funds | 31,694 | 10,567 | 42,421 | 324,845 | |||
Total income | 2,383,017 | 2,036,874 | 1,983,845 | 13,999,080 | |||
Expenses | |||||||
Management fees | 255,892 | 269,131 | 120,654 | 1,654,489 | |||
Independent trustees' compensation | 221 | 237 | 228 | 1,363 | |||
Commitment fees | 155 | 173 | — | 950 | |||
Total expenses before reductions | 256,268 | 269,541 | 120,882 | 1,656,802 | |||
Expense reductions | (1,121) | (201) | (1,536) | (2,569) | |||
Total expenses | 255,147 | 269,340 | 119,346 | 1,654,233 | |||
Net investment income (loss) | 2,127,870 | 1,767,534 | 1,864,499 | 12,344,847 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | 267,342 | 544,611 | 154,928 | 3,262,465 | |||
Net realized gain (loss) on In-kind redemptions | — | 1,242,408 | — | — | |||
Total net realized gain (loss) | 267,342 | 1,787,019 | 154,928 | 3,262,465 | |||
Change in net unrealized appreciation (depreciation) on investment securities | 3,907,137 | (15,683) | 915,028 | 18,702,944 | |||
Change in net unrealized appreciation (depreciation) on Fidelity Central Funds | — | — | — | (452) | |||
Change in net unrealized appreciation (depreciation) on Delayed delivery commitments | — | — | — | (54,343) | |||
Total change in net unrealized appreciation (depreciation) | 3,907,137 | (15,683) | 915,028 | 18,648,149 | |||
Net gain (loss) | 4,174,479 | 1,771,336 | 1,069,956 | 21,910,614 | |||
Net increase (decrease) in net assets resulting from operations | $6,302,349 | $3,538,870 | $2,934,455 | $34,255,461 |
59 |
Fidelity Corporate Bond ETF
|
Fidelity Limited Term Bond ETF
|
||||||
Six months ended
February 29, 2020 (Unaudited) |
Year ended
August 31, 2019 |
Six months ended
February 29, 2020 (Unaudited) |
Year ended
August 31, 2019 |
||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $2,127,870 | $2,467,204 | $1,767,534 | $3,697,923 | |||
Net realized gain (loss) | 267,342 | (336,776) | 1,787,019 | (477,048) | |||
Change in net unrealized appreciation (depreciation) | 3,907,137 | 7,944,816 | (15,683) | 4,136,169 | |||
Net increase (decrease) in net assets resulting from operations | 6,302,349 | 10,075,244 | 3,538,870 | 7,357,044 | |||
Distributions to shareholders | (2,132,400) | (2,465,250) | (1,779,600) | (3,704,000) | |||
Share transactions | |||||||
Proceeds from sales of shares | 29,401,106 | 66,635,628 | 107,115,079 | 12,438,416 | |||
Cost of shares redeemed | (2,652,037) | (4,785,823) | (86,673,915) | (78,706,441) | |||
Net increase (decrease) in net assets resulting from share transactions | 26,749,069 | 61,849,805 | 20,441,164 | (66,268,025) | |||
Total increase (decrease) in net assets | 30,919,018 | 69,459,799 | 22,200,434 | (62,614,981) | |||
Net Assets | |||||||
Beginning of period | 127,822,041 | 58,362,242 | 127,663,432 | 190,278,413 | |||
End of period | $158,741,059 | $127,822,041 | $149,863,866 | $127,663,432 | |||
Other Information | |||||||
Shares | |||||||
Sold | 550,000 | 1,300,000 | 2,100,000 | 250,000 | |||
Redeemed | (50,000) | (100,000) | (1,700,000) | (1,600,000) | |||
Net increase (decrease) | 500,000 | 1,200,000 | 400,000 | (1,350,000) |
60 |
Fidelity Low Duration Bond Factor ETF
|
Fidelity Total Bond ETF
|
||||||
Six months ended
February 29, 2020 (Unaudited) |
Year ended
August 31, 2019 |
Six months ended
February 29, 2020 (Unaudited) |
Year ended
August 31, 2019 |
||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $1,864,499 | $1,459,670 | $12,344,847 | $16,461,974 | |||
Net realized gain (loss) | 154,928 | 161,934 | 3,262,465 | 397,470 | |||
Change in net unrealized appreciation (depreciation) | 915,028 | 783,682 | 18,648,149 | 39,024,720 | |||
Net increase (decrease) in net assets resulting from operations | 2,934,455 | 2,405,286 | 34,255,461 | 55,884,164 | |||
Distributions to shareholders | (2,033,775) | (1,445,750) | (12,805,148) | (16,753,048) | |||
Share transactions | |||||||
Proceeds from sales of shares | 104,090,488 | 98,044,019 | 439,509,753 | 297,386,885 | |||
Cost of shares redeemed | — | — | (2,574,370) | (2,416,174) | |||
Net increase (decrease) in net assets resulting from share transactions | 104,090,488 | 98,044,019 | 436,935,383 | 294,970,711 | |||
Total increase (decrease) in net assets | 104,991,168 | 99,003,555 | 458,385,696 | 334,101,827 | |||
Net Assets | |||||||
Beginning of period | 109,023,750 | 10,020,195 | 761,194,577 | 427,092,750 | |||
End of period | $214,014,918 | $109,023,750 | $1,219,580,273 | $761,194,577 | |||
Other Information | |||||||
Shares | |||||||
Sold | 2,050,000 | 1,950,000 | 8,450,000 | 5,950,000 | |||
Redeemed | — | — | (50,000) | (50,000) | |||
Net increase (decrease) | 2,050,000 | 1,950,000 | 8,400,000 | 5,900,000 |
61 |
Fidelity Corporate Bond ETF
|
|||||||||||
Six months ended February 29, 2020
(Unaudited) |
Year ended August 31, 2019
|
Year ended August 31, 2018
|
Year ended August 31, 2017
|
Year ended August 31, 2016
|
Year ended August 31, 2015A
|
||||||
Selected Per-Share Data | |||||||||||
Net asset value, beginning of period | $53.26 | $48.64 | $50.97 | $51.20 | $48.59 | $50.06 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)B | 0.793 | 1.732 | 1.599 | 1.444 | 1.587 | 1.342 | |||||
Net realized and unrealized gain (loss) | 1.470 | 4.610 | (2.311) | (0.243) | 2.805 | (1.448) | |||||
Total from investment operations | 2.263 | 6.342 | (0.712) | 1.201 | 4.392 | (0.106) | |||||
Distributions from net investment income | (0.783) | (1.722) | (1.618) | (1.431) | (1.594) | (1.364) | |||||
Distributions from net realized gain | — | — | — | — | (0.188) | — | |||||
Total distributions | (0.783) | (1.722) | (1.618) | (1.431) | (1.782) | (1.364) | |||||
Net asset value, end of period | $54.74 | $53.26 | $48.64 | $50.97 | $51.20 | $48.59 | |||||
Total ReturnC,D | 4.30% | 13.39% | (1.41)% | 2.43% | 9.30% | (0.26)% | |||||
Ratios to Average Net AssetsE,F | |||||||||||
Expense before reductions | .36%G | .36% | .42% | .45% | .45% | .45%G | |||||
Expenses net of fee waivers, if any | .36%G | .36% | .42% | .45% | .45% | .45%G | |||||
Expenses net of all reductions | .36%G | .36% | .42% | .45% | .45% | .45%G | |||||
Net investment income (loss) | 3.00%G | 3.45% | 3.22% | 2.87% | 3.24% | 2.96%G | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $158,741 | $127,822 | $58,362 | $63,711 | $40,959 | $29,152 | |||||
Portfolio turnover rateH | 13%I | 40% | 81%J | 29% | 37% | 28%I,J |
A | For the period October 6, 2014 (commencement of operations) to August 31, 2015. |
B | Calculated based on average shares outstanding during the period. |
C | Total returns for periods of less than one year are not annualized. |
D | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
E | Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
F | Fees and expenses of any underlying Fidelity Central Funds are not included in the Funds' expense ratio. Each Fund indirectly bears its proportionate share of expenses of any underlying Fidelity Central Funds. |
G | Annualized. |
H | Amount does not include the portfolio activity of any underlying funds. |
I | Amount not annualized. |
J | Portfolio turnover rate excludes securities received or delivered in-kind. |
62 |
Fidelity Limited Term Bond ETF
|
|||||||||||
Six months ended February 29, 2020
(Unaudited) |
Year ended August 31, 2019
|
Year ended August 31, 2018
|
Year ended August 31, 2017
|
Year ended August 31, 2016
|
Year ended August 31, 2015A
|
||||||
Selected Per-Share Data | |||||||||||
Net asset value, beginning of period | $51.07 | $49.42 | $50.60 | $50.85 | $49.90 | $50.06 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)B | 0.603 | 1.344 | 1.072 | 0.767 | 0.681 | 0.623 | |||||
Net realized and unrealized gain (loss) | 0.622 | 1.687 | (1.201) | (0.131) | 0.990 | (0.012) | |||||
Total from investment operations | 1.225 | 3.031 | (0.129) | 0.636 | 1.671 | 0.611 | |||||
Distributions from net investment income | (0.615) | (1.381) | (1.051) | (0.836) | (0.721) | (0.771) | |||||
Distributions from net realized gain | — | — | — | (0.050) | — | — | |||||
Total distributions | (0.615) | (1.381) | (1.051) | (0.886) | (0.721) | (0.771) | |||||
Net asset value, end of period | $51.68 | $51.07 | $49.42 | $50.60 | $50.85 | $49.90 | |||||
Total ReturnC,D | 2.42% | 6.22% | (0.23)% | 1.27% | 3.37% | 1.22% | |||||
Ratios to Average Net AssetsE,F | |||||||||||
Expense before reductions | .36%G | .36% | .41% | .45% | .45% | .45%G | |||||
Expenses net of fee waivers, if any | .36%G | .36% | .41% | .45% | .45% | .45%G | |||||
Expenses net of all reductions | .36%G | .36% | .41% | .45% | .45% | .45%G | |||||
Net investment income (loss) | 2.37%G | 2.69% | 2.15% | 1.54% | 1.35% | 1.37%G | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $149,864 | $127,663 | $190,278 | $103,725 | $134,759 | $47,408 | |||||
Portfolio turnover rateH,I | 45%J | 32% | 113% | 206% | 265% | 312%J |
A | For the period October 6, 2014 (commencement of operations) to August 31, 2015. |
B | Calculated based on average shares outstanding during the period. |
C | Total returns for periods of less than one year are not annualized. |
D | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
E | Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
F | Fees and expenses of any underlying Fidelity Central Funds are not included in the Funds' expense ratio. Each Fund indirectly bears its proportionate share of expenses of any underlying Fidelity Central Funds. |
G | Annualized. |
H | Amount does not include the portfolio activity of any underlying funds. |
I | Portfolio turnover rate excludes securities received or delivered in-kind. |
J | Amount not annualized. |
63 |
Fidelity Low Duration Bond Factor ETF
|
|||||
Six months ended February 29, 2020
(Unaudited) |
Year ended August 31, 2019
|
Year ended August 31, 2018A
|
|||
Selected Per-Share Data | |||||
Net asset value, beginning of period | $50.71 | $50.10 | $50.00 | ||
Income from Investment Operations | |||||
Net investment income (loss)B | 0.585 | 1.479 | 0.279 | ||
Net realized and unrealized gain (loss) | 0.276 | 0.469 | 0.096 | ||
Total from investment operations | 0.861 | 1.948 | 0.375 | ||
Distributions from net investment income | (0.611) | (1.338) | (0.275) | ||
Total distributions | (0.611) | (1.338) | (0.275) | ||
Net asset value, end of period | $50.96 | $50.71 | $50.10 | ||
Total ReturnC,D | 1.70% | 3.95% | 0.75% | ||
Ratios to Average Net AssetsE,F | |||||
Expense before reductions | .15%G | .15% | .15%G | ||
Expenses net of fee waivers, if any | .15%G | .15% | .15%G | ||
Expenses net of all reductions | .15%G | .15% | .15%G | ||
Net investment income (loss) | 2.32%G | 2.90% | 2.51%G | ||
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $214,015 | $109,024 | $10,020 | ||
Portfolio turnover rateH | 7%I | 14% | 2%I |
A | For the period June 12, 2018 (commencement of operations) to August 31, 2018. |
B | Calculated based on average shares outstanding during the period. |
C | Total returns for periods of less than one year are not annualized. |
D | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
E | Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
F | Fees and expenses of any underlying Fidelity Central Funds are not included in the Funds' expense ratio. Each Fund indirectly bears its proportionate share of expenses of any underlying Fidelity Central Funds. |
G | Annualized. |
H | Amount does not include the portfolio activity of any underlying funds. |
I | Amount not annualized. |
64 |
Fidelity Total Bond ETF
|
|||||||||||
Six months ended February 29, 2020
(Unaudited) |
Year ended August 31, 2019
|
Year ended August 31, 2018
|
Year ended August 31, 2017
|
Year ended August 31, 2016
|
Year ended August 31, 2015A
|
||||||
Selected Per-Share Data | |||||||||||
Net asset value, beginning of period | $51.95 | $48.80 | $50.51 | $50.82 | $49.08 | $50.00 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)B | 0.694 | 1.502 | 1.334 | 1.225 | 1.463 | 1.403 | |||||
Net realized and unrealized gain (loss) | 0.965 | 3.147 | (1.690) | (0.242) | 1.813 | (0.975) | |||||
Total from investment operations | 1.659 | 4.649 | (0.356) | 0.983 | 3.276 | 0.428 | |||||
Distributions from net investment income | (0.699) | (1.499) | (1.354) | (1.279) | (1.536) | (1.348) | |||||
Return of capital | — | — | — | (0.014) | — | — | |||||
Total distributions | (0.699) | (1.499) | (1.354) | (1.293) | (1.536) | (1.348) | |||||
Net asset value, end of period | $52.91 | $51.95 | $48.80 | $50.51 | $50.82 | $49.08 | |||||
Total ReturnC,D | 3.22% | 9.73% | (0.69)% | 1.99% | 6.84% | 0.83% | |||||
Ratios to Average Net AssetsE,F | |||||||||||
Expense before reductions | .36%G | .36% | .41% | .45% | .45% | .45%G | |||||
Expenses net of fee waivers, if any | .36%G | .36% | .41% | .45% | .45% | .45%G | |||||
Expenses net of all reductions | .36%G | .36% | .41% | .45% | .45% | .45%G | |||||
Net investment income (loss) | 2.69%G | 3.01% | 2.70% | 2.45% | 2.98% | 3.10%G | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $1,219,580 | $761,195 | $427,093 | $280,414 | $172,898 | $105,614 | |||||
Portfolio turnover rateH | 91%I,J | 150%J | 91%J | 128% | 158%J | 276%I |
A | For the period October 6, 2014 (commencement of operations) to August 31, 2015. |
B | Calculated based on average shares outstanding during the period. |
C | Total returns for periods of less than one year are not annualized. |
D | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
E | Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
F | Fees and expenses of any underlying Fidelity Central Funds are not included in the Funds' expense ratio. Each Fund indirectly bears its proportionate share of expenses of any underlying Fidelity Central Funds. |
G | Annualized. |
H | Amount does not include the portfolio activity of any underlying funds. |
I | Amount not annualized. |
J | Portfolio turnover rate excludes securities received or delivered in-kind. |
65 |
66 |
Tax cost |
Gross unrealized
appreciation |
Gross unrealized
depreciation |
Net unrealized
appreciation (depreciation) on securities and other investments |
|
Fidelity Corporate Bond ETF | $148,186,875 | $10,338,537 | $(354,554) | $9,983,983 |
Fidelity Limited Term Bond ETF | 147,881,226 | 3,092,143 | (10,496) | 3,081,647 |
Fidelity Low Duration Bond Factor ETF | 211,918,651 | 1,766,713 | (58,857) | 1,707,856 |
Fidelity Total Bond ETF | 1,214,949,364 | 54,565,400 | (5,040,752) | 49,524,648 |
No-expiration
Short-term |
No-expiration
Long-term |
Total capital loss
carryforward |
|
Fidelity Corporate Bond ETF | $(614,064) | $(786,699) | $(1,400,763) |
Fidelity Limited Term Bond ETF | (1,008,836) | (407,462) | (1,416,298) |
Fidelity Low Duration Bond Factor ETF | — | — | — |
Fidelity Total Bond ETF | — | (1,138,378) | (1,138,378) |
67 |
Purchases | Sales | |
Fidelity Corporate Bond ETF | $35,569,446 | $9,108,507 |
Fidelity Limited Term Bond ETF | 36,376,252 | 9,284,657 |
Fidelity Low Duration Bond Factor ETF | 95,987,812 | 7,478,000 |
Fidelity Total Bond ETF | 204,603,707 | 36,602,344 |
In-kind
Subscriptions |
In-kind
Redemptions |
|
Fidelity Corporate Bond ETF | $— | $— |
Fidelity Limited Term Bond ETF | 57,440,836 | 56,938,091 |
Fidelity Low Duration Bond Factor ETF | — | — |
Fidelity Total Bond ETF | 29,786,464 | — |
68 |
Amount | |
Fidelity Corporate Bond ETF | $155 |
Fidelity Limited Term Bond ETF | 173 |
Fidelity Total Bond ETF | 950 |
Amount | |
Fidelity Corporate Bond ETF | $1,121 |
Fidelity Limited Term Bond ETF | 201 |
Fidelity Low Duration Bond Factor ETF | 1,536 |
Fidelity Total Bond ETF | 2,569 |
69 |
70 |
Annualized
Expense RatioA |
Beginning
Account Value September 1, 2019 |
Ending
Account Value February 29, 2020 |
Expenses Paid
During PeriodB September 1, 2019 to February 29, 2020 |
|
Fidelity Corporate Bond ETF | 0.36% | |||
Actual | $1,000.00 | $1,043.00 | $1.83 | |
HypotheticalC | $1,000.00 | $1,023.07 | $1.81 | |
Fidelity Limited Term Bond ETF | 0.36% | |||
Actual | $1,000.00 | $1,024.20 | $1.81 | |
HypotheticalC | $1,000.00 | $1,023.07 | $1.81 | |
Fidelity Low Duration Bond Factor ETF | 0.15% | |||
Actual | $1,000.00 | $1,017.00 | $0.75 | |
HypotheticalC | $1,000.00 | $1,024.12 | $0.75 | |
Fidelity Total Bond ETF | 0.36% | |||
Actual | $1,000.00 | $1,032.20 | $1.82 | |
HypotheticalC | $1,000.00 | $1,023.07 | $1.81 |
A | Annualized expense ratio reflects expenses net of applicable fee waivers. |
B | Expenses are equal to each Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
C | 5% return per year before expenses. |
71 |
72 |
73 |
74 |
75 |
76 |
77 |
78 |
79 |
80 |
81 |
82 |
83 |
Item 2. |
Code of Ethics |
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. |
Investments |
(a) |
Not applicable. |
(b) |
Not applicable |
Item 7. |
Disclosure of Proxy Voting Policies and Procedures for Closed-End |
|
Management Investment Companies |
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Merrimack Street Trust's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Merrimack 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 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. |
Exhibits |
(a)(1) Not applicable.
|
|
(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 |
|
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Merrimack Street Trust
By: |
/s/Laura M. Del Prato |
|
Laura M. Del Prato |
|
President and Treasurer |
Date: |
April 23, 2020 |
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 |
Date: |
April 23, 2020 |
By: |
/s/John J. Burke III |
|
John J. Burke III |
|
Chief Financial Officer |
Date: |
April 23, 2020 |
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