# EDGAR Filing Document

**Accession Number:** 0000035315
**File Stem:** 0000035315-25-001042
**Filing Date:** 2025-10
**Character Count:** 1458097
**Document Hash:** 2ad8d714da507dd640f408a4265b427e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035315-25-001042.hdr.sgml**: 20251023

**ACCESSION NUMBER**: 0000035315-25-001042

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 124

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251023

**DATE AS OF CHANGE**: 20251023

**EFFECTIVENESS DATE**: 20251023

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY SALEM STREET TRUST
- **CENTRAL INDEX KEY:** 0000035315

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02105
- **FILM NUMBER:** 251412011

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FIXED INCOME TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FLEXIBLE BOND FUND
- **DATE OF NAME CHANGE:** 19860904

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY CORPORATE BOND FUND INC
- **DATE OF NAME CHANGE:** 19851225

## Series and Classes Contracts Data

### Fidelity Conservative Income Bond Fund (Series ID: S000031520)

| Class ID   | Class Name                                              | Ticker Symbol   |
|:---|:---|:---|
| C000098000 | Fidelity Conservative Income Bond Fund                  | FCNVX           |
| C000243069 | Fidelity Advisor Conservative Income Bond Fund: Class Z | FCNYX           |
| C000243070 | Fidelity Advisor Conservative Income Bond Fund: Class A | FCNQX           |
| C000243071 | Fidelity Advisor Conservative Income Bond Fund: Class I | FCNWX           |

### Fidelity Short-Term Bond Index Fund (Series ID: S000059301)

| Class ID   | Class Name                          | Ticker Symbol   |
|:---|:---|:---|
| C000194645 | Fidelity Short-Term Bond Index Fund | FNSOX           |

### Fidelity Sustainability Bond Index Fund (Series ID: S000061665)

| Class ID   | Class Name                              | Ticker Symbol   |
|:---|:---|:---|
| C000199795 | Fidelity Sustainability Bond Index Fund | FNDSX           |

### Fidelity Series Corporate Bond Fund (Series ID: S000062809)

| Class ID   | Class Name                          | Ticker Symbol   |
|:---|:---|:---|
| C000203456 | Fidelity Series Corporate Bond Fund | FHMFX           |

### Fidelity SAI Sustainable Low Duration Bond Fund (Series ID: S000075890)

| Class ID   | Class Name                                      | Ticker Symbol   |
|:---|:---|:---|
| C000235215 | Fidelity SAI Sustainable Low Duration Bond Fund | FAPFX           |

### Fidelity Sustainable Core Plus Bond Fund (Series ID: S000075892)

| Class ID   | Class Name                                                | Ticker Symbol   |
|:---|:---|:---|
| C000235217 | Fidelity Sustainable Core Plus Bond Fund                  | FIAEX           |
| C000235218 | Fidelity Advisor Sustainable Core Plus Bond Fund: Class C | FIAJX           |
| C000235219 | Fidelity Advisor Sustainable Core Plus Bond Fund: Class A | FIAIX           |
| C000235220 | Fidelity Advisor Sustainable Core Plus Bond Fund: Class Z | FIAMX           |
| C000235221 | Fidelity Advisor Sustainable Core Plus Bond Fund: Class I | FIALX           |
| C000235222 | Fidelity Advisor Sustainable Core Plus Bond Fund: Class M | FIAKX           |

### Fidelity Sustainable Low Duration Bond Fund (Series ID: S000075894)

| Class ID   | Class Name                                                   | Ticker Symbol   |
|:---|:---|:---|
| C000235229 | Fidelity Advisor Sustainable Low Duration Bond Fund: Class A | FAMZX           |
| C000235230 | Fidelity Advisor Sustainable Low Duration Bond Fund: Class M | FAPBX           |
| C000235231 | Fidelity Advisor Sustainable Low Duration Bond Fund: Class C | FANDX           |
| C000235232 | Fidelity Advisor Sustainable Low Duration Bond Fund: Class I | FAPDX           |
| C000235233 | Fidelity Advisor Sustainable Low Duration Bond Fund: Class Z | FAPEX           |
| C000235234 | Fidelity Sustainable Low Duration Bond Fund                  | FAPGX           |

### Fidelity Series Sustainable Investment Grade Bond Fund (Series ID: S000080313)

| Class ID   | Class Name                                             | Ticker Symbol   |
|:---|:---|:---|
| C000242612 | Fidelity Series Sustainable Investment Grade Bond Fund | FIGDX           |

### Fidelity SAI Investment Grade Securitized Fund (Series ID: S000080417)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000242809 | Fidelity SAI Investment Grade Securitized Fund | FSMOX           |

?xml version='1.0' encoding='ASCII'? Prospectus - Investment Objective

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 <u>811-02105</u>

<u>Fidelity Salem Street Trust</u>

(Exact name of registrant as specified in charter)

<u>245 Summer St., Boston, Massachusetts 02210</u>

(Address of principal executive offices) &nbsp;&nbsp;&nbsp;&nbsp; (Zip code)

Nicole Macarchuk, Secretary

245 Summer St.

<u>Boston, Massachusetts 02210</u>

(Name and address of agent for service)

Registrant's telephone number, including area code:

<u>617-563-7000</u>

---

| | |
|:---|:---|
| &nbsp;&nbsp; Date of fiscal year end: | &nbsp;&nbsp; August 31 |
| &nbsp;&nbsp; Date of reporting period: | &nbsp;&nbsp; August 31, 2025 |

---

This report on Form N-CSR relates solely to the Registrant's Fidelity Conservative Income Bond Fund, Fidelity SAI Investment Grade Securitized Fund, Fidelity SAI Sustainable Low Duration Bond Fund, Fidelity Series Corporate Bond Fund, Fidelity Series Sustainable Investment Grade Bond Fund, Fidelity Short-Term Bond Index Fund,

Fidelity Sustainability Bond Index Fund, Fidelity Sustainable Core Plus Bond Fund, and

Fidelity Sustainable Low Duration Bond Fund (the "Funds").

Item 1.

<u>Reports to Stockholders</u>

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity® Sustainable Low Duration Bond Fund<br> **Fidelity® Sustainable Low Duration Bond Fund : FAPGX** <br>|

---

This annual shareholder report contains information about Fidelity® Sustainable Low Duration Bond Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Sustainable Low Duration Bond Fund  | $26  | 0.25% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, the fund's strategy of holding short-term debt in high-quality corporations contributed to performance versus the all-U.S.-Treasury benchmark for the fiscal year. Within corporates, debt holdings among financial institutions, especially banks, and industrial firms, particularly in the consumer cyclical and consumer non-cyclical segments, added notable value.

• Non-benchmark exposure to asset-backed securities, primarily car loan debt, also meaningfully contributed.

• In contrast, the fund's yield-curve positioning detracted from relative performance.

• A small allocation to cash was a modest drag as well.

• At period end, corporates made up about 48% of fund assets, down from roughly 60% a year ago. Exposure to U.S. Treasurys rose from about 26% to roughly 30% of assets during the fiscal year, while exposure to ABS was up from about 11% to 19% of assets as of August 31.

*Application of FMR's environmental, social, and governance (ESG) ratings process and/or its sustainable investing exclusion criteria may affect the fund's exposure to certain issuers, sectors, regions, and countries and may affect the fund's performance.* 

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

April 13, 2022 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | |
|:---|:---|:---|:---|:---|
| Fidelity® Sustainable Low Duration Bond Fund<br>| $10000 | $10001<br>| $10404<br>| $11006<br>|
| Bloomberg US Treasury Bill: 6-9 Months Index<br>| $10000 | $9990<br>| $10301<br>| $10854<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $9696<br>| $9581<br>| $10280<br>|
|  | 2022 | 2023 | 2024 | 2025 |

---

![](img113763_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Fidelity® Sustainable Low Duration Bond Fund | 4.81% | 4.31% |
| Bloomberg US Treasury Bill: 6-9 Months Index | 4.29%<br>| 3.73% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| 1.74% |

---

**A** From April 13, 2022

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $47087123<br>|
| Number of Holdings | 322<br>|
| Total Advisory Fee | $74586<br>|
| Portfolio Turnover | 58%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 29.5 |
| AAA | 17.8 |
| AA | 3.8 |
| A | 24.9 |
| BBB | 19.2 |
| BB | 0.1 |
| Not Rated | 1.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 2.9 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6526_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 29.5 |
| &nbsp;&nbsp;AAA - 17.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 3.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 24.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 19.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Not Rated - 1.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 2.9 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| Corporate Bonds | 47.5 |
| U.S. Treasury Obligations | 29.5 |
| Asset-Backed Securities | 19.0 |
| CMOs and Other Mortgage Related Securities | 0.6 |
| Other Investments | 0.5 |
| Short-Term Investments and Net Other Assets (Liabilities) | 2.9 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6526_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 47.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 29.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 19.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 0.6 |
| Other Investments - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 2.9 |

---

---

| | |
|:---|:---|
| United States | 85.8 |
| Canada | 4.2 |
| United Kingdom | 3.7 |
| Ireland | 1.6 |
| Netherlands | 1.5 |
| Japan | 0.8 |
| Sweden | 0.4 |
| Italy | 0.4 |
| Norway | 0.4 |
| Others | 1.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6526_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 85.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Canada - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 3.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Japan - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Sweden - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Italy - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Norway - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Others - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bill | 21.6<br>|
| US Treasury Notes | 7.9<br>|
| JPMorgan Chase & Co | 2.0<br>|
| Bank of America Corp | 1.7<br>|
| Morgan Stanley | 1.6<br>|
| Goldman Sachs Group Inc/The | 1.3<br>|
| Wells Fargo & Co | 1.2<br>|
| GMF Floorplan Owner Revolving Trust | 1.1<br>|
| Citibank NA | 1.0<br>|
| Athene Global Funding | 1.0<br>|
|  | 40.4 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img6526_20250831_2.jpg)<br>| ![](img113763_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913685.101 6526-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity® Sustainable Low Duration Bond Fund<br> **Fidelity Advisor® Sustainable Low Duration Bond Fund Class Z : FAPEX** <br>|

---

This annual shareholder report contains information about Fidelity® Sustainable Low Duration Bond Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class Z  | $21  | 0.20% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, the fund's strategy of holding short-term debt in high-quality corporations contributed to performance versus the all-U.S.-Treasury benchmark for the fiscal year. Within corporates, debt holdings among financial institutions, especially banks, and industrial firms, particularly in the consumer cyclical and consumer non-cyclical segments, added notable value.

• Non-benchmark exposure to asset-backed securities, primarily car loan debt, also meaningfully contributed.

• In contrast, the fund's yield-curve positioning detracted from relative performance.

• A small allocation to cash was a modest drag as well.

• At period end, corporates made up about 48% of fund assets, down from roughly 60% a year ago. Exposure to U.S. Treasurys rose from about 26% to roughly 30% of assets during the fiscal year, while exposure to ABS was up from about 11% to 19% of assets as of August 31.

*Application of FMR's environmental, social, and governance (ESG) ratings process and/or its sustainable investing exclusion criteria may affect the fund's exposure to certain issuers, sectors, regions, and countries and may affect the fund's performance.* 

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

April 13, 2022 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | |
|:---|:---|:---|:---|:---|
| Class Z<br>| $10000 | $10003<br>| $10411<br>| $11019<br>|
| Bloomberg US Treasury Bill: 6-9 Months Index<br>| $10000 | $9990<br>| $10301<br>| $10854<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $9696<br>| $9581<br>| $10280<br>|
|  | 2022 | 2023 | 2024 | 2025 |

---

![](img113764_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class Z | 4.86% | 4.36% |
| Bloomberg US Treasury Bill: 6-9 Months Index | 4.29%<br>| 3.73% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| 1.74% |

---

**A** From April 13, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $47087123<br>|
| Number of Holdings | 322<br>|
| Total Advisory Fee | $74586<br>|
| Portfolio Turnover | 58%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 29.5 |
| AAA | 17.8 |
| AA | 3.8 |
| A | 24.9 |
| BBB | 19.2 |
| BB | 0.1 |
| Not Rated | 1.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 2.9 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6526_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 29.5 |
| &nbsp;&nbsp;AAA - 17.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 3.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 24.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 19.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Not Rated - 1.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 2.9 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| Corporate Bonds | 47.5 |
| U.S. Treasury Obligations | 29.5 |
| Asset-Backed Securities | 19.0 |
| CMOs and Other Mortgage Related Securities | 0.6 |
| Other Investments | 0.5 |
| Short-Term Investments and Net Other Assets (Liabilities) | 2.9 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6526_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 47.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 29.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 19.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 0.6 |
| Other Investments - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 2.9 |

---

---

| | |
|:---|:---|
| United States | 85.8 |
| Canada | 4.2 |
| United Kingdom | 3.7 |
| Ireland | 1.6 |
| Netherlands | 1.5 |
| Japan | 0.8 |
| Sweden | 0.4 |
| Italy | 0.4 |
| Norway | 0.4 |
| Others | 1.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6526_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 85.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Canada - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 3.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Japan - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Sweden - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Italy - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Norway - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Others - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bill | 21.6<br>|
| US Treasury Notes | 7.9<br>|
| JPMorgan Chase & Co | 2.0<br>|
| Bank of America Corp | 1.7<br>|
| Morgan Stanley | 1.6<br>|
| Goldman Sachs Group Inc/The | 1.3<br>|
| Wells Fargo & Co | 1.2<br>|
| GMF Floorplan Owner Revolving Trust | 1.1<br>|
| Citibank NA | 1.0<br>|
| Athene Global Funding | 1.0<br>|
|  | 40.4 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img6526_20250831_2.jpg)<br>| ![](img113764_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913690.101 6531-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity® Sustainable Low Duration Bond Fund<br> **Fidelity Advisor® Sustainable Low Duration Bond Fund Class M : FAPBX** <br>|

---

This annual shareholder report contains information about Fidelity® Sustainable Low Duration Bond Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class M  | $43  | 0.42% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, the fund's strategy of holding short-term debt in high-quality corporations contributed to performance versus the all-U.S.-Treasury benchmark for the fiscal year. Within corporates, debt holdings among financial institutions, especially banks, and industrial firms, particularly in the consumer cyclical and consumer non-cyclical segments, added notable value.

• Non-benchmark exposure to asset-backed securities, primarily car loan debt, also meaningfully contributed.

• In contrast, the fund's yield-curve positioning detracted from relative performance.

• A small allocation to cash was a modest drag as well.

• At period end, corporates made up about 48% of fund assets, down from roughly 60% a year ago. Exposure to U.S. Treasurys rose from about 26% to roughly 30% of assets during the fiscal year, while exposure to ABS was up from about 11% to 19% of assets as of August 31.

*Application of FMR's environmental, social, and governance (ESG) ratings process and/or its sustainable investing exclusion criteria may affect the fund's exposure to certain issuers, sectors, regions, and countries and may affect the fund's performance.* 

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

April 13, 2022 through August 31, 2025.

Initial investment of $10,000 and the current sales charge was paid.

---

| | | | | |
|:---|:---|:---|:---|:---|
| Class M<br>| $9850 | $9845<br>| $10224<br>| $10796<br>|
| Bloomberg US Treasury Bill: 6-9 Months Index<br>| $10000 | $9990<br>| $10301<br>| $10854<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $9696<br>| $9581<br>| $10280<br>|
|  | 2022 | 2023 | 2024 | 2025 |

---

![](img113765_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class M (incl. 1.50% sales charge)  | 3.06% | 3.66% |
| Class M (without 1.50% sales charge) | 4.63% | 4.13% |
| Bloomberg US Treasury Bill: 6-9 Months Index | 4.29%<br>| 3.73% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| 1.74% |

---

**A** From April 13, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $47087123<br>|
| Number of Holdings | 322<br>|
| Total Advisory Fee | $74586<br>|
| Portfolio Turnover | 58%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 29.5 |
| AAA | 17.8 |
| AA | 3.8 |
| A | 24.9 |
| BBB | 19.2 |
| BB | 0.1 |
| Not Rated | 1.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 2.9 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6526_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 29.5 |
| &nbsp;&nbsp;AAA - 17.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 3.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 24.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 19.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Not Rated - 1.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 2.9 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| Corporate Bonds | 47.5 |
| U.S. Treasury Obligations | 29.5 |
| Asset-Backed Securities | 19.0 |
| CMOs and Other Mortgage Related Securities | 0.6 |
| Other Investments | 0.5 |
| Short-Term Investments and Net Other Assets (Liabilities) | 2.9 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6526_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 47.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 29.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 19.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 0.6 |
| Other Investments - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 2.9 |

---

---

| | |
|:---|:---|
| United States | 85.8 |
| Canada | 4.2 |
| United Kingdom | 3.7 |
| Ireland | 1.6 |
| Netherlands | 1.5 |
| Japan | 0.8 |
| Sweden | 0.4 |
| Italy | 0.4 |
| Norway | 0.4 |
| Others | 1.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6526_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 85.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Canada - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 3.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Japan - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Sweden - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Italy - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Norway - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Others - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bill | 21.6<br>|
| US Treasury Notes | 7.9<br>|
| JPMorgan Chase & Co | 2.0<br>|
| Bank of America Corp | 1.7<br>|
| Morgan Stanley | 1.6<br>|
| Goldman Sachs Group Inc/The | 1.3<br>|
| Wells Fargo & Co | 1.2<br>|
| GMF Floorplan Owner Revolving Trust | 1.1<br>|
| Citibank NA | 1.0<br>|
| Athene Global Funding | 1.0<br>|
|  | 40.4 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img6526_20250831_2.jpg)<br>| ![](img113765_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913688.101 6529-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity® Sustainable Low Duration Bond Fund<br> **Fidelity Advisor® Sustainable Low Duration Bond Fund Class I : FAPDX** <br>|

---

This annual shareholder report contains information about Fidelity® Sustainable Low Duration Bond Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class I  | $26  | 0.25% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, the fund's strategy of holding short-term debt in high-quality corporations contributed to performance versus the all-U.S.-Treasury benchmark for the fiscal year. Within corporates, debt holdings among financial institutions, especially banks, and industrial firms, particularly in the consumer cyclical and consumer non-cyclical segments, added notable value.

• Non-benchmark exposure to asset-backed securities, primarily car loan debt, also meaningfully contributed.

• In contrast, the fund's yield-curve positioning detracted from relative performance.

• A small allocation to cash was a modest drag as well.

• At period end, corporates made up about 48% of fund assets, down from roughly 60% a year ago. Exposure to U.S. Treasurys rose from about 26% to roughly 30% of assets during the fiscal year, while exposure to ABS was up from about 11% to 19% of assets as of August 31.

*Application of FMR's environmental, social, and governance (ESG) ratings process and/or its sustainable investing exclusion criteria may affect the fund's exposure to certain issuers, sectors, regions, and countries and may affect the fund's performance.* 

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

April 13, 2022 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | |
|:---|:---|:---|:---|:---|
| Class I<br>| $10000 | $10001<br>| $10404<br>| $11006<br>|
| Bloomberg US Treasury Bill: 6-9 Months Index<br>| $10000 | $9990<br>| $10301<br>| $10854<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $9696<br>| $9581<br>| $10280<br>|
|  | 2022 | 2023 | 2024 | 2025 |

---

![](img113766_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class I | 4.81% | 4.31% |
| Bloomberg US Treasury Bill: 6-9 Months Index | 4.29%<br>| 3.73% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| 1.74% |

---

**A** From April 13, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $47087123<br>|
| Number of Holdings | 322<br>|
| Total Advisory Fee | $74586<br>|
| Portfolio Turnover | 58%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 29.5 |
| AAA | 17.8 |
| AA | 3.8 |
| A | 24.9 |
| BBB | 19.2 |
| BB | 0.1 |
| Not Rated | 1.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 2.9 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6526_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 29.5 |
| &nbsp;&nbsp;AAA - 17.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 3.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 24.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 19.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Not Rated - 1.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 2.9 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| Corporate Bonds | 47.5 |
| U.S. Treasury Obligations | 29.5 |
| Asset-Backed Securities | 19.0 |
| CMOs and Other Mortgage Related Securities | 0.6 |
| Other Investments | 0.5 |
| Short-Term Investments and Net Other Assets (Liabilities) | 2.9 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6526_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 47.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 29.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 19.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 0.6 |
| Other Investments - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 2.9 |

---

---

| | |
|:---|:---|
| United States | 85.8 |
| Canada | 4.2 |
| United Kingdom | 3.7 |
| Ireland | 1.6 |
| Netherlands | 1.5 |
| Japan | 0.8 |
| Sweden | 0.4 |
| Italy | 0.4 |
| Norway | 0.4 |
| Others | 1.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6526_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 85.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Canada - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 3.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Japan - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Sweden - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Italy - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Norway - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Others - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bill | 21.6<br>|
| US Treasury Notes | 7.9<br>|
| JPMorgan Chase & Co | 2.0<br>|
| Bank of America Corp | 1.7<br>|
| Morgan Stanley | 1.6<br>|
| Goldman Sachs Group Inc/The | 1.3<br>|
| Wells Fargo & Co | 1.2<br>|
| GMF Floorplan Owner Revolving Trust | 1.1<br>|
| Citibank NA | 1.0<br>|
| Athene Global Funding | 1.0<br>|
|  | 40.4 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img6526_20250831_2.jpg)<br>| ![](img113766_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913689.101 6530-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity® Sustainable Low Duration Bond Fund<br> **Fidelity Advisor® Sustainable Low Duration Bond Fund Class C : FANDX** <br>|

---

This annual shareholder report contains information about Fidelity® Sustainable Low Duration Bond Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class C  | $130  | 1.28% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, the fund's strategy of holding short-term debt in high-quality corporations contributed to performance versus the all-U.S.-Treasury benchmark for the fiscal year. Within corporates, debt holdings among financial institutions, especially banks, and industrial firms, particularly in the consumer cyclical and consumer non-cyclical segments, added notable value.

• Non-benchmark exposure to asset-backed securities, primarily car loan debt, also meaningfully contributed.

• In contrast, the fund's yield-curve positioning detracted from relative performance.

• A small allocation to cash was a modest drag as well.

• At period end, corporates made up about 48% of fund assets, down from roughly 60% a year ago. Exposure to U.S. Treasurys rose from about 26% to roughly 30% of assets during the fiscal year, while exposure to ABS was up from about 11% to 19% of assets as of August 31.

*Application of FMR's environmental, social, and governance (ESG) ratings process and/or its sustainable investing exclusion criteria may affect the fund's exposure to certain issuers, sectors, regions, and countries and may affect the fund's performance.* 

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

April 13, 2022 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | |
|:---|:---|:---|:---|:---|
| Class C<br>| $10000 | $9957<br>| $10253<br>| $10735<br>|
| Bloomberg US Treasury Bill: 6-9 Months Index<br>| $10000 | $9990<br>| $10301<br>| $10854<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $9696<br>| $9581<br>| $10280<br>|
|  | 2022 | 2023 | 2024 | 2025 |

---

![](img113767_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class C (incl. contingent deferred sales charge) | 2.74% | 3.23% |
| Class C | 3.74% | 3.23% |
| Bloomberg US Treasury Bill: 6-9 Months Index | 4.29%<br>| 3.73% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| 1.74% |

---

**A** From April 13, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $47087123<br>|
| Number of Holdings | 322<br>|
| Total Advisory Fee | $74586<br>|
| Portfolio Turnover | 58%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 29.5 |
| AAA | 17.8 |
| AA | 3.8 |
| A | 24.9 |
| BBB | 19.2 |
| BB | 0.1 |
| Not Rated | 1.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 2.9 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6526_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 29.5 |
| &nbsp;&nbsp;AAA - 17.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 3.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 24.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 19.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Not Rated - 1.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 2.9 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| Corporate Bonds | 47.5 |
| U.S. Treasury Obligations | 29.5 |
| Asset-Backed Securities | 19.0 |
| CMOs and Other Mortgage Related Securities | 0.6 |
| Other Investments | 0.5 |
| Short-Term Investments and Net Other Assets (Liabilities) | 2.9 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6526_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 47.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 29.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 19.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 0.6 |
| Other Investments - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 2.9 |

---

---

| | |
|:---|:---|
| United States | 85.8 |
| Canada | 4.2 |
| United Kingdom | 3.7 |
| Ireland | 1.6 |
| Netherlands | 1.5 |
| Japan | 0.8 |
| Sweden | 0.4 |
| Italy | 0.4 |
| Norway | 0.4 |
| Others | 1.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6526_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 85.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Canada - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 3.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Japan - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Sweden - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Italy - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Norway - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Others - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bill | 21.6<br>|
| US Treasury Notes | 7.9<br>|
| JPMorgan Chase & Co | 2.0<br>|
| Bank of America Corp | 1.7<br>|
| Morgan Stanley | 1.6<br>|
| Goldman Sachs Group Inc/The | 1.3<br>|
| Wells Fargo & Co | 1.2<br>|
| GMF Floorplan Owner Revolving Trust | 1.1<br>|
| Citibank NA | 1.0<br>|
| Athene Global Funding | 1.0<br>|
|  | 40.4 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img6526_20250831_2.jpg)<br>| ![](img113767_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913687.101 6528-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity® Sustainable Low Duration Bond Fund<br> **Fidelity Advisor® Sustainable Low Duration Bond Fund Class A : FAMZX** <br>|

---

This annual shareholder report contains information about Fidelity® Sustainable Low Duration Bond Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class A  | $46  | 0.45% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, the fund's strategy of holding short-term debt in high-quality corporations contributed to performance versus the all-U.S.-Treasury benchmark for the fiscal year. Within corporates, debt holdings among financial institutions, especially banks, and industrial firms, particularly in the consumer cyclical and consumer non-cyclical segments, added notable value.

• Non-benchmark exposure to asset-backed securities, primarily car loan debt, also meaningfully contributed.

• In contrast, the fund's yield-curve positioning detracted from relative performance.

• A small allocation to cash was a modest drag as well.

• At period end, corporates made up about 48% of fund assets, down from roughly 60% a year ago. Exposure to U.S. Treasurys rose from about 26% to roughly 30% of assets during the fiscal year, while exposure to ABS was up from about 11% to 19% of assets as of August 31.

*Application of FMR's environmental, social, and governance (ESG) ratings process and/or its sustainable investing exclusion criteria may affect the fund's exposure to certain issuers, sectors, regions, and countries and may affect the fund's performance.* 

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

April 13, 2022 through August 31, 2025.

Initial investment of $10,000 and the current sales charge was paid.

---

| | | | | |
|:---|:---|:---|:---|:---|
| Class A<br>| $9850 | $9845<br>| $10221<br>| $10791<br>|
| Bloomberg US Treasury Bill: 6-9 Months Index<br>| $10000 | $9990<br>| $10301<br>| $10854<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $9696<br>| $9581<br>| $10280<br>|
|  | 2022 | 2023 | 2024 | 2025 |

---

![](img113768_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class A (incl. 1.50% sales charge)  | 3.03% | 3.64% |
| Class A (without 1.50% sales charge) | 4.60% | 4.11% |
| Bloomberg US Treasury Bill: 6-9 Months Index | 4.29%<br>| 3.73% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| 1.74% |

---

**A** From April 13, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $47087123<br>|
| Number of Holdings | 322<br>|
| Total Advisory Fee | $74586<br>|
| Portfolio Turnover | 58%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 29.5 |
| AAA | 17.8 |
| AA | 3.8 |
| A | 24.9 |
| BBB | 19.2 |
| BB | 0.1 |
| Not Rated | 1.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 2.9 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6526_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 29.5 |
| &nbsp;&nbsp;AAA - 17.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 3.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 24.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 19.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Not Rated - 1.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 2.9 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| Corporate Bonds | 47.5 |
| U.S. Treasury Obligations | 29.5 |
| Asset-Backed Securities | 19.0 |
| CMOs and Other Mortgage Related Securities | 0.6 |
| Other Investments | 0.5 |
| Short-Term Investments and Net Other Assets (Liabilities) | 2.9 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6526_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 47.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 29.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 19.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 0.6 |
| Other Investments - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 2.9 |

---

---

| | |
|:---|:---|
| United States | 85.8 |
| Canada | 4.2 |
| United Kingdom | 3.7 |
| Ireland | 1.6 |
| Netherlands | 1.5 |
| Japan | 0.8 |
| Sweden | 0.4 |
| Italy | 0.4 |
| Norway | 0.4 |
| Others | 1.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6526_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 85.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Canada - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 3.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Japan - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Sweden - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Italy - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Norway - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Others - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bill | 21.6<br>|
| US Treasury Notes | 7.9<br>|
| JPMorgan Chase & Co | 2.0<br>|
| Bank of America Corp | 1.7<br>|
| Morgan Stanley | 1.6<br>|
| Goldman Sachs Group Inc/The | 1.3<br>|
| Wells Fargo & Co | 1.2<br>|
| GMF Floorplan Owner Revolving Trust | 1.1<br>|
| Citibank NA | 1.0<br>|
| Athene Global Funding | 1.0<br>|
|  | 40.4 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img6526_20250831_2.jpg)<br>| ![](img113768_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913686.101 6527-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity® Sustainable Core Plus Bond Fund<br> **Fidelity® Sustainable Core Plus Bond Fund : FIAEX** <br>|

---

This annual shareholder report contains information about Fidelity® Sustainable Core Plus Bond Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Sustainable Core Plus Bond Fund  | $46  | 0.45% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, an allocation to high-yield bonds contributed to the fund's outperformance of the Bloomberg U.S. Aggregate Bond Index for the fiscal year.

• Security selection also added value. Specifically, fund holdings in the corporate segment made a notable contribution to relative performance, led by picks among financials, particularly REITs and banks.

• An overweight and picks among collateralized loan obligations also helped.

• The fund's underweights in mortgage-backed securities and U.S. Treasurys buoyed relative performance as well.

• The portfolio's yield-curve positioning also provided a boost to performance versus the benchmark.

• In contrast, the fund's underweight in the bonds of industrial firms within the corporate sector detracted versus the benchmark.

• The fund's modestly longer duration relative to the benchmark also hurt.

• Notable changes over the past 12 months included management's decision to gradually lower the fund's overall risk profile by reducing exposure to investment-grade corporate bonds and increasing the allocation to U.S. Treasurys.

*Application of FMR's environmental, social, and governance (ESG) ratings process and/or its sustainable investing exclusion criteria may affect the Fund's exposure to certain issuers, sectors, regions, and countries and may affect the Fund's performance.*

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

April 13, 2022 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | |
|:---|:---|:---|:---|:---|
| Fidelity® Sustainable Core Plus Bond Fund<br>| $10000 | $9592<br>| $9547<br>| $10275<br>|
| Bloomberg MSCI U.S. Aggregate ESG Choice Bond Index<br>| $10000 | $9702<br>| $9590<br>| $10286<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $9696<br>| $9581<br>| $10280<br>|
|  | 2022 | 2023 | 2024 | 2025 |

---

![](img113771_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Fidelity® Sustainable Core Plus Bond Fund | 3.60% | 1.86% |
| Bloomberg MSCI U.S. Aggregate ESG Choice Bond Index | 3.17%<br>| 1.77% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| 1.74% |

---

**A** From April 13, 2022

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $47786486<br>|
| Number of Holdings | 699<br>|
| Total Advisory Fee | $145078<br>|
| Portfolio Turnover | 201%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 55.1 |
| AAA | 5.8 |
| AA | 0.9 |
| A | 10.6 |
| BBB | 14.8 |
| BB | 4.2 |
| B | 2.5 |
| CCC,CC,C | 1.7 |
| D | 0.0 |
| Not Rated | 1.4 |
| Equities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.0 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6541_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 55.1 |
| &nbsp;&nbsp;AAA - 5.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 10.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 14.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;B - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;CCC,CC,C - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;D - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Equities - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 3.0 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 38.9 |
| Corporate Bonds | 33.0 |
| U.S. Government Agency - Mortgage Securities | 16.2 |
| Asset-Backed Securities | 6.0 |
| CMOs and Other Mortgage Related Securities | 0.9 |
| Bank Loan Obligations | 0.8 |
| Foreign Government and Government Agency Obligations | 0.8 |
| Preferred Securities | 0.4 |
| Preferred Stocks | 0.0 |
| Common Stocks | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.0 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6541_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 38.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 33.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 16.2 |
| Asset-Backed Securities - 6.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 0.9 |
| Bank Loan Obligations - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.8 |
| Preferred Securities - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 3.0 |

---

---

| | |
|:---|:---|
| United States | 83.6 |
| Grand Cayman (UK Overseas Ter) | 3.9 |
| United Kingdom | 2.5 |
| Bailiwick Of Jersey | 1.6 |
| Italy | 1.4 |
| France | 0.8 |
| Netherlands | 0.7 |
| Canada | 0.7 |
| Germany | 0.6 |
| Others | 4.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6541_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 83.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Grand Cayman (UK Overseas Ter) - 3.9&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Bailiwick Of Jersey - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Italy - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Netherlands - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Canada - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 27.4<br>|
| US Treasury Bonds | 11.5<br>|
| Fannie Mae Mortgage pass-thru certificates | 5.0<br>|
| Ginnie Mae II Pool | 4.1<br>|
| Uniform Mortgage Backed Securities | 3.0<br>|
| Freddie Mac Gold Pool | 2.8<br>|
| Bank of America Corp | 1.1<br>|
| Symphony Clo Xxvi Ltd / Symphony Clo Xxvi LLC | 1.0<br>|
| AES Corp/The | 0.7<br>|
| Enel Finance International NV | 0.7<br>|
|  | 57.3 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img6541_20250831_2.jpg)<br>| ![](img113771_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913692.101 6541-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity® Sustainable Core Plus Bond Fund<br> **Fidelity Advisor® Sustainable Core Plus Bond Fund Class Z : FIAMX** <br>|

---

This annual shareholder report contains information about Fidelity® Sustainable Core Plus Bond Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class Z  | $37  | 0.36% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, an allocation to high-yield bonds contributed to the fund's outperformance of the Bloomberg U.S. Aggregate Bond Index for the fiscal year.

• Security selection also added value. Specifically, fund holdings in the corporate segment made a notable contribution to relative performance, led by picks among financials, particularly REITs and banks.

• An overweight and picks among collateralized loan obligations also helped.

• The fund's underweights in mortgage-backed securities and U.S. Treasurys buoyed relative performance as well.

• The portfolio's yield-curve positioning also provided a boost to performance versus the benchmark.

• In contrast, the fund's underweight in the bonds of industrial firms within the corporate sector detracted versus the benchmark.

• The fund's modestly longer duration relative to the benchmark also hurt.

• Notable changes over the past 12 months included management's decision to gradually lower the fund's overall risk profile by reducing exposure to investment-grade corporate bonds and increasing the allocation to U.S. Treasurys.

*Application of FMR's environmental, social, and governance (ESG) ratings process and/or its sustainable investing exclusion criteria may affect the Fund's exposure to certain issuers, sectors, regions, and countries and may affect the Fund's performance.*

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

April 13, 2022 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | |
|:---|:---|:---|:---|:---|
| Class Z<br>| $10000 | $9595<br>| $9559<br>| $10308<br>|
| Bloomberg MSCI U.S. Aggregate ESG Choice Bond Index<br>| $10000 | $9702<br>| $9590<br>| $10286<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $9696<br>| $9581<br>| $10280<br>|
|  | 2022 | 2023 | 2024 | 2025 |

---

![](img113772_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class Z | 3.58% | 1.95% |
| Bloomberg MSCI U.S. Aggregate ESG Choice Bond Index | 3.17%<br>| 1.77% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| 1.74% |

---

**A** From April 13, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $47786486<br>|
| Number of Holdings | 699<br>|
| Total Advisory Fee | $145078<br>|
| Portfolio Turnover | 201%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 55.1 |
| AAA | 5.8 |
| AA | 0.9 |
| A | 10.6 |
| BBB | 14.8 |
| BB | 4.2 |
| B | 2.5 |
| CCC,CC,C | 1.7 |
| D | 0.0 |
| Not Rated | 1.4 |
| Equities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.0 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6541_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 55.1 |
| &nbsp;&nbsp;AAA - 5.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 10.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 14.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;B - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;CCC,CC,C - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;D - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Equities - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 3.0 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 38.9 |
| Corporate Bonds | 33.0 |
| U.S. Government Agency - Mortgage Securities | 16.2 |
| Asset-Backed Securities | 6.0 |
| CMOs and Other Mortgage Related Securities | 0.9 |
| Bank Loan Obligations | 0.8 |
| Foreign Government and Government Agency Obligations | 0.8 |
| Preferred Securities | 0.4 |
| Preferred Stocks | 0.0 |
| Common Stocks | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.0 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6541_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 38.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 33.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 16.2 |
| Asset-Backed Securities - 6.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 0.9 |
| Bank Loan Obligations - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.8 |
| Preferred Securities - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 3.0 |

---

---

| | |
|:---|:---|
| United States | 83.6 |
| Grand Cayman (UK Overseas Ter) | 3.9 |
| United Kingdom | 2.5 |
| Bailiwick Of Jersey | 1.6 |
| Italy | 1.4 |
| France | 0.8 |
| Netherlands | 0.7 |
| Canada | 0.7 |
| Germany | 0.6 |
| Others | 4.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6541_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 83.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Grand Cayman (UK Overseas Ter) - 3.9&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Bailiwick Of Jersey - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Italy - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Netherlands - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Canada - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 27.4<br>|
| US Treasury Bonds | 11.5<br>|
| Fannie Mae Mortgage pass-thru certificates | 5.0<br>|
| Ginnie Mae II Pool | 4.1<br>|
| Uniform Mortgage Backed Securities | 3.0<br>|
| Freddie Mac Gold Pool | 2.8<br>|
| Bank of America Corp | 1.1<br>|
| Symphony Clo Xxvi Ltd / Symphony Clo Xxvi LLC | 1.0<br>|
| AES Corp/The | 0.7<br>|
| Enel Finance International NV | 0.7<br>|
|  | 57.3 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img6541_20250831_2.jpg)<br>| ![](img113772_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913697.101 6546-TSRA-1025 <br>|

---

---

| | |
|:---|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 | &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |
| Fidelity® Sustainable Core Plus Bond Fund<br> **Fidelity Advisor® Sustainable Core Plus Bond Fund Class M : FIAKX** <br>| &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |

---

This annual shareholder report contains information about Fidelity® Sustainable Core Plus Bond Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class M  | $75  | 0.74% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, an allocation to high-yield bonds contributed to the fund's outperformance of the Bloomberg U.S. Aggregate Bond Index for the fiscal year.

• Security selection also added value. Specifically, fund holdings in the corporate segment made a notable contribution to relative performance, led by picks among financials, particularly REITs and banks.

• An overweight and picks among collateralized loan obligations also helped.

• The fund's underweights in mortgage-backed securities and U.S. Treasurys buoyed relative performance as well.

• The portfolio's yield-curve positioning also provided a boost to performance versus the benchmark.

• In contrast, the fund's underweight in the bonds of industrial firms within the corporate sector detracted versus the benchmark.

• The fund's modestly longer duration relative to the benchmark also hurt.

• Notable changes over the past 12 months included management's decision to gradually lower the fund's overall risk profile by reducing exposure to investment-grade corporate bonds and increasing the allocation to U.S. Treasurys.

*Application of FMR's environmental, social, and governance (ESG) ratings process and/or its sustainable investing exclusion criteria may affect the Fund's exposure to certain issuers, sectors, regions, and countries and may affect the Fund's performance.*

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

April 13, 2022 through August 31, 2025.

Initial investment of $10,000 and the current sales charge was paid.

---

| | | | | |
|:---|:---|:---|:---|:---|
| Class M<br>| $9600 | $9202<br>| $9139<br>| $9814<br>|
| Bloomberg MSCI U.S. Aggregate ESG Choice Bond Index<br>| $10000 | $9702<br>| $9590<br>| $10286<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $9696<br>| $9581<br>| $10280<br>|
|  | 2022 | 2023 | 2024 | 2025 |

---

![](img113773_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class M (incl. 4.00% sales charge)  | -0.83% | 0.41% |
| Class M (without 4.00% sales charge) | 3.30% | 1.62% |
| Bloomberg MSCI U.S. Aggregate ESG Choice Bond Index | 3.17%<br>| 1.77% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| 1.74% |

---

**A** From April 13, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $47786486<br>|
| Number of Holdings | 699<br>|
| Total Advisory Fee | $145078<br>|
| Portfolio Turnover | 201%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 55.1 |
| AAA | 5.8 |
| AA | 0.9 |
| A | 10.6 |
| BBB | 14.8 |
| BB | 4.2 |
| B | 2.5 |
| CCC,CC,C | 1.7 |
| D | 0.0 |
| Not Rated | 1.4 |
| Equities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.0 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6541_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 55.1 |
| &nbsp;&nbsp;AAA - 5.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 10.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 14.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;B - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;CCC,CC,C - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;D - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Equities - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 3.0 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 38.9 |
| Corporate Bonds | 33.0 |
| U.S. Government Agency - Mortgage Securities | 16.2 |
| Asset-Backed Securities | 6.0 |
| CMOs and Other Mortgage Related Securities | 0.9 |
| Bank Loan Obligations | 0.8 |
| Foreign Government and Government Agency Obligations | 0.8 |
| Preferred Securities | 0.4 |
| Preferred Stocks | 0.0 |
| Common Stocks | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.0 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6541_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 38.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 33.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 16.2 |
| Asset-Backed Securities - 6.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 0.9 |
| Bank Loan Obligations - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.8 |
| Preferred Securities - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 3.0 |

---

---

| | |
|:---|:---|
| United States | 83.6 |
| Grand Cayman (UK Overseas Ter) | 3.9 |
| United Kingdom | 2.5 |
| Bailiwick Of Jersey | 1.6 |
| Italy | 1.4 |
| France | 0.8 |
| Netherlands | 0.7 |
| Canada | 0.7 |
| Germany | 0.6 |
| Others | 4.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6541_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 83.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Grand Cayman (UK Overseas Ter) - 3.9&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Bailiwick Of Jersey - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Italy - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Netherlands - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Canada - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 27.4<br>|
| US Treasury Bonds | 11.5<br>|
| Fannie Mae Mortgage pass-thru certificates | 5.0<br>|
| Ginnie Mae II Pool | 4.1<br>|
| Uniform Mortgage Backed Securities | 3.0<br>|
| Freddie Mac Gold Pool | 2.8<br>|
| Bank of America Corp | 1.1<br>|
| Symphony Clo Xxvi Ltd / Symphony Clo Xxvi LLC | 1.0<br>|
| AES Corp/The | 0.7<br>|
| Enel Finance International NV | 0.7<br>|
|  | 57.3 |

---

**How has the Fund changed?**

This is a summary of certain changes to the Fund since September 1, 2024. For more complete information, you may review the Fund's next prospectus, which we expect to be available by October 30, 2025 at **fundresearch.fidelity.com/prospectus/sec** or upon request at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

The fees associated with this class changed during the reporting year. The variations in class fees are primarily the result of the following changes: Operating expenses

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img6541_20250831_2.jpg)<br>| ![](img113773_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913695.101 6544-TSRA-1025 <br>|

---

---

| | |
|:---|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 | &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |
| Fidelity® Sustainable Core Plus Bond Fund<br> **Fidelity Advisor® Sustainable Core Plus Bond Fund Class I : FIALX** <br>| &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |

---

This annual shareholder report contains information about Fidelity® Sustainable Core Plus Bond Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class I  | $46  | 0.45% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, an allocation to high-yield bonds contributed to the fund's outperformance of the Bloomberg U.S. Aggregate Bond Index for the fiscal year.

• Security selection also added value. Specifically, fund holdings in the corporate segment made a notable contribution to relative performance, led by picks among financials, particularly REITs and banks.

• An overweight and picks among collateralized loan obligations also helped.

• The fund's underweights in mortgage-backed securities and U.S. Treasurys buoyed relative performance as well.

• The portfolio's yield-curve positioning also provided a boost to performance versus the benchmark.

• In contrast, the fund's underweight in the bonds of industrial firms within the corporate sector detracted versus the benchmark.

• The fund's modestly longer duration relative to the benchmark also hurt.

• Notable changes over the past 12 months included management's decision to gradually lower the fund's overall risk profile by reducing exposure to investment-grade corporate bonds and increasing the allocation to U.S. Treasurys.

*Application of FMR's environmental, social, and governance (ESG) ratings process and/or its sustainable investing exclusion criteria may affect the Fund's exposure to certain issuers, sectors, regions, and countries and may affect the Fund's performance.*

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

April 13, 2022 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | |
|:---|:---|:---|:---|:---|
| Class I<br>| $10000 | $9594<br>| $9553<br>| $10284<br>|
| Bloomberg MSCI U.S. Aggregate ESG Choice Bond Index<br>| $10000 | $9702<br>| $9590<br>| $10286<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $9696<br>| $9581<br>| $10280<br>|
|  | 2022 | 2023 | 2024 | 2025 |

---

![](img113774_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class I | 3.60% | 1.89% |
| Bloomberg MSCI U.S. Aggregate ESG Choice Bond Index | 3.17%<br>| 1.77% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| 1.74% |

---

**A** From April 13, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $47786486<br>|
| Number of Holdings | 699<br>|
| Total Advisory Fee | $145078<br>|
| Portfolio Turnover | 201%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 55.1 |
| AAA | 5.8 |
| AA | 0.9 |
| A | 10.6 |
| BBB | 14.8 |
| BB | 4.2 |
| B | 2.5 |
| CCC,CC,C | 1.7 |
| D | 0.0 |
| Not Rated | 1.4 |
| Equities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.0 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6541_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 55.1 |
| &nbsp;&nbsp;AAA - 5.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 10.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 14.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;B - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;CCC,CC,C - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;D - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Equities - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 3.0 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 38.9 |
| Corporate Bonds | 33.0 |
| U.S. Government Agency - Mortgage Securities | 16.2 |
| Asset-Backed Securities | 6.0 |
| CMOs and Other Mortgage Related Securities | 0.9 |
| Bank Loan Obligations | 0.8 |
| Foreign Government and Government Agency Obligations | 0.8 |
| Preferred Securities | 0.4 |
| Preferred Stocks | 0.0 |
| Common Stocks | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.0 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6541_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 38.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 33.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 16.2 |
| Asset-Backed Securities - 6.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 0.9 |
| Bank Loan Obligations - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.8 |
| Preferred Securities - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 3.0 |

---

---

| | |
|:---|:---|
| United States | 83.6 |
| Grand Cayman (UK Overseas Ter) | 3.9 |
| United Kingdom | 2.5 |
| Bailiwick Of Jersey | 1.6 |
| Italy | 1.4 |
| France | 0.8 |
| Netherlands | 0.7 |
| Canada | 0.7 |
| Germany | 0.6 |
| Others | 4.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6541_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 83.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Grand Cayman (UK Overseas Ter) - 3.9&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Bailiwick Of Jersey - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Italy - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Netherlands - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Canada - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 27.4<br>|
| US Treasury Bonds | 11.5<br>|
| Fannie Mae Mortgage pass-thru certificates | 5.0<br>|
| Ginnie Mae II Pool | 4.1<br>|
| Uniform Mortgage Backed Securities | 3.0<br>|
| Freddie Mac Gold Pool | 2.8<br>|
| Bank of America Corp | 1.1<br>|
| Symphony Clo Xxvi Ltd / Symphony Clo Xxvi LLC | 1.0<br>|
| AES Corp/The | 0.7<br>|
| Enel Finance International NV | 0.7<br>|
|  | 57.3 |

---

**How has the Fund changed?**

This is a summary of certain changes to the Fund since September 1, 2024. For more complete information, you may review the Fund's next prospectus, which we expect to be available by October 30, 2025 at **fundresearch.fidelity.com/prospectus/sec** or upon request at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

The fees associated with this class changed during the reporting year. The variations in class fees are primarily the result of the following changes: Operating expensesExpense reductions

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img6541_20250831_2.jpg)<br>| ![](img113774_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913696.101 6545-TSRA-1025 <br>|

---

---

| | |
|:---|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 | &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |
| Fidelity® Sustainable Core Plus Bond Fund<br> **Fidelity Advisor® Sustainable Core Plus Bond Fund Class C : FIAJX** <br>| &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |

---

This annual shareholder report contains information about Fidelity® Sustainable Core Plus Bond Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class C  | $151  | 1.49% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, an allocation to high-yield bonds contributed to the fund's outperformance of the Bloomberg U.S. Aggregate Bond Index for the fiscal year.

• Security selection also added value. Specifically, fund holdings in the corporate segment made a notable contribution to relative performance, led by picks among financials, particularly REITs and banks.

• An overweight and picks among collateralized loan obligations also helped.

• The fund's underweights in mortgage-backed securities and U.S. Treasurys buoyed relative performance as well.

• The portfolio's yield-curve positioning also provided a boost to performance versus the benchmark.

• In contrast, the fund's underweight in the bonds of industrial firms within the corporate sector detracted versus the benchmark.

• The fund's modestly longer duration relative to the benchmark also hurt.

• Notable changes over the past 12 months included management's decision to gradually lower the fund's overall risk profile by reducing exposure to investment-grade corporate bonds and increasing the allocation to U.S. Treasurys.

*Application of FMR's environmental, social, and governance (ESG) ratings process and/or its sustainable investing exclusion criteria may affect the Fund's exposure to certain issuers, sectors, regions, and countries and may affect the Fund's performance.*

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

April 13, 2022 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | |
|:---|:---|:---|:---|:---|
| Class C<br>| $10000 | $9559<br>| $9423<br>| $10046<br>|
| Bloomberg MSCI U.S. Aggregate ESG Choice Bond Index<br>| $10000 | $9702<br>| $9590<br>| $10286<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $9696<br>| $9581<br>| $10280<br>|
|  | 2022 | 2023 | 2024 | 2025 |

---

![](img113775_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class C (incl. contingent deferred sales charge) | 1.43% | 0.85% |
| Class C | 2.43% | 0.85% |
| Bloomberg MSCI U.S. Aggregate ESG Choice Bond Index | 3.17%<br>| 1.77% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| 1.74% |

---

**A** From April 13, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $47786486<br>|
| Number of Holdings | 699<br>|
| Total Advisory Fee | $145078<br>|
| Portfolio Turnover | 201%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 55.1 |
| AAA | 5.8 |
| AA | 0.9 |
| A | 10.6 |
| BBB | 14.8 |
| BB | 4.2 |
| B | 2.5 |
| CCC,CC,C | 1.7 |
| D | 0.0 |
| Not Rated | 1.4 |
| Equities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.0 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6541_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 55.1 |
| &nbsp;&nbsp;AAA - 5.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 10.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 14.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;B - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;CCC,CC,C - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;D - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Equities - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 3.0 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 38.9 |
| Corporate Bonds | 33.0 |
| U.S. Government Agency - Mortgage Securities | 16.2 |
| Asset-Backed Securities | 6.0 |
| CMOs and Other Mortgage Related Securities | 0.9 |
| Bank Loan Obligations | 0.8 |
| Foreign Government and Government Agency Obligations | 0.8 |
| Preferred Securities | 0.4 |
| Preferred Stocks | 0.0 |
| Common Stocks | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.0 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6541_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 38.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 33.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 16.2 |
| Asset-Backed Securities - 6.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 0.9 |
| Bank Loan Obligations - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.8 |
| Preferred Securities - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 3.0 |

---

---

| | |
|:---|:---|
| United States | 83.6 |
| Grand Cayman (UK Overseas Ter) | 3.9 |
| United Kingdom | 2.5 |
| Bailiwick Of Jersey | 1.6 |
| Italy | 1.4 |
| France | 0.8 |
| Netherlands | 0.7 |
| Canada | 0.7 |
| Germany | 0.6 |
| Others | 4.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6541_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 83.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Grand Cayman (UK Overseas Ter) - 3.9&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Bailiwick Of Jersey - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Italy - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Netherlands - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Canada - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 27.4<br>|
| US Treasury Bonds | 11.5<br>|
| Fannie Mae Mortgage pass-thru certificates | 5.0<br>|
| Ginnie Mae II Pool | 4.1<br>|
| Uniform Mortgage Backed Securities | 3.0<br>|
| Freddie Mac Gold Pool | 2.8<br>|
| Bank of America Corp | 1.1<br>|
| Symphony Clo Xxvi Ltd / Symphony Clo Xxvi LLC | 1.0<br>|
| AES Corp/The | 0.7<br>|
| Enel Finance International NV | 0.7<br>|
|  | 57.3 |

---

**How has the Fund changed?**

This is a summary of certain changes to the Fund since September 1, 2024. For more complete information, you may review the Fund's next prospectus, which we expect to be available by October 30, 2025 at **fundresearch.fidelity.com/prospectus/sec** or upon request at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

The fees associated with this class changed during the reporting year. The variations in class fees are primarily the result of the following changes: Operating expenses

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img6541_20250831_2.jpg)<br>| ![](img113775_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913694.101 6543-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity® Sustainable Core Plus Bond Fund<br> **Fidelity Advisor® Sustainable Core Plus Bond Fund Class A : FIAIX** <br>|

---

This annual shareholder report contains information about Fidelity® Sustainable Core Plus Bond Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class A  | $69  | 0.67% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, an allocation to high-yield bonds contributed to the fund's outperformance of the Bloomberg U.S. Aggregate Bond Index for the fiscal year.

• Security selection also added value. Specifically, fund holdings in the corporate segment made a notable contribution to relative performance, led by picks among financials, particularly REITs and banks.

• An overweight and picks among collateralized loan obligations also helped.

• The fund's underweights in mortgage-backed securities and U.S. Treasurys buoyed relative performance as well.

• The portfolio's yield-curve positioning also provided a boost to performance versus the benchmark.

• In contrast, the fund's underweight in the bonds of industrial firms within the corporate sector detracted versus the benchmark.

• The fund's modestly longer duration relative to the benchmark also hurt.

• Notable changes over the past 12 months included management's decision to gradually lower the fund's overall risk profile by reducing exposure to investment-grade corporate bonds and increasing the allocation to U.S. Treasurys.

*Application of FMR's environmental, social, and governance (ESG) ratings process and/or its sustainable investing exclusion criteria may affect the Fund's exposure to certain issuers, sectors, regions, and countries and may affect the Fund's performance.*

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

April 13, 2022 through August 31, 2025.

Initial investment of $10,000 and the current sales charge was paid.

---

| | | | | |
|:---|:---|:---|:---|:---|
| Class A<br>| $9600 | $9202<br>| $9137<br>| $9812<br>|
| Bloomberg MSCI U.S. Aggregate ESG Choice Bond Index<br>| $10000 | $9702<br>| $9590<br>| $10286<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $9696<br>| $9581<br>| $10280<br>|
|  | 2022 | 2023 | 2024 | 2025 |

---

![](img113776_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class A (incl. 4.00% sales charge)  | -0.76% | 0.42% |
| Class A (without 4.00% sales charge) | 3.37% | 1.64% |
| Bloomberg MSCI U.S. Aggregate ESG Choice Bond Index | 3.17%<br>| 1.77% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| 1.74% |

---

**A** From April 13, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $47786486<br>|
| Number of Holdings | 699<br>|
| Total Advisory Fee | $145078<br>|
| Portfolio Turnover | 201%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 55.1 |
| AAA | 5.8 |
| AA | 0.9 |
| A | 10.6 |
| BBB | 14.8 |
| BB | 4.2 |
| B | 2.5 |
| CCC,CC,C | 1.7 |
| D | 0.0 |
| Not Rated | 1.4 |
| Equities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.0 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6541_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 55.1 |
| &nbsp;&nbsp;AAA - 5.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 10.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 14.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;B - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;CCC,CC,C - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;D - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Equities - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 3.0 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 38.9 |
| Corporate Bonds | 33.0 |
| U.S. Government Agency - Mortgage Securities | 16.2 |
| Asset-Backed Securities | 6.0 |
| CMOs and Other Mortgage Related Securities | 0.9 |
| Bank Loan Obligations | 0.8 |
| Foreign Government and Government Agency Obligations | 0.8 |
| Preferred Securities | 0.4 |
| Preferred Stocks | 0.0 |
| Common Stocks | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.0 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6541_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 38.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 33.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 16.2 |
| Asset-Backed Securities - 6.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 0.9 |
| Bank Loan Obligations - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.8 |
| Preferred Securities - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 3.0 |

---

---

| | |
|:---|:---|
| United States | 83.6 |
| Grand Cayman (UK Overseas Ter) | 3.9 |
| United Kingdom | 2.5 |
| Bailiwick Of Jersey | 1.6 |
| Italy | 1.4 |
| France | 0.8 |
| Netherlands | 0.7 |
| Canada | 0.7 |
| Germany | 0.6 |
| Others | 4.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6541_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 83.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Grand Cayman (UK Overseas Ter) - 3.9&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Bailiwick Of Jersey - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Italy - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Netherlands - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Canada - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 27.4<br>|
| US Treasury Bonds | 11.5<br>|
| Fannie Mae Mortgage pass-thru certificates | 5.0<br>|
| Ginnie Mae II Pool | 4.1<br>|
| Uniform Mortgage Backed Securities | 3.0<br>|
| Freddie Mac Gold Pool | 2.8<br>|
| Bank of America Corp | 1.1<br>|
| Symphony Clo Xxvi Ltd / Symphony Clo Xxvi LLC | 1.0<br>|
| AES Corp/The | 0.7<br>|
| Enel Finance International NV | 0.7<br>|
|  | 57.3 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img6541_20250831_2.jpg)<br>| ![](img113776_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913693.101 6542-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity® Sustainability Bond Index Fund<br> **Fidelity® Sustainability Bond Index Fund : FNDSX** <br>|

---

This annual shareholder report contains information about Fidelity® Sustainability Bond Index Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Sustainability Bond Index Fund  | $10  | 0.10% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against that backdrop, we constructed the portfolio using optimization. This approach minimizes the differences between risk exposures of the fund relative to the index. We attempt to hold all positions held by the index in the same relative proportions.

• Exposures include duration, key-rate durations and other factors.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

June 19, 2018 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Fidelity® Sustainability Bond Index Fund<br>| $10000 | $10076<br>| $11088<br>| $11813<br>| $11746<br>| $10407<br>| $10280<br>| $11006<br>|
| Bloomberg MSCI U.S. Aggregate ESG Choice Bond Index<br>| $10000 | $10090<br>| $11103<br>| $11834<br>| $11805<br>| $10466<br>| $10344<br>| $11096<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10091<br>| $11117<br>| $11837<br>| $11827<br>| $10465<br>| $10340<br>| $11094<br>|
|  | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |

---

![](img113778_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **Life of Fund** A |
| Fidelity® Sustainability Bond Index Fund | 3.11% | -0.80% | 1.77% |
| Bloomberg MSCI U.S. Aggregate ESG Choice Bond Index | 3.17%<br>| -0.66%<br>| 1.89% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| -0.68%<br>| 1.89% |

---

**A** From June 19, 2018

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $588693470<br>|
| Number of Holdings | 3087<br>|
| Total Advisory Fee | $514470<br>|
| Portfolio Turnover | 70%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 69.3 |
| AAA | 3.0 |
| AA | 2.3 |
| A | 12.8 |
| BBB | 11.3 |
| BB | 0.4 |
| Not Rated | 0.3 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.6 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img3084_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 69.3 |
| &nbsp;&nbsp;AAA - 3.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 2.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 12.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 11.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Not Rated - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 0.6 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 45.1 |
| Corporate Bonds | 26.8 |
| U.S. Government Agency - Mortgage Securities | 24.1 |
| Foreign Government and Government Agency Obligations | 1.9 |
| CMOs and Other Mortgage Related Securities | 1.1 |
| Asset-Backed Securities | 0.3 |
| U.S. Government Agency Obligations | 0.1 |
| Other Investments | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.6 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img3084_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 45.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 26.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 24.1 |
| Foreign Government and Government Agency Obligations - 1.9 |
| CMOs and Other Mortgage Related Securities - 1.1 |
| Asset-Backed Securities - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency Obligations - 0.1 |
| Other Investments - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 0.6 |

---

---

| | |
|:---|:---|
| United States | 92.4 |
| United Kingdom | 1.5 |
| Canada | 1.1 |
| Multi-national | 1.0 |
| Japan | 0.8 |
| Mexico | 0.5 |
| Germany | 0.4 |
| Spain | 0.2 |
| Australia | 0.2 |
| Others | 1.9 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img3084_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 92.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Canada - 1.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Multi-national - 1.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Japan - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Mexico - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Spain - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Australia - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 1.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 35.8<br>|
| US Treasury Bonds | 9.3<br>|
| Fannie Mae Mortgage pass-thru certificates | 9.3<br>|
| Freddie Mac Gold Pool | 7.8<br>|
| Ginnie Mae II Pool | 4.6<br>|
| Uniform Mortgage Backed Securities | 1.1<br>|
| Ginnie Mae I Pool | 0.9<br>|
| Bank of America Corp | 0.8<br>|
| JPMorgan Chase & Co | 0.7<br>|
| HSBC Holdings PLC | 0.6<br>|
|  | 70.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img3084_20250831_2.jpg)<br>| ![](img113778_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913654.101 3086-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity® Short-Term Bond Index Fund<br> **Fidelity® Short-Term Bond Index Fund : FNSOX** <br>|

---

This annual shareholder report contains information about Fidelity® Short-Term Bond Index Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Short-Term Bond Index Fund  | $3  | 0.03% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, driven early on by the Federal Reserve's pivot to cutting interest rates from September through December 2024 and late in the period by expectations that the central bank would resume rate cuts in September 2025.

• Against that backdrop, we constructed the portfolio using optimization. This approach minimizes the differences between risk exposures of the fund relative to the index. We attempt to hold all positions held by the index in the same relative proportions.

• Exposures include duration, key-rate durations and other factors,

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

October 18, 2017 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Fidelity® Short-Term Bond Index Fund<br>| $10000 | $9969<br>| $10565<br>| $11052<br>| $11073<br>| $10427<br>| $10551<br>| $11255<br>| $11789<br>|
| Bloomberg U.S. 1-5 Year Government/Credit Bond Index<br>| $10000 | $9990<br>| $10586<br>| $11086<br>| $11122<br>| $10472<br>| $10596<br>| $11303<br>| $11844<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $9938<br>| $10949<br>| $11658<br>| $11648<br>| $10307<br>| $10184<br>| $10927<br>| $11269<br>|
|  | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |

---

![](img113780_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **Life of Fund** A |
| Fidelity® Short-Term Bond Index Fund | 4.74% | 1.30% | 2.11% |
| Bloomberg U.S. 1-5 Year Government/Credit Bond Index | 4.79%<br>| 1.33%<br>| 2.17% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| -0.68%<br>| 1.53% |

---

**A** From October 18, 2017

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $3356675729<br>|
| Number of Holdings | 1403<br>|
| Total Advisory Fee | $941088<br>|
| Portfolio Turnover | 55%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 69.8 |
| AAA | 1.7 |
| AA | 2.9 |
| A | 13.1 |
| BBB | 11.6 |
| BB | 0.4 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.5 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img3038_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 69.8 |
| &nbsp;&nbsp;AAA - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 2.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 13.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 11.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 0.5 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 69.5 |
| Corporate Bonds | 28.3 |
| Foreign Government and Government Agency Obligations | 0.9 |
| Other Investments | 0.5 |
| U.S. Government Agency Obligations | 0.3 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.5 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img3038_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 69.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 28.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.9 |
| Other Investments - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency Obligations - 0.3 |
| Short-Term Investments and Net Other Assets (Liabilities) - 0.5 |

---

---

| | |
|:---|:---|
| United States | 92.6 |
| Canada | 1.6 |
| United Kingdom | 1.4 |
| Japan | 1.2 |
| Multi-national | 0.8 |
| Germany | 0.7 |
| Spain | 0.3 |
| Australia | 0.3 |
| Korea (South) | 0.2 |
| Others | 0.9 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img3038_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 92.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Canada - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Japan - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Multi-national - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Spain - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Australia - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Korea (South) - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 69.5<br>|
| JPMorgan Chase & Co | 0.9<br>|
| Bank of America Corp | 0.7<br>|
| Morgan Stanley | 0.7<br>|
| Goldman Sachs Group Inc/The | 0.7<br>|
| Wells Fargo & Co | 0.6<br>|
| HSBC Holdings PLC | 0.5<br>|
| Citigroup Inc | 0.4<br>|
| KfW | 0.4<br>|
| Barclays PLC | 0.4<br>|
|  | 74.8 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img3038_20250831_2.jpg)<br>| ![](img113780_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913653.101 3041-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity® Series Sustainable Investment Grade Bond Fund<br> **Fidelity® Series Sustainable Investment Grade Bond Fund : FIGDX** <br>|

---

This annual shareholder report contains information about Fidelity® Series Sustainable Investment Grade Bond Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Series Sustainable Investment Grade Bond Fund  | $0 A | 0.00%B |

---

A Amount represents less than $.50

B Amount represents less than 0.005%

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, security selection contributed to the fund's outperformance of the Bloomberg U.S. Aggregate Bond Index for the fiscal year.

• Specifically, fund holdings in the corporate segment made a notable contribution to relative performance, led by picks among financials, particularly REITs and banks.

• An overweight and picks among collateralized loan obligations also helped.

• The fund's underweights in mortgage-backed securities and U.S. Treasurys buoyed relative performance as well.

• The portfolio's yield-curve positioning also provided a boost to performance versus the benchmark.

• In contrast, the fund's underweight in the bonds of industrial firms within the corporate sector detracted versus the benchmark.

• The fund's modestly longer duration relative to the benchmark also hurt.

• Notable changes over the past 12 months included management's decision to gradually lower the fund's overall risk profile by reducing exposure to investment-grade corporate bonds and increasing the allocation to U.S. Treasurys.

*Application of FMR's environmental, social, and governance (ESG) ratings process and/or its sustainable investing exclusion criteria may affect the Fund's exposure to certain issuers, sectors, regions, and countries and may affect the Fund's performance.*

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

May 11, 2023 through August 31, 2025.

Initial investment of $10,000.

---

| | | | |
|:---|:---|:---|:---|
| Fidelity® Series Sustainable Investment Grade Bond Fund<br>| $10000 | $9778<br>| $10503<br>|
| Bloomberg MSCI U.S. Aggregate ESG Choice Bond Index<br>| $10000 | $9772<br>| $10481<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $9768<br>| $10480<br>|
|  | 2023 | 2024 | 2025 |

---

![](img113787_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Fidelity® Series Sustainable Investment Grade Bond Fund | 3.25% | 3.57% |
| Bloomberg MSCI U.S. Aggregate ESG Choice Bond Index | 3.17%<br>| 3.45% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| 3.43% |

---

**A** From May 11, 2023

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $11708507<br>|
| Number of Holdings | 177<br>|
| Total Advisory Fee | $0<br>|
| Portfolio Turnover | 235%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 69.3 |
| AAA | 4.4 |
| AA | 0.6 |
| A | 9.1 |
| BBB | 9.5 |
| BB | 0.8 |
| Not Rated | 2.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 4.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img7314_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 69.3 |
| &nbsp;&nbsp;AAA - 4.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 9.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 9.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Not Rated - 2.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 4.1 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 52.7 |
| Corporate Bonds | 19.6 |
| U.S. Government Agency - Mortgage Securities | 16.6 |
| Asset-Backed Securities | 6.4 |
| Foreign Government and Government Agency Obligations | 0.4 |
| CMOs and Other Mortgage Related Securities | 0.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 4.1 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img7314_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 52.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 19.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 16.6 |
| Asset-Backed Securities - 6.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.4 |
| CMOs and Other Mortgage Related Securities - 0.2 |
| Short-Term Investments and Net Other Assets (Liabilities) - 4.1 |

---

---

| | |
|:---|:---|
| United States | 92.2 |
| Grand Cayman (UK Overseas Ter) | 6.4 |
| Canada | 0.5 |
| Mexico | 0.4 |
| Netherlands | 0.3 |
| United Kingdom | 0.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img7314_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 92.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Grand Cayman (UK Overseas Ter) - 6.4&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Canada - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Mexico - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Netherlands - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;United Kingdom - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 40.7<br>|
| US Treasury Bonds | 12.0<br>|
| Uniform Mortgage Backed Securities | 6.9<br>|
| Ginnie Mae II Pool | 4.0<br>|
| Fannie Mae Mortgage pass-thru certificates | 2.5<br>|
| Allegro Clo Xii Ltd | 2.2<br>|
| RR 28 LTD / RR 28 LLC | 2.1<br>|
| Magnetite Xxvi Ltd / Magnetite Xxvi LLC | 2.1<br>|
| Freddie Mac Gold Pool | 1.8<br>|
| JPMorgan Chase & Co | 1.2<br>|
|  | 75.5 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img7314_20250831_2.jpg)<br>| ![](img113787_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913700.101 7314-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity® Series Corporate Bond Fund<br> **Fidelity® Series Corporate Bond Fund : FHMFX** <br>|

---

This annual shareholder report contains information about Fidelity® Series Corporate Bond Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Series Corporate Bond Fund  | $0 A | 0.00%B |

---

A Amount represents less than $.50

B Amount represents less than 0.005%

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, security selection contributed to the fund's performance versus the benchmark Bloomberg U.S. Credit Bond Index for the fiscal year, whereas sector positioning detracted.

• Bond picks among companies in the industrials sector helped most, led by issuers in the communications, consumer non-cyclicals and capital goods industries.

• Within communications, notable contributors included Warner Bros. Discovery and Charter Communications. In consumer non-cyclicals, pharmaceutical company Bayer was a standout, while Boeing drove the contribution in capital goods.

• Picks among financial issuers also notably aided relative performance. Here, bonds from banks, real estate investment trusts and insurance companies helped most.

• Outside of corporate credit, an allocation to U.S. Treasurys and cash - held for liquidity and risk-management purposes - meaningfully detracted from the fund's relative result. This negative was somewhat offset by steering clear of other government-related categories, as these bonds lagged credit in an improving market environment.

• The fund's yield curve strategy of concentrating the portfolio's holdings in the five- to seven-year portion of the curve slightly dampened relative performance.

• During the period, the fund's managers continued to emphasize issuers rated BBB, as they believe there is opportunity for alpha potential over time resulting from improving credit quality. They modestly added bonds rated A, in response to tight spreads and uncertainty.

• Noteworthy positioning changes included reducing exposure to non-bank financials (e.g., finance companies) and redeploying the capital into industrials and utilities.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

August 17, 2018 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Fidelity® Series Corporate Bond Fund<br>| $10000 | $9963<br>| $11296<br>| $12221<br>| $12610<br>| $10698<br>| $10807<br>| $11903<br>|
| Bloomberg U.S. Credit Bond Index<br>| $10000 | $10005<br>| $11305<br>| $12107<br>| $12381<br>| $10594<br>| $10684<br>| $11644<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10014<br>| $11033<br>| $11747<br>| $11737<br>| $10386<br>| $10262<br>| $11010<br>|
|  | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |

---

![](img113793_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **Life of Fund** A |
| Fidelity® Series Corporate Bond Fund | 4.35% | 0.32% | 3.13% |
| Bloomberg U.S. Credit Bond Index | 3.92%<br>| -0.01%<br>| 2.74% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| -0.68%<br>| 1.82% |

---

**A** From August 17, 2018

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $838718706<br>|
| Number of Holdings | 599<br>|
| Total Advisory Fee | $0<br>|
| Portfolio Turnover | 39%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 10.1 |
| AAA | 0.0 |
| AA | 0.2 |
| A | 25.2 |
| BBB | 52.7 |
| BB | 5.0 |
| B | 0.9 |
| Not Rated | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 5.9 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img3220_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 10.1 |
| &nbsp;&nbsp;AAA - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 25.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 52.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 5.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;B - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 5.9 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| Corporate Bonds | 83.2 |
| U.S. Treasury Obligations | 10.1 |
| Asset-Backed Securities | 0.5 |
| Preferred Securities | 0.2 |
| Foreign Government and Government Agency Obligations | 0.1 |
| CMOs and Other Mortgage Related Securities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 5.9 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img3220_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 83.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 10.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.1 |
| CMOs and Other Mortgage Related Securities - 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) - 5.9 |

---

---

| | |
|:---|:---|
| United States | 82.8 |
| United Kingdom | 3.7 |
| Canada | 3.1 |
| Ireland | 2.3 |
| Germany | 1.5 |
| Belgium | 1.1 |
| Japan | 1.0 |
| France | 0.9 |
| Netherlands | 0.8 |
| Others | 2.8 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img3220_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 82.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 3.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Canada - 3.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 2.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Germany - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Belgium - 1.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Japan - 1.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Netherlands - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 2.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bonds | 10.1<br>|
| Bank of America Corp | 2.4<br>|
| Morgan Stanley | 2.3<br>|
| JPMorgan Chase & Co | 2.3<br>|
| Wells Fargo & Co | 2.1<br>|
| Boeing Co | 1.6<br>|
| Broadcom Inc | 1.6<br>|
| CVS Health Corp | 1.2<br>|
| Barclays PLC | 1.2<br>|
| Charter Communications Operating LLC / Charter Communications Operating Capital | 1.2<br>|
|  | 26.0 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img3220_20250831_2.jpg)<br>| ![](img113793_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913658.101 3220-TSRA-1025 <br>|

---

---

| | |
|:---|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 | &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |
| Fidelity® SAI Sustainable Low Duration Bond Fund<br> **Fidelity® SAI Sustainable Low Duration Bond Fund : FAPFX** <br>| &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |

---

This annual shareholder report contains information about Fidelity® SAI Sustainable Low Duration Bond Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® SAI Sustainable Low Duration Bond Fund  | $21  | 0.20% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, the fund's strategy of holding short-term debt in high-quality corporations contributed to performance versus the all-U.S.-Treasury benchmark for the fiscal year. Within corporates, debt holdings among financial institutions, especially banks, and industrial firms, particularly in the consumer cyclical, consumer non-cyclical and communications segments, added notable value.

• Non-benchmark exposure to asset-backed securities, primarily car loan debt, also meaningfully contributed.

• In contrast, the fund's yield-curve positioning detracted from relative performance.

• A small allocation to interest-earning cash was a modest drag as well.

• At period end, corporates made up about 45% of fund assets, down from roughly 60% a year ago. Exposure to U.S. Treasurys increased slightly from 30% to roughly 31% of assets, while exposure to ABS rose from roughly 8% of assets to about 18% as of August 31.

*Application of FMR's environmental, social, and governance (ESG) ratings process and/or its sustainable investing exclusion criteria may affect the fund's exposure to certain issuers, sectors, regions, and countries and may affect the fund's performance.*

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

April 13, 2022 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | |
|:---|:---|:---|:---|:---|
| Fidelity® SAI Sustainable Low Duration Bond Fund<br>| $10000 | $10009<br>| $10431<br>| $11045<br>|
| Bloomberg US Treasury Bill: 6-9 Months Index<br>| $10000 | $9990<br>| $10301<br>| $10854<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $9696<br>| $9581<br>| $10280<br>|
|  | 2022 | 2023 | 2024 | 2025 |

---

![](img113796_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Fidelity® SAI Sustainable Low Duration Bond Fund | 4.78% | 4.41% |
| Bloomberg US Treasury Bill: 6-9 Months Index | 4.29%<br>| 3.73% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| 1.74% |

---

**A** From April 13, 2022

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $51874092<br>|
| Number of Holdings | 320<br>|
| Total Advisory Fee | $81168<br>|
| Portfolio Turnover | 57%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 31.1 |
| AAA | 17.2 |
| AA | 3.1 |
| A | 23.9 |
| BBB | 17.8 |
| BB | 0.2 |
| Not Rated | 1.6 |
| Short-Term Investments and Net Other Assets (Liabilities) | 5.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6525_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 31.1 |
| &nbsp;&nbsp;AAA - 17.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 3.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 23.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 17.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Not Rated - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 5.1 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| Corporate Bonds | 44.9 |
| U.S. Treasury Obligations | 31.1 |
| Asset-Backed Securities | 18.3 |
| CMOs and Other Mortgage Related Securities | 0.5 |
| Other Investments | 0.1 |
| Short-Term Investments and Net Other Assets (Liabilities) | 5.1 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6525_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 44.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 31.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 18.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 0.5 |
| Other Investments - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 5.1 |

---

---

| | |
|:---|:---|
| United States | 87.6 |
| Canada | 3.6 |
| United Kingdom | 2.7 |
| Ireland | 1.5 |
| Netherlands | 1.4 |
| Japan | 0.8 |
| Sweden | 0.4 |
| Italy | 0.4 |
| Norway | 0.4 |
| Others | 1.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6525_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 87.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Canada - 3.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 2.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Japan - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Sweden - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Italy - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Norway - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Others - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bill | 22.5<br>|
| US Treasury Notes | 8.6<br>|
| Bank of America Corp | 1.6<br>|
| JPMorgan Chase & Co | 1.6<br>|
| Goldman Sachs Group Inc/The | 1.6<br>|
| Morgan Stanley | 1.5<br>|
| Wells Fargo & Co | 1.2<br>|
| Citigroup Inc | 1.1<br>|
| GMF Floorplan Owner Revolving Trust | 1.1<br>|
| Athene Global Funding | 0.9<br>|
|  | 41.7 |

---

**How has the Fund changed?**

This is a summary of certain changes to the Fund since September 1, 2024. For more complete information, you may review the Fund's next prospectus, which we expect to be available by October 30, 2025 at **fundresearch.fidelity.com/prospectus/sec** or upon request at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;The fees associated with this class changed during the reporting year. The variations in class fees are primarily the result of the following changes: <br> Operating expensesExpense reductions <br>| &nbsp;&nbsp;&nbsp;&nbsp;The fund's name changed from Fidelity® SAI Sustainable Low Duration Income Fund to Fidelity® SAI Sustainable Low Duration Bond Fund during the reporting period. <br>|

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img6525_20250831_2.jpg)<br>| ![](img113796_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913684.101 6525-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity® SAI Investment Grade Securitized Fund<br> **Fidelity® SAI Investment Grade Securitized Fund : FSMOX** <br>|

---

This annual shareholder report contains information about Fidelity® SAI Investment Grade Securitized Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® SAI Investment Grade Securitized Fund  | $31  | 0.31% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, an underweight to MBS made up of 15-year mortgages detracted from the fund's performance versus the benchmark Bloomberg U.S. Securitized Index for the fiscal year.

• An underweight in Ginnie Mae securities with a coupon of 3% to 4.5% also hurt.

• In contrast, an overweight in non-agency commercial mortgage-backed securities contributed to performance versus the benchmark.

• An overweight in agency collateralized mortgage obligation floaters also helped for the 12 months.

• Lastly, overweights in higher-coupon Fannie Mae and Freddie Mac MBS contributed to relative performance, as did an overweight in Ginnie Mae MBS with a coupon of 6%.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

May 17, 2023 through August 31, 2025.

Initial investment of $10,000.

---

| | | | |
|:---|:---|:---|:---|
| Fidelity® SAI Investment Grade Securitized Fund<br>| $10000 | $9858<br>| $10632<br>|
| Bloomberg U.S. Securitized Index<br>| $10000 | $9861<br>| $10606<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $9877<br>| $10598<br>|
|  | 2023 | 2024 | 2025 |

---

![](img113800_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Fidelity® SAI Investment Grade Securitized Fund | 3.55% | 4.28% |
| Bloomberg U.S. Securitized Index | 3.52%<br>| 4.16% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| 3.96% |

---

**A** From May 17, 2023

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $1291988839<br>|
| Number of Holdings | 1606<br>|
| Total Advisory Fee | $3691783<br>|
| Portfolio Turnover | 715%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 94.3 |
| AAA | 9.3 |
| AA | 0.8 |
| A | 0.0 |
| BBB | 0.0 |
| Not Rated | 17.9 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img7329_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 94.3 |
| &nbsp;&nbsp;AAA - 9.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 17.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Short-Term Investments and Net Other Assets (Liabilities) - (22.3)%  |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Government Agency - Mortgage Securities | 90.9 |
| CMOs and Other Mortgage Related Securities | 24.8 |
| U.S. Treasury Obligations | 3.4 |
| Asset-Backed Securities | 2.9 |
| Options | 0.3 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img7329_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Government Agency - Mortgage Securities - 90.9 |
| CMOs and Other Mortgage Related Securities - 24.8 |
| U.S. Treasury Obligations - 3.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Asset-Backed Securities - 2.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (22.3)% |

---

United States 99.9 <br> Canada 0.1

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img7329_20250831_GD.jpg) <br>|

---

United States - 99.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> Canada - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fannie Mae Mortgage pass-thru certificates | 33.9<br>|
| Ginnie Mae II Pool | 22.0<br>|
| Freddie Mac Gold Pool | 19.0<br>|
| Uniform Mortgage Backed Securities | 10.7<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 5.9<br>|
| Fannie Mae Guaranteed REMIC | 5.8<br>|
| Ginnie Mae I Pool | 4.3<br>|
| US Treasury Notes | 1.8<br>|
| Freddie Mac Non Gold Pool | 1.6<br>|
| US Treasury Bonds | 1.6<br>|
|  | 106.6 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img7329_20250831_2.jpg)<br>| ![](img113800_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913702.101 7329-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity® Conservative Income Bond Fund<br> **Fidelity® Conservative Income Bond Fund : FCNVX** <br>|

---

This annual shareholder report contains information about Fidelity® Conservative Income Bond Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Conservative Income Bond Fund  | $26  | 0.25% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, the fund's strategy of holding short-term debt in high-quality corporations contributed to performance versus the all-U.S.-Treasury benchmark for the fiscal year. Within corporates, debt holdings among financial institutions - especially banks - and industrial firms, particularly in the consumer cyclical and consumer non-cyclical segments, added notable value.

• Non-benchmark exposure to asset-backed securities, primarily car loan debt, also meaningfully contributed.

• In contrast, a roughly 13% average allocation to cash - which the fund maintained for liquidity and solid interest return - detracted from relative performance.

• At period end, corporates made up about 53% of fund assets, down from roughly 54% a year ago. At the same time, exposure to U.S. Treasurys slightly increased, from 17% to 18% of assets, and the portfolio's out-of-benchmark position in ABS rose from approximately 14% of assets to 16% as of August 31.

**How did the Fund perform over the past 10 years?**

**CUMULATIVE PERFORMANCE**

August 31, 2015 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Fidelity® Conservative Income Bond Fund<br>| $10000 | $10093<br>| $10222<br>| $10413<br>| $10683<br>| $10883<br>| $10905<br>| $10908<br>| $11437<br>| $12101<br>| $12685<br>|
| Bloomberg U.S. 3-6 Month Treasury Bill Index<br>| $10000 | $10038<br>| $10105<br>| $10256<br>| $10513<br>| $10671<br>| $10680<br>| $10710<br>| $11169<br>| $11789<br>| $12331<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10597<br>| $10649<br>| $10537<br>| $11609<br>| $12360<br>| $12350<br>| $10928<br>| $10797<br>| $11585<br>| $11949<br>|
|  | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |

---

![](img113843_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| Fidelity® Conservative Income Bond Fund | 4.82% | 3.11% | 2.41% |
| Bloomberg U.S. 3-6 Month Treasury Bill Index | 4.60%<br>| 2.93%<br>| 2.12% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| -0.68%<br>| 1.80% |

---

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $7680799262<br>|
| Number of Holdings | 345<br>|
| Total Advisory Fee | $13748867<br>|
| Portfolio Turnover | 73%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 18.0 |
| AAA | 15.6 |
| AA | 4.4 |
| A | 23.8 |
| BBB | 9.7 |
| Not Rated | 0.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 27.7 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img2267_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 18.0 |
| &nbsp;&nbsp;AAA - 15.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 4.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 23.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 9.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 27.7 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| Corporate Bonds | 38.2 |
| U.S. Treasury Obligations | 18.0 |
| Asset-Backed Securities | 16.1 |
| Other Investments | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 27.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img2267_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 38.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 18.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 16.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Other Investments - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 27.7 |

---

---

| | |
|:---|:---|
| United States | 85.1 |
| Canada | 3.5 |
| United Kingdom | 2.7 |
| Germany | 2.4 |
| Netherlands | 1.5 |
| Japan | 0.7 |
| Ireland | 0.7 |
| France | 0.7 |
| Australia | 0.6 |
| Others | 2.1 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img2267_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 85.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Canada - 3.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 2.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 2.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Japan - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Ireland - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Australia - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 2.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bill | 14.2<br>|
| US Treasury Notes | 3.8<br>|
| Mitsubishi UFJ Trust & Banking Corp/NY | 1.6<br>|
| Mizuho Bank Ltd/New York NY | 1.4<br>|
| Bank of Nova Scotia/Houston | 1.4<br>|
| National Bank of Canada | 1.4<br>|
| JPMorgan Chase & Co | 1.4<br>|
| Toronto Dominion Bank | 1.4<br>|
| Bank of Montreal | 1.3<br>|
| Goldman Sachs Group Inc/The | 1.3<br>|
|  | 29.2 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img2267_20250831_2.jpg)<br>| ![](img113843_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913642.101 2268-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity® Conservative Income Bond Fund<br> **Fidelity Advisor® Conservative Income Bond Fund Class Z : FCNYX** <br>|

---

This annual shareholder report contains information about Fidelity® Conservative Income Bond Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class Z  | $21  | 0.20% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, the fund's strategy of holding short-term debt in high-quality corporations contributed to performance versus the all-U.S.-Treasury benchmark for the fiscal year. Within corporates, debt holdings among financial institutions - especially banks - and industrial firms, particularly in the consumer cyclical and consumer non-cyclical segments, added notable value.

• Non-benchmark exposure to asset-backed securities, primarily car loan debt, also meaningfully contributed.

• In contrast, a roughly 13% average allocation to cash - which the fund maintained for liquidity and solid interest return - detracted from relative performance.

• At period end, corporates made up about 53% of fund assets, down from roughly 54% a year ago. At the same time, exposure to U.S. Treasurys slightly increased, from 17% to 18% of assets, and the portfolio's out-of-benchmark position in ABS rose from approximately 14% of assets to 16% as of August 31.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

May 25, 2023 through August 31, 2025.

Initial investment of $10,000.

---

| | | | |
|:---|:---|:---|:---|
| Class Z<br>| $10000 | $10156<br>| $10762<br>|
| Bloomberg U.S. 3-6 Month Treasury Bill Index<br>| $10000 | $10143<br>| $10706<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10014<br>| $10744<br>|
|  | 2023 | 2024 | 2025 |

---

![](img113844_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class Z | 4.77% | 5.43% |
| Bloomberg U.S. 3-6 Month Treasury Bill Index | 4.60%<br>| 5.11% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| 4.62% |

---

**A** From May 25, 2023

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $7680799262<br>|
| Number of Holdings | 345<br>|
| Total Advisory Fee | $13748867<br>|
| Portfolio Turnover | 73%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 18.0 |
| AAA | 15.6 |
| AA | 4.4 |
| A | 23.8 |
| BBB | 9.7 |
| Not Rated | 0.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 27.7 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img2267_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 18.0 |
| &nbsp;&nbsp;AAA - 15.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 4.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 23.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 9.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 27.7 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| Corporate Bonds | 38.2 |
| U.S. Treasury Obligations | 18.0 |
| Asset-Backed Securities | 16.1 |
| Other Investments | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 27.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img2267_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 38.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 18.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 16.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Other Investments - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 27.7 |

---

---

| | |
|:---|:---|
| United States | 85.1 |
| Canada | 3.5 |
| United Kingdom | 2.7 |
| Germany | 2.4 |
| Netherlands | 1.5 |
| Japan | 0.7 |
| Ireland | 0.7 |
| France | 0.7 |
| Australia | 0.6 |
| Others | 2.1 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img2267_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 85.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Canada - 3.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 2.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 2.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Japan - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Ireland - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Australia - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 2.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bill | 14.2<br>|
| US Treasury Notes | 3.8<br>|
| Mitsubishi UFJ Trust & Banking Corp/NY | 1.6<br>|
| Mizuho Bank Ltd/New York NY | 1.4<br>|
| Bank of Nova Scotia/Houston | 1.4<br>|
| National Bank of Canada | 1.4<br>|
| JPMorgan Chase & Co | 1.4<br>|
| Toronto Dominion Bank | 1.4<br>|
| Bank of Montreal | 1.3<br>|
| Goldman Sachs Group Inc/The | 1.3<br>|
|  | 29.2 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img2267_20250831_2.jpg)<br>| ![](img113844_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913645.101 7364-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity® Conservative Income Bond Fund<br> **Fidelity Advisor® Conservative Income Bond Fund Class I : FCNWX** <br>|

---

This annual shareholder report contains information about Fidelity® Conservative Income Bond Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class I  | $26  | 0.25% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, the fund's strategy of holding short-term debt in high-quality corporations contributed to performance versus the all-U.S.-Treasury benchmark for the fiscal year. Within corporates, debt holdings among financial institutions - especially banks - and industrial firms, particularly in the consumer cyclical and consumer non-cyclical segments, added notable value.

• Non-benchmark exposure to asset-backed securities, primarily car loan debt, also meaningfully contributed.

• In contrast, a roughly 13% average allocation to cash - which the fund maintained for liquidity and solid interest return - detracted from relative performance.

• At period end, corporates made up about 53% of fund assets, down from roughly 54% a year ago. At the same time, exposure to U.S. Treasurys slightly increased, from 17% to 18% of assets, and the portfolio's out-of-benchmark position in ABS rose from approximately 14% of assets to 16% as of August 31.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

May 25, 2023 through August 31, 2025.

Initial investment of $10,000.

---

| | | | |
|:---|:---|:---|:---|
| Class I<br>| $10000 | $10155<br>| $10756<br>|
| Bloomberg U.S. 3-6 Month Treasury Bill Index<br>| $10000 | $10143<br>| $10706<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10014<br>| $10744<br>|
|  | 2023 | 2024 | 2025 |

---

![](img113845_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class I | 4.72% | 5.38% |
| Bloomberg U.S. 3-6 Month Treasury Bill Index | 4.60%<br>| 5.11% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| 4.62% |

---

**A** From May 25, 2023

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $7680799262<br>|
| Number of Holdings | 345<br>|
| Total Advisory Fee | $13748867<br>|
| Portfolio Turnover | 73%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 18.0 |
| AAA | 15.6 |
| AA | 4.4 |
| A | 23.8 |
| BBB | 9.7 |
| Not Rated | 0.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 27.7 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img2267_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 18.0 |
| &nbsp;&nbsp;AAA - 15.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 4.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 23.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 9.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 27.7 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| Corporate Bonds | 38.2 |
| U.S. Treasury Obligations | 18.0 |
| Asset-Backed Securities | 16.1 |
| Other Investments | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 27.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img2267_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 38.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 18.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 16.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Other Investments - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 27.7 |

---

---

| | |
|:---|:---|
| United States | 85.1 |
| Canada | 3.5 |
| United Kingdom | 2.7 |
| Germany | 2.4 |
| Netherlands | 1.5 |
| Japan | 0.7 |
| Ireland | 0.7 |
| France | 0.7 |
| Australia | 0.6 |
| Others | 2.1 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img2267_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 85.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Canada - 3.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 2.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 2.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Japan - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Ireland - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Australia - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 2.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bill | 14.2<br>|
| US Treasury Notes | 3.8<br>|
| Mitsubishi UFJ Trust & Banking Corp/NY | 1.6<br>|
| Mizuho Bank Ltd/New York NY | 1.4<br>|
| Bank of Nova Scotia/Houston | 1.4<br>|
| National Bank of Canada | 1.4<br>|
| JPMorgan Chase & Co | 1.4<br>|
| Toronto Dominion Bank | 1.4<br>|
| Bank of Montreal | 1.3<br>|
| Goldman Sachs Group Inc/The | 1.3<br>|
|  | 29.2 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img2267_20250831_2.jpg)<br>| ![](img113845_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913644.101 7363-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity® Conservative Income Bond Fund<br> **Fidelity Advisor® Conservative Income Bond Fund Class A : FCNQX** <br>|

---

This annual shareholder report contains information about Fidelity® Conservative Income Bond Fund for the period September 1, 2024 to August 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class A  | $46  | 0.45% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds posted a solid advance for the 12 months ending August 31, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the expectation of policy interest-rate cuts by the U.S. Federal Reserve in the second half of 2025.

• Against this backdrop, the fund's strategy of holding short-term debt in high-quality corporations contributed to performance versus the all-U.S.-Treasury benchmark for the fiscal year. Within corporates, debt holdings among financial institutions - especially banks - and industrial firms, particularly in the consumer cyclical and consumer non-cyclical segments, added notable value.

• Non-benchmark exposure to asset-backed securities, primarily car loan debt, also meaningfully contributed.

• In contrast, a roughly 13% average allocation to cash - which the fund maintained for liquidity and solid interest return - detracted from relative performance.

• At period end, corporates made up about 53% of fund assets, down from roughly 54% a year ago. At the same time, exposure to U.S. Treasurys slightly increased, from 17% to 18% of assets, and the portfolio's out-of-benchmark position in ABS rose from approximately 14% of assets to 16% as of August 31.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

May 25, 2023 through August 31, 2025.

Initial investment of $10,000 and the current sales charge was paid.

---

| | | | |
|:---|:---|:---|:---|
| Class A<br>| $9850 | $9998<br>| $10569<br>|
| Bloomberg U.S. 3-6 Month Treasury Bill Index<br>| $10000 | $10143<br>| $10706<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10014<br>| $10744<br>|
|  | 2023 | 2024 | 2025 |

---

![](img113846_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class A (incl. 1.50% sales charge)  | 2.94% | 4.47% |
| Class A (without 1.50% sales charge) | 4.51% | 5.17% |
| Bloomberg U.S. 3-6 Month Treasury Bill Index | 4.60%<br>| 5.11% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| 4.62% |

---

**A** From May 25, 2023

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $7680799262<br>|
| Number of Holdings | 345<br>|
| Total Advisory Fee | $13748867<br>|
| Portfolio Turnover | 73%<br>|

---

**What did the Fund invest in?** (as of August 31, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 18.0 |
| AAA | 15.6 |
| AA | 4.4 |
| A | 23.8 |
| BBB | 9.7 |
| Not Rated | 0.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 27.7 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img2267_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 18.0 |
| &nbsp;&nbsp;AAA - 15.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 4.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 23.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 9.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 27.7 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| Corporate Bonds | 38.2 |
| U.S. Treasury Obligations | 18.0 |
| Asset-Backed Securities | 16.1 |
| Other Investments | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 27.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img2267_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 38.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 18.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 16.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Other Investments - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 27.7 |

---

---

| | |
|:---|:---|
| United States | 85.1 |
| Canada | 3.5 |
| United Kingdom | 2.7 |
| Germany | 2.4 |
| Netherlands | 1.5 |
| Japan | 0.7 |
| Ireland | 0.7 |
| France | 0.7 |
| Australia | 0.6 |
| Others | 2.1 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img2267_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 85.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Canada - 3.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 2.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 2.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Japan - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Ireland - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Australia - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 2.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bill | 14.2<br>|
| US Treasury Notes | 3.8<br>|
| Mitsubishi UFJ Trust & Banking Corp/NY | 1.6<br>|
| Mizuho Bank Ltd/New York NY | 1.4<br>|
| Bank of Nova Scotia/Houston | 1.4<br>|
| National Bank of Canada | 1.4<br>|
| JPMorgan Chase & Co | 1.4<br>|
| Toronto Dominion Bank | 1.4<br>|
| Bank of Montreal | 1.3<br>|
| Goldman Sachs Group Inc/The | 1.3<br>|
|  | 29.2 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img2267_20250831_2.jpg)<br>| ![](img113846_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913643.101 7362-TSRA-1025 <br>|

---

Item 2.

<u>Code of Ethics</u>

As of the end of the period, August 31, 2025, Fidelity Salem Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.

Item 3.

<u>Audit Committee Financial Expert</u>

The Board of Trustees of the trust has determined that Laura M. Bishop is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Bishop is independent for purposes of Item 3 of Form N-CSR.

Item 4.

<u>Principal Accountant Fees and Services</u>

<u>Fees and Services</u>

The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, "Deloitte Entities") in each of the last two fiscal years for services rendered to Fidelity Conservative Income Bond Fund, Fidelity SAI Investment Grade Securitized Fund, Fidelity SAI Sustainable Low Duration Bond Fund, Fidelity Series Corporate Bond Fund, Fidelity Series Sustainable Investment Grade Bond Fund, Fidelity Short-Term Bond Index Fund, Fidelity Sustainability Bond Index Fund, Fidelity Sustainable Core Plus Bond Fund, and Fidelity Sustainable Low Duration Bond Fund (the "Funds"):

**<u>Services Billed by Deloitte Entities</u>**

**<u>August 31, 2025 Fees</u><sup>A</sup>**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp; **Audit Fees** | &nbsp;&nbsp; **Audit-Related Fees** | &nbsp;&nbsp; **Tax Fees** | &nbsp;&nbsp; **All Other Fees** |
| &nbsp;&nbsp; Fidelity Conservative Income Bond Fund | &nbsp;&nbsp; $52800  | &nbsp;&nbsp; $- | &nbsp;&nbsp; $9800  | &nbsp;&nbsp; $900  |
| &nbsp;&nbsp; Fidelity SAI Investment Grade Securitized Fund | &nbsp;&nbsp; $80300  | &nbsp;&nbsp; $- | &nbsp;&nbsp; $10600  | &nbsp;&nbsp; $1200  |
| &nbsp;&nbsp; Fidelity SAI Sustainable Low Duration Bond Fund | &nbsp;&nbsp; $43700  | &nbsp;&nbsp; $- | &nbsp;&nbsp; $7900  | &nbsp;&nbsp; $700  |
| &nbsp;&nbsp; Fidelity Series Corporate Bond Fund | &nbsp;&nbsp; $58100  | &nbsp;&nbsp; $- | &nbsp;&nbsp; $9800  | &nbsp;&nbsp; $900  |
| &nbsp;&nbsp; Fidelity Series Sustainable Investment Grade Bond Fund | &nbsp;&nbsp; $82500  | &nbsp;&nbsp; $- | &nbsp;&nbsp; $9600  | &nbsp;&nbsp; $1300  |
| &nbsp;&nbsp; Fidelity Short-Term Bond Index Fund | &nbsp;&nbsp; $72400  | &nbsp;&nbsp; $- | &nbsp;&nbsp; $10600  | &nbsp;&nbsp; $1100  |
| &nbsp;&nbsp; Fidelity Sustainability Bond Index Fund | &nbsp;&nbsp; $69700  | &nbsp;&nbsp; $- | &nbsp;&nbsp; $9900  | &nbsp;&nbsp; $1100  |
| &nbsp;&nbsp; Fidelity Sustainable Core Plus Bond Fund | &nbsp;&nbsp; $119100  | &nbsp;&nbsp; $- | &nbsp;&nbsp; $10300  | &nbsp;&nbsp; $1800  |
| &nbsp;&nbsp; Fidelity Sustainable Low Duration Bond Fund | &nbsp;&nbsp; $50400  | &nbsp;&nbsp; $- | &nbsp;&nbsp; $8100  | &nbsp;&nbsp; $800  |

---

**<u>August 31, 2024 Fees</u><sup>A</sup>**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp; **Audit Fees** | &nbsp;&nbsp; **Audit-Related Fees** | &nbsp;&nbsp; **Tax Fees** | &nbsp;&nbsp; **All Other Fees** |
| &nbsp;&nbsp; Fidelity Conservative Income Bond Fund | &nbsp;&nbsp; $50500  | &nbsp;&nbsp; $- | &nbsp;&nbsp; $10000  | &nbsp;&nbsp; $1200  |
| &nbsp;&nbsp; Fidelity SAI Investment Grade Securitized Fund | &nbsp;&nbsp; $81100  | &nbsp;&nbsp; $- | &nbsp;&nbsp; $10600  | &nbsp;&nbsp; $1700  |
| &nbsp;&nbsp; Fidelity SAI Sustainable Low Duration Bond Fund | &nbsp;&nbsp; $41900  | &nbsp;&nbsp; $- | &nbsp;&nbsp; $8400  | &nbsp;&nbsp; $1000  |
| &nbsp;&nbsp; Fidelity Series Corporate Bond Fund | &nbsp;&nbsp; $55900  | &nbsp;&nbsp; $- | &nbsp;&nbsp; $10000  | &nbsp;&nbsp; $1300  |
| &nbsp;&nbsp; Fidelity Series Sustainable Investment Grade Bond Fund | &nbsp;&nbsp; $79400  | &nbsp;&nbsp; $- | &nbsp;&nbsp; $10100  | &nbsp;&nbsp; $1700  |
| &nbsp;&nbsp; Fidelity Short-Term Bond Index Fund | &nbsp;&nbsp; $69800  | &nbsp;&nbsp; $- | &nbsp;&nbsp; $10800  | &nbsp;&nbsp; $1600  |
| &nbsp;&nbsp; Fidelity Sustainability Bond Index Fund | &nbsp;&nbsp; $66900  | &nbsp;&nbsp; $- | &nbsp;&nbsp; $10100  | &nbsp;&nbsp; $1600  |
| &nbsp;&nbsp; Fidelity Sustainable Core Plus Bond Fund | &nbsp;&nbsp; $113900  | &nbsp;&nbsp; $- | &nbsp;&nbsp; $10800  | &nbsp;&nbsp; $2600  |
| &nbsp;&nbsp; Fidelity Sustainable Low Duration Bond Fund | &nbsp;&nbsp; $48000  | &nbsp;&nbsp; $- | &nbsp;&nbsp; $8300  | &nbsp;&nbsp; $1100  |

---

<sup>A</sup> Amounts may reflect rounding.

The following table(s) present(s) fees billed by Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Fidelity Management & Research Company LLC ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) ("Fund Service Providers"):

**<u>Services Billed by Deloitte Entities</u>**

---

| | | |
|:---|:---|:---|
|  | &nbsp;&nbsp; **<u>August 31, 2025</u><sup>A</sup>** | &nbsp;&nbsp; **<u>August 31, 2024</u><sup>A</sup>** |
| &nbsp;&nbsp; Audit-Related Fees | &nbsp;&nbsp; $125000  | &nbsp;&nbsp; $200000  |
| &nbsp;&nbsp; Tax Fees | &nbsp;&nbsp; $-  | &nbsp;&nbsp; $-  |
| &nbsp;&nbsp; All Other Fees | &nbsp;&nbsp; $2970400  | &nbsp;&nbsp; $1929500  |

---

<sup>A</sup> Amounts may reflect rounding.

"Audit-Related Fees" represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.

"Tax Fees" represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.

"All Other Fees" represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.

Assurance services must be performed by an independent public accountant.

\* \* \*

The aggregate non-audit fees billed by Deloitte Entities for services rendered to the Fund(s), FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **<u>Billed By</u>** | &nbsp;&nbsp; **<u>August 31, 2025</u><sup>A</sup>** | &nbsp;&nbsp; **<u>August 31, 2024</u><sup>A</sup>** |
| &nbsp;&nbsp; Deloitte Entities | &nbsp;&nbsp; $3528600  | &nbsp;&nbsp; $5051400  |

---

<sup>A</sup> Amounts may reflect rounding.

The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and FMR's review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.

<u>Audit Committee Pre-Approval Policies and Procedures</u>

The trust's Audit Committee must pre-approve all audit and non-audit services provided by a fund's independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.

The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund ("Covered Service") are subject to approval by the Audit Committee before such service is provided.

All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair's absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.

Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.

<u>Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X ("De Minimis Exception")</u>

There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund's(s') last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).

The Registrant has not retained, for the preparation of the audit report on the financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board (the "PCAOB") has determined that the PCAOB is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction.

The Registrant is not a "foreign issuer," as defined in 17 CFR 240.3b-4.

Item 5.

<u>Audit Committee of Listed Registrants</u>

Not applicable.

Item 6.

<u>Investments</u>

(a) Not applicable.

(b) Not applicable.

Item 7.

<u>Financial Statements and Financial Highlights for Open-End Management Investment Companies</u>

**Fidelity® Sustainability Bond Index Fund**

**Annual Report**

**August 31, 2025**

![](img113700_1.jpg)

![](img113700_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_SBI-I-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Sustainability Bond Index Fund](#Sub_Sec_Fund_3084_SBI-I-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements3084_SBI-I-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_SBI-I-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_SBI-I-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_SBI-I-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_SBI-I-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_SBI-I-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_SBI-I-ANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

"BLOOMBERG®" and the Bloomberg indices listed herein (the "Indices") are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited ("BISL"), the administrator of the Indices (collectively, "Bloomberg") and have been licensed for use for certain purposes by Fidelity. Bloomberg is not affiliated with Fidelity, and Bloomberg does not approve, endorse, review, or recommend the fund. Bloomberg does not guarantee the timeliness, accuracy, or completeness of any data or information relating to the fund.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

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

**Fidelity® Sustainability Bond Index Fund**

**Schedule of Investments August 31, 2025**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 0.3%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.3%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.3%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.3%  |  |  |
| American Express Credit Account Master Trust Series 2023-4 Class A, 5.15% 9/15/2030  | 100000 | 103695 |
| BMW Vehicle Owner Trust Series 2025-A Class A3, 4.56% 9/25/2029  | 30000 | 30271 |
| Capital One Multi-Asset Execution Trust Series 2019-A3 Class A3, 2.06% 8/15/2028  | 32000 | 31404 |
| Capital One Multi-Asset Execution Trust Series 2021-A2 Class A2, 1.39% 7/15/2030  | 60000 | 55958 |
| Capital One Prime Auto Receivables Trust Series 2023-1 Class A3, 4.87% 2/15/2028  | 17462 | 17521 |
| CarMax Auto Owner Trust Series 2022-3 Class A3, 3.97% 4/15/2027  | 31576 | 31543 |
| CarMax Auto Owner Trust Series 2023-2 Class A3, 5.05% 1/18/2028  | 66984 | 67286 |
| CarMax Auto Owner Trust Series 2024-4 Class A3, 4.6% 10/15/2029  | 200000 | 201702 |
| CarMax Auto Owner Trust Series 2025-1 Class A3, 4.84% 1/15/2030  | 40000 | 40597 |
| Chase Issuance Trust Series 2023-A2 Class A, 5.08% 9/15/2030  | 100000 | 103270 |
| Citibank Credit Card Issuance Trust Series 2007-A3 Class A3, 6.15% 6/15/2039  | 100000 | 110349 |
| Citibank Credit Card Issuance Trust Series 2018-A7 Class A7, 3.96% 10/13/2030  | 100000 | 100035 |
| Ford Cr Floorplan Mast Own Tr Series 2018-4 Class A, 4.06% 11/15/2030  | 15000 | 14991 |
| Ford Credit Auto Owner Trust Series 2023-A Class A3, 4.65% 2/15/2028  | 42449 | 42543 |
| Ford Credit Auto Owner Trust Series 2024-D Class A3, 4.61% 8/15/2029  | 200000 | 202222 |
| GM Financial Automobile Leasing Trust Series 2025-1 Class A3, 4.66% 2/21/2028  | 30000 | 30228 |
| GM Financial Consumer Automobile Receivables Trust Series 2023-2 Class A3, 4.47% 2/16/2028  | 59465 | 59539 |
| Honda Auto Receivables Owner Trust Series 2025-1 Class A3, 4.57% 9/21/2029  | 100000 | 101032 |
| Hyundai Auto Receivables Trust Series 2022-B Class A3, 3.72% 11/16/2026  | 7602 | 7597 |
| Hyundai Auto Receivables Trust Series 2022-C Class A3, 5.39% 6/15/2027  | 23754 | 23834 |
| Hyundai Auto Receivables Trust Series 2023-A Class A3, 4.58% 4/15/2027  | 39399 | 39425 |
| MBART Series 2025-1 Class A3, 4.78% 12/17/2029  | 30000 | 30453 |
| Nissan Auto Lease Trust Series 2025-A Class A3, 4.75% 3/15/2028  | 25000 | 25295 |
| Toyota Auto Receivables Owner Trust Series 2025-A Class A3, 4.64% 8/15/2029  | 90000 | 91052 |
| World Omni Auto Receivables Trust Series 2025-A Class A3, 4.73% 3/15/2030  | 30000 | 30360 |
| TOTAL UNITED STATES |  | 1592202 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $1,588,125) |  | <br> **1592202** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| PNC Bank NA 3.25% 1/22/2028 <br>(Cost $262,473)<br>| 270000 | **265772** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 1.1%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 1.1%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 1.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 1.1%  |  |  |
| BANK Series 2017-BNK4 Class ASB, 3.419% 5/15/2050  | 25806 | 25648 |
| BANK Series 2020-BN28 Class A4, 1.844% 3/15/2063  | 120000 | 106136 |
| BANK Series 2022-BNK39 Class A4, 2.928% 2/15/2055  | 100000 | 90302 |
| BANK Series 2022-BNK41 Class A4, 3.9158% 4/15/2065 (b) | 270000 | 256560 |
| BBCMS Mortgage Trust Series 2021-C11 Class A5, 2.322% 9/15/2054  | 100000 | 88267 |
| BBCMS Mortgage Trust Series 2021-C12 Class A5, 2.689% 11/15/2054  | 100000 | 89068 |
| BBCMS Mortgage Trust Series 2021-C9 Class A5, 2.299% 2/15/2054  | 200000 | 178473 |
| BBCMS Mortgage Trust Series 2024-C26 Class A5, 5.829% 5/15/2057 (b) | 303000 | 324222 |
| Benchmark Mortgage Trust Series 2019-B12 Class A5, 3.1156% 8/15/2052  | 19000 | 17970 |
| Benchmark Mortgage Trust Series 2019-B9 Class A5, 4.0156% 3/15/2052  | 60000 | 58835 |
| Benchmark Mortgage Trust Series 2020-B19 Class A5, 1.85% 9/15/2053  | 140000 | 122369 |
| Benchmark Mortgage Trust Series 2021-B24 Class A5, 2.5843% 3/15/2054  | 50000 | 44412 |
| Benchmark Mortgage Trust Series 2025-B41 Class A5, 5.4072% 7/15/2068  | 100000 | 103000 |
| BMO Mortgage Trust Series 2022-C1 Class A5, 3.374% 2/15/2055  | 100000 | 92526 |
| BMO Mortgage Trust Series 2023-C6 Class A5, 5.9562% 9/15/2056  | 30000 | 31846 |
| BMO Mortgage Trust Series 2024-C9 Class A5, 5.7592% 7/15/2057  | 450000 | 477217 |
| Citigroup Commercial Mortgage Trust Series 2018-B2 Class A4, 4.009% 3/10/2051  | 250000 | 247304 |
| Computershare Corporate Trust Series 2018-C48 Class A5, 4.302% 1/15/2052  | 65000 | 65015 |
| CSAIL Commercial Mortgage Trust Series 2019-C17 Class A4, 2.7628% 9/17/2052  | 75000 | 70429 |
| CSAIL Commercial Mortgage Trust Series 2019-C17 Class A5, 3.0161% 9/17/2052  | 75000 | 70398 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K057 Class A2, 2.57% 7/25/2026  | 73653 | 72645 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K068 Class A2, 3.244% 8/25/2027  | 70000 | 69065 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K080 Class A2, 3.926% 7/25/2028  | 60000 | 59969 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-1510 Class A2, 3.718% 1/25/2031  | 41000 | 40185 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-K094 Class A2, 2.903% 6/25/2029  | 110000 | 105919 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K104 Class A2, 2.253% 1/25/2030  | 200000 | 186396 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K116 Class A2, 1.378% 7/25/2030  | 260000 | 229682 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K117 Class A2, 1.406% 8/25/2030  | 200000 | 176507 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K118 Class A2, 1.493% 9/25/2030  | 200000 | 176849 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K121 Class A2, 1.547% 10/25/2030  | 40000 | 35323 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K123 Class A2, 1.621% 12/25/2030  | 130000 | 114977 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K125 Class A2, 1.846% 1/25/2031  | 50000 | 44598 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K128 Class A2, 2.02% 3/25/2031  | 50000 | 44984 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K130 Class A2, 1.723% 6/25/2031  | 100000 | 87778 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K136 Class A2, 2.127% 11/25/2031  | 100000 | 88741 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K140 Class A2, 2.25% 1/25/2032  | 600000 | 533610 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K145 Class A2, 2.58% 5/25/2032  | 600000 | 541461 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-156 Class A2, 4.43% 2/25/2033  | 150000 | 150748 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-163 Class A2, 5% 3/25/2034 (b) | 210000 | 217878 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-165 Class A2, 4.489% 9/25/2034  | 210000 | 209767 |
| GS Mortgage Securities Trust Series 2020-GC45 Class A5, 2.9106% 2/13/2053  | 100000 | 93672 |
| JPMBB Commercial Mortgage Securities Trust Series 2014-C24 Class A5, 3.6385% 11/15/2047  | 7368 | 7213 |
| JPMDB Commercial Mortgage Securities Trust Series 2020-COR7 Class A5, 2.1798% 5/13/2053  | 116000 | 97905 |
| Morgan Stanley Cap I Tr 2020-L4 Series 2020-L4 Class A3, 2.698% 2/15/2053  | 30000 | 27842 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class A4, 2.444% 6/15/2054 (b) | 50000 | 44301 |
| MSWF Commercial Mortgage Trust Series 2023-2 Class A5, 6.014% 12/15/2056  | 30000 | 32422 |
| UBS Commercial Mortgage Trust Series 2019-C16 Class A4, 3.6048% 4/15/2052  | 100000 | 96425 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C52 Class A5, 2.892% 8/15/2052  | 75000 | 70614 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C54 Class A4, 3.146% 12/15/2052  | 100000 | 95042 |
| Wells Fargo Commercial Mortgage Trust Series 2020-C55 Class A5, 2.725% 2/15/2053  | 27000 | 25162 |
| TOTAL UNITED STATES |  | 6337677 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $6,631,641) |  | <br> **6337677** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.9%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.9%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.3%  |  |  |
| Export Development Canada 4.125% 2/13/2029  | 210000 | 213043 |
| Province of Alberta 1.3% 7/22/2030  | 306000 | 271385 |
| Province of British Columbia 4.2% 7/6/2033  | 50000 | 49532 |
| Province of British Columbia 4.8% 11/15/2028  | 150000 | 154681 |
| Province of Manitoba 4.9% 5/31/2034  | 50000 | 51444 |
| Province of Ontario 1.125% 10/7/2030  | 224000 | 195550 |
| Province of Ontario 2.125% 1/21/2032  | 100000 | 88759 |
| Province of Ontario 2.3% 6/15/2026  | 107000 | 105604 |
| Province of Ontario 5.05% 4/24/2034  | 80000 | 83497 |
| Province of Quebec 2.5% 4/20/2026  | 130000 | 128759 |
| Province of Quebec 3.625% 4/13/2028  | 150000 | 149573 |
| Province of Quebec 4.25% 9/5/2034  | 10000 | 9837 |
| Province of Quebec 4.5% 9/8/2033  | 100000 | 101007 |
| TOTAL CANADA |  | 1602671 |
| CHILE - 0.2%  |  |  |
| Chilean Republic 2.55% 7/27/2033  | 400000 | 340400 |
| Chilean Republic 3.24% 2/6/2028  | 230000 | 225400 |
| Chilean Republic 4.95% 1/5/2036  | 200000 | 198400 |
| Chilean Republic 5.65% 1/13/2037  | 200000 | 208200 |
| TOTAL CHILE |  | 972400 |
| HUNGARY - 0.0%  |  |  |
| Hungary Government 7.625% 3/29/2041  | 30000 | 34614 |
| INDONESIA - 0.2%  |  |  |
| Indonesia Government 1.85% 3/12/2031  | 650000 | 568165 |
| Indonesia Government 2.85% 2/14/2030  | 400000 | 376200 |
| Indonesia Government 3.35% 3/12/2071  | 50000 | 32023 |
| Indonesia Government 5.25% 1/15/2030  | 200000 | 207786 |
| TOTAL INDONESIA |  | 1184174 |
| ISRAEL - 0.2%  |  |  |
| Israel Government 3.25% 1/17/2028  | 370000 | 360164 |
| Israel Government 3.375% 1/15/2050  | 100000 | 65324 |
| Israel Government 5.375% 2/19/2030  | 420000 | 430945 |
| Israel Government 5.375% 3/12/2029  | 300000 | 307802 |
| TOTAL ISRAEL |  | 1164235 |
| ITALY - 0.1%  |  |  |
| Italian Republic 2.875% 10/17/2029  | 385000 | 366693 |
| KOREA (SOUTH) - 0.0%  |  |  |
| Korean Republic 2.75% 1/19/2027  | 200000 | 197057 |
| MEXICO - 0.4%  |  |  |
| United Mexican States 3.5% 2/12/2034  | 317000 | 270480 |
| United Mexican States 3.771% 5/24/2061  | 250000 | 149765 |
| United Mexican States 4.5% 1/31/2050  | 700000 | 516600 |
| United Mexican States 4.6% 2/10/2048  | 50000 | 37650 |
| United Mexican States 4.75% 3/8/2044  | 100000 | 80000 |
| United Mexican States 5.55% 1/21/2045  | 45000 | 40264 |
| United Mexican States 5.85% 7/2/2032  | 404000 | 412484 |
| United Mexican States 6.625% 1/29/2038  | 200000 | 205000 |
| United Mexican States 7.5% 4/8/2033  | 55000 | 61624 |
| TOTAL MEXICO |  | 1773867 |
| PANAMA - 0.1%  |  |  |
| Panamanian Republic 2.252% 9/29/2032  | 300000 | 237411 |
| Panamanian Republic 3.16% 1/23/2030  | 400000 | 368400 |
| Panamanian Republic 6.4% 2/14/2035  | 80000 | 80480 |
| TOTAL PANAMA |  | 686291 |
| PERU - 0.1%  |  |  |
| Peruvian Republic 1.862% 12/1/2032  | 185000 | 151075 |
| Peruvian Republic 2.78% 12/1/2060  | 195000 | 104130 |
| Peruvian Republic 3.3% 3/11/2041  | 70000 | 53007 |
| Peruvian Republic 3.55% 3/10/2051  | 55000 | 37840 |
| Peruvian Republic 5.375% 2/8/2035  | 40000 | 40480 |
| Peruvian Republic 5.5% 3/30/2036  | 120000 | 121200 |
| Peruvian Republic 6.2% 6/30/2055  | 60000 | 60780 |
| TOTAL PERU |  | 568512 |
| PHILIPPINES - 0.1%  |  |  |
| Philippine Republic 1.648% 6/10/2031  | 205000 | 176970 |
| Philippine Republic 2.65% 12/10/2045  | 200000 | 131599 |
| Philippine Republic 2.95% 5/5/2045  | 220000 | 153589 |
| Philippine Republic 5.17% 10/13/2027  | 300000 | 305964 |
| Philippine Republic 6.375% 10/23/2034  | 100000 | 111499 |
| TOTAL PHILIPPINES |  | 879621 |
| POLAND - 0.1%  |  |  |
| Republic of Poland 3.25% 4/6/2026  | 283000 | 281115 |
| Republic of Poland 4.625% 3/18/2029  | 50000 | 50876 |
| Republic of Poland 4.875% 10/4/2033  | 160000 | 160173 |
| Republic of Poland 4.875% 2/12/2030  | 100000 | 102600 |
| Republic of Poland 5.125% 9/18/2034  | 50000 | 50473 |
| Republic of Poland 5.375% 2/12/2035  | 100000 | 102400 |
| Republic of Poland 5.5% 3/18/2054  | 60000 | 56275 |
| Republic of Poland 5.5% 4/4/2053  | 40000 | 37424 |
| TOTAL POLAND |  | 841336 |
| URUGUAY - 0.1%  |  |  |
| Uruguay Republic 4.125% 11/20/2045  | 20000 | 17169 |
| Uruguay Republic 4.375% 1/23/2031  | 278116 | 279193 |
| Uruguay Republic 4.375% 10/27/2027  | 15000 | 15089 |
| Uruguay Republic 4.975% 4/20/2055  | 63000 | 55991 |
| Uruguay Republic 5.442% 2/14/2037  | 320000 | 330202 |
| TOTAL URUGUAY |  | 697644 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $11,592,314) |  | <br> **10969115** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 26.8%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 26.8%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 26.8%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.2%  |  |  |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| National Australia Bank Ltd/New York 5.087% 6/11/2027  | 260000 | 265324 |
| Westpac Banking Corp 1.953% 11/20/2028  | 50000 | 47033 |
| Westpac Banking Corp 2.668% 11/15/2035 (b) | 80000 | 71693 |
| Westpac Banking Corp 3.133% 11/18/2041  | 50000 | 36924 |
| Westpac Banking Corp 3.35% 3/8/2027  | 115000 | 114040 |
| Westpac Banking Corp 4.11% 7/24/2034 (b) | 200000 | 195752 |
| Westpac Banking Corp 4.354% 7/1/2030  | 50000 | 50556 |
| Westpac Banking Corp 5.535% 11/17/2028  | 80000 | 83874 |
| Westpac Banking Corp 5.618% 11/20/2035 (b) | 20000 | 20358 |
|  |  | 885554 |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| Rio Tinto Finance USA Ltd 5.2% 11/2/2040  | 50000 | 49325 |
| Rio Tinto Finance USA PLC 4.125% 8/21/2042  | 70000 | 59321 |
| Rio Tinto Finance USA PLC 4.875% 3/14/2030  | 20000 | 20506 |
| Rio Tinto Finance USA PLC 5.25% 3/14/2035  | 40000 | 40749 |
| Rio Tinto Finance USA PLC 5.75% 3/14/2055  | 140000 | 140035 |
|  |  | 309936 |
| TOTAL AUSTRALIA |  | 1195490 |
| BRAZIL - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Paper & Forest Products - 0.0% |  |  |
| Suzano Austria GmbH 3.125% 1/15/2032  | 50000 | 44359 |
| CANADA - 0.8%  |  |  |
| Communication Services - 0.1% |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |
| Bell Canada 2.15% 2/15/2032  | 45000 | 38450 |
| Bell Canada 3.65% 8/15/2052  | 50000 | 34303 |
| Bell Canada 5.1% 5/11/2033  | 50000 | 50590 |
| Bell Canada 5.55% 2/15/2054  | 30000 | 28112 |
| TELUS Corp 3.4% 5/13/2032  | 50000 | 45831 |
|  |  | 197286 |
| Wireless Telecommunication Services - 0.0% |  |  |
| Rogers Communications Inc 3.8% 3/15/2032  | 50000 | 46920 |
| Rogers Communications Inc 4.55% 3/15/2052  | 90000 | 72482 |
| Rogers Communications Inc 7.5% 8/15/2038  | 60000 | 69532 |
|  |  | 188934 |
| TOTAL COMMUNICATION SERVICES |  | 386220 |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Enbridge Inc 3.4% 8/1/2051  | 80000 | 52870 |
| Enbridge Inc 4.6% 6/20/2028  | 100000 | 101068 |
| Enbridge Inc 5.625% 4/5/2034  | 60000 | 61943 |
| Enbridge Inc 5.95% 4/5/2054  | 55000 | 54256 |
| Enbridge Inc 6.7% 11/15/2053  | 20000 | 21540 |
| Enbridge Inc 7.375% 3/15/2055 (b) | 50000 | 52527 |
| Enbridge Inc 8.5% 1/15/2084 (b) | 20000 | 22624 |
| South Bow USA Infrastructure Holdings LLC 5.026% 10/1/2029  | 20000 | 20250 |
| South Bow USA Infrastructure Holdings LLC 5.584% 10/1/2034  | 20000 | 19840 |
| South Bow USA Infrastructure Holdings LLC 6.176% 10/1/2054  | 20000 | 18983 |
| TransCanada PipeLines Ltd 4.1% 4/15/2030  | 300000 | 295406 |
| TransCanada PipeLines Ltd 4.625% 3/1/2034  | 50000 | 48195 |
| TransCanada PipeLines Ltd 5% 10/16/2043  | 50000 | 45806 |
|  |  | 815308 |
| Financials - 0.5% |  |  |
| Banks - 0.5% |  |  |
| Bank of Montreal 3.088% 1/10/2037 (b) | 50000 | 43922 |
| Bank of Montreal 5.3% 6/5/2026  | 270000 | 271970 |
| Bank of Montreal 5.717% 9/25/2028  | 130000 | 135817 |
| Bank of Nova Scotia/The 1.95% 2/2/2027  | 50000 | 48669 |
| Bank of Nova Scotia/The 2.45% 2/2/2032  | 120000 | 105475 |
| Bank of Nova Scotia/The 2.7% 8/3/2026  | 65000 | 64157 |
| Bank of Nova Scotia/The 4.5% 12/16/2025  | 85000 | 85022 |
| Bank of Nova Scotia/The 4.588% 5/4/2037 (b) | 30000 | 28783 |
| Bank of Nova Scotia/The 4.85% 2/1/2030  | 30000 | 30704 |
| Bank of Nova Scotia/The 4.932% 2/14/2029 (b) | 100000 | 101709 |
| Bank of Nova Scotia/The 5.25% 6/12/2028  | 60000 | 61919 |
| Canadian Imperial Bank of Commerce 3.6% 4/7/2032  | 20000 | 18835 |
| Canadian Imperial Bank of Commerce 4.857% 3/30/2029 (b) | 200000 | 202925 |
| Canadian Imperial Bank of Commerce 5.001% 4/28/2028  | 90000 | 92097 |
| Canadian Imperial Bank of Commerce 6.092% 10/3/2033  | 44000 | 47497 |
| Royal Bank of Canada 2.3% 11/3/2031  | 145000 | 129214 |
| Royal Bank of Canada 3.625% 5/4/2027  | 60000 | 59640 |
| Royal Bank of Canada 3.875% 5/4/2032  | 30000 | 28882 |
| Royal Bank of Canada 4.522% 10/18/2028 (b) | 30000 | 30215 |
| Royal Bank of Canada 4.65% 10/18/2030 (b) | 50000 | 50427 |
| Royal Bank of Canada 4.9% 1/12/2028  | 220000 | 224566 |
| Royal Bank of Canada 4.97% 5/2/2031 (b) | 120000 | 122975 |
| Royal Bank of Canada 5.15% 2/1/2034  | 40000 | 41330 |
| Toronto Dominion Bank 3.2% 3/10/2032  | 95000 | 87346 |
| Toronto Dominion Bank 3.625% 9/15/2031 (b) | 75000 | 74271 |
| Toronto Dominion Bank 4.456% 6/8/2032  | 120000 | 118771 |
| Toronto Dominion Bank 4.98% 4/5/2027  | 100000 | 101296 |
| Toronto Dominion Bank 5.146% 9/10/2034 (b) | 20000 | 20190 |
| Toronto Dominion Bank 5.156% 1/10/2028  | 30000 | 30700 |
| Toronto Dominion Bank 5.264% 12/11/2026  | 100000 | 101415 |
| Toronto Dominion Bank 5.523% 7/17/2028  | 120000 | 124550 |
|  |  | 2685289 |
| Insurance - 0.0% |  |  |
| Fairfax Financial Holdings Ltd 5.75% 5/20/2035 (c) | 40000 | 40851 |
| Fairfax Financial Holdings Ltd 6% 12/7/2033  | 50000 | 52575 |
| Fairfax Financial Holdings Ltd 6.1% 3/15/2055  | 10000 | 9862 |
| Fairfax Financial Holdings Ltd 6.35% 3/22/2054  | 40000 | 40750 |
| Manulife Financial Corp 5.375% 3/4/2046  | 30000 | 29401 |
|  |  | 173439 |
| TOTAL FINANCIALS |  | 2858728 |
| Industrials - 0.1% |  |  |
| Ground Transportation - 0.1% |  |  |
| Canadian National Railway Co 2.45% 5/1/2050  | 40000 | 23375 |
| Canadian National Railway Co 2.75% 3/1/2026  | 141000 | 139856 |
| Canadian National Railway Co 6.125% 11/1/2053  | 40000 | 42749 |
| Canadian Pacific Railway Co 1.75% 12/2/2026  | 130000 | 126294 |
| Canadian Pacific Railway Co 2.45% 12/2/2031  | 130000 | 115162 |
| Canadian Pacific Railway Co 3.1% 12/2/2051  | 80000 | 52002 |
| Canadian Pacific Railway Co 3.5% 5/1/2050  | 50000 | 35404 |
| Canadian Pacific Railway Co 4.8% 8/1/2045  | 60000 | 53708 |
|  |  | 588550 |
| Professional Services - 0.0% |  |  |
| TR Finance LLC 3.35% 5/15/2026  | 90000 | 89181 |
| TR Finance LLC 5.5% 8/15/2035  | 20000 | 20496 |
|  |  | 109677 |
| TOTAL INDUSTRIALS |  | 698227 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Nutrien Ltd 3.95% 5/13/2050  | 100000 | 74665 |
| Nutrien Ltd 4.2% 4/1/2029  | 6000 | 5988 |
| Nutrien Ltd 5% 4/1/2049  | 11000 | 9720 |
| Nutrien Ltd 5.4% 6/21/2034  | 50000 | 50934 |
|  |  | 141307 |
| TOTAL CANADA |  | 4899790 |
| CHINA - 0.1%  |  |  |
| Consumer Discretionary - 0.1% |  |  |
| Broadline Retail - 0.1% |  |  |
| Alibaba Group Holding Ltd 2.125% 2/9/2031  | 200000 | 179676 |
| Alibaba Group Holding Ltd 3.4% 12/6/2027  | 285000 | 281301 |
| TOTAL CHINA |  | 460977 |
| FRANCE - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Orange SA 5.5% 2/6/2044  | 60000 | 59347 |
| GERMANY - 0.4%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Deutsche Telekom International Finance BV 9.25% 6/1/2032  | 50000 | 62657 |
| Financials - 0.4% |  |  |
| Capital Markets - 0.1% |  |  |
| Deutsche Bank AG 4.1% 1/13/2026  | 85000 | 84836 |
| Deutsche Bank AG/New York NY 2.311% 11/16/2027 (b) | 150000 | 146316 |
| Deutsche Bank AG/New York NY 4.999% 9/11/2030 (b) | 150000 | 152427 |
| Deutsche Bank AG/New York NY 5.373% 1/10/2029 (b) | 150000 | 153389 |
| Deutsche Bank AG/New York NY 5.403% 9/11/2035 (b) | 150000 | 151100 |
| Deutsche Bank AG/New York NY 6.819% 11/20/2029 (b) | 150000 | 160735 |
|  |  | 848803 |
| Financial Services - 0.3% |  |  |
| KfW 0% 4/18/2036 (d) | 125000 | 79016 |
| KfW 3.75% 2/15/2028  | 510000 | 511925 |
| KfW 3.875% 5/15/2028  | 500000 | 503414 |
| KfW 4.125% 7/15/2033  | 50000 | 50187 |
| KfW 4.75% 10/29/2030  | 130000 | 136075 |
| Landwirtschaftliche Rentenbank 2.5% 11/15/2027  | 230000 | 224312 |
|  |  | 1504929 |
| TOTAL FINANCIALS |  | 2353732 |
| TOTAL GERMANY |  | 2416389 |
| IRELAND - 0.2%  |  |  |
| Financials - 0.2% |  |  |
| Consumer Finance - 0.2% |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026  | 400000 | 391808 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3% 10/29/2028  | 150000 | 144319 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.4% 10/29/2033  | 150000 | 133328 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.875% 1/23/2028  | 150000 | 148879 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5.1% 1/19/2029  | 300000 | 306947 |
| TOTAL IRELAND |  | 1125281 |
| JAPAN - 0.8%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Automobiles - 0.0% |  |  |
| Toyota Motor Corp 4.45% 6/30/2030  | 120000 | 121364 |
| Toyota Motor Corp 5.123% 7/13/2033  | 50000 | 51679 |
|  |  | 173043 |
| Financials - 0.8% |  |  |
| Banks - 0.7% |  |  |
| Mitsubishi UFJ Financial Group Inc 1.538% 7/20/2027 (b) | 200000 | 195123 |
| Mitsubishi UFJ Financial Group Inc 2.048% 7/17/2030  | 210000 | 189003 |
| Mitsubishi UFJ Financial Group Inc 2.341% 1/19/2028 (b) | 230000 | 224005 |
| Mitsubishi UFJ Financial Group Inc 3.741% 3/7/2029  | 180000 | 177975 |
| Mitsubishi UFJ Financial Group Inc 4.286% 7/26/2038  | 213000 | 200564 |
| Mitsubishi UFJ Financial Group Inc 5.197% 1/16/2031 (b) | 200000 | 206376 |
| Mizuho Financial Group Inc 1.554% 7/9/2027 (b) | 300000 | 293081 |
| Mizuho Financial Group Inc 5.098% 5/13/2031 (b) | 200000 | 205287 |
| Mizuho Financial Group Inc 5.778% 7/6/2029 (b) | 420000 | 437503 |
| Sumitomo Mitsui Financial Group Inc 2.174% 1/14/2027  | 270000 | 263080 |
| Sumitomo Mitsui Financial Group Inc 3.01% 10/19/2026  | 120000 | 118480 |
| Sumitomo Mitsui Financial Group Inc 5.24% 4/15/2030  | 200000 | 207076 |
| Sumitomo Mitsui Financial Group Inc 5.316% 7/9/2029  | 210000 | 217569 |
| Sumitomo Mitsui Financial Group Inc 5.464% 1/13/2026  | 430000 | 431608 |
| Sumitomo Mitsui Financial Group Inc 5.52% 1/13/2028  | 250000 | 258282 |
| Sumitomo Mitsui Financial Group Inc 6.184% 7/13/2043  | 110000 | 117423 |
|  |  | 3742435 |
| Capital Markets - 0.1% |  |  |
| Nomura Holdings Inc 1.653% 7/14/2026  | 215000 | 210219 |
| Nomura Holdings Inc 5.386% 7/6/2027  | 200000 | 203855 |
| Nomura Holdings Inc 6.07% 7/12/2028  | 200000 | 209438 |
|  |  | 623512 |
| TOTAL FINANCIALS |  | 4365947 |
| TOTAL JAPAN |  | 4538990 |
| KOREA (SOUTH) - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Korea Development Bank/The 4.125% 10/16/2027  | 300000 | 301212 |
| Korea Development Bank/The 4.875% 2/3/2030  | 200000 | 207130 |
| TOTAL KOREA (SOUTH) |  | 508342 |
| LUXEMBOURG - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| ArcelorMittal SA 4.25% 7/16/2029  | 70000 | 69735 |
| ArcelorMittal SA 6.35% 6/17/2054  | 40000 | 40511 |
| ArcelorMittal SA 6.55% 11/29/2027  | 50000 | 52163 |
| TOTAL LUXEMBOURG |  | 162409 |
| MEXICO - 0.1%  |  |  |
| Communication Services - 0.1% |  |  |
| Media - 0.0% |  |  |
| Grupo Televisa SAB 6.625% 1/15/2040  | 60000 | 55200 |
| Wireless Telecommunication Services - 0.1% |  |  |
| America Movil SAB de CV 3.625% 4/22/2029  | 380000 | 369809 |
| TOTAL COMMUNICATION SERVICES |  | 425009 |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| Southern Copper Corp 5.25% 11/8/2042  | 130000 | 121924 |
| TOTAL MEXICO |  | 546933 |
| MULTI-NATIONAL - 1.0%  |  |  |
| Financials - 1.0% |  |  |
| Banks - 0.7% |  |  |
| African Development Bank 0.875% 7/22/2026  | 80000 | 77885 |
| Arab Community Center for Economic & Social Service 1.625% 9/23/2025  | 193000 | 192665 |
| Arab Community Center for Economic & Social Service 4.125% 1/7/2028  | 28000 | 28046 |
| Arab Community Center for Economic & Social Service 5% 1/22/2030  | 100000 | 103654 |
| Asian Development Bank 2.5% 11/2/2027  | 726000 | 708249 |
| Asian Development Bank 4.375% 3/6/2029  | 630000 | 644654 |
| European Investment Bank 1.25% 2/14/2031  | 83000 | 72757 |
| European Investment Bank 1.75% 3/15/2029  | 560000 | 524997 |
| European Investment Bank 3.625% 7/15/2030  | 960000 | 955833 |
| Inter-American Development Bank 1.125% 1/13/2031  | 170000 | 148124 |
| Inter-American Development Bank 2.25% 6/18/2029  | 30000 | 28489 |
| Inter-American Development Bank 3.125% 9/18/2028  | 430000 | 423566 |
| Inter-American Development Bank 3.2% 8/7/2042  | 123000 | 98559 |
|  |  | 4007478 |
| Financial Services - 0.3% |  |  |
| IBRD Discount Notes 0.75% 8/26/2030  | 70000 | 60534 |
| IBRD Discount Notes 0.875% 5/14/2030  | 67000 | 58819 |
| IBRD Discount Notes 1.25% 2/10/2031  | 100000 | 87503 |
| IBRD Discount Notes 2.5% 11/22/2027  | 200000 | 194998 |
| IBRD Discount Notes 3.625% 9/21/2029  | 570000 | 568601 |
| IBRD Discount Notes 4% 1/10/2031  | 70000 | 70684 |
| IBRD Discount Notes 4% 7/25/2030  | 350000 | 354009 |
| IBRD Discount Notes 4.75% 11/14/2033  | 260000 | 271614 |
| IBRD Discount Notes 4.75% 2/15/2035  | 90000 | 93340 |
| International Finance Corp 0.75% 8/27/2030  | 40000 | 34554 |
|  |  | 1794656 |
| TOTAL MULTI-NATIONAL |  | 5802134 |
| NETHERLANDS - 0.2%  |  |  |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| Cooperatieve Rabobank UA 5.25% 5/24/2041  | 54000 | 53305 |
| ING Groep NV 3.95% 3/29/2027  | 260000 | 259037 |
| ING Groep NV 4.017% 3/28/2028 (b) | 350000 | 348729 |
| ING Groep NV 5.066% 3/25/2031 (b) | 200000 | 204776 |
|  |  | 865847 |
| Information Technology - 0.0% |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 2.65% 2/15/2032  | 100000 | 88010 |
| NXP BV / NXP Funding LLC / NXP USA Inc 4.3% 6/18/2029  | 125000 | 124912 |
| NXP BV / NXP Funding LLC / NXP USA Inc 5.25% 8/19/2035  | 60000 | 59616 |
|  |  | 272538 |
| TOTAL NETHERLANDS |  | 1138385 |
| SPAIN - 0.2%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Telefonica Emisiones SA 4.103% 3/8/2027  | 150000 | 149539 |
| Telefonica Emisiones SA 7.045% 6/20/2036  | 226000 | 251652 |
|  |  | 401191 |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| Banco Santander SA 1.722% 9/14/2027 (b) | 200000 | 194561 |
| Banco Santander SA 5.179% 11/19/2025  | 200000 | 200234 |
| Banco Santander SA 5.538% 3/14/2030 (b) | 200000 | 207604 |
| Banco Santander SA 5.565% 1/17/2030  | 200000 | 208646 |
| Banco Santander SA 6.921% 8/8/2033  | 200000 | 220379 |
|  |  | 1031424 |
| TOTAL SPAIN |  | 1432615 |
| SWEDEN - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Svensk Exportkredit AB 4.875% 10/4/2030  | 200000 | 209282 |
| SWITZERLAND - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Capital Markets - 0.1% |  |  |
| Credit Suisse USA LLC 7.125% 7/15/2032  | 170000 | 194289 |
| UBS AG/Stamford CT 1.25% 8/7/2026  | 310000 | 301828 |
|  |  | 496117 |
| Information Technology - 0.0% |  |  |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |
| Tyco Electronics Group SA 2.5% 2/4/2032  | 50000 | 44424 |
| TOTAL SWITZERLAND |  | 540541 |
| UNITED KINGDOM - 1.5%  |  |  |
| Communication Services - 0.1% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| British Telecommunications PLC 9.625% 12/15/2030 (e) | 55000 | 67713 |
| Media - 0.0% |  |  |
| RELX Capital Inc 3% 5/22/2030  | 10000 | 9490 |
| RELX Capital Inc 4.75% 5/20/2032  | 50000 | 50496 |
| RELX Capital Inc 5.25% 3/27/2035  | 20000 | 20431 |
|  |  | 80417 |
| Wireless Telecommunication Services - 0.1% |  |  |
| Vodafone Group PLC 4.375% 5/30/2028  | 25000 | 25459 |
| Vodafone Group PLC 5% 5/30/2038  | 93000 | 90463 |
| Vodafone Group PLC 5.125% 6/19/2059  | 110000 | 95559 |
| Vodafone Group PLC 5.25% 5/30/2048  | 20000 | 18383 |
| Vodafone Group PLC 5.625% 2/10/2053  | 30000 | 28335 |
| Vodafone Group PLC 5.75% 6/28/2054  | 40000 | 38209 |
| Vodafone Group PLC 6.15% 2/27/2037  | 18000 | 19387 |
|  |  | 315795 |
| TOTAL COMMUNICATION SERVICES |  | 463925 |
| Consumer Staples - 0.0% |  |  |
| Food Products - 0.0% |  |  |
| Mead Johnson Nutrition Co 4.6% 6/1/2044  | 20000 | 17614 |
| Unilever Capital Corp 1.75% 8/12/2031  | 135000 | 117814 |
| Unilever Capital Corp 5.9% 11/15/2032  | 80000 | 87106 |
|  |  | 222534 |
| Financials - 1.3% |  |  |
| Banks - 1.3% |  |  |
| Barclays PLC 2.279% 11/24/2027 (b) | 510000 | 497507 |
| Barclays PLC 2.894% 11/24/2032 (b) | 260000 | 232913 |
| Barclays PLC 3.33% 11/24/2042 (b) | 200000 | 149425 |
| Barclays PLC 4.836% 5/9/2028  | 215000 | 216062 |
| Barclays PLC 5.69% 3/12/2030 (b) | 200000 | 208106 |
| Barclays PLC 5.829% 5/9/2027 (b) | 400000 | 403626 |
| HSBC Holdings PLC 2.804% 5/24/2032 (b) | 340000 | 307224 |
| HSBC Holdings PLC 4.041% 3/13/2028 (b) | 211000 | 210214 |
| HSBC Holdings PLC 4.292% 9/12/2026 (b) | 850000 | 849948 |
| HSBC Holdings PLC 4.755% 6/9/2028 (b) | 630000 | 634680 |
| HSBC Holdings PLC 4.899% 3/3/2029 (b) | 340000 | 344874 |
| HSBC Holdings PLC 5.13% 3/3/2031 (b) | 200000 | 204878 |
| HSBC Holdings PLC 5.546% 3/4/2030 (b) | 210000 | 218059 |
| HSBC Holdings PLC 5.597% 5/17/2028 (b) | 200000 | 204196 |
| HSBC Holdings PLC 6.1% 1/14/2042  | 70000 | 74576 |
| HSBC Holdings PLC 6.161% 3/9/2029 (b) | 200000 | 208657 |
| HSBC Holdings PLC 6.5% 5/2/2036  | 120000 | 128498 |
| HSBC Holdings PLC 6.5% 9/15/2037  | 100000 | 105927 |
| HSBC Holdings PLC 6.8% 6/1/2038  | 100000 | 109801 |
| HSBC Holdings PLC 7.625% 5/17/2032  | 110000 | 122655 |
| Lloyds Banking Group PLC 4.65% 3/24/2026  | 221000 | 220945 |
| Lloyds Banking Group PLC 4.818% 6/13/2029 (b) | 200000 | 202828 |
| Lloyds Banking Group PLC 5.087% 11/26/2028 (b) | 200000 | 203344 |
| Lloyds Banking Group PLC 5.721% 6/5/2030 (b) | 200000 | 209217 |
| Lloyds Banking Group PLC 5.871% 3/6/2029 (b) | 200000 | 207674 |
| NatWest Group PLC 5.583% 3/1/2028 (b) | 300000 | 305577 |
| NatWest Group PLC 5.808% 9/13/2029 (b) | 210000 | 219370 |
| NatWest Group PLC 5.847% 3/2/2027 (b) | 400000 | 402840 |
| Santander UK Group Holdings PLC 2.469% 1/11/2028 (b) | 220000 | 214308 |
|  |  | 7617929 |
| Health Care - 0.1% |  |  |
| Pharmaceuticals - 0.1% |  |  |
| Astrazeneca Finance LLC 1.2% 5/28/2026  | 90000 | 88072 |
| Astrazeneca Finance LLC 2.25% 5/28/2031  | 90000 | 81359 |
| Astrazeneca Finance LLC 4.875% 3/3/2033  | 150000 | 153114 |
| Astrazeneca PLC 4.375% 8/17/2048  | 66000 | 56733 |
| Astrazeneca PLC 6.45% 9/15/2037  | 40000 | 45169 |
| GlaxoSmithKline Capital Inc 6.375% 5/15/2038  | 82000 | 91284 |
|  |  | 515731 |
| Utilities - 0.0% |  |  |
| Multi-Utilities - 0.0% |  |  |
| National Grid PLC 5.418% 1/11/2034  | 20000 | 20581 |
| National Grid PLC 5.602% 6/12/2028  | 50000 | 51748 |
|  |  | 72329 |
| TOTAL UNITED KINGDOM |  | 8892448 |
| UNITED STATES - 21.1%  |  |  |
| Communication Services - 1.8% |  |  |
| Diversified Telecommunication Services - 0.7% |  |  |
| AT&T Inc 1.65% 2/1/2028  | 650000 | 613348 |
| AT&T Inc 1.7% 3/25/2026  | 130000 | 128100 |
| AT&T Inc 2.75% 6/1/2031  | 160000 | 146379 |
| AT&T Inc 3.5% 6/1/2041  | 50000 | 39144 |
| AT&T Inc 3.5% 9/15/2053  | 321000 | 214900 |
| AT&T Inc 3.55% 9/15/2055  | 334000 | 222093 |
| AT&T Inc 3.65% 9/15/2059  | 125000 | 82747 |
| AT&T Inc 3.85% 6/1/2060  | 165000 | 113287 |
| AT&T Inc 4.3% 2/15/2030  | 240000 | 240368 |
| AT&T Inc 4.65% 6/1/2044  | 20000 | 17231 |
| AT&T Inc 4.85% 7/15/2045  | 320000 | 281518 |
| AT&T Inc 5.15% 3/15/2042  | 60000 | 56456 |
| AT&T Inc 6.05% 8/15/2056  | 30000 | 30163 |
| Verizon Communications Inc 1.5% 9/18/2030  | 400000 | 348708 |
| Verizon Communications Inc 2.355% 3/15/2032  | 201000 | 174493 |
| Verizon Communications Inc 2.65% 11/20/2040  | 70000 | 49619 |
| Verizon Communications Inc 2.85% 9/3/2041  | 170000 | 121196 |
| Verizon Communications Inc 2.987% 10/30/2056  | 123000 | 73463 |
| Verizon Communications Inc 3% 11/20/2060  | 100000 | 58285 |
| Verizon Communications Inc 3.55% 3/22/2051  | 140000 | 99502 |
| Verizon Communications Inc 3.7% 3/22/2061  | 50000 | 34259 |
| Verizon Communications Inc 3.875% 2/8/2029  | 120000 | 119161 |
| Verizon Communications Inc 4% 3/22/2050  | 38000 | 29168 |
| Verizon Communications Inc 4.75% 11/1/2041  | 189000 | 170659 |
| Verizon Communications Inc 4.862% 8/21/2046  | 60000 | 53433 |
| Verizon Communications Inc 5.401% 7/2/2037 (c) | 366000 | 367560 |
|  |  | 3885240 |
| Entertainment - 0.1% |  |  |
| Netflix Inc 4.875% 4/15/2028  | 130000 | 132960 |
| Netflix Inc 4.9% 8/15/2034  | 40000 | 40886 |
| Netflix Inc 5.4% 8/15/2054  | 10000 | 9747 |
| Walt Disney Co/The 2% 9/1/2029  | 50000 | 46320 |
| Walt Disney Co/The 2.65% 1/13/2031  | 50000 | 46486 |
| Walt Disney Co/The 3.6% 1/13/2051  | 20000 | 14679 |
| Walt Disney Co/The 3.8% 3/22/2030  | 80000 | 79141 |
| Walt Disney Co/The 4.7% 3/23/2050  | 20000 | 17705 |
| Walt Disney Co/The 6.15% 3/1/2037  | 120000 | 131528 |
| Walt Disney Co/The 6.2% 12/15/2034  | 225000 | 252360 |
| Walt Disney Co/The 6.4% 12/15/2035  | 40000 | 45063 |
| Walt Disney Co/The 6.65% 11/15/2037  | 20000 | 22943 |
|  |  | 839818 |
| Interactive Media & Services - 0.0% |  |  |
| Alphabet Inc 1.1% 8/15/2030  | 60000 | 52449 |
| Alphabet Inc 1.9% 8/15/2040  | 60000 | 40129 |
| Alphabet Inc 2.05% 8/15/2050  | 95000 | 51853 |
| Alphabet Inc 4% 5/15/2030  | 30000 | 30194 |
| Alphabet Inc 4.5% 5/15/2035  | 30000 | 29755 |
| Alphabet Inc 5.25% 5/15/2055  | 40000 | 38963 |
|  |  | 243343 |
| Media - 0.8% |  |  |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.8% 4/1/2031  | 240000 | 215955 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.5% 6/1/2041  | 150000 | 107831 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.9% 6/1/2052  | 220000 | 145790 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.4% 4/1/2033  | 285000 | 267949 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.5% 4/1/2063  | 175000 | 143241 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.85% 12/1/2035 (f) | 90000 | 90159 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.55% 6/1/2034  | 110000 | 116687 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.65% 2/1/2034  | 50000 | 53333 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.834% 10/23/2055  | 30000 | 29975 |
| Comcast Corp 1.5% 2/15/2031  | 300000 | 258674 |
| Comcast Corp 1.95% 1/15/2031  | 180000 | 159505 |
| Comcast Corp 2.35% 1/15/2027  | 85000 | 83085 |
| Comcast Corp 2.45% 8/15/2052  | 100000 | 53487 |
| Comcast Corp 2.65% 2/1/2030  | 1050000 | 984223 |
| Comcast Corp 2.65% 8/15/2062  | 20000 | 10267 |
| Comcast Corp 2.937% 11/1/2056  | 190000 | 109393 |
| Comcast Corp 2.987% 11/1/2063  | 95000 | 52839 |
| Comcast Corp 3.25% 11/1/2039  | 40000 | 31501 |
| Comcast Corp 3.4% 4/1/2030  | 30000 | 29014 |
| Comcast Corp 3.4% 7/15/2046  | 150000 | 106139 |
| Comcast Corp 3.45% 2/1/2050  | 100000 | 68017 |
| Comcast Corp 3.75% 4/1/2040  | 10000 | 8307 |
| Comcast Corp 4.55% 1/15/2029  | 120000 | 121714 |
| Comcast Corp 4.65% 7/15/2042  | 50000 | 44364 |
| Comcast Corp 4.95% 10/15/2058  | 50000 | 42607 |
| Comcast Corp 5.1% 6/1/2029  | 70000 | 72359 |
| Comcast Corp 5.3% 5/15/2035  | 100000 | 102020 |
| Comcast Corp 5.35% 5/15/2053  | 80000 | 73391 |
| Comcast Corp 5.5% 5/15/2064  | 50000 | 46010 |
| Comcast Corp 6.05% 5/15/2055  | 100000 | 101158 |
| Fox Corp 4.709% 1/25/2029  | 330000 | 333765 |
| Fox Corp 5.476% 1/25/2039  | 20000 | 19756 |
| Paramount Global 4.2% 5/19/2032  | 60000 | 55969 |
| Paramount Global 4.95% 1/15/2031  | 100000 | 99385 |
| Paramount Global 4.95% 5/19/2050  | 100000 | 78084 |
| Paramount Global 7.875% 7/30/2030  | 20000 | 22560 |
| Time Warner Cable LLC 5.875% 11/15/2040  | 30000 | 28664 |
| Time Warner Cable LLC 6.55% 5/1/2037  | 50000 | 51792 |
| Time Warner Cable LLC 7.3% 7/1/2038  | 95000 | 103461 |
| TWDC Enterprises 18 Corp 3.7% 12/1/2042  | 50000 | 39973 |
| TWDC Enterprises 18 Corp 4.125% 12/1/2041  | 55000 | 47289 |
| TWDC Enterprises 18 Corp 4.125% 6/1/2044  | 80000 | 66546 |
|  |  | 4676238 |
| Wireless Telecommunication Services - 0.2% |  |  |
| Sprint LLC 7.625% 3/1/2026  | 270000 | 271342 |
| T-Mobile USA Inc 2.7% 3/15/2032  | 50000 | 44296 |
| T-Mobile USA Inc 3% 2/15/2041  | 70000 | 51143 |
| T-Mobile USA Inc 3.5% 4/15/2031  | 90000 | 85085 |
| T-Mobile USA Inc 3.6% 11/15/2060  | 175000 | 114312 |
| T-Mobile USA Inc 3.875% 4/15/2030  | 230000 | 225283 |
| T-Mobile USA Inc 4.5% 4/15/2050  | 62000 | 50671 |
| T-Mobile USA Inc 4.7% 1/15/2035  | 10000 | 9694 |
| T-Mobile USA Inc 5.05% 7/15/2033  | 100000 | 101026 |
| T-Mobile USA Inc 5.2% 1/15/2033  | 130000 | 132355 |
| T-Mobile USA Inc 5.25% 6/15/2055  | 10000 | 8993 |
| T-Mobile USA Inc 5.65% 1/15/2053  | 65000 | 62238 |
| T-Mobile USA Inc 5.8% 9/15/2062  | 50000 | 48556 |
|  |  | 1204994 |
| TOTAL COMMUNICATION SERVICES |  | 10849633 |
| Consumer Discretionary - 1.6% |  |  |
| Automobile Components - 0.0% |  |  |
| Aptiv Swiss Holdings Ltd 4.65% 9/13/2029  | 200000 | 200807 |
| Lear Corp 2.6% 1/15/2032  | 30000 | 26141 |
| Lear Corp 3.5% 5/30/2030  | 50000 | 47651 |
|  |  | 274599 |
| Automobiles - 0.5% |  |  |
| American Honda Finance Corp 4.55% 7/9/2027  | 100000 | 100724 |
| American Honda Finance Corp 4.8% 3/5/2030  | 50000 | 51019 |
| American Honda Finance Corp 4.85% 10/23/2031  | 60000 | 60802 |
| American Honda Finance Corp 5.125% 7/7/2028  | 40000 | 41035 |
| American Honda Finance Corp 5.15% 7/9/2032  | 30000 | 30565 |
| American Honda Finance Corp 5.2% 3/5/2035  | 50000 | 50297 |
| American Honda Finance Corp 5.65% 11/15/2028  | 160000 | 166896 |
| Ford Motor Co 3.25% 2/12/2032  | 245000 | 210038 |
| Ford Motor Co 5.291% 12/8/2046  | 130000 | 105552 |
| Ford Motor Co 6.1% 8/19/2032  | 130000 | 131344 |
| Ford Motor Co 9.625% 4/22/2030  | 110000 | 128031 |
| General Motors Co 5% 4/1/2035  | 30000 | 28621 |
| General Motors Co 5.2% 4/1/2045  | 200000 | 174012 |
| General Motors Co 5.6% 10/15/2032  | 50000 | 51364 |
| General Motors Co 5.95% 4/1/2049  | 100000 | 94027 |
| General Motors Financial Co Inc 1.25% 1/8/2026  | 555000 | 548604 |
| General Motors Financial Co Inc 2.4% 4/10/2028  | 80000 | 76180 |
| General Motors Financial Co Inc 2.7% 8/20/2027  | 145000 | 140678 |
| General Motors Financial Co Inc 5.45% 7/15/2030  | 140000 | 143739 |
| General Motors Financial Co Inc 5.45% 9/6/2034  | 50000 | 49516 |
| General Motors Financial Co Inc 5.65% 1/17/2029  | 80000 | 82488 |
| General Motors Financial Co Inc 5.75% 2/8/2031  | 30000 | 31128 |
| General Motors Financial Co Inc 5.85% 4/6/2030  | 70000 | 73162 |
|  |  | 2569822 |
| Broadline Retail - 0.3% |  |  |
| Amazon.com Inc 1% 5/12/2026  | 193000 | 188971 |
| Amazon.com Inc 1.2% 6/3/2027  | 330000 | 315699 |
| Amazon.com Inc 2.1% 5/12/2031  | 193000 | 173105 |
| Amazon.com Inc 2.5% 6/3/2050  | 100000 | 59525 |
| Amazon.com Inc 2.875% 5/12/2041  | 185000 | 138790 |
| Amazon.com Inc 3.1% 5/12/2051  | 193000 | 129548 |
| Amazon.com Inc 3.15% 8/22/2027  | 240000 | 236914 |
| Amazon.com Inc 3.6% 4/13/2032  | 200000 | 192529 |
| Amazon.com Inc 3.95% 4/13/2052  | 50000 | 39183 |
| Amazon.com Inc 4.1% 4/13/2062  | 25000 | 19440 |
| Amazon.com Inc 4.25% 8/22/2057  | 50000 | 40688 |
| Amazon.com Inc 4.55% 12/1/2027  | 230000 | 233254 |
| eBay Inc 1.4% 5/10/2026  | 118000 | 115697 |
| eBay Inc 2.7% 3/11/2030  | 50000 | 46769 |
| eBay Inc 4% 7/15/2042  | 30000 | 24566 |
|  |  | 1954678 |
| Distributors - 0.0% |  |  |
| Genuine Parts Co 6.5% 11/1/2028  | 60000 | 63824 |
| Diversified Consumer Services - 0.0% |  |  |
| Trane Technologies Global Holding Co Ltd 4.3% 2/21/2048  | 62000 | 51024 |
| Hotels, Restaurants & Leisure - 0.3% |  |  |
| Expedia Group Inc 4.625% 8/1/2027  | 240000 | 241530 |
| Marriott International Inc/MD 2.85% 4/15/2031  | 60000 | 55036 |
| Marriott International Inc/MD 3.5% 10/15/2032  | 80000 | 73363 |
| Marriott International Inc/MD 4.2% 7/15/2027  | 190000 | 190295 |
| Marriott International Inc/MD 4.875% 5/15/2029  | 30000 | 30554 |
| Marriott International Inc/MD 5.25% 10/15/2035  | 40000 | 39704 |
| Marriott International Inc/MD 5.35% 3/15/2035  | 40000 | 40385 |
| Marriott International Inc/MD 5.5% 4/15/2037  | 40000 | 40142 |
| McDonald's Corp 2.625% 9/1/2029  | 90000 | 85205 |
| McDonald's Corp 3.5% 7/1/2027  | 20000 | 19822 |
| McDonald's Corp 3.6% 7/1/2030  | 165000 | 161038 |
| McDonald's Corp 3.625% 5/1/2043  | 70000 | 54759 |
| McDonald's Corp 3.625% 9/1/2049  | 50000 | 36318 |
| McDonald's Corp 4.2% 4/1/2050  | 18000 | 14344 |
| McDonald's Corp 4.45% 9/1/2048  | 64000 | 53593 |
| McDonald's Corp 4.7% 12/9/2035  | 20000 | 19692 |
| McDonald's Corp 5% 2/13/2036  | 80000 | 80062 |
| McDonald's Corp 6.3% 3/1/2038  | 60000 | 65819 |
| Starbucks Corp 2% 3/12/2027  | 170000 | 164736 |
| Starbucks Corp 2.55% 11/15/2030  | 100000 | 91718 |
| Starbucks Corp 3.35% 3/12/2050  | 40000 | 26710 |
| Starbucks Corp 4.3% 6/15/2045  | 20000 | 16378 |
| Starbucks Corp 4.5% 11/15/2048  | 72000 | 59636 |
|  |  | 1660839 |
| Household Durables - 0.0% |  |  |
| DR Horton Inc 5% 10/15/2034  | 30000 | 30008 |
| DR Horton Inc 5.5% 10/15/2035  | 20000 | 20484 |
| PulteGroup Inc 7.875% 6/15/2032  | 30000 | 35271 |
| Toll Brothers Finance Corp 4.35% 2/15/2028  | 40000 | 40094 |
|  |  | 125857 |
| Leisure Products - 0.0% |  |  |
| Brunswick Corp/DE 4.4% 9/15/2032  | 40000 | 37602 |
| Hasbro Inc 3.9% 11/19/2029  | 75000 | 73187 |
| Hasbro Inc 6.05% 5/14/2034  | 30000 | 31221 |
|  |  | 142010 |
| Specialty Retail - 0.5% |  |  |
| AutoNation Inc 4.75% 6/1/2030  | 50000 | 50177 |
| AutoZone Inc 3.75% 6/1/2027  | 50000 | 49640 |
| AutoZone Inc 4.5% 2/1/2028  | 55000 | 55573 |
| AutoZone Inc 4.75% 8/1/2032  | 30000 | 30047 |
| AutoZone Inc 5.1% 7/15/2029  | 10000 | 10299 |
| AutoZone Inc 5.4% 7/15/2034  | 10000 | 10276 |
| AutoZone Inc 6.55% 11/1/2033  | 40000 | 44336 |
| Home Depot Inc/The 2.375% 3/15/2051  | 113000 | 63532 |
| Home Depot Inc/The 2.95% 6/15/2029  | 280000 | 269873 |
| Home Depot Inc/The 3.3% 4/15/2040  | 200000 | 160611 |
| Home Depot Inc/The 4.2% 4/1/2043  | 50000 | 42686 |
| Home Depot Inc/The 4.4% 3/15/2045  | 90000 | 77394 |
| Home Depot Inc/The 4.5% 12/6/2048  | 70000 | 59942 |
| Home Depot Inc/The 4.5% 9/15/2032  | 50000 | 50494 |
| Home Depot Inc/The 4.95% 6/25/2034  | 100000 | 101714 |
| Home Depot Inc/The 4.95% 9/30/2026  | 210000 | 211968 |
| Home Depot Inc/The 5.3% 6/25/2054  | 30000 | 28538 |
| Home Depot Inc/The 5.4% 9/15/2040  | 60000 | 60868 |
| Home Depot Inc/The 5.875% 12/16/2036  | 40000 | 43221 |
| Lowe's Cos Inc 1.7% 10/15/2030  | 100000 | 87891 |
| Lowe's Cos Inc 2.625% 4/1/2031  | 50000 | 45571 |
| Lowe's Cos Inc 2.8% 9/15/2041  | 90000 | 63085 |
| Lowe's Cos Inc 3% 10/15/2050  | 60000 | 37149 |
| Lowe's Cos Inc 3.1% 5/3/2027  | 34000 | 33446 |
| Lowe's Cos Inc 4.05% 5/3/2047  | 112000 | 86950 |
| Lowe's Cos Inc 4.45% 4/1/2062  | 100000 | 76738 |
| Lowe's Cos Inc 4.5% 4/15/2030  | 50000 | 50633 |
| Lowe's Cos Inc 5% 4/15/2033  | 75000 | 76307 |
| Lowe's Cos Inc 5.125% 4/15/2050  | 20000 | 17697 |
| Lowe's Cos Inc 5.75% 7/1/2053  | 20000 | 19350 |
| Lowe's Cos Inc 5.8% 9/15/2062  | 20000 | 19243 |
| Lowe's Cos Inc 5.85% 4/1/2063  | 10000 | 9690 |
| O'Reilly Automotive Inc 4.2% 4/1/2030  | 60000 | 59850 |
| O'Reilly Automotive Inc 4.7% 6/15/2032  | 50000 | 50055 |
| TJX Cos Inc/The 1.6% 5/15/2031  | 125000 | 109242 |
|  |  | 2264086 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| NIKE Inc 2.85% 3/27/2030  | 80000 | 75944 |
| NIKE Inc 3.25% 3/27/2040  | 55000 | 43761 |
| NIKE Inc 3.375% 3/27/2050  | 20000 | 14025 |
| Tapestry Inc 5.1% 3/11/2030  | 30000 | 30662 |
| Tapestry Inc 5.5% 3/11/2035  | 30000 | 30325 |
|  |  | 194717 |
| TOTAL CONSUMER DISCRETIONARY |  | 9301456 |
| Consumer Staples - 1.1% |  |  |
| Beverages - 0.3% |  |  |
| Coca-Cola Co/The 1.45% 6/1/2027  | 20000 | 19215 |
| Coca-Cola Co/The 1.65% 6/1/2030  | 10000 | 8975 |
| Coca-Cola Co/The 2.25% 1/5/2032  | 205000 | 182443 |
| Coca-Cola Co/The 2.5% 6/1/2040  | 10000 | 7320 |
| Coca-Cola Co/The 2.6% 6/1/2050  | 10000 | 6109 |
| Coca-Cola Co/The 2.75% 6/1/2060  | 70000 | 41044 |
| Coca-Cola Co/The 3.45% 3/25/2030  | 60000 | 58482 |
| Coca-Cola Co/The 4.2% 3/25/2050  | 50000 | 41246 |
| Coca-Cola Co/The 5% 5/13/2034  | 70000 | 72313 |
| Coca-Cola Co/The 5.2% 1/14/2055  | 60000 | 56747 |
| Coca-Cola Co/The 5.3% 5/13/2054  | 50000 | 48214 |
| Coca-Cola Co/The 5.4% 5/13/2064  | 20000 | 19261 |
| Keurig Dr Pepper Inc 3.8% 5/1/2050  | 90000 | 63581 |
| Keurig Dr Pepper Inc 4.5% 4/15/2052  | 30000 | 23597 |
| Keurig Dr Pepper Inc 4.597% 5/25/2028  | 110000 | 110498 |
| Keurig Dr Pepper Inc 4.6% 5/15/2030  | 80000 | 80009 |
| Keurig Dr Pepper Inc 5.085% 5/25/2048  | 20000 | 17550 |
| PepsiCo Inc 1.4% 2/25/2031  | 200000 | 173187 |
| PepsiCo Inc 1.625% 5/1/2030  | 83000 | 74423 |
| PepsiCo Inc 2.375% 10/6/2026  | 220000 | 216412 |
| PepsiCo Inc 2.75% 10/21/2051  | 20000 | 12344 |
| PepsiCo Inc 3% 10/15/2027  | 320000 | 314526 |
| PepsiCo Inc 3.5% 3/19/2040  | 120000 | 100437 |
| PepsiCo Inc 3.6% 8/13/2042  | 105000 | 83843 |
| PepsiCo Inc 4% 5/2/2047  | 80000 | 64638 |
| PepsiCo Inc 5% 2/7/2035  | 30000 | 30534 |
| PepsiCo Inc 5% 7/23/2035  | 50000 | 50463 |
|  |  | 1977411 |
| Consumer Staples Distribution & Retail - 0.3% |  |  |
| Costco Wholesale Corp 1.375% 6/20/2027  | 370000 | 354158 |
| Dollar General Corp 5% 11/1/2032  | 60000 | 60500 |
| Dollar General Corp 5.2% 7/5/2028  | 100000 | 102516 |
| Dollar General Corp 5.45% 7/5/2033  | 30000 | 30982 |
| Dollar Tree Inc 4.2% 5/15/2028  | 130000 | 129676 |
| Kroger Co/The 1.7% 1/15/2031  | 100000 | 87159 |
| Kroger Co/The 4.65% 1/15/2048  | 30000 | 25232 |
| Kroger Co/The 5% 4/15/2042  | 50000 | 45899 |
| Kroger Co/The 5% 9/15/2034  | 20000 | 19934 |
| Kroger Co/The 5.4% 1/15/2049  | 10000 | 9338 |
| Kroger Co/The 5.5% 9/15/2054  | 60000 | 56181 |
| Kroger Co/The 5.65% 9/15/2064  | 60000 | 56289 |
| Sysco Corp 2.4% 2/15/2030  | 70000 | 64677 |
| Sysco Corp 3.15% 12/14/2051  | 60000 | 38470 |
| Sysco Corp 3.3% 2/15/2050  | 50000 | 33524 |
| Sysco Corp 4.5% 4/1/2046  | 50000 | 41855 |
| Sysco Corp 5.95% 4/1/2030  | 53000 | 56372 |
| Target Corp 2.95% 1/15/2052  | 75000 | 46975 |
| Target Corp 3.9% 11/15/2047  | 45000 | 34869 |
| Target Corp 4% 7/1/2042  | 50000 | 41806 |
| Target Corp 4.8% 1/15/2053  | 70000 | 61675 |
| Walmart Inc 1.05% 9/17/2026  | 130000 | 126242 |
| Walmart Inc 2.5% 9/22/2041  | 205000 | 144477 |
| Walmart Inc 3.9% 4/15/2028  | 50000 | 50166 |
| Walmart Inc 4.05% 6/29/2048  | 150000 | 122907 |
| Walmart Inc 4.1% 4/15/2033  | 50000 | 49121 |
| Walmart Inc 4.5% 4/15/2053  | 20000 | 17382 |
|  |  | 1908382 |
| Food Products - 0.3% |  |  |
| Archer-Daniels-Midland Co 4.016% 4/16/2043  | 75000 | 62109 |
| Bunge Ltd Finance Corp 4.2% 9/17/2029  | 20000 | 19905 |
| Bunge Ltd Finance Corp 4.65% 9/17/2034  | 20000 | 19478 |
| Conagra Brands Inc 4.85% 11/1/2028  | 75000 | 75809 |
| Conagra Brands Inc 5% 8/1/2030  | 50000 | 50421 |
| Conagra Brands Inc 5.3% 11/1/2038  | 10000 | 9439 |
| Conagra Brands Inc 5.4% 11/1/2048  | 22000 | 19362 |
| Conagra Brands Inc 7% 10/1/2028  | 50000 | 53381 |
| General Mills Inc 2.875% 4/15/2030  | 13000 | 12231 |
| General Mills Inc 3% 2/1/2051  | 50000 | 31486 |
| General Mills Inc 4.2% 4/17/2028  | 130000 | 130104 |
| General Mills Inc 4.875% 1/30/2030  | 50000 | 51123 |
| General Mills Inc 4.95% 3/29/2033  | 50000 | 50339 |
| Hershey Co/The 2.65% 6/1/2050  | 40000 | 23964 |
| JM Smucker Co 4.25% 3/15/2035  | 50000 | 46502 |
| JM Smucker Co 6.5% 11/15/2043  | 50000 | 53068 |
| JM Smucker Co 6.5% 11/15/2053  | 10000 | 10633 |
| Kellanova 4.3% 5/15/2028  | 50000 | 50315 |
| Kellanova 5.75% 5/16/2054  | 20000 | 19531 |
| Kellanova 7.45% 4/1/2031  | 40000 | 45870 |
| Kraft Heinz Foods Co 3.75% 4/1/2030  | 40000 | 38786 |
| Kraft Heinz Foods Co 4.875% 10/1/2049  | 50000 | 41746 |
| Kraft Heinz Foods Co 5.5% 6/1/2050  | 195000 | 176420 |
| Kraft Heinz Foods Co 6.875% 1/26/2039  | 20000 | 21761 |
| McCormick & Co Inc/MD 2.5% 4/15/2030  | 110000 | 101521 |
| Mondelez International Inc 2.625% 9/4/2050  | 50000 | 29316 |
| Mondelez International Inc 2.75% 4/13/2030  | 30000 | 28088 |
| Mondelez International Inc 4.75% 8/28/2034  | 50000 | 49591 |
| Pilgrim's Pride Corp 6.875% 5/15/2034  | 50000 | 54748 |
| The Campbell's Company 4.15% 3/15/2028  | 100000 | 100000 |
| The Campbell's Company 4.75% 3/23/2035  | 80000 | 76603 |
| The Campbell's Company 5.2% 3/21/2029  | 70000 | 71885 |
| Tyson Foods Inc 4% 3/1/2026  | 40000 | 39906 |
| Tyson Foods Inc 4.875% 8/15/2034  | 75000 | 73706 |
| Tyson Foods Inc 5.1% 9/28/2048  | 40000 | 35885 |
| Tyson Foods Inc 5.7% 3/15/2034  | 40000 | 41680 |
|  |  | 1816712 |
| Household Products - 0.1% |  |  |
| Church & Dwight Co Inc 2.3% 12/15/2031  | 70000 | 61672 |
| Colgate-Palmolive Co 4.6% 3/1/2033  | 50000 | 50744 |
| Kimberly-Clark Corp 1.05% 9/15/2027  | 53000 | 50122 |
| Kimberly-Clark Corp 2.875% 2/7/2050  | 75000 | 48211 |
| Kimberly-Clark Corp 3.1% 3/26/2030  | 7000 | 6708 |
| Kimberly-Clark Corp 3.9% 5/4/2047  | 20000 | 15805 |
| Procter & Gamble Co/The 3% 3/25/2030  | 36000 | 34566 |
| Procter & Gamble Co/The 3.6% 3/25/2050  | 180000 | 135683 |
|  |  | 403511 |
| Personal Care Products - 0.1% |  |  |
| Estee Lauder Cos Inc/The 1.95% 3/15/2031  | 75000 | 66138 |
| Estee Lauder Cos Inc/The 5% 2/14/2034  | 80000 | 80749 |
| Estee Lauder Cos Inc/The 5.15% 5/15/2053  | 10000 | 9456 |
| Estee Lauder Cos Inc/The 6% 5/15/2037  | 40000 | 42831 |
| Kenvue Inc 4.9% 3/22/2033  | 32000 | 32504 |
| Kenvue Inc 5.05% 3/22/2028  | 32000 | 32809 |
| Kenvue Inc 5.05% 3/22/2053  | 52000 | 47504 |
| Kenvue Inc 5.2% 3/22/2063  | 40000 | 36428 |
|  |  | 348419 |
| TOTAL CONSUMER STAPLES |  | 6454435 |
| Energy - 0.9% |  |  |
| Energy Equipment & Services - 0.1% |  |  |
| Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc 3.337% 12/15/2027  | 240000 | 236251 |
| Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc 4.08% 12/15/2047  | 60000 | 46701 |
| Halliburton Co 2.92% 3/1/2030  | 80000 | 75231 |
| Halliburton Co 4.85% 11/15/2035  | 10000 | 9745 |
| Halliburton Co 5% 11/15/2045  | 126000 | 111074 |
| Halliburton Co 6.7% 9/15/2038  | 10000 | 10955 |
| NOV Inc 3.6% 12/1/2029  | 60000 | 58002 |
|  |  | 547959 |
| Oil, Gas & Consumable Fuels - 0.8% |  |  |
| Cheniere Corpus Christi Holdings LLC 3.7% 11/15/2029  | 40000 | 38857 |
| Cheniere Energy Partners LP 4.5% 10/1/2029  | 70000 | 69852 |
| Cheniere Energy Partners LP 5.75% 8/15/2034  | 70000 | 71896 |
| DCP Midstream Operating LP 5.6% 4/1/2044  | 20000 | 18641 |
| Enbridge Energy Partners LP 7.5% 4/15/2038  | 70000 | 82006 |
| Enterprise Products Operating LLC 3.3% 2/15/2053  | 250000 | 163955 |
| Enterprise Products Operating LLC 3.95% 1/31/2060  | 40000 | 28772 |
| Enterprise Products Operating LLC 4.95% 2/15/2035  | 10000 | 9980 |
| Enterprise Products Operating LLC 5.1% 2/15/2045  | 50000 | 46291 |
| Enterprise Products Operating LLC 5.35% 1/31/2033  | 270000 | 279644 |
| Enterprise Products Operating LLC 5.55% 2/16/2055  | 10000 | 9544 |
| Enterprise Products Operating LLC 5.7% 2/15/2042  | 20000 | 20124 |
| Enterprise Products Operating LLC 7.55% 4/15/2038  | 55000 | 65148 |
| HF Sinclair Corp 5.5% 9/1/2032  | 50000 | 50169 |
| Kinder Morgan Inc 5.2% 6/1/2033  | 30000 | 30349 |
| Marathon Petroleum Corp 4.75% 9/15/2044  | 88000 | 74128 |
| Marathon Petroleum Corp 5.15% 3/1/2030  | 20000 | 20568 |
| Marathon Petroleum Corp 5.7% 3/1/2035  | 40000 | 40849 |
| MPLX LP 4.125% 3/1/2027  | 240000 | 239512 |
| MPLX LP 4.5% 4/15/2038  | 48000 | 42802 |
| MPLX LP 4.8% 2/15/2031  | 40000 | 40030 |
| MPLX LP 4.9% 4/15/2058  | 50000 | 39999 |
| MPLX LP 5% 3/1/2033  | 100000 | 99048 |
| MPLX LP 5.4% 9/15/2035  | 50000 | 49361 |
| MPLX LP 5.5% 2/15/2049  | 60000 | 54007 |
| MPLX LP 5.5% 6/1/2034  | 50000 | 50419 |
| MPLX LP 6.2% 9/15/2055  | 90000 | 87462 |
| ONEOK Inc 3.4% 9/1/2029  | 80000 | 76806 |
| ONEOK Inc 4.25% 9/24/2027  | 20000 | 20018 |
| ONEOK Inc 4.45% 9/1/2049  | 50000 | 39010 |
| ONEOK Inc 4.75% 10/15/2031  | 50000 | 49999 |
| ONEOK Inc 4.85% 2/1/2049  | 50000 | 40744 |
| ONEOK Inc 5.05% 11/1/2034  | 90000 | 87750 |
| ONEOK Inc 5.65% 11/1/2028  | 20000 | 20775 |
| ONEOK Inc 5.65% 9/1/2034  | 15000 | 15255 |
| ONEOK Inc 5.7% 11/1/2054  | 40000 | 36469 |
| ONEOK Inc 5.85% 11/1/2064  | 40000 | 36415 |
| ONEOK Inc 6.05% 9/1/2033  | 80000 | 84173 |
| ONEOK Inc 6.25% 10/15/2055  | 20000 | 19540 |
| ONEOK Inc 6.35% 1/15/2031  | 187000 | 200846 |
| ONEOK Inc 6.625% 9/1/2053  | 30000 | 30804 |
| ONEOK Partners LP 6.65% 10/1/2036  | 50000 | 54161 |
| Phillips 66 3.3% 3/15/2052  | 50000 | 32041 |
| Phillips 66 3.9% 3/15/2028  | 220000 | 218636 |
| Phillips 66 4.65% 11/15/2034  | 65000 | 62700 |
| Phillips 66 5.875% 5/1/2042  | 54000 | 54033 |
| Phillips 66 Co 4.68% 2/15/2045  | 10000 | 8402 |
| Phillips 66 Co 4.95% 3/15/2035  | 40000 | 39196 |
| Phillips 66 Co 5.3% 6/30/2033  | 60000 | 61296 |
| Plains All American Pipeline LP / PAA Finance Corp 3.55% 12/15/2029  | 140000 | 134882 |
| Plains All American Pipeline LP / PAA Finance Corp 4.9% 2/15/2045  | 20000 | 16945 |
| Plains All American Pipeline LP / PAA Finance Corp 5.7% 9/15/2034  | 30000 | 30603 |
| Sabine Pass Liquefaction LLC 4.5% 5/15/2030  | 40000 | 40116 |
| Sabine Pass Liquefaction LLC 5% 3/15/2027  | 160000 | 160905 |
| Targa Resources Corp 4.95% 4/15/2052  | 60000 | 49634 |
| Targa Resources Corp 5.5% 2/15/2035  | 70000 | 70605 |
| Targa Resources Corp 6.125% 3/15/2033  | 50000 | 52875 |
| Targa Resources Corp 6.125% 5/15/2055  | 40000 | 38878 |
| Targa Resources Corp 6.5% 2/15/2053  | 10000 | 10218 |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp 5% 1/15/2028  | 125000 | 125122 |
| Transcontinental Gas Pipe Line Co LLC 3.25% 5/15/2030  | 20000 | 19024 |
| Transcontinental Gas Pipe Line Co LLC 3.95% 5/15/2050  | 50000 | 37638 |
| Transcontinental Gas Pipe Line Co LLC 4.45% 8/1/2042  | 105000 | 89293 |
| Valero Energy Corp 2.15% 9/15/2027  | 125000 | 119891 |
| Valero Energy Corp 3.4% 9/15/2026  | 50000 | 49546 |
| Valero Energy Corp 4% 4/1/2029  | 155000 | 153259 |
| Valero Energy Corp 4% 6/1/2052  | 50000 | 35709 |
| Western Gas Partners LP 4.05% 2/1/2030 (e) | 50000 | 48615 |
| Western Gas Partners LP 5.45% 4/1/2044  | 50000 | 43953 |
| Western Gas Partners LP 5.5% 8/15/2048  | 20000 | 17188 |
| Western Gas Partners LP 6.35% 1/15/2029  | 70000 | 73625 |
| Williams Cos Inc/The 3.75% 6/15/2027  | 26000 | 25794 |
| Williams Cos Inc/The 5.4% 3/2/2026  | 100000 | 100467 |
| Williams Cos Inc/The 5.65% 3/15/2033  | 50000 | 52044 |
|  |  | 4709311 |
| TOTAL ENERGY |  | 5257270 |
| Financials - 6.7% |  |  |
| Banks - 3.0% |  |  |
| Bank of America Corp 1.734% 7/22/2027 (b) | 43000 | 42019 |
| Bank of America Corp 2.087% 6/14/2029 (b) | 310000 | 292905 |
| Bank of America Corp 2.482% 9/21/2036 (b) | 60000 | 51907 |
| Bank of America Corp 2.651% 3/11/2032 (b) | 80000 | 72715 |
| Bank of America Corp 2.676% 6/19/2041 (b) | 420000 | 302713 |
| Bank of America Corp 2.687% 4/22/2032 (b) | 43000 | 39009 |
| Bank of America Corp 2.831% 10/24/2051 (b) | 50000 | 31095 |
| Bank of America Corp 3.194% 7/23/2030 (b) | 180000 | 172873 |
| Bank of America Corp 3.593% 7/21/2028 (b) | 45000 | 44513 |
| Bank of America Corp 3.846% 3/8/2037 (b) | 180000 | 166246 |
| Bank of America Corp 3.974% 2/7/2030 (b) | 35000 | 34709 |
| Bank of America Corp 4.083% 3/20/2051 (b) | 130000 | 102235 |
| Bank of America Corp 4.183% 11/25/2027  | 95000 | 94937 |
| Bank of America Corp 4.244% 4/24/2038 (b) | 75000 | 68820 |
| Bank of America Corp 4.271% 7/23/2029 (b) | 60000 | 60149 |
| Bank of America Corp 4.33% 3/15/2050 (b) | 50000 | 41217 |
| Bank of America Corp 4.376% 4/27/2028 (b) | 100000 | 100219 |
| Bank of America Corp 4.571% 4/27/2033 (b) | 510000 | 504718 |
| Bank of America Corp 4.623% 5/9/2029 (b) | 200000 | 202256 |
| Bank of America Corp 4.75% 4/21/2045  | 55000 | 48420 |
| Bank of America Corp 5.162% 1/24/2031 (b) | 100000 | 103208 |
| Bank of America Corp 5.202% 4/25/2029 (b) | 50000 | 51268 |
| Bank of America Corp 5.288% 4/25/2034 (b) | 40000 | 41031 |
| Bank of America Corp 5.425% 8/15/2035 (b) | 10000 | 10066 |
| Bank of America Corp 5.511% 1/24/2036 (b) | 280000 | 288454 |
| Bank of America Corp 5.518% 10/25/2035 (b) | 20000 | 20178 |
| Bank of America Corp 5.872% 9/15/2034 (b) | 120000 | 127316 |
| Bank of America Corp 5.875% 2/7/2042  | 135000 | 141029 |
| Bank of America Corp 6.11% 1/29/2037  | 200000 | 212450 |
| Bank of America Corp 6.204% 11/10/2028 (b) | 350000 | 364760 |
| Bank of America NA 5.526% 8/18/2026  | 510000 | 516384 |
| Citibank NA 4.914% 5/29/2030  | 250000 | 256549 |
| Citigroup Inc 2.976% 11/5/2030 (b) | 290000 | 274050 |
| Citigroup Inc 3.2% 10/21/2026  | 191000 | 188847 |
| Citigroup Inc 3.52% 10/27/2028 (b) | 190000 | 187128 |
| Citigroup Inc 3.785% 3/17/2033 (b) | 190000 | 178519 |
| Citigroup Inc 4.125% 7/25/2028  | 154000 | 153812 |
| Citigroup Inc 4.412% 3/31/2031 (b) | 110000 | 109755 |
| Citigroup Inc 4.6% 3/9/2026  | 490000 | 490426 |
| Citigroup Inc 4.65% 7/23/2048  | 135000 | 117038 |
| Citigroup Inc 4.65% 7/30/2045  | 42000 | 36782 |
| Citigroup Inc 4.75% 5/18/2046  | 60000 | 52266 |
| Citigroup Inc 5.333% 3/27/2036 (b) | 60000 | 60633 |
| Citigroup Inc 5.411% 9/19/2039 (b) | 230000 | 227730 |
| Citigroup Inc 5.449% 6/11/2035 (b) | 180000 | 185032 |
| Citigroup Inc 5.612% 3/4/2056 (b) | 40000 | 39038 |
| Citigroup Inc 5.827% 2/13/2035 (b) | 10000 | 10281 |
| Citigroup Inc 5.875% 1/30/2042  | 65000 | 67467 |
| Citigroup Inc 6.174% 5/25/2034 (b) | 80000 | 84281 |
| Citigroup Inc 6.27% 11/17/2033 (b) | 160000 | 173403 |
| Citigroup Inc 6.625% 6/15/2032  | 60000 | 66150 |
| Citigroup Inc 8.125% 7/15/2039  | 85000 | 107342 |
| Citizens Financial Group Inc 2.5% 2/6/2030  | 10000 | 9171 |
| Citizens Financial Group Inc 2.638% 9/30/2032  | 20000 | 16901 |
| Citizens Financial Group Inc 5.253% 3/5/2031 (b) | 40000 | 40895 |
| Citizens Financial Group Inc 5.718% 7/23/2032 (b) | 50000 | 52221 |
| Citizens Financial Group Inc 6.645% 4/25/2035 (b) | 15000 | 16314 |
| Fifth Third Bancorp 3.95% 3/14/2028  | 100000 | 99530 |
| Fifth Third Bancorp 4.337% 4/25/2033 (b) | 50000 | 48367 |
| Fifth Third Bancorp 4.772% 7/28/2030 (b) | 30000 | 30365 |
| Fifth Third Bancorp 6.361% 10/27/2028 (b) | 70000 | 73108 |
| Fifth Third Bancorp 8.25% 3/1/2038  | 20000 | 24503 |
| Huntington Bancshares Inc/OH 2.55% 2/4/2030  | 65000 | 60175 |
| Huntington Bancshares Inc/OH 4.443% 8/4/2028 (b) | 30000 | 30086 |
| Huntington Bancshares Inc/OH 5.272% 1/15/2031 (b) | 50000 | 51548 |
| Huntington Bancshares Inc/OH 5.709% 2/2/2035 (b) | 30000 | 31000 |
| Huntington Bancshares Inc/OH 6.141% 11/18/2039 (b) | 30000 | 30876 |
| Huntington Bancshares Inc/OH 6.208% 8/21/2029 (b) | 30000 | 31615 |
| JPMorgan Chase & Co 1.47% 9/22/2027 (b) | 170000 | 165070 |
| JPMorgan Chase & Co 2.069% 6/1/2029 (b) | 150000 | 141891 |
| JPMorgan Chase & Co 2.525% 11/19/2041 (b) | 110000 | 78322 |
| JPMorgan Chase & Co 2.545% 11/8/2032 (b) | 180000 | 160487 |
| JPMorgan Chase & Co 2.956% 5/13/2031 (b) | 50000 | 46676 |
| JPMorgan Chase & Co 3.109% 4/22/2051 (b) | 230000 | 153804 |
| JPMorgan Chase & Co 3.328% 4/22/2052 (b) | 80000 | 55349 |
| JPMorgan Chase & Co 3.702% 5/6/2030 (b) | 40000 | 39214 |
| JPMorgan Chase & Co 4.203% 7/23/2029 (b) | 30000 | 30026 |
| JPMorgan Chase & Co 4.323% 4/26/2028 (b) | 170000 | 170203 |
| JPMorgan Chase & Co 4.452% 12/5/2029 (b) | 185000 | 186454 |
| JPMorgan Chase & Co 4.493% 3/24/2031 (b) | 200000 | 201475 |
| JPMorgan Chase & Co 4.565% 6/14/2030 (b) | 310000 | 313414 |
| JPMorgan Chase & Co 4.586% 4/26/2033 (b) | 170000 | 169280 |
| JPMorgan Chase & Co 4.912% 7/25/2033 (b) | 125000 | 126737 |
| JPMorgan Chase & Co 4.95% 6/1/2045  | 92000 | 84115 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (b) | 120000 | 123803 |
| JPMorgan Chase & Co 5.14% 1/24/2031 (b) | 100000 | 103053 |
| JPMorgan Chase & Co 5.294% 7/22/2035 (b) | 360000 | 366965 |
| JPMorgan Chase & Co 5.35% 6/1/2034 (b) | 220000 | 227127 |
| JPMorgan Chase & Co 5.572% 4/22/2036 (b) | 440000 | 457439 |
| JPMorgan Chase & Co 5.576% 7/23/2036 (b) | 120000 | 122401 |
| JPMorgan Chase & Co 5.766% 4/22/2035 (b) | 110000 | 116159 |
| JPMorgan Chase & Co 6.4% 5/15/2038  | 86000 | 96046 |
| KeyCorp 2.55% 10/1/2029  | 40000 | 37412 |
| KeyCorp 4.1% 4/30/2028  | 55000 | 54911 |
| KeyCorp 4.789% 6/1/2033 (b) | 50000 | 49516 |
| KeyCorp 6.401% 3/6/2035 (b) | 30000 | 32227 |
| M&T Bank Corp 5.053% 1/27/2034 (b) | 65000 | 64502 |
| M&T Bank Corp 5.385% 1/16/2036 (b) | 20000 | 20043 |
| M&T Bank Corp 6.082% 3/13/2032 (b) | 50000 | 53084 |
| Morgan Stanley Private Bank NA 4.734% 7/18/2031 (b) | 400000 | 405619 |
| PNC Financial Services Group Inc/The 1.15% 8/13/2026  | 203000 | 197285 |
| PNC Financial Services Group Inc/The 4.626% 6/6/2033 (b) | 85000 | 83644 |
| PNC Financial Services Group Inc/The 4.812% 10/21/2032 (b) | 50000 | 50558 |
| PNC Financial Services Group Inc/The 5.222% 1/29/2031 (b) | 30000 | 31001 |
| PNC Financial Services Group Inc/The 5.373% 7/21/2036 (b) | 70000 | 71135 |
| PNC Financial Services Group Inc/The 5.492% 5/14/2030 (b) | 80000 | 83279 |
| PNC Financial Services Group Inc/The 5.575% 1/29/2036 (b) | 20000 | 20646 |
| PNC Financial Services Group Inc/The 5.582% 6/12/2029 (b) | 100000 | 103736 |
| PNC Financial Services Group Inc/The 5.676% 1/22/2035 (b) | 50000 | 52128 |
| PNC Financial Services Group Inc/The 5.939% 8/18/2034 (b) | 80000 | 85026 |
| PNC Financial Services Group Inc/The 6.037% 10/28/2033 (b) | 50000 | 53555 |
| PNC Financial Services Group Inc/The 6.875% 10/20/2034 (b) | 80000 | 89822 |
| Regions Financial Corp 1.8% 8/12/2028  | 100000 | 93470 |
| Regions Financial Corp 7.375% 12/10/2037  | 20000 | 22714 |
| Santander Holdings USA Inc 4.4% 7/13/2027  | 73000 | 73171 |
| Santander Holdings USA Inc 5.741% 3/20/2031 (b) | 40000 | 41570 |
| Santander Holdings USA Inc 6.565% 6/12/2029 (b) | 80000 | 84139 |
| Santander Holdings USA Inc 7.66% 11/9/2031 (b) | 60000 | 67566 |
| Truist Financial Corp 1.267% 3/2/2027 (b) | 103000 | 101443 |
| Truist Financial Corp 3.875% 3/19/2029  | 110000 | 108369 |
| Truist Financial Corp 4.873% 1/26/2029 (b) | 35000 | 35540 |
| Truist Financial Corp 5.711% 1/24/2035 (b) | 60000 | 62501 |
| Truist Financial Corp 5.867% 6/8/2034 (b) | 100000 | 105117 |
| Truist Financial Corp 6.123% 10/28/2033 (b) | 100000 | 106898 |
| US Bancorp 1.375% 7/22/2030  | 380000 | 332189 |
| US Bancorp 2.491% 11/3/2036 (b) | 50000 | 43025 |
| US Bancorp 3.1% 4/27/2026  | 50000 | 49610 |
| US Bancorp 3.9% 4/26/2028  | 94000 | 93885 |
| US Bancorp 4.653% 2/1/2029 (b) | 80000 | 80911 |
| US Bancorp 4.967% 7/22/2033 (b) | 30000 | 29801 |
| US Bancorp 5.046% 2/12/2031 (b) | 40000 | 41037 |
| US Bancorp 5.424% 2/12/2036 (b) | 50000 | 51164 |
| US Bancorp 5.836% 6/12/2034 (b) | 100000 | 105461 |
| US Bancorp 5.85% 10/21/2033 (b) | 30000 | 31721 |
| Wachovia Corp 5.5% 8/1/2035  | 60000 | 61237 |
| Wells Fargo & Co 2.879% 10/30/2030 (b) | 510000 | 481579 |
| Wells Fargo & Co 3.9% 5/1/2045  | 100000 | 79537 |
| Wells Fargo & Co 4.611% 4/25/2053 (b) | 120000 | 101713 |
| Wells Fargo & Co 4.897% 7/25/2033 (b) | 425000 | 427507 |
| Wells Fargo & Co 4.9% 11/17/2045  | 280000 | 247991 |
| Wells Fargo & Co 5.211% 12/3/2035 (b) | 440000 | 443691 |
| Wells Fargo & Co 5.389% 4/24/2034 (b) | 170000 | 174943 |
| Wells Fargo & Co 5.557% 7/25/2034 (b) | 50000 | 51915 |
| Wells Fargo & Co 5.574% 7/25/2029 (b) | 50000 | 51834 |
| Wells Fargo & Co 5.606% 1/15/2044  | 100000 | 97700 |
| Wells Fargo & Co 6.491% 10/23/2034 (b) | 100000 | 109968 |
|  |  | 17528579 |
| Capital Markets - 1.7% |  |  |
| Affiliated Managers Group Inc 5.5% 8/20/2034  | 20000 | 20287 |
| Ameriprise Financial Inc 5.15% 5/15/2033  | 15000 | 15410 |
| Ameriprise Financial Inc 5.7% 12/15/2028  | 40000 | 41919 |
| Bank of New York Mellon Corp/The 1.8% 7/28/2031  | 47000 | 41199 |
| Bank of New York Mellon Corp/The 3.3% 8/23/2029  | 40000 | 38738 |
| Bank of New York Mellon Corp/The 3.85% 4/28/2028  | 170000 | 170265 |
| Bank of New York Mellon Corp/The 4.289% 6/13/2033 (b) | 50000 | 48851 |
| Bank of New York Mellon Corp/The 4.942% 2/11/2031 (b) | 50000 | 51378 |
| Bank of New York Mellon Corp/The 4.967% 4/26/2034 (b) | 30000 | 30293 |
| Bank of New York Mellon Corp/The 4.975% 3/14/2030 (b) | 90000 | 92497 |
| Bank of New York Mellon Corp/The 5.225% 11/20/2035 (b) | 70000 | 71419 |
| Bank of New York Mellon Corp/The 5.316% 6/6/2036 (b) | 20000 | 20508 |
| Bank of New York Mellon Corp/The 5.834% 10/25/2033 (b) | 100000 | 106850 |
| BlackRock Funding Inc 4.6% 7/26/2027  | 60000 | 60753 |
| BlackRock Funding Inc 4.9% 1/8/2035  | 30000 | 30525 |
| BlackRock Funding Inc 5.35% 1/8/2055  | 105000 | 101283 |
| Blackrock Inc 3.2% 3/15/2027  | 220000 | 217797 |
| Blackrock Inc 4.75% 5/25/2033  | 10000 | 10152 |
| Cboe Global Markets Inc 3.65% 1/12/2027  | 60000 | 59654 |
| Charles Schwab Corp/The 1.65% 3/11/2031  | 50000 | 43413 |
| Charles Schwab Corp/The 2% 3/20/2028  | 115000 | 109623 |
| Charles Schwab Corp/The 2.9% 3/3/2032  | 55000 | 49861 |
| Charles Schwab Corp/The 5.853% 5/19/2034 (b) | 10000 | 10634 |
| Charles Schwab Corp/The 5.875% 8/24/2026  | 200000 | 202945 |
| Charles Schwab Corp/The 6.136% 8/24/2034 (b) | 60000 | 65197 |
| CME Group Inc 2.65% 3/15/2032  | 90000 | 81164 |
| CME Group Inc 4.15% 6/15/2048  | 20000 | 16639 |
| Franklin Resources Inc 2.95% 8/12/2051  | 20000 | 12238 |
| Goldman Sachs Group Inc/The 1.093% 12/9/2026 (b) | 100000 | 99091 |
| Goldman Sachs Group Inc/The 1.948% 10/21/2027 (b) | 260000 | 253164 |
| Goldman Sachs Group Inc/The 2.383% 7/21/2032 (b) | 100000 | 88580 |
| Goldman Sachs Group Inc/The 2.615% 4/22/2032 (b) | 65000 | 58663 |
| Goldman Sachs Group Inc/The 2.65% 10/21/2032 (b) | 165000 | 147522 |
| Goldman Sachs Group Inc/The 3.436% 2/24/2043 (b) | 135000 | 103305 |
| Goldman Sachs Group Inc/The 3.691% 6/5/2028 (b) | 795000 | 787681 |
| Goldman Sachs Group Inc/The 4.017% 10/31/2038 (b) | 155000 | 136337 |
| Goldman Sachs Group Inc/The 4.411% 4/23/2039 (b) | 180000 | 163895 |
| Goldman Sachs Group Inc/The 5.016% 10/23/2035 (b) | 200000 | 198744 |
| Goldman Sachs Group Inc/The 5.15% 5/22/2045  | 20000 | 18302 |
| Goldman Sachs Group Inc/The 5.207% 1/28/2031 (b) | 50000 | 51521 |
| Goldman Sachs Group Inc/The 5.33% 7/23/2035 (b) | 30000 | 30510 |
| Goldman Sachs Group Inc/The 5.536% 1/28/2036 (b) | 100000 | 103115 |
| Goldman Sachs Group Inc/The 5.561% 11/19/2045 (b) | 170000 | 168042 |
| Goldman Sachs Group Inc/The 6.125% 2/15/2033  | 40000 | 43822 |
| Goldman Sachs Group Inc/The 6.25% 2/1/2041  | 75000 | 80500 |
| Goldman Sachs Group Inc/The 6.45% 5/1/2036  | 20000 | 21762 |
| Goldman Sachs Group Inc/The 6.75% 10/1/2037  | 180000 | 200070 |
| Intercontinental Exchange Inc 1.85% 9/15/2032  | 140000 | 117358 |
| Intercontinental Exchange Inc 2.65% 9/15/2040  | 225000 | 163813 |
| Intercontinental Exchange Inc 3% 9/15/2060  | 20000 | 11930 |
| Intercontinental Exchange Inc 3.75% 9/21/2028  | 20000 | 19802 |
| Intercontinental Exchange Inc 4.35% 6/15/2029  | 100000 | 100628 |
| Intercontinental Exchange Inc 5.2% 6/15/2062  | 20000 | 18323 |
| Intercontinental Exchange Inc 5.25% 6/15/2031  | 50000 | 52175 |
| Jefferies Financial Group Inc 4.15% 1/23/2030  | 80000 | 78958 |
| Jefferies Financial Group Inc 4.85% 1/15/2027  | 50000 | 50361 |
| Jefferies Financial Group Inc 5.875% 7/21/2028  | 30000 | 31276 |
| Lazard Group LLC 4.5% 9/19/2028  | 70000 | 70309 |
| Legg Mason Inc 5.625% 1/15/2044  | 10000 | 9836 |
| LPL Holdings Inc 5.15% 6/15/2030  | 60000 | 61264 |
| LPL Holdings Inc 5.65% 3/15/2035  | 20000 | 20215 |
| LPL Holdings Inc 6.75% 11/17/2028  | 20000 | 21409 |
| Moody's Corp 4.25% 2/1/2029  | 110000 | 110482 |
| Moody's Corp 4.875% 12/17/2048  | 40000 | 35460 |
| Moody's Corp 5% 8/5/2034  | 40000 | 40515 |
| Morgan Stanley 1.512% 7/20/2027 (b) | 70000 | 68269 |
| Morgan Stanley 1.593% 5/4/2027 (b) | 60000 | 58882 |
| Morgan Stanley 1.794% 2/13/2032 (b) | 195000 | 169138 |
| Morgan Stanley 2.239% 7/21/2032 (b) | 70000 | 61499 |
| Morgan Stanley 2.484% 9/16/2036 (b) | 55000 | 47689 |
| Morgan Stanley 2.511% 10/20/2032 (b) | 20000 | 17746 |
| Morgan Stanley 2.699% 1/22/2031 (b) | 360000 | 335513 |
| Morgan Stanley 3.217% 4/22/2042 (b) | 175000 | 133317 |
| Morgan Stanley 3.625% 1/20/2027  | 268000 | 266571 |
| Morgan Stanley 3.772% 1/24/2029 (b) | 510000 | 504907 |
| Morgan Stanley 3.95% 4/23/2027  | 50000 | 49822 |
| Morgan Stanley 5.042% 7/19/2030 (b) | 20000 | 20488 |
| Morgan Stanley 5.123% 2/1/2029 (b) | 100000 | 102134 |
| Morgan Stanley 5.164% 4/20/2029 (b) | 200000 | 204473 |
| Morgan Stanley 5.192% 4/17/2031 (b) | 140000 | 144308 |
| Morgan Stanley 5.25% 4/21/2034 (b) | 50000 | 51046 |
| Morgan Stanley 5.297% 4/20/2037 (b) | 95000 | 95582 |
| Morgan Stanley 5.32% 7/19/2035 (b) | 20000 | 20381 |
| Morgan Stanley 5.424% 7/21/2034 (b) | 240000 | 247784 |
| Morgan Stanley 5.587% 1/18/2036 (b) | 100000 | 103391 |
| Morgan Stanley 5.597% 3/24/2051 (b) | 160000 | 157985 |
| Morgan Stanley 5.664% 4/17/2036 (b) | 140000 | 145723 |
| Morgan Stanley 5.831% 4/19/2035 (b) | 80000 | 84428 |
| Morgan Stanley 5.942% 2/7/2039 (b) | 60000 | 62336 |
| Morgan Stanley 6.627% 11/1/2034 (b) | 20000 | 22203 |
| Nasdaq Inc 1.65% 1/15/2031  | 85000 | 74379 |
| Nasdaq Inc 2.5% 12/21/2040  | 70000 | 48729 |
| Nasdaq Inc 3.95% 3/7/2052  | 10000 | 7484 |
| Nasdaq Inc 5.35% 6/28/2028  | 30000 | 30953 |
| Nasdaq Inc 5.95% 8/15/2053  | 8000 | 8153 |
| Nasdaq Inc 6.1% 6/28/2063  | 10000 | 10255 |
| Northern Trust Corp 1.95% 5/1/2030  | 50000 | 45474 |
| Northern Trust Corp 3.375% 5/8/2032 (b) | 30000 | 29329 |
| Northern Trust Corp 6.125% 11/2/2032  | 15000 | 16334 |
| S&P Global Inc 2.3% 8/15/2060  | 85000 | 42501 |
| S&P Global Inc 2.9% 3/1/2032  | 20000 | 18270 |
| S&P Global Inc 3.25% 12/1/2049  | 50000 | 34705 |
| S&P Global Inc 4.75% 8/1/2028  | 70000 | 71404 |
| State Street Corp 1.684% 11/18/2027 (b) | 250000 | 242424 |
| State Street Corp 2.203% 2/7/2028 (b) | 140000 | 136220 |
| State Street Corp 2.623% 2/7/2033 (b) | 60000 | 53547 |
| State Street Corp 4.729% 2/28/2030  | 30000 | 30675 |
| State Street Corp 4.821% 1/26/2034 (b) | 80000 | 80313 |
| State Street Corp 5.146% 2/28/2036 (b) | 20000 | 20253 |
| State Street Corp 5.159% 5/18/2034 (b) | 30000 | 30769 |
| State Street Corp 6.123% 11/21/2034 (b) | 30000 | 32210 |
|  |  | 9830228 |
| Consumer Finance - 0.6% |  |  |
| Ally Financial Inc 6.184% 7/26/2035 (b) | 50000 | 51402 |
| Ally Financial Inc 6.848% 1/3/2030 (b) | 40000 | 42440 |
| Ally Financial Inc 8% 11/1/2031  | 65000 | 74390 |
| American Express Co 4.05% 12/3/2042  | 70000 | 59161 |
| American Express Co 5.043% 5/1/2034 (b) | 60000 | 60954 |
| American Express Co 5.282% 7/27/2029 (b) | 60000 | 61907 |
| American Express Co 5.284% 7/26/2035 (b) | 100000 | 102122 |
| American Express Co 5.442% 1/30/2036 (b) | 50000 | 51394 |
| American Express Co 5.667% 4/25/2036 (b) | 60000 | 62694 |
| Capital One Financial Corp 2.359% 7/29/2032 (b) | 10000 | 8604 |
| Capital One Financial Corp 3.273% 3/1/2030 (b) | 80000 | 77096 |
| Capital One Financial Corp 3.75% 7/28/2026  | 115000 | 114288 |
| Capital One Financial Corp 3.8% 1/31/2028  | 210000 | 208123 |
| Capital One Financial Corp 4.1% 2/9/2027  | 50000 | 49887 |
| Capital One Financial Corp 4.5% 1/30/2026  | 102000 | 101959 |
| Capital One Financial Corp 5.247% 7/26/2030 (b) | 80000 | 82271 |
| Capital One Financial Corp 5.468% 2/1/2029 (b) | 45000 | 46193 |
| Capital One Financial Corp 5.7% 2/1/2030 (b) | 60000 | 62197 |
| Capital One Financial Corp 6.183% 1/30/2036 (b) | 50000 | 51573 |
| Capital One Financial Corp 6.377% 6/8/2034 (b) | 170000 | 182868 |
| Capital One Financial Corp 7.964% 11/2/2034 (b) | 40000 | 46803 |
| Ford Motor Credit Co LLC 5.85% 5/17/2027  | 200000 | 201998 |
| Ford Motor Credit Co LLC 6.798% 11/7/2028  | 200000 | 208155 |
| Ford Motor Credit Co LLC 6.8% 5/12/2028  | 145000 | 150582 |
| John Deere Capital Corp 1.7% 1/11/2027  | 270000 | 262255 |
| John Deere Capital Corp 3.45% 3/7/2029  | 60000 | 58896 |
| John Deere Capital Corp 4.375% 10/15/2030  | 20000 | 20158 |
| John Deere Capital Corp 4.9% 3/3/2028  | 60000 | 61385 |
| John Deere Capital Corp 5.05% 6/12/2034  | 30000 | 30628 |
| John Deere Capital Corp 5.15% 9/8/2033  | 60000 | 62216 |
| Synchrony Financial 2.875% 10/28/2031  | 30000 | 26602 |
| Synchrony Financial 3.7% 8/4/2026  | 30000 | 29784 |
| Synchrony Financial 5.935% 8/2/2030 (b) | 50000 | 51784 |
| Toyota Motor Credit Corp 2.15% 2/13/2030  | 110000 | 101084 |
| Toyota Motor Credit Corp 2.4% 1/13/2032  | 70000 | 61993 |
| Toyota Motor Credit Corp 3.65% 1/8/2029  | 60000 | 59288 |
| Toyota Motor Credit Corp 4.55% 8/9/2029  | 10000 | 10165 |
| Toyota Motor Credit Corp 4.6% 10/10/2031  | 30000 | 30286 |
| Toyota Motor Credit Corp 4.625% 1/12/2028  | 145000 | 147069 |
| Toyota Motor Credit Corp 4.65% 1/5/2029  | 160000 | 162946 |
|  |  | 3335600 |
| Financial Services - 0.5% |  |  |
| Aon Corp / Aon Global Holdings PLC 2.85% 5/28/2027  | 50000 | 48982 |
| Aon Corp / Aon Global Holdings PLC 2.9% 8/23/2051  | 50000 | 30633 |
| Apollo Global Management Inc 5.15% 8/12/2035  | 70000 | 69695 |
| CNH Industrial Capital LLC 5.5% 1/12/2029  | 60000 | 62204 |
| Corebridge Financial Inc 4.35% 4/5/2042  | 110000 | 92554 |
| Corebridge Financial Inc 6.875% 12/15/2052 (b) | 60000 | 62049 |
| CRH SMW Finance DAC 5.125% 1/9/2030  | 300000 | 308673 |
| DH Europe Finance II Sarl 2.6% 11/15/2029  | 20000 | 18825 |
| DH Europe Finance II Sarl 3.4% 11/15/2049  | 20000 | 14185 |
| Equitable Holdings Inc 4.35% 4/20/2028  | 170000 | 170653 |
| Equitable Holdings Inc 5% 4/20/2048  | 16000 | 14310 |
| Fidelity National Information Services Inc 1.15% 3/1/2026  | 68000 | 66919 |
| Fidelity National Information Services Inc 2.25% 3/1/2031  | 50000 | 44372 |
| Fidelity National Information Services Inc 5.1% 7/15/2032  | 60000 | 61254 |
| Fiserv Inc 2.65% 6/1/2030  | 130000 | 120116 |
| Fiserv Inc 3.5% 7/1/2029  | 40000 | 38841 |
| Fiserv Inc 4.4% 7/1/2049  | 120000 | 95957 |
| Fiserv Inc 4.55% 2/15/2031  | 40000 | 39993 |
| Global Payments Inc 1.2% 3/1/2026  | 122000 | 120040 |
| Global Payments Inc 4.15% 8/15/2049  | 50000 | 36876 |
| Global Payments Inc 5.4% 8/15/2032  | 20000 | 20358 |
| Global Payments Inc 5.95% 8/15/2052  | 20000 | 19019 |
| HA Sustainable Infrastructure Capital Inc 6.75% 7/15/2035  | 40000 | 40406 |
| Jackson Financial Inc 3.125% 11/23/2031  | 20000 | 18074 |
| Jackson Financial Inc 5.17% 6/8/2027  | 50000 | 50644 |
| Jackson Financial Inc 5.67% 6/8/2032  | 20000 | 20700 |
| Mastercard Inc 2.95% 11/21/2026  | 185000 | 182843 |
| Mastercard Inc 2.95% 3/15/2051  | 100000 | 64805 |
| Mastercard Inc 3.3% 3/26/2027  | 13000 | 12884 |
| Mastercard Inc 3.35% 3/26/2030  | 18000 | 17515 |
| Mastercard Inc 3.65% 6/1/2049  | 20000 | 15055 |
| Mastercard Inc 3.85% 3/26/2050  | 65000 | 50344 |
| Mastercard Inc 4.875% 5/9/2034  | 70000 | 71304 |
| National Rural Utilities Cooperative Finance Corp 4.15% 12/15/2032  | 100000 | 97001 |
| National Rural Utilities Cooperative Finance Corp 5.45% 10/30/2025  | 220000 | 220331 |
| National Rural Utilities Cooperative Finance Corp 5.8% 1/15/2033  | 30000 | 31937 |
| PayPal Holdings Inc 2.3% 6/1/2030  | 50000 | 45899 |
| PayPal Holdings Inc 5.1% 4/1/2035  | 50000 | 50557 |
| PayPal Holdings Inc 5.25% 6/1/2062  | 55000 | 50512 |
| PayPal Holdings Inc 5.5% 6/1/2054  | 10000 | 9676 |
| Rexford Industrial Realty LP 2.125% 12/1/2030  | 20000 | 17686 |
| Visa Inc 1.9% 4/15/2027  | 43000 | 41652 |
| Visa Inc 2% 8/15/2050  | 50000 | 26751 |
| Visa Inc 2.05% 4/15/2030  | 70000 | 64295 |
| Visa Inc 2.7% 4/15/2040  | 60000 | 45553 |
| Visa Inc 2.75% 9/15/2027  | 205000 | 200596 |
| Visa Inc 4.3% 12/14/2045  | 65000 | 56239 |
| Voya Financial Inc 3.65% 6/15/2026  | 60000 | 59695 |
| Voya Financial Inc 5.7% 7/15/2043  | 20000 | 19668 |
| Western Union Co/The 6.2% 11/17/2036  | 15000 | 15262 |
|  |  | 3154392 |
| Insurance - 0.9% |  |  |
| AFLAC Inc 4.75% 1/15/2049  | 30000 | 25961 |
| Allstate Corp/The 1.45% 12/15/2030  | 280000 | 241028 |
| American International Group Inc 4.375% 6/30/2050  | 50000 | 41042 |
| American International Group Inc 4.5% 7/16/2044  | 127000 | 110547 |
| Aon Corp 4.5% 12/15/2028  | 50000 | 50465 |
| Aon Corp 6.25% 9/30/2040  | 10000 | 10751 |
| Aon Global Ltd 4.75% 5/15/2045  | 68000 | 59441 |
| Aon North America Inc 5.45% 3/1/2034  | 185000 | 190982 |
| Arch Capital Finance LLC 4.011% 12/15/2026  | 170000 | 169700 |
| Arch Capital Finance LLC 5.031% 12/15/2046  | 10000 | 9052 |
| Arch Capital Group US Inc 5.144% 11/1/2043  | 50000 | 46203 |
| Arthur J Gallagher & Co 3.5% 5/20/2051  | 20000 | 13767 |
| Arthur J Gallagher & Co 4.85% 12/15/2029  | 30000 | 30582 |
| Arthur J Gallagher & Co 5.15% 2/15/2035  | 100000 | 100282 |
| Arthur J Gallagher & Co 5.45% 7/15/2034  | 20000 | 20578 |
| Arthur J Gallagher & Co 5.55% 2/15/2055  | 22000 | 20729 |
| Arthur J Gallagher & Co 5.75% 3/2/2053  | 35000 | 33821 |
| Arthur J Gallagher & Co 6.75% 2/15/2054  | 30000 | 32762 |
| Assurant Inc 4.9% 3/27/2028  | 30000 | 30413 |
| Assured Guaranty US Holdings Inc 3.15% 6/15/2031  | 40000 | 37461 |
| Athene Holding Ltd 5.875% 1/15/2034  | 111000 | 115008 |
| Athene Holding Ltd 6.15% 4/3/2030  | 65000 | 69360 |
| Athene Holding Ltd 6.625% 10/15/2054 (b) | 20000 | 20061 |
| Athene Holding Ltd 6.625% 5/19/2055  | 20000 | 20498 |
| Athene Holding Ltd 6.65% 2/1/2033  | 40000 | 43301 |
| Brighthouse Financial Inc 3.85% 12/22/2051  | 50000 | 30955 |
| Brown & Brown Inc 2.375% 3/15/2031  | 50000 | 44412 |
| Brown & Brown Inc 4.5% 3/15/2029  | 65000 | 65245 |
| Brown & Brown Inc 5.55% 6/23/2035  | 40000 | 40771 |
| Brown & Brown Inc 6.25% 6/23/2055  | 40000 | 40895 |
| Chubb Corp/The 6.5% 5/15/2038  | 40000 | 45139 |
| Chubb INA Holdings LLC 1.375% 9/15/2030  | 50000 | 43772 |
| Chubb INA Holdings LLC 2.85% 12/15/2051  | 15000 | 9511 |
| Chubb INA Holdings LLC 3.05% 12/15/2061  | 70000 | 42303 |
| Chubb INA Holdings LLC 3.35% 5/3/2026  | 144000 | 143148 |
| Chubb INA Holdings LLC 4.9% 8/15/2035  | 70000 | 69605 |
| First American Financial Corp 2.4% 8/15/2031  | 40000 | 34652 |
| Globe Life Inc 2.15% 8/15/2030  | 60000 | 53641 |
| Hartford Insurance Group Inc/The 2.8% 8/19/2029  | 135000 | 128050 |
| Hartford Insurance Group Inc/The 2.9% 9/15/2051  | 20000 | 12517 |
| Hartford Insurance Group Inc/The 3.6% 8/19/2049  | 20000 | 14549 |
| Lincoln National Corp 3.8% 3/1/2028  | 76000 | 75097 |
| Markel Group Inc 5% 5/20/2049  | 70000 | 60994 |
| Markel Group Inc 6% 5/16/2054  | 10000 | 9916 |
| Marsh & McLennan Cos Inc 2.9% 12/15/2051  | 50000 | 30851 |
| Marsh & McLennan Cos Inc 3.75% 3/14/2026  | 220000 | 219304 |
| Marsh & McLennan Cos Inc 4.35% 1/30/2047  | 30000 | 24973 |
| Marsh & McLennan Cos Inc 4.65% 3/15/2030  | 100000 | 101781 |
| Marsh & McLennan Cos Inc 4.75% 3/15/2039  | 95000 | 90410 |
| Marsh & McLennan Cos Inc 4.85% 11/15/2031  | 100000 | 102328 |
| Marsh & McLennan Cos Inc 4.9% 3/15/2049  | 33000 | 29406 |
| Marsh & McLennan Cos Inc 5% 3/15/2035  | 30000 | 30120 |
| Marsh & McLennan Cos Inc 5.4% 3/15/2055  | 40000 | 37962 |
| Marsh & McLennan Cos Inc 5.4% 9/15/2033  | 30000 | 31234 |
| MetLife Inc 4.125% 8/13/2042  | 100000 | 83915 |
| MetLife Inc 4.55% 3/23/2030  | 200000 | 203761 |
| MetLife Inc 5% 7/15/2052  | 50000 | 45067 |
| MetLife Inc 5.25% 1/15/2054  | 10000 | 9393 |
| MetLife Inc 5.375% 7/15/2033  | 75000 | 78498 |
| MetLife Inc 5.7% 6/15/2035  | 60000 | 63576 |
| MetLife Inc 6.35% 3/15/2055 (b) | 5000 | 5207 |
| MetLife Inc 6.4% 12/15/2066 (b) | 70000 | 73301 |
| Principal Financial Group Inc 3.1% 11/15/2026  | 70000 | 69134 |
| Principal Financial Group Inc 4.3% 11/15/2046  | 20000 | 16542 |
| Principal Financial Group Inc 6.05% 10/15/2036  | 50000 | 53619 |
| Progressive Corp/The 3% 3/15/2032  | 65000 | 59725 |
| Progressive Corp/The 3.2% 3/26/2030  | 100000 | 96268 |
| Progressive Corp/The 4.125% 4/15/2047  | 50000 | 40959 |
| Progressive Corp/The 4.2% 3/15/2048  | 10000 | 8248 |
| Prudential Financial Inc 3.7% 10/1/2050 (b) | 75000 | 69290 |
| Prudential Financial Inc 3.7% 3/13/2051  | 20000 | 14598 |
| Prudential Financial Inc 3.935% 12/7/2049  | 20000 | 15206 |
| Prudential Financial Inc 4.35% 2/25/2050  | 190000 | 155701 |
| Prudential Financial Inc 4.5% 9/15/2047 (b) | 80000 | 78729 |
| Prudential Financial Inc 5.7% 9/15/2048 (b) | 50000 | 50794 |
| Prudential Financial Inc 6.5% 3/15/2054 (b) | 10000 | 10511 |
| Reinsurance Group of America Inc 5.75% 9/15/2034  | 20000 | 20620 |
| Reinsurance Group of America Inc 6% 9/15/2033  | 20000 | 21119 |
| Reinsurance Group of America Inc 6.65% 9/15/2055 (b) | 20000 | 20372 |
| Selective Insurance Group Inc 5.9% 4/15/2035  | 20000 | 20635 |
| Travelers Companies Inc/The 5.35% 11/1/2040  | 125000 | 126350 |
| Travelers Companies Inc/The 5.45% 5/25/2053  | 40000 | 38864 |
| Travelers Companies Inc/The 5.7% 7/24/2055  | 10000 | 10014 |
| Travelers Companies Inc/The 6.25% 6/15/2037  | 40000 | 44078 |
| Unum Group 4% 6/15/2029  | 30000 | 29556 |
| Unum Group 6% 6/15/2054  | 30000 | 29235 |
| Willis North America Inc 2.95% 9/15/2029  | 93000 | 88056 |
| Willis North America Inc 4.5% 9/15/2028  | 30000 | 30262 |
| Willis North America Inc 5.9% 3/5/2054  | 40000 | 39439 |
|  |  | 5027978 |
| TOTAL FINANCIALS |  | 38876777 |
| Health Care - 3.1% |  |  |
| Biotechnology - 0.6% |  |  |
| AbbVie Inc 2.95% 11/21/2026  | 205000 | 202313 |
| AbbVie Inc 3.2% 11/21/2029  | 20000 | 19272 |
| AbbVie Inc 4.05% 11/21/2039  | 10000 | 8799 |
| AbbVie Inc 4.25% 11/21/2049  | 400000 | 325909 |
| AbbVie Inc 4.5% 5/14/2035  | 160000 | 155040 |
| AbbVie Inc 4.7% 5/14/2045  | 230000 | 206182 |
| AbbVie Inc 4.8% 3/15/2029  | 100000 | 102383 |
| AbbVie Inc 4.875% 11/14/2048  | 120000 | 108292 |
| AbbVie Inc 5.05% 3/15/2034  | 100000 | 101877 |
| AbbVie Inc 5.4% 3/15/2054  | 80000 | 76775 |
| Amgen Inc 2.8% 8/15/2041  | 200000 | 143830 |
| Amgen Inc 3.15% 2/21/2040  | 105000 | 81278 |
| Amgen Inc 3.375% 2/21/2050  | 30000 | 20952 |
| Amgen Inc 4.2% 3/1/2033  | 100000 | 96631 |
| Amgen Inc 4.4% 5/1/2045  | 178000 | 150567 |
| Amgen Inc 4.875% 3/1/2053  | 40000 | 34542 |
| Amgen Inc 5.15% 3/2/2028  | 270000 | 276308 |
| Amgen Inc 5.25% 3/2/2030  | 220000 | 227897 |
| Amgen Inc 5.25% 3/2/2033  | 60000 | 61597 |
| Amgen Inc 5.6% 3/2/2043  | 80000 | 79062 |
| Amgen Inc 5.65% 3/2/2053  | 50000 | 48358 |
| Amgen Inc 5.75% 3/2/2063  | 120000 | 115331 |
| Baxalta Inc 5.25% 6/23/2045  | 135000 | 125998 |
| Biogen Inc 3.15% 5/1/2050  | 20000 | 12474 |
| Biogen Inc 3.25% 2/15/2051  | 67000 | 42218 |
| Biogen Inc 5.05% 1/15/2031  | 170000 | 174466 |
| Biogen Inc 5.2% 9/15/2045  | 10000 | 8956 |
| Gilead Sciences Inc 2.6% 10/1/2040  | 150000 | 108159 |
| Gilead Sciences Inc 2.8% 10/1/2050  | 110000 | 68589 |
| Gilead Sciences Inc 3.65% 3/1/2026  | 175000 | 174407 |
| Gilead Sciences Inc 4.5% 2/1/2045  | 30000 | 26203 |
| Gilead Sciences Inc 4.8% 11/15/2029  | 50000 | 51334 |
| Gilead Sciences Inc 4.8% 4/1/2044  | 52000 | 47479 |
| Gilead Sciences Inc 5.5% 11/15/2054  | 100000 | 97250 |
| Gilead Sciences Inc 5.55% 10/15/2053  | 20000 | 19563 |
|  |  | 3600291 |
| Health Care Equipment & Supplies - 0.3% |  |  |
| Abbott Laboratories 4.75% 11/30/2036  | 45000 | 44725 |
| Abbott Laboratories 4.75% 4/15/2043  | 20000 | 18781 |
| Abbott Laboratories 5.3% 5/27/2040  | 140000 | 143205 |
| Abbott Laboratories 6% 4/1/2039  | 20000 | 21959 |
| Baxter International Inc 1.915% 2/1/2027  | 60000 | 58033 |
| Baxter International Inc 2.539% 2/1/2032  | 100000 | 86995 |
| Baxter International Inc 3.132% 12/1/2051  | 10000 | 6141 |
| Becton Dickinson & Co 2.823% 5/20/2030  | 140000 | 130957 |
| Becton Dickinson & Co 3.794% 5/20/2050  | 20000 | 14785 |
| Becton Dickinson & Co 4.685% 12/15/2044  | 10000 | 8739 |
| Becton Dickinson & Co 5.081% 6/7/2029  | 200000 | 205584 |
| Boston Scientific Corp 2.65% 6/1/2030  | 161000 | 150323 |
| GE HealthCare Technologies Inc 5.5% 6/15/2035  | 70000 | 71874 |
| GE HealthCare Technologies Inc 5.905% 11/22/2032  | 100000 | 106839 |
| Medtronic Inc 4.375% 3/15/2035  | 157000 | 152716 |
| Solventum Corp 6% 5/15/2064  | 50000 | 49872 |
| Stryker Corp 2.9% 6/15/2050  | 80000 | 52105 |
| Stryker Corp 4.625% 9/11/2034  | 50000 | 49298 |
| Zimmer Biomet Holdings Inc 2.6% 11/24/2031  | 60000 | 53803 |
| Zimmer Biomet Holdings Inc 5.05% 2/19/2030  | 80000 | 82333 |
|  |  | 1509067 |
| Health Care Providers & Services - 1.2% |  |  |
| Aetna Inc 4.75% 3/15/2044  | 40000 | 33536 |
| Cardinal Health Inc 3.41% 6/15/2027  | 70000 | 69120 |
| Cardinal Health Inc 4.9% 9/15/2045  | 30000 | 26187 |
| Cardinal Health Inc 5.35% 11/15/2034  | 20000 | 20312 |
| Cardinal Health Inc 5.75% 11/15/2054  | 50000 | 48050 |
| Cencora Inc 4.85% 12/15/2029  | 10000 | 10228 |
| Cencora Inc 5.125% 2/15/2034  | 70000 | 70771 |
| Cencora Inc 5.15% 2/15/2035  | 10000 | 10075 |
| Centene Corp 2.5% 3/1/2031  | 20000 | 17041 |
| Centene Corp 2.625% 8/1/2031  | 70000 | 59323 |
| Centene Corp 3.375% 2/15/2030  | 140000 | 127583 |
| Centene Corp 4.25% 12/15/2027  | 90000 | 87890 |
| Cigna Group/The 1.25% 3/15/2026  | 85000 | 83594 |
| Cigna Group/The 2.375% 3/15/2031  | 100000 | 89677 |
| Cigna Group/The 2.4% 3/15/2030  | 210000 | 193569 |
| Cigna Group/The 3.4% 3/15/2051  | 20000 | 13346 |
| Cigna Group/The 4.375% 10/15/2028  | 100000 | 100542 |
| Cigna Group/The 4.8% 7/15/2046  | 170000 | 147817 |
| Cigna Group/The 4.8% 8/15/2038  | 69000 | 64770 |
| Cigna Group/The 4.9% 12/15/2048  | 19000 | 16508 |
| Cigna Group/The 5.25% 2/15/2034  | 60000 | 61186 |
| Cigna Group/The 5.4% 3/15/2033  | 30000 | 31077 |
| CVS Health Corp 1.3% 8/21/2027  | 270000 | 254944 |
| CVS Health Corp 2.875% 6/1/2026  | 170000 | 167990 |
| CVS Health Corp 3.625% 4/1/2027  | 330000 | 326855 |
| CVS Health Corp 4.3% 3/25/2028  | 250000 | 249882 |
| CVS Health Corp 4.78% 3/25/2038  | 42000 | 38650 |
| CVS Health Corp 4.875% 7/20/2035  | 160000 | 153425 |
| CVS Health Corp 5.05% 3/25/2048  | 60000 | 51438 |
| CVS Health Corp 5.125% 7/20/2045  | 320000 | 282062 |
| CVS Health Corp 5.25% 2/21/2033  | 50000 | 50579 |
| CVS Health Corp 5.625% 2/21/2053  | 60000 | 54808 |
| CVS Health Corp 5.875% 6/1/2053  | 20000 | 18946 |
| CVS Health Corp 6% 6/1/2063  | 100000 | 94814 |
| CVS Health Corp 6.2% 9/15/2055  | 30000 | 29528 |
| Elevance Health Inc 3.125% 5/15/2050  | 130000 | 83252 |
| Elevance Health Inc 3.65% 12/1/2027  | 240000 | 237961 |
| Elevance Health Inc 3.7% 9/15/2049  | 10000 | 7117 |
| Elevance Health Inc 4.101% 3/1/2028  | 100000 | 99929 |
| Elevance Health Inc 4.625% 5/15/2042  | 30000 | 26247 |
| Elevance Health Inc 4.65% 1/15/2043  | 65000 | 56520 |
| Elevance Health Inc 5.2% 2/15/2035  | 70000 | 70427 |
| Elevance Health Inc 5.65% 6/15/2054  | 90000 | 85306 |
| Elevance Health Inc 5.85% 11/1/2064  | 60000 | 57544 |
| HCA Inc 3.625% 3/15/2032  | 100000 | 93004 |
| HCA Inc 4.125% 6/15/2029  | 289000 | 286233 |
| HCA Inc 4.375% 3/15/2042  | 50000 | 41831 |
| HCA Inc 5.125% 6/15/2039  | 50000 | 47166 |
| HCA Inc 5.45% 9/15/2034  | 20000 | 20256 |
| HCA Inc 5.5% 6/15/2047  | 50000 | 46245 |
| HCA Inc 5.75% 3/1/2035  | 130000 | 133731 |
| HCA Inc 6% 4/1/2054  | 100000 | 96507 |
| HCA Inc 6.1% 4/1/2064  | 60000 | 57882 |
| Humana Inc 1.35% 2/3/2027  | 50000 | 48023 |
| Humana Inc 3.125% 8/15/2029  | 50000 | 47557 |
| Humana Inc 4.875% 4/1/2030  | 114000 | 115485 |
| Humana Inc 5.375% 4/15/2031  | 110000 | 113535 |
| Humana Inc 5.5% 3/15/2053  | 30000 | 26947 |
| Humana Inc 6% 5/1/2055  | 50000 | 48038 |
| Laboratory Corp of America Holdings 2.95% 12/1/2029  | 180000 | 170484 |
| McKesson Corp 3.95% 2/16/2028  | 70000 | 69848 |
| McKesson Corp 4.65% 5/30/2030  | 10000 | 10172 |
| McKesson Corp 5.25% 5/30/2035  | 50000 | 50959 |
| Quest Diagnostics Inc 2.8% 6/30/2031  | 85000 | 77826 |
| UnitedHealth Group Inc 1.25% 1/15/2026  | 25000 | 24706 |
| UnitedHealth Group Inc 2% 5/15/2030  | 80000 | 72380 |
| UnitedHealth Group Inc 2.3% 5/15/2031  | 286000 | 255382 |
| UnitedHealth Group Inc 2.9% 5/15/2050  | 381000 | 234455 |
| UnitedHealth Group Inc 2.95% 10/15/2027  | 130000 | 127115 |
| UnitedHealth Group Inc 3.05% 5/15/2041  | 115000 | 84707 |
| UnitedHealth Group Inc 3.7% 8/15/2049  | 20000 | 14384 |
| UnitedHealth Group Inc 4.25% 1/15/2029  | 30000 | 30120 |
| UnitedHealth Group Inc 4.375% 3/15/2042  | 55000 | 47321 |
| UnitedHealth Group Inc 4.75% 7/15/2045  | 70000 | 61798 |
| UnitedHealth Group Inc 5.05% 4/15/2053  | 110000 | 96545 |
| UnitedHealth Group Inc 5.2% 4/15/2063  | 40000 | 35145 |
| UnitedHealth Group Inc 5.5% 4/15/2064  | 60000 | 55201 |
| UnitedHealth Group Inc 5.625% 7/15/2054  | 70000 | 66630 |
| UnitedHealth Group Inc 5.8% 3/15/2036  | 50000 | 52627 |
| UnitedHealth Group Inc 6.05% 2/15/2063  | 50000 | 50145 |
| UnitedHealth Group Inc 6.625% 11/15/2037  | 50000 | 55393 |
| UnitedHealth Group Inc 6.875% 2/15/2038  | 185000 | 210173 |
|  |  | 7056382 |
| Life Sciences Tools & Services - 0.0% |  |  |
| Agilent Technologies Inc 4.2% 9/9/2027  | 30000 | 30012 |
| Agilent Technologies Inc 4.75% 9/9/2034  | 30000 | 29580 |
| Danaher Corp 2.6% 10/1/2050  | 80000 | 48132 |
| Danaher Corp 2.8% 12/10/2051  | 20000 | 12420 |
| Revvity Inc 2.25% 9/15/2031  | 60000 | 51903 |
| Thermo Fisher Scientific Inc 2.6% 10/1/2029  | 320000 | 303181 |
| Thermo Fisher Scientific Inc 5.086% 8/10/2033  | 40000 | 41158 |
|  |  | 516386 |
| Pharmaceuticals - 1.0% |  |  |
| Bristol-Myers Squibb Co 2.35% 11/13/2040  | 160000 | 110008 |
| Bristol-Myers Squibb Co 3.4% 7/26/2029  | 16000 | 15602 |
| Bristol-Myers Squibb Co 3.55% 3/15/2042  | 50000 | 39455 |
| Bristol-Myers Squibb Co 3.9% 3/15/2062  | 50000 | 35485 |
| Bristol-Myers Squibb Co 4.125% 6/15/2039  | 210000 | 187088 |
| Bristol-Myers Squibb Co 4.55% 2/20/2048  | 55000 | 46775 |
| Bristol-Myers Squibb Co 4.9% 2/22/2027  | 305000 | 308791 |
| Bristol-Myers Squibb Co 4.9% 2/22/2029  | 60000 | 61629 |
| Bristol-Myers Squibb Co 5.2% 2/22/2034  | 150000 | 154006 |
| Bristol-Myers Squibb Co 6.4% 11/15/2063  | 180000 | 192571 |
| Eli Lilly & Co 2.25% 5/15/2050  | 70000 | 39208 |
| Eli Lilly & Co 3.7% 3/1/2045  | 110000 | 86550 |
| Eli Lilly & Co 4.2% 8/14/2029  | 100000 | 100883 |
| Eli Lilly & Co 4.75% 2/12/2030  | 50000 | 51407 |
| Eli Lilly & Co 4.875% 2/27/2053  | 50000 | 45105 |
| Eli Lilly & Co 4.9% 10/15/2035  | 200000 | 201122 |
| Eli Lilly & Co 5.05% 8/14/2054  | 100000 | 92542 |
| Eli Lilly & Co 5.5% 2/12/2055  | 50000 | 49305 |
| Eli Lilly & Co 5.55% 3/15/2037  | 100000 | 105991 |
| Haleon US Capital LLC 3.375% 3/24/2027  | 250000 | 247098 |
| Johnson & Johnson 2.1% 9/1/2040  | 60000 | 41643 |
| Johnson & Johnson 2.45% 9/1/2060  | 60000 | 32906 |
| Johnson & Johnson 3.5% 1/15/2048  | 145000 | 110031 |
| Johnson & Johnson 3.625% 3/3/2037  | 115000 | 103278 |
| Johnson & Johnson 4.9% 6/1/2031  | 50000 | 52213 |
| Johnson & Johnson 5% 3/1/2035  | 90000 | 92557 |
| Merck & Co Inc 2.45% 6/24/2050  | 180000 | 103995 |
| Merck & Co Inc 2.9% 12/10/2061  | 100000 | 57421 |
| Merck & Co Inc 4.05% 5/17/2028  | 760000 | 764031 |
| Merck & Co Inc 4.5% 5/17/2033  | 125000 | 125055 |
| Merck & Co Inc 4.9% 5/17/2044  | 50000 | 46500 |
| Mylan Inc 5.2% 4/15/2048  | 83000 | 66589 |
| Mylan Inc 5.4% 11/29/2043  | 30000 | 25421 |
| Novartis Capital Corp 2% 2/14/2027  | 175000 | 170570 |
| Novartis Capital Corp 2.75% 8/14/2050  | 50000 | 31452 |
| Novartis Capital Corp 3.7% 9/21/2042  | 110000 | 89678 |
| Pfizer Inc 2.55% 5/28/2040  | 345000 | 248806 |
| Pfizer Inc 3.9% 3/15/2039  | 50000 | 43627 |
| Pfizer Investment Enterprises Pte Ltd 4.45% 5/19/2028  | 150000 | 151819 |
| Pfizer Investment Enterprises Pte Ltd 4.65% 5/19/2030  | 64000 | 65243 |
| Pfizer Investment Enterprises Pte Ltd 4.75% 5/19/2033  | 100000 | 100200 |
| Pfizer Investment Enterprises Pte Ltd 5.11% 5/19/2043  | 60000 | 56840 |
| Pfizer Investment Enterprises Pte Ltd 5.3% 5/19/2053  | 137000 | 127621 |
| Pfizer Investment Enterprises Pte Ltd 5.34% 5/19/2063  | 115000 | 104785 |
| Royalty Pharma PLC 2.15% 9/2/2031  | 100000 | 87084 |
| Royalty Pharma PLC 2.2% 9/2/2030  | 20000 | 17927 |
| Royalty Pharma PLC 3.3% 9/2/2040  | 70000 | 52996 |
| Viatris Inc 2.3% 6/22/2027  | 105000 | 100764 |
| Viatris Inc 4% 6/22/2050  | 20000 | 13176 |
| Wyeth LLC 6% 2/15/2036  | 100000 | 107902 |
| Wyeth LLC 6.5% 2/1/2034  | 100000 | 111988 |
| Zoetis Inc 3% 5/15/2050  | 70000 | 45326 |
| Zoetis Inc 4.15% 8/17/2028  | 150000 | 150384 |
| Zoetis Inc 5% 8/17/2035  | 10000 | 9959 |
|  |  | 5680408 |
| TOTAL HEALTH CARE |  | 18362534 |
| Industrials - 1.1% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| GE Aerospace 5.875% 1/14/2038  | 75000 | 80436 |
| GE Aerospace 6.75% 3/15/2032  | 40000 | 45266 |
| Howmet Aerospace Inc 5.95% 2/1/2037  | 20000 | 21273 |
|  |  | 146975 |
| Air Freight & Logistics - 0.1% |  |  |
| FedEx Corp 4.4% 1/15/2047  | 80000 | 62872 |
| FedEx Corp 4.55% 4/1/2046  | 90000 | 70897 |
| FedEx Corp 4.95% 10/17/2048  | 78000 | 65744 |
| United Parcel Service Inc 2.5% 9/1/2029  | 90000 | 84705 |
| United Parcel Service Inc 3.05% 11/15/2027  | 140000 | 137618 |
| United Parcel Service Inc 3.4% 9/1/2049  | 50000 | 34529 |
| United Parcel Service Inc 3.75% 11/15/2047  | 58000 | 43794 |
| United Parcel Service Inc 5.25% 5/14/2035  | 30000 | 30751 |
| United Parcel Service Inc 5.5% 5/22/2054  | 140000 | 134321 |
| United Parcel Service Inc 5.6% 5/22/2064  | 20000 | 18980 |
| United Parcel Service Inc 5.95% 5/14/2055  | 20000 | 20232 |
|  |  | 704443 |
| Building Products - 0.1% |  |  |
| Carrier Global Corp 3.377% 4/5/2040  | 80000 | 63933 |
| Carrier Global Corp 5.9% 3/15/2034  | 54000 | 57564 |
| Carrier Global Corp 6.2% 3/15/2054  | 30000 | 31897 |
| Johnson Controls International plc / Tyco Fire & Security Finance SCA 1.75% 9/15/2030  | 30000 | 26574 |
| Johnson Controls International plc / Tyco Fire & Security Finance SCA 4.9% 12/1/2032  | 50000 | 50526 |
| Johnson Controls International plc / Tyco Fire & Security Finance SCA 5.5% 4/19/2029  | 150000 | 156388 |
| Johnson Controls International plc 5.125% 9/14/2045  | 14000 | 12676 |
| Masco Corp 2% 2/15/2031  | 29000 | 25368 |
| Masco Corp 3.125% 2/15/2051  | 14000 | 8610 |
| Owens Corning 3.95% 8/15/2029  | 140000 | 138425 |
| Owens Corning 5.95% 6/15/2054  | 35000 | 34985 |
|  |  | 606946 |
| Commercial Services & Supplies - 0.1% |  |  |
| Republic Services Inc 1.75% 2/15/2032  | 200000 | 170001 |
| Republic Services Inc 3.05% 3/1/2050  | 20000 | 13376 |
| Republic Services Inc 5.2% 11/15/2034  | 30000 | 30782 |
| Veralto Corp 5.35% 9/18/2028  | 30000 | 30979 |
| Veralto Corp 5.5% 9/18/2026  | 40000 | 40414 |
| Waste Connections Inc 2.2% 1/15/2032  | 150000 | 130965 |
| Waste Management Inc 2% 6/1/2029  | 55000 | 51142 |
| Waste Management Inc 2.5% 11/15/2050  | 135000 | 79206 |
| Waste Management Inc 4.65% 3/15/2030  | 20000 | 20396 |
| Waste Management Inc 4.875% 2/15/2029  | 70000 | 71995 |
| Waste Management Inc 4.95% 3/15/2035  | 20000 | 20100 |
| Waste Management Inc 4.95% 7/3/2027  | 20000 | 20355 |
| Waste Management Inc 4.95% 7/3/2031  | 20000 | 20693 |
| Waste Management Inc 5.35% 10/15/2054  | 40000 | 38320 |
|  |  | 738724 |
| Electrical Equipment - 0.0% |  |  |
| Emerson Electric Co 2.8% 12/21/2051  | 90000 | 56385 |
| Hubbell Inc 3.35% 3/1/2026  | 60000 | 59646 |
| Regal Rexnord Corp 6.4% 4/15/2033  | 70000 | 74473 |
| Rockwell Automation Inc 4.2% 3/1/2049  | 40000 | 32684 |
|  |  | 223188 |
| Ground Transportation - 0.3% |  |  |
| CSX Corp 2.5% 5/15/2051  | 115000 | 65911 |
| CSX Corp 3.35% 9/15/2049  | 70000 | 48393 |
| CSX Corp 4.5% 3/15/2049  | 90000 | 75707 |
| CSX Corp 5.2% 11/15/2033  | 50000 | 51740 |
| Norfolk Southern Corp 2.9% 6/15/2026  | 100000 | 98897 |
| Norfolk Southern Corp 3.05% 5/15/2050  | 50000 | 32640 |
| Norfolk Southern Corp 3.155% 5/15/2055  | 195000 | 123812 |
| Norfolk Southern Corp 4.1% 5/15/2121  | 80000 | 55123 |
| Norfolk Southern Corp 5.1% 5/1/2035  | 50000 | 50565 |
| Ryder System Inc 4.85% 6/15/2030  | 110000 | 112223 |
| Uber Technologies Inc 4.3% 1/15/2030  | 20000 | 20054 |
| Uber Technologies Inc 4.8% 9/15/2034  | 40000 | 39543 |
| Uber Technologies Inc 5.35% 9/15/2054  | 40000 | 37557 |
| Union Pacific Corp 2.891% 4/6/2036  | 70000 | 58129 |
| Union Pacific Corp 3.2% 5/20/2041  | 45000 | 34409 |
| Union Pacific Corp 3.5% 2/14/2053  | 10000 | 6981 |
| Union Pacific Corp 3.6% 9/15/2037  | 145000 | 126100 |
| Union Pacific Corp 3.839% 3/20/2060  | 132000 | 94283 |
| Union Pacific Corp 3.875% 2/1/2055  | 20000 | 14823 |
| Union Pacific Corp 4.05% 11/15/2045  | 120000 | 96892 |
| Union Pacific Corp 4.95% 5/15/2053  | 70000 | 62924 |
| Union Pacific Corp 5.1% 2/20/2035  | 30000 | 30521 |
| Union Pacific Corp 5.15% 1/20/2063  | 10000 | 9029 |
| Union Pacific Corp 5.6% 12/1/2054  | 30000 | 29578 |
|  |  | 1375834 |
| Industrial Conglomerates - 0.0% |  |  |
| 3M Co 2.375% 8/26/2029  | 86000 | 80554 |
| 3M Co 3.05% 4/15/2030  | 7000 | 6654 |
| 3M Co 3.125% 9/19/2046  | 50000 | 34180 |
| 3M Co 3.7% 4/15/2050  | 8000 | 5814 |
| 3M Co 4% 9/14/2048  | 50000 | 39362 |
| 3M Co 5.15% 3/15/2035  | 50000 | 50796 |
|  |  | 217360 |
| Machinery - 0.4% |  |  |
| AGCO Corp 5.8% 3/21/2034  | 20000 | 20589 |
| Caterpillar Financial Services Corp 1.1% 9/14/2027  | 40000 | 37876 |
| Caterpillar Financial Services Corp 2.4% 8/9/2026  | 140000 | 137913 |
| Caterpillar Financial Services Corp 4.1% 8/15/2028  | 290000 | 290979 |
| Caterpillar Inc 3.25% 4/9/2050  | 15000 | 10485 |
| Caterpillar Inc 3.25% 9/19/2049  | 50000 | 34956 |
| Caterpillar Inc 5.2% 5/27/2041  | 105000 | 103864 |
| Caterpillar Inc 6.05% 8/15/2036  | 60000 | 65702 |
| Cummins Inc 2.6% 9/1/2050  | 50000 | 29575 |
| Cummins Inc 4.7% 2/15/2031  | 40000 | 40639 |
| Cummins Inc 5.15% 2/20/2034  | 15000 | 15361 |
| Cummins Inc 5.45% 2/20/2054  | 20000 | 19371 |
| Deere & Co 2.875% 9/7/2049  | 130000 | 85137 |
| Deere & Co 3.75% 4/15/2050  | 120000 | 91988 |
| Deere & Co 3.9% 6/9/2042  | 10000 | 8470 |
| Eaton Corp 4% 11/2/2032  | 50000 | 48546 |
| Eaton Corp 4.15% 3/15/2033  | 70000 | 68368 |
| Eaton Corp 4.7% 8/23/2052  | 30000 | 26592 |
| Illinois Tool Works Inc 2.65% 11/15/2026  | 50000 | 49299 |
| Illinois Tool Works Inc 3.9% 9/1/2042  | 30000 | 24905 |
| Illinois Tool Works Inc 4.875% 9/15/2041  | 10000 | 9413 |
| Ingersoll Rand Inc 5.197% 6/15/2027  | 90000 | 91534 |
| Ingersoll Rand Inc 5.7% 6/15/2054  | 30000 | 29656 |
| Ingersoll Rand Inc 5.7% 8/14/2033  | 30000 | 31617 |
| Otis Worldwide Corp 3.112% 2/15/2040  | 50000 | 38565 |
| Otis Worldwide Corp 3.362% 2/15/2050  | 20000 | 13861 |
| Parker-Hannifin Corp 4% 6/14/2049  | 10000 | 7877 |
| Parker-Hannifin Corp 4.2% 11/21/2034  | 75000 | 71998 |
| Parker-Hannifin Corp 4.25% 9/15/2027  | 30000 | 30106 |
| Parker-Hannifin Corp 6.25% 5/15/2038  | 20000 | 21948 |
| Stanley Black & Decker Inc 2.75% 11/15/2050  | 60000 | 34249 |
| Stanley Black & Decker Inc 3% 5/15/2032  | 50000 | 44750 |
| Westinghouse Air Brake Technologies Corp 3.45% 11/15/2026  | 30000 | 29708 |
| Westinghouse Air Brake Technologies Corp 4.7% 9/15/2028 (e) | 60000 | 60783 |
|  |  | 1726680 |
| Passenger Airlines - 0.0% |  |  |
| American Airlines 2019-1 Class AA Pass Through Trust equipment trust certificate 3.15% 8/15/2033  | 56125 | 51991 |
| Professional Services - 0.0% |  |  |
| Paychex Inc 5.6% 4/15/2035  | 72000 | 74521 |
| Verisk Analytics Inc 4.5% 8/15/2030  | 40000 | 40161 |
| Verisk Analytics Inc 5.125% 2/15/2036  | 40000 | 39737 |
| Verisk Analytics Inc 5.25% 3/15/2035  | 60000 | 60510 |
|  |  | 214929 |
| Trading Companies & Distributors - 0.1% |  |  |
| Air Lease Corp 1.875% 8/15/2026  | 60000 | 58613 |
| Air Lease Corp 2.875% 1/15/2026  | 50000 | 49663 |
| Air Lease Corp 3% 2/1/2030  | 55000 | 51959 |
| Air Lease Corp 3.125% 12/1/2030  | 20000 | 18669 |
| Air Lease Corp 4.625% 10/1/2028  | 52000 | 52550 |
| Air Lease Corp 5.2% 7/15/2031  | 30000 | 30877 |
| Ferguson Enterprises Inc 5% 10/3/2034  | 20000 | 19800 |
| GATX Corp 4.55% 11/7/2028  | 50000 | 50344 |
| GATX Corp 4.9% 3/15/2033  | 65000 | 64846 |
| GATX Corp 6.05% 3/15/2034  | 50000 | 53155 |
| GATX Corp 6.9% 5/1/2034  | 60000 | 66909 |
| WW Grainger Inc 4.45% 9/15/2034  | 60000 | 58698 |
| WW Grainger Inc 4.6% 6/15/2045  | 20000 | 17719 |
|  |  | 593802 |
| TOTAL INDUSTRIALS |  | 6600872 |
| Information Technology - 2.4% |  |  |
| Communications Equipment - 0.1% |  |  |
| Cisco Systems Inc 4.75% 2/24/2030  | 50000 | 51375 |
| Cisco Systems Inc 5.05% 2/26/2034  | 70000 | 71953 |
| Cisco Systems Inc 5.1% 2/24/2035  | 50000 | 51167 |
| Cisco Systems Inc 5.3% 2/26/2054  | 10000 | 9617 |
| Cisco Systems Inc 5.5% 1/15/2040  | 135000 | 139685 |
| Cisco Systems Inc 5.9% 2/15/2039  | 90000 | 96902 |
| Motorola Solutions Inc 5.2% 8/15/2032  | 140000 | 143518 |
|  |  | 564217 |
| Electronic Equipment, Instruments & Components - 0.1% |  |  |
| Amphenol Corp 4.35% 6/1/2029  | 50000 | 50462 |
| Amphenol Corp 5.25% 4/5/2034  | 80000 | 82674 |
| Amphenol Corp 5.375% 11/15/2054  | 18000 | 17474 |
| Corning Inc 3.9% 11/15/2049  | 20000 | 15212 |
| Corning Inc 5.35% 11/15/2048  | 20000 | 18894 |
| Dell International LLC / EMC Corp 4.9% 10/1/2026  | 30000 | 30124 |
| Dell International LLC / EMC Corp 5.3% 10/1/2029  | 80000 | 82825 |
| Dell International LLC / EMC Corp 8.1% 7/15/2036  | 40000 | 48438 |
| Dell International LLC / EMC Corp 8.35% 7/15/2046  | 134000 | 170412 |
| Vontier Corp 1.8% 4/1/2026  | 50000 | 49199 |
|  |  | 565714 |
| IT Services - 0.2% |  |  |
| CDW LLC / CDW Finance Corp 2.67% 12/1/2026  | 130000 | 127181 |
| CDW LLC / CDW Finance Corp 3.569% 12/1/2031  | 30000 | 27926 |
| CDW LLC / CDW Finance Corp 5.55% 8/22/2034  | 20000 | 20244 |
| IBM Corporation 2.85% 5/15/2040  | 135000 | 99921 |
| IBM Corporation 2.95% 5/15/2050  | 100000 | 63208 |
| IBM Corporation 3.45% 2/19/2026  | 166000 | 165346 |
| IBM Corporation 3.5% 5/15/2029  | 240000 | 235293 |
| IBM Corporation 4.15% 5/15/2039  | 100000 | 88174 |
| IBM Corporation 4.5% 2/6/2026  | 210000 | 210124 |
| IBM Corporation 5.2% 2/10/2035  | 100000 | 101600 |
| IBM Corporation 5.6% 11/30/2039  | 110000 | 113506 |
|  |  | 1252523 |
| Semiconductors & Semiconductor Equipment - 0.7% |  |  |
| Advanced Micro Devices Inc 4.393% 6/1/2052  | 20000 | 16818 |
| Analog Devices Inc 2.8% 10/1/2041  | 50000 | 36264 |
| Analog Devices Inc 2.95% 10/1/2051  | 50000 | 32070 |
| Analog Devices Inc 4.5% 6/15/2030  | 30000 | 30404 |
| Analog Devices Inc 5.3% 12/15/2045  | 20000 | 19270 |
| Applied Materials Inc 4.35% 4/1/2047  | 76000 | 64778 |
| Broadcom Inc 3.419% 4/15/2033 (c) | 185000 | 168591 |
| Broadcom Inc 3.469% 4/15/2034 (c) | 400000 | 358778 |
| Broadcom Inc 3.75% 2/15/2051 (c) | 80000 | 59742 |
| Broadcom Inc 4.11% 9/15/2028  | 170000 | 169941 |
| Broadcom Inc 4.15% 4/15/2032 (c) | 70000 | 67819 |
| Broadcom Inc 4.3% 11/15/2032  | 150000 | 146196 |
| Broadcom Inc 4.55% 2/15/2032  | 70000 | 69673 |
| Broadcom Inc 4.6% 7/15/2030  | 90000 | 90866 |
| Broadcom Inc 4.8% 10/15/2034  | 70000 | 69232 |
| Broadcom Inc 5.05% 7/12/2029  | 50000 | 51414 |
| Intel Corp 2.45% 11/15/2029  | 50000 | 46125 |
| Intel Corp 4% 8/5/2029  | 210000 | 206766 |
| Intel Corp 4.1% 5/19/2046  | 70000 | 52424 |
| Intel Corp 4.6% 3/25/2040  | 100000 | 87989 |
| Intel Corp 4.75% 3/25/2050  | 150000 | 120113 |
| Intel Corp 4.875% 2/10/2028  | 50000 | 50658 |
| Intel Corp 4.9% 8/5/2052  | 50000 | 40647 |
| Intel Corp 5.05% 8/5/2062  | 20000 | 16052 |
| Intel Corp 5.15% 2/21/2034  | 60000 | 59929 |
| Intel Corp 5.2% 2/10/2033  | 70000 | 70499 |
| Intel Corp 5.7% 2/10/2053  | 70000 | 64371 |
| Intel Corp 5.9% 2/10/2063  | 110000 | 101508 |
| KLA Corp 3.3% 3/1/2050  | 60000 | 41465 |
| KLA Corp 4.65% 7/15/2032  | 210000 | 211907 |
| KLA Corp 5.25% 7/15/2062  | 5000 | 4647 |
| Lam Research Corp 2.875% 6/15/2050  | 50000 | 31823 |
| Marvell Technology Inc 4.875% 6/22/2028  | 100000 | 101364 |
| Marvell Technology Inc 5.45% 7/15/2035  | 20000 | 20340 |
| Micron Technology Inc 3.366% 11/1/2041  | 55000 | 41132 |
| Micron Technology Inc 4.663% 2/15/2030  | 90000 | 90549 |
| Micron Technology Inc 5.375% 4/15/2028  | 60000 | 61861 |
| Micron Technology Inc 5.65% 11/1/2032  | 30000 | 31369 |
| Micron Technology Inc 5.8% 1/15/2035  | 20000 | 20674 |
| Micron Technology Inc 5.875% 2/9/2033  | 50000 | 52489 |
| Micron Technology Inc 5.875% 9/15/2033  | 10000 | 10515 |
| NVIDIA Corp 2% 6/15/2031  | 215000 | 192384 |
| NVIDIA Corp 3.5% 4/1/2050  | 10000 | 7443 |
| NVIDIA Corp 3.7% 4/1/2060  | 30000 | 21830 |
| QUALCOMM Inc 3.25% 5/20/2027  | 120000 | 118796 |
| QUALCOMM Inc 3.25% 5/20/2050  | 50000 | 34248 |
| QUALCOMM Inc 4.3% 5/20/2047  | 55000 | 45843 |
| QUALCOMM Inc 4.5% 5/20/2030  | 50000 | 50836 |
| QUALCOMM Inc 4.65% 5/20/2035  | 145000 | 144378 |
| QUALCOMM Inc 5% 5/20/2035  | 50000 | 50505 |
| QUALCOMM Inc 6% 5/20/2053  | 20000 | 20905 |
| Teledyne FLIR LLC 2.5% 8/1/2030  | 55000 | 50268 |
| Texas Instruments Inc 4.5% 5/23/2030  | 70000 | 71097 |
| Texas Instruments Inc 5.05% 5/18/2063  | 100000 | 89819 |
| Texas Instruments Inc 5.1% 5/23/2035  | 70000 | 71582 |
|  |  | 4059006 |
| Software - 0.8% |  |  |
| Adobe Inc 4.95% 4/4/2034  | 40000 | 40967 |
| Autodesk Inc 2.4% 12/15/2031  | 40000 | 35202 |
| Autodesk Inc 5.3% 6/15/2035  | 20000 | 20356 |
| Cadence Design Systems Inc 4.3% 9/10/2029  | 40000 | 40290 |
| Cadence Design Systems Inc 4.7% 9/10/2034  | 20000 | 19800 |
| Intuit Inc 5.5% 9/15/2053  | 50000 | 49043 |
| Microsoft Corp 2.4% 8/8/2026  | 540000 | 532108 |
| Microsoft Corp 2.5% 9/15/2050  | 110000 | 66923 |
| Microsoft Corp 2.525% 6/1/2050  | 180000 | 110038 |
| Microsoft Corp 2.921% 3/17/2052  | 276000 | 180605 |
| Microsoft Corp 3.041% 3/17/2062  | 30000 | 18917 |
| Microsoft Corp 3.3% 2/6/2027  | 350000 | 347460 |
| Microsoft Corp 3.75% 2/12/2045  | 50000 | 41211 |
| Microsoft Corp 4.25% 2/6/2047  | 60000 | 53341 |
| Oracle Corp 2.3% 3/25/2028  | 60000 | 57344 |
| Oracle Corp 2.65% 7/15/2026  | 242000 | 238626 |
| Oracle Corp 2.8% 4/1/2027  | 110000 | 107698 |
| Oracle Corp 2.95% 4/1/2030  | 210000 | 197756 |
| Oracle Corp 3.6% 4/1/2040  | 50000 | 39635 |
| Oracle Corp 3.6% 4/1/2050  | 310000 | 212003 |
| Oracle Corp 3.8% 11/15/2037  | 110000 | 93830 |
| Oracle Corp 3.85% 4/1/2060  | 310000 | 207026 |
| Oracle Corp 3.9% 5/15/2035  | 50000 | 45088 |
| Oracle Corp 4.1% 3/25/2061  | 20000 | 14019 |
| Oracle Corp 4.125% 5/15/2045  | 110000 | 86450 |
| Oracle Corp 4.2% 9/27/2029  | 470000 | 468775 |
| Oracle Corp 4.375% 5/15/2055  | 50000 | 38053 |
| Oracle Corp 4.7% 9/27/2034  | 130000 | 125668 |
| Oracle Corp 5.5% 8/3/2035  | 50000 | 50965 |
| Oracle Corp 5.55% 2/6/2053  | 90000 | 82570 |
| Oracle Corp 5.8% 11/10/2025  | 160000 | 160363 |
| Oracle Corp 6% 8/3/2055  | 50000 | 48844 |
| Oracle Corp 6.25% 11/9/2032  | 110000 | 118855 |
| Roper Technologies Inc 1% 9/15/2025  | 30000 | 29960 |
| Roper Technologies Inc 1.4% 9/15/2027  | 30000 | 28429 |
| Roper Technologies Inc 1.75% 2/15/2031  | 30000 | 26013 |
| Roper Technologies Inc 2% 6/30/2030  | 110000 | 98765 |
| Roper Technologies Inc 4.9% 10/15/2034  | 20000 | 19796 |
| Roper Technologies Inc 5.1% 9/15/2035  | 30000 | 29927 |
| Salesforce Inc 1.95% 7/15/2031  | 195000 | 172683 |
| Salesforce Inc 2.7% 7/15/2041  | 50000 | 35948 |
| Synopsys Inc 4.65% 4/1/2028  | 210000 | 212840 |
| Synopsys Inc 4.85% 4/1/2030  | 30000 | 30601 |
| Synopsys Inc 5% 4/1/2032  | 70000 | 71413 |
| Synopsys Inc 5.15% 4/1/2035  | 30000 | 30260 |
| Synopsys Inc 5.7% 4/1/2055  | 80000 | 78546 |
| VMware LLC 1.4% 8/15/2026  | 97000 | 94313 |
| VMware LLC 4.7% 5/15/2030  | 70000 | 70868 |
|  |  | 4980191 |
| Technology Hardware, Storage & Peripherals - 0.5% |  |  |
| Apple Inc 1.25% 8/20/2030  | 270000 | 236982 |
| Apple Inc 1.65% 2/8/2031  | 370000 | 326906 |
| Apple Inc 1.65% 5/11/2030  | 100000 | 90170 |
| Apple Inc 1.7% 8/5/2031  | 52000 | 45695 |
| Apple Inc 2.2% 9/11/2029  | 360000 | 337189 |
| Apple Inc 2.375% 2/8/2041  | 160000 | 112036 |
| Apple Inc 2.65% 2/8/2051  | 100000 | 61357 |
| Apple Inc 2.7% 8/5/2051  | 30000 | 18530 |
| Apple Inc 2.8% 2/8/2061  | 155000 | 90688 |
| Apple Inc 2.85% 8/5/2061  | 51000 | 30058 |
| Apple Inc 2.95% 9/11/2049  | 90000 | 59760 |
| Apple Inc 3% 11/13/2027  | 195000 | 192254 |
| Apple Inc 3.85% 5/4/2043  | 177000 | 147925 |
| Apple Inc 4% 5/10/2028  | 100000 | 100676 |
| Apple Inc 4.2% 5/12/2030  | 210000 | 212845 |
| Apple Inc 4.3% 5/10/2033  | 50000 | 50382 |
| Apple Inc 4.375% 5/13/2045  | 60000 | 52984 |
| Hewlett Packard Enterprise Co 4.55% 10/15/2029  | 220000 | 221330 |
| Hewlett Packard Enterprise Co 5% 10/15/2034  | 70000 | 68820 |
| Hewlett Packard Enterprise Co 5.6% 10/15/2054  | 30000 | 27704 |
| HP Inc 6% 9/15/2041  | 170000 | 172824 |
|  |  | 2657115 |
| TOTAL INFORMATION TECHNOLOGY |  | 14078766 |
| Materials - 0.6% |  |  |
| Chemicals - 0.5% |  |  |
| Air Products and Chemicals Inc 1.5% 10/15/2025  | 50000 | 49828 |
| Air Products and Chemicals Inc 1.85% 5/15/2027  | 200000 | 193227 |
| Air Products and Chemicals Inc 2.05% 5/15/2030  | 20000 | 18245 |
| Air Products and Chemicals Inc 2.8% 5/15/2050  | 20000 | 12464 |
| Air Products and Chemicals Inc 4.75% 2/8/2031  | 50000 | 51195 |
| Air Products and Chemicals Inc 4.9% 10/11/2032  | 100000 | 102040 |
| Albemarle Corp 4.65% 6/1/2027  | 50000 | 50007 |
| Albemarle Corp 5.05% 6/1/2032  | 30000 | 29364 |
| CF Industries Inc 5.15% 3/15/2034  | 70000 | 69929 |
| Dow Chemical Co/The 2.1% 11/15/2030  | 150000 | 132467 |
| Dow Chemical Co/The 3.6% 11/15/2050  | 30000 | 19782 |
| Dow Chemical Co/The 4.25% 10/1/2034  | 105000 | 95892 |
| Dow Chemical Co/The 4.375% 11/15/2042  | 20000 | 16049 |
| Dow Chemical Co/The 4.8% 5/15/2049  | 40000 | 31800 |
| Dow Chemical Co/The 5.55% 11/30/2048  | 50000 | 44965 |
| Dow Chemical Co/The 6.9% 5/15/2053  | 10000 | 10501 |
| DuPont de Nemours Inc 4.725% 11/15/2028  | 20000 | 20398 |
| DuPont de Nemours Inc 5.319% 11/15/2038  | 6000 | 6259 |
| DuPont de Nemours Inc 5.419% 11/15/2048  | 72000 | 72437 |
| Ecolab Inc 1.3% 1/30/2031  | 125000 | 107465 |
| Ecolab Inc 2.125% 2/1/2032  | 50000 | 43487 |
| Ecolab Inc 2.7% 12/15/2051  | 25000 | 15230 |
| Ecolab Inc 2.75% 8/18/2055  | 20000 | 11880 |
| Ecolab Inc 5% 9/1/2035  | 20000 | 20138 |
| Huntsman Intl LLC 4.5% 5/1/2029  | 30000 | 28862 |
| International Flavors & Fragrances Inc 4.45% 9/26/2028  | 90000 | 90276 |
| LYB International Finance BV 4.875% 3/15/2044  | 20000 | 16855 |
| LYB International Finance BV 5.25% 7/15/2043  | 50000 | 44161 |
| LYB International Finance II BV 3.5% 3/2/2027  | 90000 | 88872 |
| LYB International Finance III LLC 3.375% 10/1/2040  | 50000 | 36673 |
| LYB International Finance III LLC 3.625% 4/1/2051  | 50000 | 32431 |
| LyondellBasell Industries NV 4.625% 2/26/2055  | 40000 | 30750 |
| Mosaic Co/The 4.05% 11/15/2027  | 70000 | 69642 |
| Mosaic Co/The 5.625% 11/15/2043  | 20000 | 19186 |
| RPM International Inc 2.95% 1/15/2032  | 20000 | 17902 |
| RPM International Inc 3.75% 3/15/2027  | 50000 | 49588 |
| Sherwin-Williams Co/The 2.9% 3/15/2052  | 20000 | 12102 |
| Sherwin-Williams Co/The 3.45% 6/1/2027  | 300000 | 296467 |
| Sherwin-Williams Co/The 4.5% 6/1/2047  | 54000 | 45504 |
| Westlake Corp 3.125% 8/15/2051  | 70000 | 42619 |
|  |  | 2146939 |
| Construction Materials - 0.0% |  |  |
| Amrize Finance US LLC 5.4% 4/7/2035 (c) | 50000 | 50732 |
| Martin Marietta Materials Inc 2.4% 7/15/2031  | 55000 | 49032 |
| Martin Marietta Materials Inc 2.5% 3/15/2030  | 60000 | 55643 |
| Martin Marietta Materials Inc 5.15% 12/1/2034  | 20000 | 20118 |
| Martin Marietta Materials Inc 5.5% 12/1/2054  | 20000 | 19189 |
| Vulcan Materials Co 4.7% 3/1/2048  | 20000 | 17298 |
| Vulcan Materials Co 5.35% 12/1/2034  | 70000 | 71701 |
|  |  | 283713 |
| Containers & Packaging - 0.1% |  |  |
| Avery Dennison Corp 4.875% 12/6/2028  | 50000 | 50923 |
| International Paper Co 4.35% 8/15/2048  | 30000 | 24059 |
| International Paper Co 4.4% 8/15/2047  | 20000 | 16259 |
| International Paper Co 7.3% 11/15/2039  | 50000 | 57528 |
| Packaging Corp of America 3% 12/15/2029  | 110000 | 104938 |
| Packaging Corp of America 5.2% 8/15/2035  | 30000 | 30172 |
| Sonoco Products Co 4.6% 9/1/2029  | 130000 | 130617 |
| WestRock MWV LLC 7.95% 2/15/2031  | 50000 | 58059 |
| WRKCo Inc 3% 6/15/2033  | 120000 | 105672 |
| WRKCo Inc 4% 3/15/2028  | 100000 | 99516 |
| WRKCo Inc 4.9% 3/15/2029  | 10000 | 10209 |
|  |  | 687952 |
| Metals & Mining - 0.0% |  |  |
| Freeport-McMoRan Inc 5.45% 3/15/2043  | 85000 | 80463 |
| Newmont Corp 5.45% 6/9/2044  | 50000 | 49258 |
|  |  | 129721 |
| TOTAL MATERIALS |  | 3248325 |
| Real Estate - 0.9% |  |  |
| Diversified REITs - 0.1% |  |  |
| Equinix Europe 2 Financing Corp LLC 5.5% 6/15/2034  | 110000 | 112761 |
| Piedmont Operating Partnership LP 9.25% 7/20/2028  | 70000 | 77803 |
| Safehold GL Holdings LLC 2.8% 6/15/2031  | 50000 | 45670 |
| Store Capital LLC 4.5% 3/15/2028  | 50000 | 49717 |
| VICI Properties LP 5.625% 5/15/2052  | 55000 | 50245 |
| WP Carey Inc 2.45% 2/1/2032  | 30000 | 25998 |
| WP Carey Inc 5.375% 6/30/2034  | 20000 | 20257 |
|  |  | 382451 |
| Health Care REITs - 0.1% |  |  |
| Alexandria Real Estate Equities Inc 2.95% 3/15/2034  | 75000 | 64062 |
| Alexandria Real Estate Equities Inc 3% 5/18/2051  | 100000 | 61099 |
| Alexandria Real Estate Equities Inc 5.625% 5/15/2054  | 20000 | 18777 |
| Healthpeak OP LLC 2.875% 1/15/2031  | 210000 | 193372 |
| Omega Healthcare Investors Inc 3.375% 2/1/2031  | 40000 | 36981 |
| Omega Healthcare Investors Inc 5.2% 7/1/2030  | 20000 | 20287 |
| Ventas Realty LP 4.875% 4/15/2049  | 80000 | 68514 |
| Welltower OP LLC 2.7% 2/15/2027  | 120000 | 117708 |
| Welltower OP LLC 2.75% 1/15/2032  | 50000 | 44982 |
| Welltower OP LLC 4.95% 9/1/2048  | 36000 | 33014 |
|  |  | 658796 |
| Industrial REITs - 0.0% |  |  |
| Prologis LP 1.625% 3/15/2031  | 100000 | 86989 |
| Prologis LP 1.75% 2/1/2031  | 100000 | 87806 |
| Prologis LP 4.625% 1/15/2033  | 50000 | 49865 |
| Prologis LP 5% 3/15/2034  | 50000 | 50448 |
| Prologis LP 5.125% 1/15/2034  | 50000 | 51094 |
| Prologis LP 5.25% 3/15/2054  | 20000 | 18703 |
| Prologis LP 5.25% 6/15/2053  | 40000 | 37404 |
|  |  | 382309 |
| Office REITs - 0.0% |  |  |
| Boston Properties LP 2.75% 10/1/2026  | 40000 | 39304 |
| Boston Properties LP 2.9% 3/15/2030  | 40000 | 37133 |
| Boston Properties LP 3.25% 1/30/2031  | 107000 | 99431 |
| Boston Properties LP 5.75% 1/15/2035  | 30000 | 30402 |
| COPT Defense Properties LP 2.75% 4/15/2031  | 40000 | 36055 |
| Highwoods Realty LP 2.6% 2/1/2031  | 50000 | 43940 |
| Kilroy Realty LP 3.05% 2/15/2030  | 50000 | 45984 |
| Kilroy Realty LP 5.875% 10/15/2035  | 20000 | 19906 |
| Kilroy Realty LP 6.25% 1/15/2036  | 10000 | 10215 |
|  |  | 362370 |
| Real Estate Management & Development - 0.1% |  |  |
| CBRE Services Inc 5.95% 8/15/2034  | 30000 | 31861 |
| Digital Realty Trust LP 3.7% 8/15/2027  | 26000 | 25796 |
| Digital Realty Trust LP 5.55% 1/15/2028  | 35000 | 36051 |
| Essex Portfolio LP 2.55% 6/15/2031  | 20000 | 17880 |
| Essex Portfolio LP 2.65% 3/15/2032  | 70000 | 61869 |
| Essex Portfolio LP 5.375% 4/1/2035  | 30000 | 30660 |
| Extra Space Storage LP 3.9% 4/1/2029  | 120000 | 118124 |
| Extra Space Storage LP 4.95% 1/15/2033  | 30000 | 30097 |
| Extra Space Storage LP 5.35% 1/15/2035  | 50000 | 50372 |
| Extra Space Storage LP 5.4% 2/1/2034  | 10000 | 10189 |
| Mid-America Apartments LP 4.2% 6/15/2028  | 75000 | 75194 |
| Mid-America Apartments LP 5.3% 2/15/2032  | 30000 | 31216 |
|  |  | 519309 |
| Residential REITs - 0.1% |  |  |
| American Homes 4 Rent LP 4.9% 2/15/2029  | 135000 | 137481 |
| American Homes 4 Rent LP 4.95% 6/15/2030  | 60000 | 61183 |
| American Homes 4 Rent LP 5.5% 2/1/2034  | 20000 | 20538 |
| AvalonBay Communities Inc 2.05% 1/15/2032  | 105000 | 91183 |
| AvalonBay Communities Inc 5.3% 12/7/2033  | 30000 | 30958 |
| Camden Property Trust 4.9% 1/15/2034  | 50000 | 50167 |
| ERP Operating LP 4.5% 6/1/2045  | 20000 | 17256 |
| ERP Operating LP 4.5% 7/1/2044  | 50000 | 43305 |
| Invitation Homes Operating Partnership LP 2.7% 1/15/2034  | 15000 | 12576 |
| Invitation Homes Operating Partnership LP 4.15% 4/15/2032  | 50000 | 47828 |
| Invitation Homes Operating Partnership LP 4.95% 1/15/2033  | 30000 | 29934 |
| Sun Communities Operating LP 2.7% 7/15/2031  | 40000 | 36201 |
| UDR Inc 2.1% 6/15/2033  | 35000 | 28630 |
| UDR Inc 3.2% 1/15/2030  | 40000 | 38273 |
|  |  | 645513 |
| Retail REITs - 0.3% |  |  |
| Agree LP 5.625% 6/15/2034  | 50000 | 51428 |
| Brixmor Operating Partnership LP 2.25% 4/1/2028  | 50000 | 47618 |
| Brixmor Operating Partnership LP 4.05% 7/1/2030  | 12000 | 11759 |
| Brixmor Operating Partnership LP 4.125% 5/15/2029  | 9000 | 8920 |
| Brixmor Operating Partnership LP 5.5% 2/15/2034  | 20000 | 20383 |
| Federal Realty OP LP 3.5% 6/1/2030  | 50000 | 48119 |
| Kimco Realty OP LLC 1.9% 3/1/2028  | 110000 | 104439 |
| Kimco Realty OP LLC 2.8% 10/1/2026  | 150000 | 147632 |
| Kimco Realty OP LLC 4.6% 2/1/2033  | 10000 | 9845 |
| Kimco Realty OP LLC 4.85% 3/1/2035  | 50000 | 49290 |
| Kimco Realty OP LLC 6.4% 3/1/2034  | 20000 | 21880 |
| Kite Realty Group LP 5.2% 8/15/2032  | 50000 | 50803 |
| NNN REIT Inc 3% 4/15/2052  | 50000 | 30621 |
| NNN REIT Inc 5.5% 6/15/2034  | 20000 | 20586 |
| Phillips Edison Grocery Center Operating Partnership I LP 5.25% 8/15/2032  | 20000 | 20412 |
| Phillips Edison Grocery Center Operating Partnership I LP 5.75% 7/15/2034  | 15000 | 15491 |
| Realty Income Corp 2.85% 12/15/2032  | 175000 | 155569 |
| Realty Income Corp 4% 7/15/2029  | 60000 | 59569 |
| Realty Income Corp 4.125% 10/15/2026  | 75000 | 74892 |
| Realty Income Corp 4.9% 7/15/2033  | 50000 | 50227 |
| Regency Centers LP 3.7% 6/15/2030  | 50000 | 48735 |
| Regency Centers LP 5.1% 1/15/2035  | 30000 | 30099 |
| Regency Centers LP 5.25% 1/15/2034  | 20000 | 20466 |
| Simon Property Group LP 2.2% 2/1/2031  | 100000 | 89515 |
| Simon Property Group LP 2.65% 7/15/2030  | 50000 | 46500 |
| Simon Property Group LP 3.25% 9/13/2049  | 20000 | 13534 |
| Simon Property Group LP 3.375% 12/1/2027  | 125000 | 123431 |
| Simon Property Group LP 4.75% 3/15/2042  | 55000 | 49691 |
| Simon Property Group LP 4.75% 9/26/2034  | 50000 | 49149 |
| Simon Property Group LP 5.85% 3/8/2053  | 20000 | 19980 |
| Simon Property Group LP 6.65% 1/15/2054  | 30000 | 33083 |
|  |  | 1523666 |
| Specialized REITs - 0.2% |  |  |
| American Tower Corp 1.3% 9/15/2025  | 40000 | 39947 |
| American Tower Corp 2.1% 6/15/2030  | 60000 | 53962 |
| American Tower Corp 3.1% 6/15/2050  | 60000 | 38896 |
| American Tower Corp 3.55% 7/15/2027  | 100000 | 98925 |
| American Tower Corp 3.6% 1/15/2028  | 110000 | 108521 |
| American Tower Corp 3.7% 10/15/2049  | 10000 | 7239 |
| American Tower Corp 5.4% 1/31/2035  | 30000 | 30791 |
| American Tower Corp 5.9% 11/15/2033  | 70000 | 74372 |
| Crown Castle Inc 2.25% 1/15/2031  | 145000 | 128412 |
| Crown Castle Inc 2.9% 4/1/2041  | 60000 | 42950 |
| Crown Castle Inc 3.25% 1/15/2051  | 47000 | 30776 |
| Crown Castle Inc 4.15% 7/1/2050  | 50000 | 38200 |
| CubeSmart LP 3% 2/15/2030  | 50000 | 47160 |
| EPR Properties 4.5% 6/1/2027  | 50000 | 49843 |
| EPR Properties 4.95% 4/15/2028  | 50000 | 50272 |
| Equinix Inc 3.9% 4/15/2032  | 40000 | 38083 |
| Public Storage Operating Co 4.375% 7/1/2030  | 30000 | 30187 |
| Public Storage Operating Co 5.1% 8/1/2033  | 80000 | 82472 |
| Public Storage Operating Co 5.35% 8/1/2053  | 20000 | 19054 |
| Weyerhaeuser Co 4% 11/15/2029  | 75000 | 74134 |
|  |  | 1084196 |
| TOTAL REAL ESTATE |  | 5558610 |
| Utilities - 0.9% |  |  |
| Electric Utilities - 0.7% |  |  |
| AEP Texas Inc 2.1% 7/1/2030  | 10000 | 9012 |
| AEP Texas Inc 3.8% 10/1/2047  | 65000 | 47761 |
| AEP Texas Inc 5.7% 5/15/2034  | 25000 | 25740 |
| Baltimore Gas and Electric Co 3.5% 8/15/2046  | 50000 | 36669 |
| Baltimore Gas and Electric Co 5.4% 6/1/2053  | 50000 | 47274 |
| CenterPoint Energy Houston Electric LLC 3.35% 4/1/2051  | 90000 | 61301 |
| CenterPoint Energy Houston Electric LLC 4.5% 4/1/2044  | 50000 | 43346 |
| CenterPoint Energy Houston Electric LLC 4.95% 4/1/2033  | 30000 | 30363 |
| CenterPoint Energy Houston Electric LLC 5.2% 10/1/2028  | 90000 | 92853 |
| Commonwealth Edison Co 3.8% 10/1/2042  | 125000 | 99412 |
| Commonwealth Edison Co 4% 3/1/2048  | 86000 | 67847 |
| Commonwealth Edison Co 5.3% 6/1/2034  | 80000 | 82719 |
| Connecticut Light and Power Co/The 4% 4/1/2048  | 20000 | 15757 |
| Connecticut Light and Power Co/The 5.25% 1/15/2053  | 20000 | 18680 |
| Consolidated Edison Co of New York Inc 3.7% 11/15/2059  | 80000 | 55336 |
| Consolidated Edison Co of New York Inc 3.85% 6/15/2046  | 50000 | 38883 |
| Consolidated Edison Co of New York Inc 3.875% 6/15/2047  | 44000 | 33618 |
| Consolidated Edison Co of New York Inc 3.95% 4/1/2050  | 130000 | 100493 |
| Consolidated Edison Co of New York Inc 4.45% 3/15/2044  | 45000 | 38770 |
| Consolidated Edison Co of New York Inc 5.3% 3/1/2035  | 50000 | 51197 |
| Consolidated Edison Co of New York Inc 5.5% 12/1/2039  | 50000 | 50518 |
| Consolidated Edison Co of New York Inc 5.7% 5/15/2054  | 30000 | 29660 |
| Consolidated Edison Co of New York Inc 6.2% 6/15/2036  | 100000 | 108482 |
| Entergy Tex Inc 5.25% 4/15/2035  | 40000 | 40699 |
| Entergy Tex Inc 5.8% 9/1/2053  | 30000 | 29563 |
| Eversource Energy 2.55% 3/15/2031  | 125000 | 112670 |
| Eversource Energy 5.45% 3/1/2028  | 200000 | 205697 |
| Exelon Corp 2.75% 3/15/2027  | 160000 | 156735 |
| Exelon Corp 3.4% 4/15/2026  | 190000 | 188876 |
| Exelon Corp 4.1% 3/15/2052  | 65000 | 49345 |
| Exelon Corp 4.45% 4/15/2046  | 20000 | 16634 |
| Exelon Corp 5.125% 3/15/2031  | 30000 | 30972 |
| Exelon Corp 5.3% 3/15/2033  | 20000 | 20644 |
| Exelon Corp 5.45% 3/15/2034  | 35000 | 36074 |
| Exelon Corp 5.875% 3/15/2055  | 30000 | 29664 |
| ITC Holdings Corp 3.25% 6/30/2026  | 50000 | 49514 |
| Jersey Central Power & Light Co 5.1% 1/15/2035  | 30000 | 29974 |
| National Grid USA 5.803% 4/1/2035  | 10000 | 10271 |
| NSTAR Electric Co 4.95% 9/15/2052  | 40000 | 35571 |
| NSTAR Electric Co 5.2% 3/1/2035  | 40000 | 40625 |
| Ohio Power Co 2.9% 10/1/2051  | 20000 | 12024 |
| Ohio Power Co 5% 6/1/2033  | 50000 | 50290 |
| Oncor Electric Delivery Co LLC 3.75% 4/1/2045  | 25000 | 19303 |
| Oncor Electric Delivery Co LLC 3.8% 9/30/2047  | 30000 | 22793 |
| Oncor Electric Delivery Co LLC 4.6% 6/1/2052  | 50000 | 41242 |
| Oncor Electric Delivery Co LLC 4.95% 9/15/2052  | 10000 | 8884 |
| Oncor Electric Delivery Co LLC 5.3% 6/1/2042  | 85000 | 82137 |
| Oncor Electric Delivery Co LLC 5.35% 4/1/2035 (c) | 60000 | 61681 |
| Oncor Electric Delivery Co LLC 5.65% 11/15/2033  | 30000 | 31760 |
| PECO Energy Co 3.9% 3/1/2048  | 50000 | 39083 |
| PECO Energy Co 4.6% 5/15/2052  | 30000 | 25785 |
| PG&E Wildfire Recovery Funding LLC 5.212% 12/1/2049  | 110000 | 104936 |
| Potomac Electric Power Co 6.5% 11/15/2037  | 30000 | 33471 |
| PPL Electric Utilities Corp 3% 10/1/2049  | 30000 | 19544 |
| PPL Electric Utilities Corp 5% 5/15/2033  | 50000 | 51060 |
| PPL Electric Utilities Corp 5.25% 5/15/2053  | 20000 | 18951 |
| PPL Electric Utilities Corp 5.55% 8/15/2055  | 30000 | 29313 |
| Public Service Co of New Hampshire 5.15% 1/15/2053  | 20000 | 18457 |
| Public Service Electric and Gas Co 3.2% 5/15/2029  | 60000 | 58266 |
| Public Service Electric and Gas Co 3.6% 12/1/2047  | 87000 | 64404 |
| Public Service Electric and Gas Co 3.65% 9/1/2042  | 100000 | 78586 |
| Public Service Electric and Gas Co 5.3% 8/1/2054  | 10000 | 9497 |
| Public Service Electric and Gas Co 5.8% 5/1/2037  | 35000 | 37297 |
| Tampa Electric Co 3.625% 6/15/2050  | 90000 | 64143 |
|  |  | 3252126 |
| Gas Utilities - 0.1% |  |  |
| Atmos Energy Corp 3% 6/15/2027  | 100000 | 98451 |
| Atmos Energy Corp 4.125% 10/15/2044  | 75000 | 62321 |
| Atmos Energy Corp 4.125% 3/15/2049  | 30000 | 23688 |
| Atmos Energy Corp 5.9% 11/15/2033  | 100000 | 107689 |
| ONE Gas Inc 5.1% 4/1/2029  | 90000 | 92830 |
| Piedmont Natural Gas Co Inc 2.5% 3/15/2031  | 80000 | 71986 |
| Piedmont Natural Gas Co Inc 3.5% 6/1/2029  | 10000 | 9747 |
| Piedmont Natural Gas Co Inc 5.1% 2/15/2035  | 30000 | 30340 |
| Southern California Gas Co 2.55% 2/1/2030  | 90000 | 83848 |
| Southern California Gas Co 3.75% 9/15/2042  | 20000 | 15585 |
| Southern California Gas Co 4.3% 1/15/2049  | 20000 | 15974 |
| Southern California Gas Co 5.05% 9/1/2034  | 30000 | 30264 |
| Southern California Gas Co 5.2% 6/1/2033  | 50000 | 51059 |
| Southern California Gas Co 5.6% 4/1/2054  | 10000 | 9664 |
| Southwest Gas Corp 3.7% 4/1/2028  | 60000 | 59219 |
| Southwest Gas Corp 4.15% 6/1/2049  | 20000 | 15419 |
| Southwest Gas Corp 5.45% 3/23/2028  | 36000 | 37028 |
| Washington Gas Light Co 3.65% 9/15/2049  | 20000 | 14323 |
|  |  | 829435 |
| Multi-Utilities - 0.1% |  |  |
| CMS Energy Corp 3.45% 8/15/2027  | 60000 | 59190 |
| CMS Energy Corp 6.5% 6/1/2055 (b) | 40000 | 40801 |
| Consumers Energy Co 4.35% 4/15/2049  | 100000 | 83015 |
| Consumers Energy Co 4.9% 2/15/2029  | 80000 | 82070 |
| NiSource Inc 4.375% 5/15/2047  | 165000 | 136101 |
| NiSource Inc 4.8% 2/15/2044  | 40000 | 35460 |
| NiSource Inc 6.95% 11/30/2054 (b) | 40000 | 41592 |
| San Diego Gas & Electric Co 2.95% 8/15/2051  | 60000 | 37629 |
| San Diego Gas & Electric Co 3.75% 6/1/2047  | 85000 | 63440 |
| Sempra 3.4% 2/1/2028  | 26000 | 25461 |
| Sempra 3.8% 2/1/2038  | 30000 | 25275 |
| Sempra 4% 2/1/2048  | 86000 | 64374 |
| Sempra 6.875% 10/1/2054 (b) | 80000 | 81180 |
|  |  | 775588 |
| Water Utilities - 0.0% |  |  |
| American Water Capital Corp 2.3% 6/1/2031  | 50000 | 44602 |
| American Water Capital Corp 2.95% 9/1/2027  | 90000 | 88179 |
| American Water Capital Corp 3.75% 9/1/2047  | 80000 | 60551 |
| American Water Capital Corp 4.3% 9/1/2045  | 25000 | 21258 |
| American Water Capital Corp 6.593% 10/15/2037  | 64000 | 71994 |
|  |  | 286584 |
| TOTAL UTILITIES |  | 5143733 |
| TOTAL UNITED STATES |  | 123732411 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $164,441,543) |  | <br> **157706123** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 24.8%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 24.8%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 24.8%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 24.8%  |  |  |
| Fannie Mae 2% 2/1/2038  | 643188 | 590173 |
| Fannie Mae 2% 2/1/2052  | 71550 | 57921 |
| Fannie Mae 2% 4/1/2052  | 95704 | 77354 |
| Fannie Mae 3% 3/1/2050  | 5813 | 5123 |
| Fannie Mae 5% 8/1/2053  | 85286 | 84423 |
| Fannie Mae 5.5% 1/1/2055  | 216056 | 219335 |
| Fannie Mae 5.5% 9/1/2054  | 197722 | 198931 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2037  | 141851 | 126755 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2052  | 93920 | 71253 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2036  | 362329 | 324788 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2036  | 158456 | 141742 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2036  | 587472 | 525503 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2051  | 155320 | 117834 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2051  | 90047 | 68315 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 185413 | 166318 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2037  | 76273 | 68156 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2052  | 83618 | 63437 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2037  | 70676 | 63154 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 82480 | 62600 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2051  | 201664 | 152993 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2051  | 90159 | 68399 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2036  | 201702 | 185770 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2037  | 88751 | 81435 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 323960 | 259619 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 750000 | 597528 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 105230 | 84429 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 71599 | 57446 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 204723 | 163616 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2036  | 82485 | 75712 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 849605 | 679009 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 722097 | 575298 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 711322 | 568492 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 809915 | 745942 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2036  | 65602 | 60215 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 3012769 | 2417233 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 88443 | 71016 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 514332 | 411056 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 308841 | 249047 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 239678 | 194023 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 231475 | 187094 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2037  | 273066 | 250558 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 1819590 | 1458205 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 224422 | 178728 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 182188 | 146231 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 51166 | 41004 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 355956 | 283925 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 113982 | 91486 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2037  | 150630 | 138215 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 202208 | 161922 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 91440 | 72736 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 74381 | 60259 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2037  | 481224 | 441559 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2037  | 321565 | 295060 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 902882 | 722999 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 720413 | 576432 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2051  | 1173377 | 933001 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2035  | 137817 | 127620 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 115091 | 92413 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 357555 | 287100 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 53146 | 42641 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 88809 | 71309 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 16063 | 12898 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2050  | 210034 | 168713 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2027  | 13342 | 13191 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2050  | 27009 | 22733 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 321168 | 268821 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 979331 | 813896 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 264532 | 219845 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 51791 | 43835 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 42574 | 36034 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 42869 | 35989 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 30006 | 25396 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 24433 | 20306 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2034  | 80436 | 76433 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2036  | 79997 | 75141 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 1056772 | 880973 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 379154 | 316763 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 59414 | 49879 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2034  | 32923 | 31285 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2049  | 24282 | 20438 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 48091 | 40133 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 112113 | 107848 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2037  | 221407 | 204577 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2050  | 241224 | 201907 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 334050 | 281900 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 304503 | 255728 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 264791 | 222957 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 74370 | 61830 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 23105 | 19202 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2041  | 219266 | 196565 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 31530 | 26687 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 20613 | 17357 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2037  | 137358 | 128892 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2037  | 132329 | 124793 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2051  | 78016 | 65251 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 713716 | 595603 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  | 10509 | 10046 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2047  | 33953 | 29140 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2050  | 58257 | 48907 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 285515 | 238801 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2040  | 309639 | 279170 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2050  | 82372 | 69152 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 709281 | 595449 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 562955 | 470847 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 496936 | 412990 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2035  | 47108 | 44558 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2036  | 95623 | 89968 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2052  | 17118 | 14274 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2035  | 30366 | 28722 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2045  | 129671 | 110035 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 112244 | 94861 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2051  | 357838 | 297501 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2051  | 174863 | 146253 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2052  | 140230 | 116585 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2052  | 74587 | 62011 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2035  | 53186 | 50307 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2035  | 39187 | 37066 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2039  | 32896 | 29833 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2050  | 177680 | 148831 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2050  | 22138 | 18592 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 220387 | 183227 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 173509 | 144253 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2028  | 15128 | 14865 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2031  | 55599 | 53714 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2050  | 202867 | 169928 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  | 257068 | 217096 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 79085 | 76499 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2044  | 44125 | 40264 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2047  | 58682 | 52361 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2050  | 443032 | 389074 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2050  | 28358 | 24905 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 268610 | 235224 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 9263 | 8448 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2044  | 47021 | 42893 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 236334 | 207993 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 66534 | 59429 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 73135 | 64274 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 27185 | 24061 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 21154 | 18683 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2033  | 11161 | 10877 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 18653 | 17017 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 157160 | 143435 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 33850 | 30235 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 19082 | 17434 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 232081 | 201349 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 89554 | 86626 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 31569 | 30715 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 25447 | 24567 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 9576 | 8729 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  | 11081 | 9887 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 396806 | 348478 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 24007 | 21271 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 42771 | 37415 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2033  | 17633 | 17178 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2033  | 7862 | 7652 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2034  | 266705 | 259651 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2034  | 21797 | 21243 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  | 17849 | 17226 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 109654 | 99984 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 104812 | 95494 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 15431 | 14069 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2048  | 12312 | 10909 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 55403 | 48603 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 214275 | 188914 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 75552 | 66610 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 71977 | 63458 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 11986 | 10567 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 221480 | 192152 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 124523 | 108034 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2033  | 26802 | 26083 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 34157 | 31149 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2047  | 287467 | 262464 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2047  | 30037 | 27343 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2048  | 149444 | 136378 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2048  | 139157 | 127210 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 30810 | 27163 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 149433 | 129926 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2033  | 12330 | 11999 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2040  | 429486 | 409255 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 49098 | 44795 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2052  | 426501 | 373224 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2052  | 302074 | 262075 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2035  | 26544 | 25626 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2049  | 124466 | 109424 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2052  | 339836 | 294836 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2035  | 23324 | 22554 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 66200 | 60304 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2048  | 8871 | 7860 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 288679 | 257850 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2052  | 472587 | 410747 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2032  | 17724 | 17274 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 36817 | 33557 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 559669 | 503693 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2048  | 3948 | 3622 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2050  | 516429 | 452725 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 9932 | 9728 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 28969 | 26426 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 64821 | 59131 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 12687 | 11332 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2048  | 24960 | 22295 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  | 22258 | 19679 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2035  | 22072 | 21609 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 48317 | 45573 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 62479 | 57512 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 131803 | 119935 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2033  | 8748 | 8619 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2049  | 56786 | 52520 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2035  | 156263 | 152591 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 115524 | 107098 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2048  | 168767 | 155720 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2049  | 194586 | 177718 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2047  | 151181 | 139162 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2035  | 10897 | 10702 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2035  | 3367 | 3296 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2046  | 232641 | 219046 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2046  | 152463 | 143646 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 10299 | 9541 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2048  | 64514 | 59285 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2049  | 18084 | 16539 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2029  | 9913 | 9820 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2035  | 37031 | 36485 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2033  | 9899 | 9766 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2049  | 32356 | 29905 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2052  | 159675 | 144598 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2052  | 45730 | 41569 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2037  | 125045 | 123506 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 168598 | 158738 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 39759 | 37481 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2049  | 28146 | 26005 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 662168 | 599647 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2033  | 8226 | 8105 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 112201 | 105714 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2050  | 27264 | 25029 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2044  | 328573 | 309015 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 58817 | 54141 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 2049 | 1992 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 22294 | 21621 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2055  | 721742 | 673702 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 4543 | 4419 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 3327 | 3241 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 1989 | 1938 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  | 12527 | 12083 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 15295 | 14629 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2048  | 83169 | 78796 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2048  | 5182 | 4909 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2049  | 55139 | 52171 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2052  | 116501 | 109138 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2043  | 47929 | 46602 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2043  | 26244 | 25441 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2043  | 15356 | 14788 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 18430 | 17918 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 25452 | 24725 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2043  | 13056 | 12572 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2048  | 17582 | 16658 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2048  | 12991 | 12308 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2048  | 7524 | 7128 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2038  | 77260 | 76214 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2039  | 40257 | 39303 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 4681 | 4556 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 22983 | 22330 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2044  | 11911 | 11464 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2045  | 26908 | 26181 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2044  | 20753 | 20012 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 10546 | 10232 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2048  | 69111 | 65585 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2049  | 42531 | 40294 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2050  | 147700 | 139842 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2054  | 45940 | 42900 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2055  | 148145 | 138284 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 457633 | 440487 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 9358 | 8880 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2041  | 3523 | 3428 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2046  | 16506 | 15803 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  | 248169 | 232717 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2053  | 232984 | 217967 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2034  | 11407 | 11442 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2041  | 14888 | 14482 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2048  | 11757 | 11157 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 15967 | 15277 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 19100 | 18155 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2048  | 7256 | 6886 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2049  | 54389 | 51614 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2052  | 72371 | 67865 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2039  | 5473 | 5339 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2046  | 14821 | 14181 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2048  | 15778 | 14948 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2048  | 3102 | 2939 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2049  | 112050 | 106053 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2050  | 51608 | 48766 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2055  | 124698 | 116397 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 19000 | 18179 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2048  | 48426 | 45956 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2048  | 22837 | 21686 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2048  | 4171 | 3951 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2049  | 48602 | 46046 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 4758 | 4657 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 124271 | 121275 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 10141 | 10136 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2048  | 8958 | 8756 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052  | 419645 | 405208 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052  | 88497 | 85506 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2048  | 22336 | 21811 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2049  | 22946 | 22371 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2050  | 93789 | 91323 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2052  | 88062 | 85058 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2028  | 12137 | 12116 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2052  | 49999 | 48310 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 4090 | 3992 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2055  | 173338 | 166966 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2055  | 166507 | 161010 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2049  | 10273 | 10025 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2054  | 770250 | 741272 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2054  | 93031 | 89529 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2048  | 40796 | 39902 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2048  | 26182 | 25608 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 15340 | 15327 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2048  | 24685 | 24152 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2048  | 9874 | 9627 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2049  | 32790 | 31990 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2050  | 31465 | 30647 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2052  | 86190 | 83574 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2041  | 5704 | 5692 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2048  | 24894 | 24332 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2055  | 95696 | 94399 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2048  | 89766 | 91423 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2054  | 74919 | 73904 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2049  | 7553 | 7583 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 319702 | 317268 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2053  | 91037 | 90116 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2053  | 90389 | 89474 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2054  | 99129 | 97786 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2048  | 143738 | 144845 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2048  | 11382 | 11470 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2049  | 104946 | 105655 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2049  | 14665 | 14723 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2049  | 33750 | 34010 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2055  | 517164 | 510157 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2049  | 2268 | 2283 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2053  | 133498 | 132398 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2029  | 28989 | 29189 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2041  | 80651 | 81904 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2053  | 159016 | 157507 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2054  | 149839 | 147879 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  | 75001 | 75770 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2048  | 9228 | 9269 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2055  | 24955 | 24615 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2048  | 14242 | 14352 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2053  | 245269 | 244858 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2055  | 49815 | 49136 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2040  | 99990 | 101016 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2048  | 2582 | 2602 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  | 82243 | 81622 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2049  | 22052 | 22772 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2049  | 18579 | 19046 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 393372 | 396367 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 333579 | 339580 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2053  | 185205 | 186800 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2055  | 224372 | 225743 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2053  | 497055 | 504598 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  | 161625 | 163168 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2054  | 194396 | 195706 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2055  | 199791 | 201013 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 190291 | 191532 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2053  | 271118 | 273081 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2053  | 156522 | 159289 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 168535 | 171093 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 144316 | 145604 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 117688 | 118481 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2052  | 356492 | 360900 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2053  | 291875 | 294845 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 33847 | 34077 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 292466 | 299709 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2054  | 153515 | 158180 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 120150 | 124327 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2054  | 43014 | 44026 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 171922 | 175803 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 1760519 | 1800268 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 158231 | 161739 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2039  | 144707 | 149411 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2053  | 147909 | 153721 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2053  | 366834 | 380771 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2053  | 47437 | 49239 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2044  | 104994 | 109011 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 123608 | 128507 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 90475 | 94075 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 20601 | 21363 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 70713 | 73405 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 585102 | 616752 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 23552 | 24890 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 23192 | 24449 |
| Freddie Mac Gold Pool 1.5% 10/1/2041  | 96024 | 79702 |
| Freddie Mac Gold Pool 1.5% 10/1/2051  | 418129 | 317215 |
| Freddie Mac Gold Pool 1.5% 10/1/2051  | 124288 | 94291 |
| Freddie Mac Gold Pool 1.5% 11/1/2051  | 364402 | 276454 |
| Freddie Mac Gold Pool 1.5% 12/1/2036  | 133585 | 119870 |
| Freddie Mac Gold Pool 1.5% 2/1/2051  | 88029 | 66811 |
| Freddie Mac Gold Pool 1.5% 3/1/2037  | 70180 | 62711 |
| Freddie Mac Gold Pool 1.5% 3/1/2052  | 43808 | 33235 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  | 87299 | 66884 |
| Freddie Mac Gold Pool 1.5% 7/1/2036  | 568226 | 509352 |
| Freddie Mac Gold Pool 1.5% 7/1/2041  | 248298 | 206738 |
| Freddie Mac Gold Pool 1.5% 7/1/2051  | 620464 | 470910 |
| Freddie Mac Gold Pool 1.5% 7/1/2051  | 79404 | 60240 |
| Freddie Mac Gold Pool 2% 1/1/2037  | 166567 | 153202 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 163722 | 131410 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 113279 | 90781 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 17416 | 13957 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 970929 | 774453 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 440912 | 351276 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 27601 | 22352 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 25166 | 20018 |
| Freddie Mac Gold Pool 2% 10/1/2036  | 122564 | 112500 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 157071 | 125532 |
| Freddie Mac Gold Pool 2% 10/1/2052  | 49999 | 39741 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 574872 | 461236 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 27931 | 22628 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 358293 | 286350 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 241077 | 193272 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 238061 | 190854 |
| Freddie Mac Gold Pool 2% 12/1/2036  | 255166 | 234214 |
| Freddie Mac Gold Pool 2% 12/1/2036  | 58185 | 53643 |
| Freddie Mac Gold Pool 2% 12/1/2050  | 247468 | 196695 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 316299 | 255654 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 107529 | 87046 |
| Freddie Mac Gold Pool 2% 2/1/2036  | 205308 | 189091 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 747769 | 595049 |
| Freddie Mac Gold Pool 2% 3/1/2037  | 371758 | 341058 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 235736 | 190390 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 71907 | 57716 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 62787 | 50081 |
| Freddie Mac Gold Pool 2% 4/1/2036  | 165989 | 152722 |
| Freddie Mac Gold Pool 2% 4/1/2037  | 196482 | 180717 |
| Freddie Mac Gold Pool 2% 4/1/2042  | 597668 | 518738 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 165612 | 132927 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 87764 | 70717 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 1837174 | 1471148 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 17736 | 14369 |
| Freddie Mac Gold Pool 2% 5/1/2052  | 859438 | 684449 |
| Freddie Mac Gold Pool 2% 5/1/2052  | 244860 | 198066 |
| Freddie Mac Gold Pool 2% 6/1/2052  | 287567 | 229825 |
| Freddie Mac Gold Pool 2% 6/1/2052  | 49811 | 39731 |
| Freddie Mac Gold Pool 2% 7/1/2050  | 459374 | 368856 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 216258 | 174119 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 104197 | 84707 |
| Freddie Mac Gold Pool 2% 8/1/2037  | 419559 | 384976 |
| Freddie Mac Gold Pool 2% 8/1/2050  | 272410 | 218732 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 309027 | 247265 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 20716 | 16621 |
| Freddie Mac Gold Pool 2% 9/1/2041  | 738187 | 636870 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 263314 | 211429 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  | 303372 | 253926 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  | 290367 | 246216 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 971280 | 807508 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 721090 | 602433 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 264235 | 219681 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 23533 | 19565 |
| Freddie Mac Gold Pool 2.5% 11/1/2046  | 13078 | 11225 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 145362 | 122850 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 288418 | 240959 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 97900 | 82984 |
| Freddie Mac Gold Pool 2.5% 12/1/2049  | 28688 | 24147 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 263773 | 221523 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 99763 | 82941 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 53085 | 44980 |
| Freddie Mac Gold Pool 2.5% 2/1/2052  | 787247 | 656966 |
| Freddie Mac Gold Pool 2.5% 3/1/2033  | 17419 | 16755 |
| Freddie Mac Gold Pool 2.5% 3/1/2052  | 494761 | 412883 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 143163 | 127284 |
| Freddie Mac Gold Pool 2.5% 4/1/2051  | 399054 | 331643 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 446331 | 372886 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 107983 | 91395 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 638262 | 533833 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 102034 | 86488 |
| Freddie Mac Gold Pool 2.5% 6/1/2050  | 79796 | 66989 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 155969 | 130938 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 683768 | 571252 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 404052 | 337944 |
| Freddie Mac Gold Pool 2.5% 7/1/2052  | 213646 | 177556 |
| Freddie Mac Gold Pool 2.5% 8/1/2035  | 72540 | 68613 |
| Freddie Mac Gold Pool 2.5% 8/1/2051  | 647214 | 540713 |
| Freddie Mac Gold Pool 2.5% 8/1/2051  | 138447 | 115103 |
| Freddie Mac Gold Pool 2.5% 9/1/2035  | 67919 | 64200 |
| Freddie Mac Gold Pool 2.5% 9/1/2050  | 486911 | 407854 |
| Freddie Mac Gold Pool 2.5% 9/1/2051  | 201089 | 168000 |
| Freddie Mac Gold Pool 3% 1/1/2033  | 46475 | 45247 |
| Freddie Mac Gold Pool 3% 10/1/2043  | 75203 | 68850 |
| Freddie Mac Gold Pool 3% 11/1/2026  | 5723 | 5671 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 107462 | 94374 |
| Freddie Mac Gold Pool 3% 12/1/2034  | 27992 | 27024 |
| Freddie Mac Gold Pool 3% 3/1/2045  | 15442 | 13967 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 48568 | 42220 |
| Freddie Mac Gold Pool 3% 4/1/2045  | 20226 | 18279 |
| Freddie Mac Gold Pool 3% 4/1/2049  | 93887 | 82775 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 40812 | 35982 |
| Freddie Mac Gold Pool 3% 4/1/2051  | 427488 | 374355 |
| Freddie Mac Gold Pool 3% 4/1/2052  | 280255 | 243670 |
| Freddie Mac Gold Pool 3% 4/1/2052  | 124999 | 108369 |
| Freddie Mac Gold Pool 3% 5/1/2029  | 17433 | 17199 |
| Freddie Mac Gold Pool 3% 5/1/2052  | 314784 | 272905 |
| Freddie Mac Gold Pool 3% 5/1/2052  | 98543 | 85432 |
| Freddie Mac Gold Pool 3% 7/1/2038  | 246328 | 235578 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 5464 | 4932 |
| Freddie Mac Gold Pool 3% 8/1/2049  | 130941 | 115116 |
| Freddie Mac Gold Pool 3% 8/1/2052  | 995277 | 878415 |
| Freddie Mac Gold Pool 3% 9/1/2034  | 1359 | 1314 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 271213 | 235173 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 24736 | 21453 |
| Freddie Mac Gold Pool 3.5% 1/1/2050  | 210960 | 192673 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  | 17729 | 17468 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 10160 | 10001 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 20631 | 19461 |
| Freddie Mac Gold Pool 3.5% 2/1/2047  | 155971 | 144157 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 80657 | 74341 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 6702 | 6177 |
| Freddie Mac Gold Pool 3.5% 3/1/2048  | 57090 | 52744 |
| Freddie Mac Gold Pool 3.5% 3/1/2050  | 232831 | 215486 |
| Freddie Mac Gold Pool 3.5% 3/1/2051  | 201356 | 183272 |
| Freddie Mac Gold Pool 3.5% 3/1/2055  | 172612 | 156139 |
| Freddie Mac Gold Pool 3.5% 6/1/2034  | 17854 | 17507 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 124715 | 116321 |
| Freddie Mac Gold Pool 3.5% 7/1/2049  | 78078 | 71383 |
| Freddie Mac Gold Pool 3.5% 8/1/2046  | 70376 | 65217 |
| Freddie Mac Gold Pool 3.5% 8/1/2052  | 419334 | 379610 |
| Freddie Mac Gold Pool 3.5% 9/1/2033  | 17154 | 16901 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 29092 | 27428 |
| Freddie Mac Gold Pool 3.5% 9/1/2052  | 928601 | 839472 |
| Freddie Mac Gold Pool 3.5% 9/1/2052  | 126830 | 114815 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 24408 | 23795 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 12019 | 11717 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 14728 | 14201 |
| Freddie Mac Gold Pool 4% 1/1/2047  | 77900 | 74583 |
| Freddie Mac Gold Pool 4% 1/1/2055  | 174234 | 162636 |
| Freddie Mac Gold Pool 4% 10/1/2034  | 13726 | 13754 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 5274 | 5117 |
| Freddie Mac Gold Pool 4% 10/1/2048  | 149130 | 141196 |
| Freddie Mac Gold Pool 4% 10/1/2050  | 122618 | 115711 |
| Freddie Mac Gold Pool 4% 10/1/2051  | 95950 | 90283 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 89774 | 84297 |
| Freddie Mac Gold Pool 4% 11/1/2036  | 27775 | 27265 |
| Freddie Mac Gold Pool 4% 11/1/2037  | 64878 | 64000 |
| Freddie Mac Gold Pool 4% 11/1/2048  | 4183 | 3971 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 12976 | 12650 |
| Freddie Mac Gold Pool 4% 12/1/2049  | 80410 | 76056 |
| Freddie Mac Gold Pool 4% 2/1/2034  | 18920 | 18959 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 15930 | 15536 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 4300 | 4185 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 21517 | 20783 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 9558 | 9313 |
| Freddie Mac Gold Pool 4% 4/1/2049  | 146759 | 139868 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 4412 | 4281 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 7931 | 7536 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 394417 | 372729 |
| Freddie Mac Gold Pool 4% 7/1/2042  | 4321 | 4211 |
| Freddie Mac Gold Pool 4% 7/1/2045  | 20323 | 19785 |
| Freddie Mac Gold Pool 4% 7/1/2049  | 40862 | 38675 |
| Freddie Mac Gold Pool 4% 7/1/2052  | 638317 | 598571 |
| Freddie Mac Gold Pool 4% 7/1/2052  | 33333 | 31257 |
| Freddie Mac Gold Pool 4% 8/1/2038  | 95381 | 93702 |
| Freddie Mac Gold Pool 4% 8/1/2049  | 67612 | 63993 |
| Freddie Mac Gold Pool 4% 9/1/2040  | 4017 | 3918 |
| Freddie Mac Gold Pool 4% 9/1/2045  | 34520 | 33103 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 139954 | 132766 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 68909 | 65286 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 47716 | 45207 |
| Freddie Mac Gold Pool 4.5% 1/1/2049  | 8422 | 8219 |
| Freddie Mac Gold Pool 4.5% 1/1/2050  | 46800 | 45598 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 23743 | 23208 |
| Freddie Mac Gold Pool 4.5% 10/1/2052  | 376267 | 363551 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 303101 | 302825 |
| Freddie Mac Gold Pool 4.5% 11/1/2049  | 42440 | 41377 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 15355 | 14985 |
| Freddie Mac Gold Pool 4.5% 2/1/2053  | 83765 | 81143 |
| Freddie Mac Gold Pool 4.5% 3/1/2049  | 46371 | 45253 |
| Freddie Mac Gold Pool 4.5% 4/1/2050  | 57270 | 55800 |
| Freddie Mac Gold Pool 4.5% 4/1/2053  | 84672 | 81705 |
| Freddie Mac Gold Pool 4.5% 5/1/2049  | 10798 | 10537 |
| Freddie Mac Gold Pool 4.5% 7/1/2041  | 27352 | 27308 |
| Freddie Mac Gold Pool 4.5% 7/1/2048  | 32691 | 31954 |
| Freddie Mac Gold Pool 4.5% 8/1/2048  | 83702 | 81867 |
| Freddie Mac Gold Pool 4.5% 8/1/2048  | 55135 | 53892 |
| Freddie Mac Gold Pool 4.5% 8/1/2052  | 401480 | 388289 |
| Freddie Mac Gold Pool 4.5% 8/1/2053  | 166951 | 161048 |
| Freddie Mac Gold Pool 4.5% 9/1/2048  | 8831 | 8643 |
| Freddie Mac Gold Pool 4.5% 9/1/2052  | 91493 | 88401 |
| Freddie Mac Gold Pool 4.5% 9/1/2054  | 147924 | 142359 |
| Freddie Mac Gold Pool 5% 10/1/2053  | 98578 | 97611 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 90767 | 90161 |
| Freddie Mac Gold Pool 5% 11/1/2054  | 630886 | 622337 |
| Freddie Mac Gold Pool 5% 11/1/2054  | 174515 | 172150 |
| Freddie Mac Gold Pool 5% 12/1/2048  | 25267 | 25462 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 167577 | 167139 |
| Freddie Mac Gold Pool 5% 12/1/2053  | 241274 | 241398 |
| Freddie Mac Gold Pool 5% 12/1/2053  | 97534 | 96395 |
| Freddie Mac Gold Pool 5% 12/1/2054  | 292508 | 288545 |
| Freddie Mac Gold Pool 5% 2/1/2049  | 5012 | 5052 |
| Freddie Mac Gold Pool 5% 4/1/2039  | 71971 | 72754 |
| Freddie Mac Gold Pool 5% 4/1/2040  | 231193 | 234053 |
| Freddie Mac Gold Pool 5% 4/1/2053  | 341914 | 338670 |
| Freddie Mac Gold Pool 5% 4/1/2053  | 167830 | 167234 |
| Freddie Mac Gold Pool 5% 4/1/2053  | 86805 | 85805 |
| Freddie Mac Gold Pool 5% 5/1/2050  | 14646 | 14685 |
| Freddie Mac Gold Pool 5% 6/1/2053  | 171686 | 170004 |
| Freddie Mac Gold Pool 5% 6/1/2053  | 85482 | 84644 |
| Freddie Mac Gold Pool 5% 7/1/2054  | 94356 | 93136 |
| Freddie Mac Gold Pool 5% 8/1/2052  | 137865 | 136652 |
| Freddie Mac Gold Pool 5% 8/1/2055  | 91689 | 90898 |
| Freddie Mac Gold Pool 5% 9/1/2052  | 237040 | 235236 |
| Freddie Mac Gold Pool 5.5% 1/1/2040  | 205998 | 210652 |
| Freddie Mac Gold Pool 5.5% 1/1/2053  | 58053 | 58609 |
| Freddie Mac Gold Pool 5.5% 10/1/2054  | 196395 | 199744 |
| Freddie Mac Gold Pool 5.5% 11/1/2053  | 429223 | 432920 |
| Freddie Mac Gold Pool 5.5% 11/1/2054  | 264458 | 266075 |
| Freddie Mac Gold Pool 5.5% 11/1/2054  | 143942 | 146846 |
| Freddie Mac Gold Pool 5.5% 12/1/2052  | 179903 | 182127 |
| Freddie Mac Gold Pool 5.5% 12/1/2054  | 195869 | 197067 |
| Freddie Mac Gold Pool 5.5% 3/1/2053  | 316436 | 320052 |
| Freddie Mac Gold Pool 5.5% 4/1/2053  | 166237 | 168032 |
| Freddie Mac Gold Pool 5.5% 4/1/2054  | 172532 | 173910 |
| Freddie Mac Gold Pool 5.5% 4/1/2055  | 218694 | 220031 |
| Freddie Mac Gold Pool 5.5% 5/1/2055  | 249538 | 251064 |
| Freddie Mac Gold Pool 5.5% 6/1/2049  | 36870 | 37971 |
| Freddie Mac Gold Pool 5.5% 6/1/2054  | 97042 | 97693 |
| Freddie Mac Gold Pool 5.5% 7/1/2053  | 191211 | 192918 |
| Freddie Mac Gold Pool 5.5% 7/1/2054  | 536680 | 544657 |
| Freddie Mac Gold Pool 5.5% 8/1/2053  | 89825 | 90599 |
| Freddie Mac Gold Pool 5.5% 8/1/2053  | 85514 | 86278 |
| Freddie Mac Gold Pool 5.5% 8/1/2055  | 74673 | 75130 |
| Freddie Mac Gold Pool 5.5% 9/1/2053  | 154799 | 157874 |
| Freddie Mac Gold Pool 6% 1/1/2053  | 233988 | 240037 |
| Freddie Mac Gold Pool 6% 1/1/2053  | 148949 | 152963 |
| Freddie Mac Gold Pool 6% 1/1/2055  | 296053 | 302552 |
| Freddie Mac Gold Pool 6% 12/1/2052  | 454004 | 466240 |
| Freddie Mac Gold Pool 6% 12/1/2053  | 178918 | 184954 |
| Freddie Mac Gold Pool 6% 12/1/2053  | 153214 | 156912 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 325930 | 337974 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 439568 | 456498 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 422999 | 432549 |
| Freddie Mac Gold Pool 6% 5/1/2055  | 24079 | 24608 |
| Freddie Mac Gold Pool 6% 6/1/2053  | 152339 | 156255 |
| Freddie Mac Gold Pool 6% 6/1/2054  | 89054 | 91045 |
| Freddie Mac Gold Pool 6% 7/1/2055  | 250001 | 255499 |
| Freddie Mac Gold Pool 6% 8/1/2054  | 519675 | 531246 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 151470 | 154843 |
| Freddie Mac Gold Pool 6.5% 12/1/2053  | 96258 | 100847 |
| Freddie Mac Gold Pool 6.5% 2/1/2054  | 542902 | 563155 |
| Freddie Mac Gold Pool 6.5% 2/1/2054  | 180140 | 188433 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 188295 | 198214 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 93928 | 99082 |
| Freddie Mac Gold Pool 6.5% 8/1/2053  | 68504 | 71107 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 423103 | 439178 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 111614 | 117773 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 27014 | 28535 |
| Freddie Mac Manufactured Housing participation certificates 6% 4/1/2055  | 601646 | 621293 |
| Freddie Mac Non Gold Pool 5% 7/1/2055  | 24999 | 24666 |
| Freddie Mac Non Gold Pool 5.5% 4/1/2054  | 117471 | 118556 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2054  | 22076 | 22224 |
| Freddie Mac Non Gold Pool 6% 2/1/2055  | 199721 | 204105 |
| Freddie Mac Non Gold Pool 6.5% 8/1/2053  | 468805 | 487167 |
| Ginnie Mae I Pool 2.5% 7/20/2052  | 85736 | 73094 |
| Ginnie Mae I Pool 3% 10/20/2042  | 47531 | 43559 |
| Ginnie Mae I Pool 3% 7/20/2052  | 231203 | 205121 |
| Ginnie Mae I Pool 3% 9/20/2052  | 82379 | 73330 |
| Ginnie Mae I Pool 3.5% 10/20/2052  | 249343 | 227573 |
| Ginnie Mae I Pool 3.5% 11/20/2052  | 167475 | 152853 |
| Ginnie Mae I Pool 3.5% 12/20/2052  | 175797 | 160338 |
| Ginnie Mae I Pool 3.5% 7/20/2052  | 315220 | 287698 |
| Ginnie Mae I Pool 4% 1/20/2053  | 164437 | 154725 |
| Ginnie Mae I Pool 4% 10/20/2052  | 331035 | 311432 |
| Ginnie Mae I Pool 4% 12/20/2052  | 43372 | 40817 |
| Ginnie Mae I Pool 4% 3/20/2047  | 45730 | 43647 |
| Ginnie Mae I Pool 4% 6/20/2053  | 86386 | 81392 |
| Ginnie Mae I Pool 4% 7/20/2052  | 158273 | 149148 |
| Ginnie Mae I Pool 4% 8/20/2052  | 159416 | 150225 |
| Ginnie Mae I Pool 4.5% 10/20/2052  | 322185 | 313051 |
| Ginnie Mae I Pool 4.5% 10/20/2054  | 121140 | 116882 |
| Ginnie Mae I Pool 4.5% 2/20/2053  | 82976 | 80591 |
| Ginnie Mae I Pool 4.5% 4/20/2053  | 88220 | 85547 |
| Ginnie Mae I Pool 4.5% 7/20/2052  | 155837 | 151614 |
| Ginnie Mae I Pool 4.5% 8/20/2052  | 78283 | 76113 |
| Ginnie Mae I Pool 5% 10/20/2052  | 238217 | 236949 |
| Ginnie Mae I Pool 5% 10/20/2054  | 387709 | 383828 |
| Ginnie Mae I Pool 5% 12/20/2052  | 79183 | 78761 |
| Ginnie Mae I Pool 5% 4/20/2053  | 247290 | 245896 |
| Ginnie Mae I Pool 5% 9/20/2052  | 231147 | 229916 |
| Ginnie Mae I Pool 5.5% 1/20/2053  | 70667 | 71572 |
| Ginnie Mae I Pool 5.5% 10/20/2054  | 144009 | 145133 |
| Ginnie Mae I Pool 5.5% 12/20/2052  | 213002 | 215730 |
| Ginnie Mae I Pool 5.5% 2/20/2053  | 72313 | 73217 |
| Ginnie Mae I Pool 5.5% 4/20/2053  | 38563 | 39044 |
| Ginnie Mae I Pool 5.5% 5/20/2053  | 160373 | 162427 |
| Ginnie Mae I Pool 5.5% 6/20/2053  | 197486 | 199953 |
| Ginnie Mae I Pool 6% 12/20/2052  | 232049 | 238662 |
| Ginnie Mae I Pool 6% 4/20/2053  | 62391 | 64091 |
| Ginnie Mae I Pool 6.5% 12/20/2052  | 41516 | 42892 |
| Ginnie Mae II Pool 1.5% 5/20/2051  | 35789 | 28095 |
| Ginnie Mae II Pool 2% 1/20/2051  | 752491 | 616389 |
| Ginnie Mae II Pool 2% 1/20/2052  | 53523 | 43834 |
| Ginnie Mae II Pool 2% 11/20/2051  | 516269 | 423134 |
| Ginnie Mae II Pool 2% 12/20/2050  | 1479197 | 1211309 |
| Ginnie Mae II Pool 2% 12/20/2051  | 74715 | 61189 |
| Ginnie Mae II Pool 2% 2/20/2051  | 538853 | 441391 |
| Ginnie Mae II Pool 2% 2/20/2052  | 92300 | 75591 |
| Ginnie Mae II Pool 2% 3/20/2051  | 862421 | 706436 |
| Ginnie Mae II Pool 2% 3/20/2052  | 70890 | 58079 |
| Ginnie Mae II Pool 2% 4/20/2051  | 482929 | 395582 |
| Ginnie Mae II Pool 2% 4/20/2052  | 524948 | 430083 |
| Ginnie Mae II Pool 2% 6/20/2051  | 312356 | 255763 |
| Ginnie Mae II Pool 2% 7/20/2051  | 103157 | 84467 |
| Ginnie Mae II Pool 2% 9/20/2050  | 96893 | 79398 |
| Ginnie Mae II Pool 2.5% 1/20/2051  | 107707 | 91842 |
| Ginnie Mae II Pool 2.5% 1/20/2052  | 49604 | 42266 |
| Ginnie Mae II Pool 2.5% 10/20/2050  | 368168 | 314283 |
| Ginnie Mae II Pool 2.5% 11/20/2050  | 164772 | 140656 |
| Ginnie Mae II Pool 2.5% 11/20/2051  | 526833 | 448903 |
| Ginnie Mae II Pool 2.5% 12/20/2049  | 79876 | 68360 |
| Ginnie Mae II Pool 2.5% 12/20/2050  | 147362 | 125679 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 135561 | 115508 |
| Ginnie Mae II Pool 2.5% 2/20/2051  | 154562 | 131796 |
| Ginnie Mae II Pool 2.5% 2/20/2052  | 460828 | 392734 |
| Ginnie Mae II Pool 2.5% 3/20/2050  | 48747 | 41719 |
| Ginnie Mae II Pool 2.5% 3/20/2051  | 57551 | 49074 |
| Ginnie Mae II Pool 2.5% 4/20/2052  | 77158 | 65757 |
| Ginnie Mae II Pool 2.5% 5/20/2050  | 123088 | 105189 |
| Ginnie Mae II Pool 2.5% 5/20/2051  | 442997 | 377744 |
| Ginnie Mae II Pool 2.5% 5/20/2052  | 765211 | 652139 |
| Ginnie Mae II Pool 2.5% 6/20/2051  | 141623 | 120674 |
| Ginnie Mae II Pool 2.5% 7/20/2051  | 1179179 | 1004752 |
| Ginnie Mae II Pool 2.5% 8/20/2050  | 163999 | 140013 |
| Ginnie Mae II Pool 2.5% 8/20/2051  | 372616 | 317498 |
| Ginnie Mae II Pool 2.5% 9/20/2050  | 375495 | 320538 |
| Ginnie Mae II Pool 2.5% 9/20/2051  | 141393 | 120478 |
| Ginnie Mae II Pool 3% 1/20/2043  | 2957 | 2708 |
| Ginnie Mae II Pool 3% 1/20/2050  | 229289 | 203727 |
| Ginnie Mae II Pool 3% 10/20/2050  | 234242 | 208055 |
| Ginnie Mae II Pool 3% 11/20/2047  | 16094 | 14405 |
| Ginnie Mae II Pool 3% 11/20/2049  | 60625 | 53866 |
| Ginnie Mae II Pool 3% 11/20/2051  | 42246 | 37467 |
| Ginnie Mae II Pool 3% 11/20/2053  | 78584 | 70198 |
| Ginnie Mae II Pool 3% 11/20/2054  | 98725 | 87495 |
| Ginnie Mae II Pool 3% 12/20/2047  | 96543 | 86414 |
| Ginnie Mae II Pool 3% 12/20/2049  | 76136 | 67648 |
| Ginnie Mae II Pool 3% 12/20/2051  | 48052 | 42601 |
| Ginnie Mae II Pool 3% 12/20/2054  | 95386 | 84573 |
| Ginnie Mae II Pool 3% 2/20/2046  | 65095 | 58489 |
| Ginnie Mae II Pool 3% 2/20/2050  | 75248 | 66859 |
| Ginnie Mae II Pool 3% 2/20/2051  | 179849 | 159686 |
| Ginnie Mae II Pool 3% 3/20/2043  | 3033 | 2775 |
| Ginnie Mae II Pool 3% 3/20/2048  | 31241 | 27963 |
| Ginnie Mae II Pool 3% 3/20/2052  | 262834 | 232937 |
| Ginnie Mae II Pool 3% 4/20/2048  | 36751 | 32895 |
| Ginnie Mae II Pool 3% 4/20/2050  | 156577 | 139121 |
| Ginnie Mae II Pool 3% 4/20/2051  | 30917 | 27442 |
| Ginnie Mae II Pool 3% 4/20/2052  | 485266 | 430068 |
| Ginnie Mae II Pool 3% 5/20/2052  | 529111 | 468925 |
| Ginnie Mae II Pool 3% 6/20/2050  | 85318 | 75780 |
| Ginnie Mae II Pool 3% 6/20/2052  | 367368 | 325580 |
| Ginnie Mae II Pool 3% 7/20/2042  | 4021 | 3688 |
| Ginnie Mae II Pool 3% 7/20/2046  | 29339 | 26352 |
| Ginnie Mae II Pool 3% 7/20/2049  | 52762 | 47077 |
| Ginnie Mae II Pool 3% 7/20/2050  | 49471 | 43940 |
| Ginnie Mae II Pool 3% 8/20/2043  | 3285 | 2999 |
| Ginnie Mae II Pool 3% 8/20/2046  | 147083 | 132111 |
| Ginnie Mae II Pool 3% 8/20/2050  | 52495 | 46626 |
| Ginnie Mae II Pool 3% 8/20/2051  | 286618 | 254217 |
| Ginnie Mae II Pool 3.5% 1/20/2048  | 50492 | 46644 |
| Ginnie Mae II Pool 3.5% 1/20/2050  | 206395 | 190019 |
| Ginnie Mae II Pool 3.5% 10/1/2055 (f) | 625000 | 567343 |
| Ginnie Mae II Pool 3.5% 10/20/2047  | 3290 | 3040 |
| Ginnie Mae II Pool 3.5% 10/20/2048  | 12064 | 11130 |
| Ginnie Mae II Pool 3.5% 11/20/2050  | 8624 | 7940 |
| Ginnie Mae II Pool 3.5% 12/20/2049  | 31975 | 29438 |
| Ginnie Mae II Pool 3.5% 2/20/2046  | 100439 | 93192 |
| Ginnie Mae II Pool 3.5% 2/20/2047  | 8047 | 7451 |
| Ginnie Mae II Pool 3.5% 2/20/2048  | 15243 | 14082 |
| Ginnie Mae II Pool 3.5% 2/20/2049  | 98330 | 90805 |
| Ginnie Mae II Pool 3.5% 2/20/2051  | 194334 | 178915 |
| Ginnie Mae II Pool 3.5% 3/20/2048  | 55920 | 51658 |
| Ginnie Mae II Pool 3.5% 3/20/2049  | 66829 | 61610 |
| Ginnie Mae II Pool 3.5% 3/20/2050  | 228771 | 210620 |
| Ginnie Mae II Pool 3.5% 3/20/2051  | 208235 | 191713 |
| Ginnie Mae II Pool 3.5% 4/20/2046  | 76164 | 70668 |
| Ginnie Mae II Pool 3.5% 4/20/2049  | 10952 | 10093 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 36601 | 33960 |
| Ginnie Mae II Pool 3.5% 5/20/2051  | 28905 | 26539 |
| Ginnie Mae II Pool 3.5% 5/20/2052  | 154469 | 141078 |
| Ginnie Mae II Pool 3.5% 5/20/2054  | 88167 | 80738 |
| Ginnie Mae II Pool 3.5% 6/20/2048  | 34547 | 31914 |
| Ginnie Mae II Pool 3.5% 6/20/2049  | 2784 | 2565 |
| Ginnie Mae II Pool 3.5% 7/20/2049  | 19087 | 17584 |
| Ginnie Mae II Pool 3.5% 8/20/2048  | 10746 | 9923 |
| Ginnie Mae II Pool 3.5% 8/20/2049  | 6778 | 6244 |
| Ginnie Mae II Pool 3.5% 9/1/2055 (f) | 1250000 | 1137664 |
| Ginnie Mae II Pool 3.5% 9/20/2049  | 13235 | 12193 |
| Ginnie Mae II Pool 4% 1/20/2049  | 28261 | 26841 |
| Ginnie Mae II Pool 4% 10/20/2048  | 20566 | 19533 |
| Ginnie Mae II Pool 4% 10/20/2049  | 27555 | 26120 |
| Ginnie Mae II Pool 4% 11/20/2049  | 31414 | 29719 |
| Ginnie Mae II Pool 4% 12/20/2047  | 13217 | 12591 |
| Ginnie Mae II Pool 4% 12/20/2049  | 38753 | 36734 |
| Ginnie Mae II Pool 4% 12/20/2050  | 39184 | 37020 |
| Ginnie Mae II Pool 4% 2/20/2050  | 49098 | 46539 |
| Ginnie Mae II Pool 4% 3/20/2050  | 166220 | 157558 |
| Ginnie Mae II Pool 4% 4/20/2047  | 17461 | 16666 |
| Ginnie Mae II Pool 4% 4/20/2049  | 18532 | 17566 |
| Ginnie Mae II Pool 4% 4/20/2050  | 22033 | 20843 |
| Ginnie Mae II Pool 4% 5/20/2048  | 36916 | 35119 |
| Ginnie Mae II Pool 4% 5/20/2050  | 24609 | 23327 |
| Ginnie Mae II Pool 4% 5/20/2054  | 216885 | 202669 |
| Ginnie Mae II Pool 4% 6/20/2048  | 9836 | 9357 |
| Ginnie Mae II Pool 4% 6/20/2051  | 53659 | 50863 |
| Ginnie Mae II Pool 4% 6/20/2055  | 324998 | 303062 |
| Ginnie Mae II Pool 4% 8/20/2048  | 40581 | 38543 |
| Ginnie Mae II Pool 4% 8/20/2055  | 149985 | 139861 |
| Ginnie Mae II Pool 4.5% 1/20/2049  | 84479 | 82843 |
| Ginnie Mae II Pool 4.5% 1/20/2055  | 270499 | 260465 |
| Ginnie Mae II Pool 4.5% 10/20/2053  | 91969 | 89118 |
| Ginnie Mae II Pool 4.5% 11/20/2048  | 16619 | 16313 |
| Ginnie Mae II Pool 4.5% 11/20/2054  | 97433 | 93887 |
| Ginnie Mae II Pool 4.5% 12/20/2049  | 12824 | 12576 |
| Ginnie Mae II Pool 4.5% 12/20/2050  | 53061 | 51983 |
| Ginnie Mae II Pool 4.5% 12/20/2053  | 93943 | 90759 |
| Ginnie Mae II Pool 4.5% 2/20/2049  | 8546 | 8373 |
| Ginnie Mae II Pool 4.5% 2/20/2050  | 69911 | 68557 |
| Ginnie Mae II Pool 4.5% 2/20/2055  | 98832 | 95166 |
| Ginnie Mae II Pool 4.5% 3/20/2055  | 74285 | 71529 |
| Ginnie Mae II Pool 4.5% 4/20/2049  | 10268 | 10069 |
| Ginnie Mae II Pool 4.5% 4/20/2050  | 21456 | 20993 |
| Ginnie Mae II Pool 4.5% 4/20/2051  | 52381 | 51416 |
| Ginnie Mae II Pool 4.5% 4/20/2055  | 150000 | 144435 |
| Ginnie Mae II Pool 4.5% 5/20/2049  | 15766 | 15446 |
| Ginnie Mae II Pool 4.5% 5/20/2054  | 96189 | 92688 |
| Ginnie Mae II Pool 4.5% 6/20/2054  | 169366 | 163189 |
| Ginnie Mae II Pool 4.5% 7/20/2053  | 88839 | 86092 |
| Ginnie Mae II Pool 4.5% 7/20/2055  | 74857 | 72080 |
| Ginnie Mae II Pool 4.5% 8/20/2048  | 41989 | 41255 |
| Ginnie Mae II Pool 4.5% 9/20/2049  | 16133 | 15835 |
| Ginnie Mae II Pool 5% 1/20/2055  | 220856 | 218559 |
| Ginnie Mae II Pool 5% 10/20/2048  | 7866 | 7920 |
| Ginnie Mae II Pool 5% 11/20/2049  | 25563 | 25802 |
| Ginnie Mae II Pool 5% 11/20/2053  | 90675 | 90051 |
| Ginnie Mae II Pool 5% 11/20/2054  | 291600 | 288658 |
| Ginnie Mae II Pool 5% 12/20/2047  | 12464 | 12639 |
| Ginnie Mae II Pool 5% 12/20/2054  | 146894 | 145367 |
| Ginnie Mae II Pool 5% 2/20/2055  | 172352 | 170559 |
| Ginnie Mae II Pool 5% 3/20/2049  | 7973 | 8023 |
| Ginnie Mae II Pool 5% 3/20/2050  | 16177 | 16374 |
| Ginnie Mae II Pool 5% 4/20/2055  | 148737 | 147190 |
| Ginnie Mae II Pool 5% 5/20/2054  | 93858 | 92999 |
| Ginnie Mae II Pool 5% 6/20/2048  | 25857 | 26075 |
| Ginnie Mae II Pool 5% 6/20/2054  | 95062 | 94162 |
| Ginnie Mae II Pool 5% 6/20/2055  | 174263 | 172451 |
| Ginnie Mae II Pool 5% 7/20/2048  | 7310 | 7365 |
| Ginnie Mae II Pool 5% 7/20/2053  | 172664 | 171691 |
| Ginnie Mae II Pool 5% 7/20/2055  | 324676 | 321299 |
| Ginnie Mae II Pool 5% 8/20/2053  | 87783 | 87289 |
| Ginnie Mae II Pool 5% 9/20/2053  | 87234 | 86742 |
| Ginnie Mae II Pool 5.5% 1/20/2055  | 269792 | 271920 |
| Ginnie Mae II Pool 5.5% 10/20/2053  | 165251 | 167316 |
| Ginnie Mae II Pool 5.5% 12/20/2048  | 8423 | 8696 |
| Ginnie Mae II Pool 5.5% 2/20/2054  | 227575 | 229920 |
| Ginnie Mae II Pool 5.5% 3/20/2055  | 248450 | 250409 |
| Ginnie Mae II Pool 5.5% 5/20/2055  | 498447 | 502377 |
| Ginnie Mae II Pool 5.5% 6/20/2055  | 349113 | 351866 |
| Ginnie Mae II Pool 5.5% 7/20/2054  | 229611 | 231475 |
| Ginnie Mae II Pool 5.5% 7/20/2055  | 598490 | 603209 |
| Ginnie Mae II Pool 5.5% 8/20/2054  | 231444 | 233323 |
| Ginnie Mae II Pool 5.5% 9/20/2053  | 156800 | 158759 |
| Ginnie Mae II Pool 6% 1/20/2055  | 340625 | 347591 |
| Ginnie Mae II Pool 6% 10/1/2055 (f) | 825000 | 840688 |
| Ginnie Mae II Pool 6% 12/20/2054  | 672304 | 685527 |
| Ginnie Mae II Pool 6% 9/1/2055 (f) | 1650000 | 1682922 |
| Ginnie Mae II Pool 6.5% 3/20/2055  | 371752 | 382910 |
| Ginnie Mae II Pool 6.5% 5/20/2055  | 173844 | 179062 |
| Ginnie Mae II Pool 6.5% 7/20/2053  | 96293 | 99386 |
| Ginnie Mae II Pool 6.5% 7/20/2054  | 193669 | 199225 |
| Uniform Mortgage Backed Securities 2% 9/1/2055 (f) | 1300000 | 1032180 |
| Uniform Mortgage Backed Securities 2.5% 9/1/2055 (f) | 400000 | 332078 |
| Uniform Mortgage Backed Securities 3% 9/1/2055 (f) | 75000 | 64979 |
| Uniform Mortgage Backed Securities 3.5% 10/1/2055 (f) | 900000 | 812848 |
| Uniform Mortgage Backed Securities 3.5% 9/1/2040 (f) | 50000 | 48409 |
| Uniform Mortgage Backed Securities 3.5% 9/1/2055 (f) | 1400000 | 1264977 |
| Uniform Mortgage Backed Securities 4% 9/1/2055 (f) | 150000 | 139998 |
| Uniform Mortgage Backed Securities 4.5% 9/1/2040 (f) | 250000 | 249463 |
| Uniform Mortgage Backed Securities 4.5% 9/1/2055 (f) | 100000 | 96188 |
| Uniform Mortgage Backed Securities 5% 9/1/2040 (f) | 175000 | 176812 |
| Uniform Mortgage Backed Securities 5% 9/1/2055 (f) | 125000 | 123276 |
| Uniform Mortgage Backed Securities 5.5% 9/1/2040 (f) | 125000 | 127764 |
| Uniform Mortgage Backed Securities 5.5% 9/1/2055 (f) | 550000 | 553223 |
| Uniform Mortgage Backed Securities 6% 10/1/2055 (f) | 125000 | 127607 |
| Uniform Mortgage Backed Securities 6% 9/1/2055 (f) | 1900000 | 1941266 |
| Uniform Mortgage Backed Securities 6.5% 9/1/2055 (f) | 900000 | 932590 |
| Uniform Mortgage Backed Securities 7% 9/1/2055 (f) | 400000 | 420784 |
| TOTAL UNITED STATES |  | 145956013 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $154,092,693) |  | <br> **145956013** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.1%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.1%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Financial Services - 0.1% |  |  |
| Fannie Mae 0.75% 10/8/2027  | 125000 | 117787 |
| Fannie Mae 0.875% 8/5/2030  | 83000 | 72542 |
| Fannie Mae 6.625% 11/15/2030  | 229000 | 259734 |
| Freddie Mac Non Gold Pool 6.25% 7/15/2032  | 130000 | 148015 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $648,816) |  | <br> **598078** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 45.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 45.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 45.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 45.1%** |
|  | Yield (%) (g) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 1.125% 8/15/2040  | 1.35 to 1.88 | 775000 | 477109 |
| US Treasury Bonds 1.375% 11/15/2040  | 1.65 to 1.92 | 599000 | 381746 |
| US Treasury Bonds 1.375% 8/15/2050  | 1.93 | 189000 | 91311 |
| US Treasury Bonds 1.625% 11/15/2050  | 1.57 to 1.95 | 1086000 | 560308 |
| US Treasury Bonds 1.75% 8/15/2041  | 2.01 to 3.46 | 1262000 | 835976 |
| US Treasury Bonds 1.875% 11/15/2051  | 2.29 to 3.21 | 439000 | 238912 |
| US Treasury Bonds 1.875% 2/15/2041  | 2.25 | 209000 | 143630 |
| US Treasury Bonds 1.875% 2/15/2051  | 2.30 to 2.31 | 96000 | 52811 |
| US Treasury Bonds 2% 11/15/2041  | 1.88 to 3.34 | 1046000 | 717205 |
| US Treasury Bonds 2% 2/15/2050  | 1.71 | 45000 | 25977 |
| US Treasury Bonds 2% 8/15/2051  | 2.04 | 579000 | 326773 |
| US Treasury Bonds 2.25% 2/15/2052  | 2.49 | 100000 | 59777 |
| US Treasury Bonds 2.25% 5/15/2041  | 2.63 to 3.29 | 1321000 | 957261 |
| US Treasury Bonds 2.25% 8/15/2046  | 3.03 | 6000 | 3887 |
| US Treasury Bonds 2.25% 8/15/2049  | 2.22 to 2.31 | 34000 | 20982 |
| US Treasury Bonds 2.375% 11/15/2049  | 2.39 | 1000 | 632 |
| US Treasury Bonds 2.375% 2/15/2042  | 3.61 | 1650000 | 1193210 |
| US Treasury Bonds 2.375% 5/15/2051  | 2.05 to 2.97 | 842000 | 523191 |
| US Treasury Bonds 2.5% 2/15/2046  | 2.33 to 3.07 | 89000 | 61031 |
| US Treasury Bonds 2.5% 5/15/2046  | 2.54 to 2.91 | 83000 | 56745 |
| US Treasury Bonds 2.75% 11/15/2042  | 2.83 | 4000 | 3023 |
| US Treasury Bonds 2.75% 11/15/2047  | 2.15 to 3.08 | 23000 | 16151 |
| US Treasury Bonds 2.75% 8/15/2042  | 3.22 | 41000 | 31147 |
| US Treasury Bonds 2.875% 5/15/2049  | 2.62 | 12000 | 8486 |
| US Treasury Bonds 2.875% 5/15/2052  | 3.07 to 4.29 | 2450000 | 1689447 |
| US Treasury Bonds 2.875% 8/15/2045  | 1.81 | 95000 | 70252 |
| US Treasury Bonds 3% 11/15/2044  | 3.38 | 7000 | 5341 |
| US Treasury Bonds 3% 11/15/2045  | 3.36 | 8000 | 6033 |
| US Treasury Bonds 3% 2/15/2048  | 3.02 | 4000 | 2934 |
| US Treasury Bonds 3% 2/15/2049  | 3.09 | 20000 | 14527 |
| US Treasury Bonds 3% 5/15/2042  | 3.12 | 13000 | 10312 |
| US Treasury Bonds 3% 5/15/2045  | 2.32 to 3.03 | 121000 | 91733 |
| US Treasury Bonds 3% 5/15/2047  | 2.95 | 17000 | 12589 |
| US Treasury Bonds 3% 8/15/2048  | 3.20 to 3.39 | 28000 | 20433 |
| US Treasury Bonds 3% 8/15/2052  | 3.29 to 4.15 | 2260000 | 1598244 |
| US Treasury Bonds 3.125% 11/15/2041  | 2.06 | 75000 | 61140 |
| US Treasury Bonds 3.125% 2/15/2043  | 2.40 to 2.87 | 125000 | 99692 |
| US Treasury Bonds 3.125% 5/15/2048  | 2.75 to 3.09 | 57000 | 42681 |
| US Treasury Bonds 3.125% 8/15/2044  | 3.05 to 3.09 | 238000 | 185993 |
| US Treasury Bonds 3.25% 5/15/2042  | 3.28 to 4.49 | 665000 | 546833 |
| US Treasury Bonds 3.375% 11/15/2048  | 3.03 to 3.25 | 32000 | 24971 |
| US Treasury Bonds 3.375% 5/15/2044  | 2.54 to 3.16 | 198000 | 161331 |
| US Treasury Bonds 3.375% 8/15/2042  | 4.43 | 390000 | 325284 |
| US Treasury Bonds 3.625% 2/15/2053  | 3.96 | 400000 | 320172 |
| US Treasury Bonds 3.625% 5/15/2053  | 4.01 to 4.40 | 100000 | 79957 |
| US Treasury Bonds 3.625% 8/15/2043  | 3.34 to 3.45 | 47000 | 40086 |
| US Treasury Bonds 3.75% 11/15/2043  | 3.16 | 39000 | 33767 |
| US Treasury Bonds 3.75% 8/15/2041  | 2.43 to 3.39 | 48000 | 42780 |
| US Treasury Bonds 3.875% 2/15/2043  | 3.81 to 4.59 | 2320000 | 2061447 |
| US Treasury Bonds 3.875% 5/15/2043  | 4.01 to 4.57 | 650000 | 575897 |
| US Treasury Bonds 3.875% 8/15/2040  | 2.34 | 20000 | 18320 |
| US Treasury Bonds 4% 11/15/2042  | 3.69 to 3.97 | 1920000 | 1739325 |
| US Treasury Bonds 4% 11/15/2052  | 3.92 to 3.97 | 645000 | 553541 |
| US Treasury Bonds 4.125% 8/15/2044  | 4.18 to 4.70 | 4010000 | 3642678 |
| US Treasury Bonds 4.125% 8/15/2053  | 4.20 to 5.03 | 1500000 | 1313730 |
| US Treasury Bonds 4.25% 2/15/2054  | 4.34 to 4.78 | 5043000 | 4511909 |
| US Treasury Bonds 4.25% 8/15/2054  | 4.11 to 4.52 | 2860000 | 2558806 |
| US Treasury Bonds 4.375% 11/15/2039  | 2.41 | 24000 | 23444 |
| US Treasury Bonds 4.375% 5/15/2040  | 2.77 | 45000 | 43784 |
| US Treasury Bonds 4.375% 8/15/2043  | 4.39 to 5.20 | 2570000 | 2430055 |
| US Treasury Bonds 4.5% 11/15/2054  | 4.37 to 4.80 | 1690000 | 1577575 |
| US Treasury Bonds 4.5% 2/15/2036  | 3.21 | 1000 | 1026 |
| US Treasury Bonds 4.5% 2/15/2044  | 4.36 to 4.93 | 3050000 | 2923473 |
| US Treasury Bonds 4.5% 5/15/2038  | 2.94 | 45000 | 45464 |
| US Treasury Bonds 4.625% 11/15/2044  | 4.86 to 4.92 | 930000 | 902173 |
| US Treasury Bonds 4.625% 2/15/2055  | 4.47 to 4.85 | 2430000 | 2316094 |
| US Treasury Bonds 4.625% 5/15/2044  | 4.50 to 4.71 | 2080000 | 2023288 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.34 to 4.63 | 1700000 | 1619582 |
| US Treasury Bonds 4.75% 11/15/2043  | 4.20 to 4.74 | 2520000 | 2496670 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.80 to 4.99 | 3200000 | 3113000 |
| US Treasury Bonds 4.75% 8/15/2045  | 4.74 | 360000 | 360394 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.90 to 4.92 | 940000 | 914738 |
| US Treasury Bonds 5% 5/15/2037  | 2.92 | 10000 | 10625 |
| US Treasury Bonds 5% 5/15/2045  | 4.80 to 5.05 | 4810000 | 4890417 |
| US Treasury Notes 0.375% 7/31/2027  | 0.42 to 0.48 | 1248000 | 1173607 |
| US Treasury Notes 0.5% 10/31/2027  | 0.64 | 64000 | 59890 |
| US Treasury Notes 0.5% 5/31/2027  | 0.44 to 0.70 | 1548000 | 1466065 |
| US Treasury Notes 0.5% 6/30/2027  | 0.39 to 0.66 | 1571000 | 1484350 |
| US Treasury Notes 0.5% 8/31/2027  | 1.19 | 309000 | 290581 |
| US Treasury Notes 0.625% 11/30/2027  | 0.62 to 0.78 | 509000 | 476690 |
| US Treasury Notes 0.625% 12/31/2027  | 0.76 | 338000 | 315687 |
| US Treasury Notes 0.625% 3/31/2027  | 0.38 to 0.60 | 808000 | 770346 |
| US Treasury Notes 0.625% 5/15/2030  | 1.69 | 75000 | 65177 |
| US Treasury Notes 0.625% 8/15/2030  | 0.71 | 204000 | 175799 |
| US Treasury Notes 0.75% 1/31/2028  | 0.93 to 0.94 | 263000 | 245823 |
| US Treasury Notes 0.75% 4/30/2026  | 0.81 | 1041000 | 1019135 |
| US Treasury Notes 0.875% 9/30/2026  | 1.12 to 1.19 | 1510000 | 1463107 |
| US Treasury Notes 1% 7/31/2028  | 1.13 | 2000 | 1857 |
| US Treasury Notes 1.125% 2/15/2031  | 1.63 | 2000 | 1746 |
| US Treasury Notes 1.125% 2/28/2027  | 0.73 | 1000 | 962 |
| US Treasury Notes 1.125% 2/29/2028  | 1.28 | 1000 | 941 |
| US Treasury Notes 1.125% 8/31/2028  | 1.13 | 10000 | 9305 |
| US Treasury Notes 1.25% 12/31/2026  | 2.17 | 225000 | 217714 |
| US Treasury Notes 1.25% 3/31/2028  | 1.30 | 13000 | 12257 |
| US Treasury Notes 1.25% 4/30/2028  | 1.25 to 1.26 | 659000 | 620258 |
| US Treasury Notes 1.25% 6/30/2028  | 0.99 | 262000 | 245676 |
| US Treasury Notes 1.25% 8/15/2031  | 3.20 | 259000 | 223802 |
| US Treasury Notes 1.25% 9/30/2028  | 1.56 | 5000 | 4660 |
| US Treasury Notes 1.375% 10/31/2028  | 1.39 to 1.81 | 410000 | 383014 |
| US Treasury Notes 1.375% 12/31/2028  | 1.56 to 1.76 | 995000 | 926283 |
| US Treasury Notes 1.375% 8/31/2026  | 0.54 to 1.64 | 695000 | 678217 |
| US Treasury Notes 1.5% 1/31/2027  | 3.03 | 173000 | 167682 |
| US Treasury Notes 1.5% 11/30/2028  | 1.92 to 2.37 | 2379000 | 2227432 |
| US Treasury Notes 1.625% 10/31/2026  | 1.70 to 1.82 | 215000 | 209692 |
| US Treasury Notes 1.625% 8/15/2029  | 0.81 to 1.92 | 176000 | 163384 |
| US Treasury Notes 1.625% 9/30/2026  | 0.40 | 93000 | 90846 |
| US Treasury Notes 1.75% 1/31/2029  | 2.89 to 2.94 | 465000 | 437518 |
| US Treasury Notes 1.875% 2/28/2027  | 2.85 | 160000 | 155731 |
| US Treasury Notes 1.875% 2/28/2029  | 3.26 | 25000 | 23588 |
| US Treasury Notes 1.875% 7/31/2026  | 1.42 to 1.61 | 238000 | 233727 |
| US Treasury Notes 2% 11/15/2026  | 2.85 | 110000 | 107684 |
| US Treasury Notes 2.25% 11/15/2027  | 2.08 to 2.47 | 100000 | 97137 |
| US Treasury Notes 2.25% 2/15/2027  | 3.09 to 3.14 | 134000 | 131221 |
| US Treasury Notes 2.25% 8/15/2027  | 3.05 | 35000 | 34089 |
| US Treasury Notes 2.375% 5/15/2027  | 3.19 | 22000 | 21533 |
| US Treasury Notes 2.375% 5/15/2029  | 2.12 | 16000 | 15316 |
| US Treasury Notes 2.625% 2/15/2029  | 2.56 | 57000 | 55196 |
| US Treasury Notes 2.625% 5/31/2027  | 2.84 to 3.07 | 670000 | 658170 |
| US Treasury Notes 2.625% 7/31/2029  | 3.15 | 735000 | 708184 |
| US Treasury Notes 2.75% 2/15/2028  | 1.53 to 3.13 | 492000 | 482333 |
| US Treasury Notes 2.75% 7/31/2027  | 2.70 to 3.18 | 1095000 | 1076907 |
| US Treasury Notes 2.75% 8/15/2032  | 4.05 | 436000 | 404816 |
| US Treasury Notes 2.875% 11/30/2025  | 2.67 | 31000 | 30902 |
| US Treasury Notes 2.875% 5/15/2028  | 1.90 to 2.72 | 323000 | 317057 |
| US Treasury Notes 2.875% 5/15/2032  | 3.02 to 4.06 | 265000 | 248914 |
| US Treasury Notes 2.875% 8/15/2028  | 3.23 | 61000 | 59787 |
| US Treasury Notes 3% 10/31/2025  | 2.60 | 74000 | 73838 |
| US Treasury Notes 3.125% 11/15/2028  | 1.80 to 1.83 | 155000 | 152790 |
| US Treasury Notes 3.125% 8/31/2027  | 3.33 to 3.92 | 2265000 | 2243323 |
| US Treasury Notes 3.125% 8/31/2029  | 3.34 to 3.86 | 925000 | 907656 |
| US Treasury Notes 3.25% 6/30/2027  | 2.86 to 3.05 | 670000 | 665315 |
| US Treasury Notes 3.25% 6/30/2029  | 2.70 to 3.08 | 640000 | 631375 |
| US Treasury Notes 3.375% 5/15/2033  | 3.86 | 440000 | 421730 |
| US Treasury Notes 3.375% 9/15/2027  | 3.44 to 3.92 | 1160000 | 1154563 |
| US Treasury Notes 3.5% 1/31/2030  | 3.61 to 4.07 | 900000 | 893988 |
| US Treasury Notes 3.5% 2/15/2033  | 3.97 | 640000 | 620350 |
| US Treasury Notes 3.5% 4/30/2028  | 4.02 to 4.06 | 1040000 | 1037536 |
| US Treasury Notes 3.5% 4/30/2030  | 3.71 to 3.88 | 780000 | 773998 |
| US Treasury Notes 3.5% 9/30/2029  | 3.57 to 3.91 | 1290000 | 1283096 |
| US Treasury Notes 3.625% 3/31/2028  | 3.51 to 3.58 | 1030000 | 1030885 |
| US Treasury Notes 3.625% 3/31/2030  | 3.88 | 180000 | 179606 |
| US Treasury Notes 3.625% 5/15/2026  | 4.21 to 4.53 | 1120000 | 1117585 |
| US Treasury Notes 3.625% 5/31/2028  | 4.03 to 4.14 | 550000 | 550451 |
| US Treasury Notes 3.625% 8/15/2028  | 3.58 | 3620000 | 3624808 |
| US Treasury Notes 3.625% 8/31/2029  | 3.71 | 1110000 | 1109480 |
| US Treasury Notes 3.625% 8/31/2030  | 3.69 | 1540000 | 1535308 |
| US Treasury Notes 3.625% 9/30/2031  | 3.66 to 3.98 | 1390000 | 1374363 |
| US Treasury Notes 3.75% 12/31/2028  | 3.84 to 4.06 | 840000 | 843773 |
| US Treasury Notes 3.75% 12/31/2030  | 4.02 to 4.11 | 1270000 | 1270446 |
| US Treasury Notes 3.75% 4/15/2028  | 3.58 to 3.80 | 3400000 | 3413016 |
| US Treasury Notes 3.75% 5/15/2028  | 3.83 to 4.02 | 8930000 | 8967076 |
| US Treasury Notes 3.75% 5/31/2030  | 3.98 | 1520000 | 1524038 |
| US Treasury Notes 3.75% 6/30/2030  | 4.39 | 140000 | 140377 |
| US Treasury Notes 3.75% 8/31/2031  | 3.59 to 3.65 | 860000 | 856607 |
| US Treasury Notes 3.875% 10/15/2027  | 4.08 to 4.16 | 3660000 | 3678443 |
| US Treasury Notes 3.875% 11/30/2027  | 4.01 | 5000 | 5027 |
| US Treasury Notes 3.875% 11/30/2029  | 3.57 to 3.90 | 1850000 | 1865754 |
| US Treasury Notes 3.875% 12/31/2027  | 3.93 | 450000 | 452718 |
| US Treasury Notes 3.875% 12/31/2029  | 3.45 to 3.75 | 840000 | 847252 |
| US Treasury Notes 3.875% 3/15/2028  | 3.68 to 4.03 | 5040000 | 5075831 |
| US Treasury Notes 3.875% 4/30/2030  | 3.72 | 550000 | 554662 |
| US Treasury Notes 3.875% 6/15/2028  | 3.68 to 3.88 | 6390000 | 6439423 |
| US Treasury Notes 3.875% 6/30/2030  | 3.79 to 3.83 | 1390000 | 1401402 |
| US Treasury Notes 3.875% 7/15/2028  | 3.88 | 4050000 | 4081324 |
| US Treasury Notes 3.875% 7/31/2030  | 3.95 | 950000 | 957645 |
| US Treasury Notes 3.875% 8/15/2033  | 4.65 to 4.88 | 1050000 | 1039008 |
| US Treasury Notes 3.875% 8/15/2034  | 3.92 to 4.28 | 2100000 | 2058984 |
| US Treasury Notes 4% 1/15/2027  | 4.01 to 4.16 | 1770000 | 1775462 |
| US Treasury Notes 4% 1/31/2029  | 3.87 to 4.25 | 1960000 | 1984577 |
| US Treasury Notes 4% 1/31/2031  | 3.91 to 4.29 | 1680000 | 1699950 |
| US Treasury Notes 4% 10/31/2029  | 3.60 to 4.14 | 2710000 | 2746627 |
| US Treasury Notes 4% 12/15/2027  | 4.20 to 4.36 | 7570000 | 7637298 |
| US Treasury Notes 4% 2/15/2034  | 4.19 to 4.69 | 2320000 | 2306406 |
| US Treasury Notes 4% 2/28/2030  | 3.49 to 4.00 | 1990000 | 2017907 |
| US Treasury Notes 4% 2/29/2028  | 3.53 | 720000 | 726919 |
| US Treasury Notes 4% 3/31/2030  | 3.95 | 400000 | 405484 |
| US Treasury Notes 4% 4/30/2032  | 3.93 to 4.29 | 3300000 | 3319078 |
| US Treasury Notes 4% 5/31/2030  | 3.95 to 4.12 | 4420000 | 4481293 |
| US Treasury Notes 4% 6/30/2032  | 3.99 | 920000 | 924744 |
| US Treasury Notes 4% 7/31/2030  | 4.07 to 4.35 | 680000 | 688952 |
| US Treasury Notes 4% 7/31/2032  | 3.92 to 4.03 | 3750000 | 3766992 |
| US Treasury Notes 4.125% 10/31/2027  | 3.66 to 4.24 | 1765000 | 1783408 |
| US Treasury Notes 4.125% 10/31/2029  | 4.15 | 1580000 | 1608576 |
| US Treasury Notes 4.125% 10/31/2031  | 4.13 to 4.24 | 3180000 | 3228570 |
| US Treasury Notes 4.125% 11/15/2027  | 4.10 to 4.27 | 3910000 | 3951544 |
| US Treasury Notes 4.125% 11/15/2032  | 3.62 to 3.95 | 1385000 | 1400473 |
| US Treasury Notes 4.125% 11/30/2029  | 4.03 to 4.28 | 2080000 | 2118106 |
| US Treasury Notes 4.125% 11/30/2031  | 4.12 to 4.51 | 1910000 | 1938352 |
| US Treasury Notes 4.125% 2/29/2032  | 4.10 to 4.12 | 2550000 | 2585361 |
| US Treasury Notes 4.125% 3/31/2029  | 4.20 to 4.33 | 1510000 | 1535658 |
| US Treasury Notes 4.125% 3/31/2031  | 4.33 to 4.72 | 1500000 | 1526484 |
| US Treasury Notes 4.125% 3/31/2032  | 3.88 to 4.08 | 1270000 | 1287115 |
| US Treasury Notes 4.125% 5/31/2032  | 3.99 to 4.31 | 3170000 | 3209961 |
| US Treasury Notes 4.125% 7/31/2028  | 4.18 to 4.42 | 1180000 | 1197331 |
| US Treasury Notes 4.125% 7/31/2031  | 3.68 to 4.10 | 4540000 | 4614415 |
| US Treasury Notes 4.125% 8/31/2030  | 4.35 to 4.63 | 1790000 | 1823632 |
| US Treasury Notes 4.125% 9/30/2027  | 3.94 to 4.28 | 1175000 | 1186842 |
| US Treasury Notes 4.25% 1/15/2028  | 4.24 | 1240000 | 1257970 |
| US Treasury Notes 4.25% 1/31/2026  | 4.22 | 140000 | 140057 |
| US Treasury Notes 4.25% 1/31/2030  | 4.33 | 440000 | 450364 |
| US Treasury Notes 4.25% 11/15/2034  | 4.55 to 4.60 | 1640000 | 1650763 |
| US Treasury Notes 4.25% 2/15/2028  | 3.96 to 4.04 | 4520000 | 4588768 |
| US Treasury Notes 4.25% 2/28/2029  | 4.26 to 4.30 | 1350000 | 1378213 |
| US Treasury Notes 4.25% 2/28/2031  | 4.10 to 4.31 | 2930000 | 3000618 |
| US Treasury Notes 4.25% 5/15/2035  | 4.27 to 4.51 | 4080000 | 4092750 |
| US Treasury Notes 4.25% 6/30/2029  | 4.16 to 4.34 | 1140000 | 1165144 |
| US Treasury Notes 4.25% 6/30/2031  | 4.23 | 300000 | 306926 |
| US Treasury Notes 4.25% 8/15/2035  | 4.22 | 1100000 | 1102234 |
| US Treasury Notes 4.375% 1/31/2032  | 4.44 | 1160000 | 1192444 |
| US Treasury Notes 4.375% 11/30/2028  | 4.29 | 290000 | 296820 |
| US Treasury Notes 4.375% 11/30/2030  | 3.91 to 4.36 | 1370000 | 1411368 |
| US Treasury Notes 4.375% 12/15/2026  | 4.01 to 4.13 | 2210000 | 2226230 |
| US Treasury Notes 4.375% 12/31/2029  | 4.41 | 240000 | 246797 |
| US Treasury Notes 4.375% 5/15/2034  | 4.49 | 700000 | 713672 |
| US Treasury Notes 4.375% 7/15/2027  | 4.20 | 760000 | 769819 |
| US Treasury Notes 4.375% 8/15/2026  | 4.55 to 4.70 | 1140000 | 1145175 |
| US Treasury Notes 4.5% 11/15/2025  | 4.22 | 60000 | 60027 |
| US Treasury Notes 4.5% 11/15/2033  | 3.91 to 4.45 | 2640000 | 2722294 |
| US Treasury Notes 4.5% 12/31/2031  | 4.49 to 4.52 | 1310000 | 1356362 |
| US Treasury Notes 4.5% 4/15/2027  | 4.87 | 20000 | 20249 |
| US Treasury Notes 4.5% 5/15/2027  | 4.67 | 1530000 | 1550380 |
| US Treasury Notes 4.625% 10/15/2026  | 4.90 | 590000 | 595116 |
| US Treasury Notes 4.625% 11/15/2026  | 4.32 to 4.78 | 4620000 | 4663493 |
| US Treasury Notes 4.625% 2/15/2035  | 4.20 to 4.31 | 2770000 | 2864786 |
| US Treasury Notes 4.625% 4/30/2029  | 4.72 | 590000 | 610143 |
| US Treasury Notes 4.625% 4/30/2031  | 4.70 | 750000 | 781904 |
| US Treasury Notes 4.625% 5/31/2031  | 4.22 to 4.49 | 2800000 | 2918672 |
| US Treasury Notes 4.625% 6/15/2027  | 4.52 | 10000 | 10164 |
| US Treasury Notes 4.625% 9/15/2026  | 4.79 | 90000 | 90708 |
| US Treasury Notes 4.625% 9/30/2028  | 4.60 to 4.61 | 1030000 | 1060779 |
| US Treasury Notes 4.625% 9/30/2030  | 4.65 to 4.84 | 970000 | 1010391 |
| US Treasury Notes 4.75% 2/15/2045  | 4.59 to 4.92 | 2980000 | 2935766 |
| US Treasury Notes 4.875% 10/31/2028  | 4.44 to 4.82 | 2540000 | 2635945 |
| US Treasury Notes 4.875% 10/31/2030  | 4.47 to 4.89 | 800000 | 842750 |
| US Treasury Notes 5% 9/30/2025  | 5.05 | 100000 | 100041 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $271,038,449) |  |  | **265731532** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 0.9%** | &nbsp;&nbsp;**Money Market Funds - 0.9%** | &nbsp;&nbsp;**Money Market Funds - 0.9%** | &nbsp;&nbsp;**Money Market Funds - 0.9%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (h)<br>(Cost $5,307,595)<br>| 4.36 | 5306534 | **5307595** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 101.0%**<br> (Cost $615,603,649)<br>| <br>**594464107** |
| **NET OTHER ASSETS (LIABILITIES) - (1.0)%**  | **(5770637)** |
| **NET ASSETS - 100.0%** | **588693470** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 3.5% 9/1/2055 | (1250000) | (1137664) |
| Ginnie Mae II Pool 6% 9/1/2055 | (1300000) | (1325939) |
| Uniform Mortgage Backed Securities 2.5% 9/1/2055 | (600000) | (498117) |
| Uniform Mortgage Backed Securities 3.5% 9/1/2055 | (900000) | (813199) |
| Uniform Mortgage Backed Securities 5% 9/1/2040 | (175000) | (176812) |
| Uniform Mortgage Backed Securities 6% 9/1/2055 | (250000) | (255430) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (4207161) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $4,185,374) |  | <br> **(4207161)** |

---

**Legend**

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

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

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,175,754 or 0.2% of net assets.

(d) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end.

(e) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

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

(g) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(h) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 8503522 | 132375747 | 135571674 | 185252 | - | - | 5307595 | 5306534 | 0.0% |
| Total | 8503522 | 132375747 | 135571674 | 185252 | - | - | 5307595 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

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

**Investment Valuation**

The following is a summary of the inputs used, as of August 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 1592202 | - | 1592202 | - |
|  **Bank Notes** |  |  |  |  |
| Financials | 265772 | - | 265772 | - |
|  **Commercial Mortgage Securities** | 6337677 | - | 6337677 | - |
|  **Foreign Government and Government Agency Obligations** | 10969115 | - | 10969115 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 12647982 | - | 12647982 | - |
| Consumer Discretionary | 9935476 | - | 9935476 | - |
| Consumer Staples | 6676969 | - | 6676969 | - |
| Energy | 6072578 | - | 6072578 | - |
| Financials | 66997094 | - | 66997094 | - |
| Health Care | 18878265 | - | 18878265 | - |
| Industrials | 7299099 | - | 7299099 | - |
| Information Technology | 14395728 | - | 14395728 | - |
| Materials | 4028260 | - | 4028260 | - |
| Real Estate | 5558610 | - | 5558610 | - |
| Utilities | 5216062 | - | 5216062 | - |
|  **U.S. Government Agency - Mortgage Securities** | 145956013 | - | 145956013 | - |
|  **U.S. Government Agency Obligations** |  |  |  |  |
| Financials | 598078 | - | 598078 | - |
|  **U.S. Treasury Obligations** | 265731532 | - | 265731532 | - |
|  **Money Market Funds** | 5307595 | 5307595 | - | - |
| **Total Investments in Securities:** | 594464107 | 5307595 | 589156512 | - |
|  **<u>Other Financial Instruments:</u>** |  |  |  |  |
|  **TBA Sale Commitments** | (4207161) | - | (4207161) | - |
| **Total Other Financial Instruments:** | (4207161) | - | (4207161) | - |

---

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of August 31, 2025** | **As of August 31, 2025** | **As of August 31, 2025** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $610,296,054) | $589156512 |  |
| Fidelity Central Funds (cost $5,307,595) | 5307595 |  |
| Total Investment in Securities (cost $615,603,649) |  | $594464107 |
| Receivable for investments sold |  |  |
| Regular delivery |  | 11340289 |
| Delayed delivery |  | 254727 |
| Receivable for TBA sale commitments |  | 4185374 |
| Receivable for fund shares sold |  | 259234 |
| Interest receivable |  | 4948890 |
| Distributions receivable from Fidelity Central Funds |  | 10744 |
| Other receivables |  | 40 |
| **Total assets** |  | 615463405 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $9475592 |  |
| Delayed delivery | 12702503 |  |
| TBA sale commitments, at value | 4207161 |  |
| Payable for fund shares redeemed | 210509 |  |
| Distributions payable | 125686 |  |
| Accrued management fee | 48484 |  |
| **Total liabilities** |  | 26769935 |
| **Net Assets**  |  | $588693470 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $621669066 |
| Total accumulated earnings (loss) |  | (32975596) |
| **Net Assets** |  | $588693470 |
| **Net Asset Value**, offering price and redemption price per share ($588,693,470 ÷ 62,995,159 shares) |  | $9.35 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** |
| **Investment Income** |  |  |
| Interest  |  | $20735908 |
| Income from Fidelity Central Funds  |  | 185252 |
| **Total income** |  | 20921160 |
| **Expenses** |  |  |
| Management fee | $514470 |  |
| Independent trustees' fees and expenses | 1251 |  |
| Total expenses before reductions | 515721 |  |
| Expense reductions | (5193) |  |
| Total expenses after reductions |  | 510528 |
| **Net Investment income (loss)** |  | 20410632 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (3051753) |  |
| Total net realized gain (loss) |  | (3051753) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (261031) |  |
| TBA sale commitments | (31858) |  |
| Total change in net unrealized appreciation (depreciation) |  | (292889) |
| **Net gain (loss)** |  | (3344642) |
| **Net increase (decrease) in net assets resulting from operations** |  | $17065990 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **August 31, 2025** | **Year ended**<br> **August 31, 2024** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $20410632 | $13892659 |
| &nbsp;&nbsp;Net realized gain (loss) | (3051753)<br>| (3148479)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | (292889) | 16734861<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 17065990<br>| 27479041<br>|
| Distributions to shareholders | (19167823)<br>| (12836632)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 250301186 | 212186610 |
| Reinvestment of distributions | 17783520<br>| 11802944<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (135504985) | (106570575) |
| **Net increase (decrease) in net assets resulting from share transactions** | 132579721<br>| 117418979<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 130477888<br>| 132061388<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 458215582 | 326154194<br>|
| &nbsp;&nbsp;End of period | $588693470 | $458215582 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 27023514 | 23252443 |
| Issued in reinvestment of distributions | 1915951<br>| 1293351<br>|
| &nbsp;&nbsp;Redeemed | (14636853) | (11750026) |
| &nbsp;&nbsp;Net increase (decrease) | 14302612 | 12795768 |

---

**Financial Highlights** 

**Fidelity® Sustainability Bond Index Fund** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.41 | $9.09 | $9.45 | $10.85 | $11.11 |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) A,B | .367  | .333  | .267  | .174  | .144  |
| Net realized and unrealized gain (loss)  | (.083)  | .294  | (.383)  | (1.401)  | (.207)  |
| Total from investment operations  | .284  | .627  | (.116)  | (1.227)  | (.063)  |
| Distributions from net investment income  | (.344)  | (.307)  | (.244)  | (.165)  | (.148)  |
| Distributions from net realized gain  | -  | -  | -  | (.008)  | (.049)  |
| Total distributions  | (.344)  | (.307)  | (.244)  | (.173)  | (.197)  |
| Net asset value, end of period  | $9.35 | $9.41 | $9.09 | $9.45 | $10.85 |
| **Total Return** C | 3.11% <br>| 7.06%  | (1.23)%  | (11.40)%  | (.56)%  |
| **Ratios to Average Net Assets** B,D,E |  |  |  |  |  |
| Expenses before reductions  | .10%  | .10%  | .10%  | .10%  | .10%  |
| Expenses net of fee waivers, if any  | .10% <br>| .10%  | .10%  | .10%  | .10%  |
| Expenses net of all reductions, if any  | .10%  | .10%  | .10%  | .10%  | .10%  |
| Net investment income (loss)  | 3.97%  | 3.66%  | 2.90%  | 1.72%  | 1.32%  |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $588693 | $458216 | $326154 | $298196 | $240618 |
| Portfolio turnover rate F | 70% <br>| 55%  | 55%  | 65%  | 97%  |

---

A*Calculated based on average shares outstanding during the period.*

B*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

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

D*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

E*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

F*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

**Notes to Financial Statements**

For the period ended August 31, 2025

**1. Organization.**

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

**2. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**3. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

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

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2025 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2025, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

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

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

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

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

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $6868571 |
| **Gross unrealized depreciation**  | <u>(26377299)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$(19508728)</u> |
| **Tax Cost**  | <u>$613951048</u> |

---

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

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$412237</u> |
| **Capital loss carryforward**  | <u>$(13879104)</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$(19508728)</u> |

---

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | $(4540196) |
| Long-term | <u>(9338908)</u> |
| **Total capital loss carryforward** | <u>$(13879104)</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **August 31, 2025** | **August 31, 2024** |
| **Ordinary Income**  | <u>$19167823</u> | <u>$12836632</u> |
| **Total**  | <u>$19167823</u> | <u>$12836632</u> |

---

**Delayed Delivery Transactions and When-Issued Securities.** During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

**To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls.** TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The value of these commitments and proceeds to be received at contractual settlement date are reflected in the Statement of Assets and Liabilities as "TBA sale commitments, at value" and "Receivable for TBA sale commitments," respectively. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, a fund realizes a gain or loss. If a fund delivers securities under the commitment, a fund realizes a gain or loss from the sale of the securities based upon the price established at the date the commitment was entered into.

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**New Accounting Pronouncements.** FASB Accounting Standards Update (ASU) 2023-07 Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures became effective in this reporting period. ASU 2023-07 enhances segment information disclosure in the notes to financial statements.

In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Sustainability Bond Index Fund** | 209937922 | 179400517 |

---

**5. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is based on an annual rate of .10% of the Fund's average net assets. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**6. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are borne by the investment adviser.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2026 unless extended or renewed.

**7. Expense Reductions.** 

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $5,193.

**8. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

**9. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Report of Independent Registered Public Accounting Firm**

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Salem Street Trust and the Shareholders of Fidelity Sustainability Bond Index Fund:

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statement of assets and liabilities of Fidelity Sustainability Bond Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of August 31, 2025, the related statement of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the "financial statements and financial highlights"). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of August 31, 2025, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

October 13, 2025

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

**Distributions** **(Unaudited)**

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

A total of 43.73% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $13,951,669 of distributions paid in the calendar year 2024 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates $19,167,823 of distributions paid during the fiscal year ended 2025 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2026 of amounts for use in preparing 2025 income tax returns.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img113700_4.jpg)<br>

1.9887301.107 SBI-I-ANN-1025

**Fidelity® Short-Term Bond Index Fund**

**Annual Report**

**August 31, 2025**

![](img113702_1.jpg)

![](img113702_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_SDX-I-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Short-Term Bond Index Fund](#Sub_Sec_Fund_3038_SDX-I-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements3038_SDX-I-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_SDX-I-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_SDX-I-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_SDX-I-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_SDX-I-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_SDX-I-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_SDX-I-ANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

"BLOOMBERG®" and the Bloomberg indices listed herein (the "Indices") are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited ("BISL"), the administrator of the Indices (collectively, "Bloomberg") and have been licensed for use for certain purposes by Fidelity. Bloomberg is not affiliated with Fidelity, and Bloomberg does not approve, endorse, review, or recommend the fund. Bloomberg does not guarantee the timeliness, accuracy, or completeness of any data or information relating to the fund.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

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

**Fidelity® Short-Term Bond Index Fund**

**Schedule of Investments August 31, 2025**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.5%** | &nbsp;&nbsp;**Bank Notes - 0.5%** | &nbsp;&nbsp;**Bank Notes - 0.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.5%  |  |  |
| Financials - 0.5% |  |  |
| Banks - 0.4% |  |  |
| Citibank NA 5.488% 12/4/2026  | 510000 | 518092 |
| Fifth Third Bank OH 2.25% 2/1/2027  | 250000 | 243414 |
| Fifth Third Bank OH 3.85% 3/15/2026  | 420000 | 418645 |
| KeyBank NA/Cleveland OH 5.85% 11/15/2027  | 930000 | 959256 |
| KeyBank NA/Cleveland OH 6.95% 2/1/2028  | 390000 | 411530 |
| Morgan Stanley Bank NA 4.952% 1/14/2028 (b) | 2160000 | 2179972 |
| Morgan Stanley Bank NA 4.968% 7/14/2028 (b) | 4680000 | 4745042 |
| Morgan Stanley Bank NA 5.504% 5/26/2028 (b) | 1280000 | 1308420 |
| PNC Bank NA 2.7% 10/22/2029  | 430000 | 404575 |
| PNC Bank NA 3.25% 1/22/2028  | 640000 | 629977 |
| Truist Bank 4.42% 7/24/2028 (b) | 1000000 | 1003006 |
| Truist Bank 5 year U.S. Treasury Index + 1.15%, 4.632% 9/17/2029 (b)(c) | 1270000 | 1272448 |
| Wells Fargo Bank NA 5.45% 8/7/2026  | 1000000 | 1010503 |
|  |  | 15104880 |
| Capital Markets - 0.1% |  |  |
| Goldman Sachs Bank USA 5.283% 3/18/2027 (b) | 1810000 | 1818246 |
| TOTAL FINANCIALS |  | 16923126 |
| <br> **TOTAL BANK NOTES**<br> (Cost $16,736,200) |  | <br> **16923126** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.9%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.9%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.5%  |  |  |
| Export Development Canada 3% 5/25/2027  | 2350000 | 2319528 |
| Province of British Columbia 2.25% 6/2/2026  | 800000 | 789968 |
| Province of British Columbia 4.9% 4/24/2029  | 1500000 | 1557225 |
| Province of Ontario 2.5% 4/27/2026  | 3690000 | 3653654 |
| Province of Ontario 4.7% 1/15/2030  | 3000000 | 3104610 |
| Province of Quebec 2.5% 4/20/2026  | 1250000 | 1238063 |
| Province of Quebec 2.75% 4/12/2027  | 1000000 | 982910 |
| TOTAL CANADA |  | 13645958 |
| CHILE - 0.0%  |  |  |
| Chilean Republic 2.75% 1/31/2027  | 760000 | 747080 |
| Chilean Republic 3.24% 2/6/2028  | 400000 | 392000 |
| TOTAL CHILE |  | 1139080 |
| INDONESIA - 0.1%  |  |  |
| Indonesia Government 3.5% 1/11/2028  | 1000000 | 986900 |
| Indonesia Government 5.25% 1/15/2030  | 1000000 | 1038930 |
| TOTAL INDONESIA |  | 2025830 |
| ISRAEL - 0.1%  |  |  |
| Israel Government 5.375% 2/19/2030  | 1000000 | 1026060 |
| Israel Government 5.375% 3/12/2029  | 700000 | 718204 |
| TOTAL ISRAEL |  | 1744264 |
| ITALY - 0.0%  |  |  |
| Italian Republic 1.25% 2/17/2026  | 910000 | 897640 |
| KOREA (SOUTH) - 0.0%  |  |  |
| Korean Republic 4.5% 7/3/2029  | 1500000 | 1537052 |
| Korean Republic 5.625% 11/3/2025  | 120000 | 120281 |
| TOTAL KOREA (SOUTH) |  | 1657333 |
| MEXICO - 0.1%  |  |  |
| United Mexican States 4.15% 3/28/2027  | 470000 | 468531 |
| United Mexican States 5.4% 2/9/2028  | 1250000 | 1278625 |
| United Mexican States 6% 5/13/2030  | 1000000 | 1045500 |
| TOTAL MEXICO |  | 2792656 |
| PHILIPPINES - 0.0%  |  |  |
| Philippine Republic 5.17% 10/13/2027  | 1000000 | 1019880 |
| POLAND - 0.1%  |  |  |
| Republic of Poland 3.25% 4/6/2026  | 1850000 | 1837679 |
| Republic of Poland 4.625% 3/18/2029  | 500000 | 508760 |
| Republic of Poland 4.875% 2/12/2030  | 800000 | 820800 |
| TOTAL POLAND |  | 3167239 |
| URUGUAY - 0.0%  |  |  |
| Uruguay Republic 4.375% 10/27/2027  | 600000 | 603600 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $28,362,988) |  | <br> **28693480** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 28.3%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 28.3%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 28.3%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.3%  |  |  |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| National Australia Bank Ltd/New York 3.905% 6/9/2027 (d) | 1140000 | 1139694 |
| National Australia Bank Ltd/New York 4.787% 1/10/2029  | 280000 | 286860 |
| National Australia Bank Ltd/New York 4.9% 6/13/2028 (d) | 440000 | 451027 |
| Westpac Banking Corp 3.35% 3/8/2027  | 360000 | 356996 |
| Westpac Banking Corp 3.4% 1/25/2028  | 1110000 | 1098027 |
| Westpac Banking Corp 4.043% 8/26/2027  | 560000 | 561305 |
| Westpac Banking Corp 4.11% 7/24/2034 (b) | 310000 | 303416 |
| Westpac Banking Corp 4.322% 11/23/2031 (b) | 930000 | 926513 |
| Westpac Banking Corp 4.354% 7/1/2030  | 130000 | 131445 |
| Westpac Banking Corp 5.05% 4/16/2029  | 590000 | 611037 |
| Westpac Banking Corp 5.457% 11/18/2027  | 420000 | 433509 |
| Westpac Banking Corp 5.535% 11/17/2028  | 310000 | 325010 |
|  |  | 6624839 |
| Materials - 0.1% |  |  |
| Metals & Mining - 0.1% |  |  |
| BHP Billiton Finance USA Ltd 4.75% 2/28/2028  | 440000 | 447899 |
| BHP Billiton Finance USA Ltd 5% 2/21/2030  | 120000 | 123890 |
| BHP Billiton Finance USA Ltd 5.1% 9/8/2028  | 470000 | 484067 |
| Rio Tinto Finance USA Ltd 7.125% 7/15/2028  | 400000 | 433026 |
| Rio Tinto Finance USA PLC 4.875% 3/14/2030  | 620000 | 635678 |
|  |  | 2124560 |
| TOTAL AUSTRALIA |  | 8749399 |
| BELGIUM - 0.0%  |  |  |
| Consumer Staples - 0.0% |  |  |
| Beverages - 0.0% |  |  |
| Anheuser-Busch InBev Worldwide Inc 3.5% 6/1/2030  | 1000000 | 973185 |
| BRAZIL - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| Vale Overseas Ltd 3.75% 7/8/2030  | 500000 | 474950 |
| Paper & Forest Products - 0.0% |  |  |
| Suzano Austria GmbH 2.5% 9/15/2028  | 700000 | 653844 |
| Suzano Austria GmbH 6% 1/15/2029  | 650000 | 668681 |
|  |  | 1322525 |
| TOTAL BRAZIL |  | 1797475 |
| CANADA - 1.1%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| TELUS Corp 3.7% 9/15/2027  | 320000 | 316935 |
| Wireless Telecommunication Services - 0.0% |  |  |
| Rogers Communications Inc 3.2% 3/15/2027  | 580000 | 570679 |
| Rogers Communications Inc 5% 2/15/2029  | 580000 | 592352 |
|  |  | 1163031 |
| TOTAL COMMUNICATION SERVICES |  | 1479966 |
| Consumer Discretionary - 0.0% |  |  |
| Automobile Components - 0.0% |  |  |
| Magna International Inc 4.15% 10/1/2025  | 360000 | 359860 |
| Energy - 0.2% |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |
| Canadian Natural Resources Ltd 3.85% 6/1/2027  | 590000 | 585561 |
| Canadian Natural Resources Ltd 5% 12/15/2029 (e) | 250000 | 254834 |
| Enbridge Inc 1.6% 10/4/2026  | 500000 | 485973 |
| Enbridge Inc 3.7% 7/15/2027  | 330000 | 327114 |
| Enbridge Inc 5.3% 4/5/2029  | 600000 | 619306 |
| Enbridge Inc 7.375% 3/15/2055 (b) | 290000 | 304656 |
| South Bow USA Infrastructure Holdings LLC 5.026% 10/1/2029  | 550000 | 556867 |
| TransCanada PipeLines Ltd 4.25% 5/15/2028  | 490000 | 490303 |
| TransCanada PipeLines Ltd 4.875% 1/15/2026  | 340000 | 339998 |
|  |  | 3964612 |
| Financials - 0.9% |  |  |
| Banks - 0.9% |  |  |
| Bank of Montreal 0.949% 1/22/2027 (b) | 100000 | 98609 |
| Bank of Montreal 1.25% 9/15/2026  | 750000 | 728271 |
| Bank of Montreal 3.803% 12/15/2032 (b) | 600000 | 588082 |
| Bank of Montreal 4.64% 9/10/2030 (b) | 370000 | 375068 |
| Bank of Montreal 4.7% 9/14/2027  | 1690000 | 1709358 |
| Bank of Montreal 5.717% 9/25/2028  | 140000 | 146264 |
| Bank of Nova Scotia/The 1.3% 9/15/2026  | 1240000 | 1204767 |
| Bank of Nova Scotia/The 4.5% 12/16/2025  | 1300000 | 1300331 |
| Bank of Nova Scotia/The 4.932% 2/14/2029 (b) | 2760000 | 2807178 |
| Bank of Nova Scotia/The 5.25% 6/12/2028  | 260000 | 268315 |
| Canadian Imperial Bank of Commerce 1.25% 6/22/2026  | 590000 | 576173 |
| Canadian Imperial Bank of Commerce 4.631% 9/11/2030 (b) | 540000 | 546297 |
| Canadian Imperial Bank of Commerce 5.26% 4/8/2029  | 2160000 | 2235765 |
| National Bank of Canada 4.5% 10/10/2029  | 550000 | 553268 |
| Royal Bank of Canada 2.05% 1/21/2027  | 600000 | 583898 |
| Royal Bank of Canada 3.625% 5/4/2027  | 520000 | 516877 |
| Royal Bank of Canada 4.522% 10/18/2028 (b) | 450000 | 453218 |
| Royal Bank of Canada 4.65% 10/18/2030 (b) | 900000 | 907680 |
| Royal Bank of Canada 4.696% 8/6/2031 (b) | 1000000 | 1010077 |
| Royal Bank of Canada 4.95% 2/1/2029  | 1070000 | 1101298 |
| Royal Bank of Canada 5.153% 2/4/2031 (b) | 700000 | 721038 |
| Toronto Dominion Bank 1.2% 6/3/2026  | 390000 | 381174 |
| Toronto Dominion Bank 1.95% 1/12/2027  | 1550000 | 1506201 |
| Toronto Dominion Bank 3.625% 9/15/2031 (b) | 630000 | 623874 |
| Toronto Dominion Bank 4.108% 6/8/2027  | 520000 | 520341 |
| Toronto Dominion Bank 4.808% 6/3/2030  | 450000 | 459592 |
| Toronto Dominion Bank 5.146% 9/10/2034 (b) | 160000 | 161526 |
| Toronto Dominion Bank 5.156% 1/10/2028  | 1430000 | 1463356 |
| Toronto Dominion Bank 5.264% 12/11/2026  | 1000000 | 1014153 |
| Toronto Dominion Bank 5.523% 7/17/2028  | 650000 | 674644 |
|  |  | 25236693 |
| Capital Markets - 0.0% |  |  |
| Brookfield Finance Inc 3.9% 1/25/2028  | 660000 | 655318 |
| Brookfield Finance Inc 4.35% 4/15/2030  | 490000 | 489666 |
|  |  | 1144984 |
| Insurance - 0.0% |  |  |
| Fairfax Financial Holdings Ltd 4.85% 4/17/2028  | 300000 | 304125 |
| Manulife Financial Corp 2.484% 5/19/2027  | 520000 | 505984 |
| Manulife Financial Corp 4.061% 2/24/2032 (b) | 230000 | 227651 |
|  |  | 1037760 |
| TOTAL FINANCIALS |  | 27419437 |
| Industrials - 0.0% |  |  |
| Ground Transportation - 0.0% |  |  |
| Canadian National Railway Co 6.9% 7/15/2028  | 190000 | 204607 |
| Canadian Pacific Railway Co 1.75% 12/2/2026  | 1133000 | 1100703 |
|  |  | 1305310 |
| Professional Services - 0.0% |  |  |
| TR Finance LLC 3.35% 5/15/2026  | 260000 | 257634 |
| TOTAL INDUSTRIALS |  | 1562944 |
| Information Technology - 0.0% |  |  |
| IT Services - 0.0% |  |  |
| CGI Inc 4.95% 3/14/2030 (e) | 350000 | 357077 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Nutrien Ltd 4.2% 4/1/2029  | 330000 | 329323 |
| Nutrien Ltd 4.9% 3/27/2028  | 620000 | 630597 |
|  |  | 959920 |
| Utilities - 0.0% |  |  |
| Electric Utilities - 0.0% |  |  |
| Fortis Inc/Canada 3.055% 10/4/2026  | 460000 | 453021 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Emera US Finance LP 3.55% 6/15/2026 (d) | 390000 | 386735 |
| TOTAL UTILITIES |  | 839756 |
| TOTAL CANADA |  | 36943572 |
| CHINA - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Interactive Media & Services - 0.0% |  |  |
| Baidu Inc 1.72% 4/9/2026  | 1000000 | 984100 |
| FRANCE - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| TotalEnergies Capital International SA 3.455% 2/19/2029  | 1390000 | 1369059 |
| GERMANY - 0.7%  |  |  |
| Financials - 0.7% |  |  |
| Capital Markets - 0.2% |  |  |
| Deutsche Bank AG/New York NY 2.129% 11/24/2026 (b) | 1400000 | 1392047 |
| Deutsche Bank AG/New York NY 2.311% 11/16/2027 (b)(d) | 1610000 | 1570463 |
| Deutsche Bank AG/New York NY 2.552% 1/7/2028 (b) | 390000 | 380868 |
| Deutsche Bank AG/New York NY 4.875% 12/1/2032 (b) | 250000 | 249166 |
| Deutsche Bank AG/New York NY 4.999% 9/11/2030 (b) | 290000 | 294692 |
| Deutsche Bank AG/New York NY 5.297% 5/9/2031 (b) | 200000 | 204914 |
| Deutsche Bank AG/New York NY 5.373% 1/10/2029 (b) | 2200000 | 2249702 |
| Deutsche Bank AG/New York NY 6.72% 1/18/2029 (b) | 160000 | 168345 |
| Deutsche Bank AG/New York NY 6.819% 11/20/2029 (b) | 1000000 | 1071566 |
|  |  | 7581763 |
| Financial Services - 0.5% |  |  |
| KfW 3% 5/20/2027  | 5800000 | 5731089 |
| KfW 3.875% 5/15/2028  | 7000000 | 7047798 |
| Landwirtschaftliche Rentenbank 2.5% 11/15/2027  | 2460000 | 2399160 |
|  |  | 15178047 |
| TOTAL GERMANY |  | 22759810 |
| IRELAND - 0.2%  |  |  |
| Financials - 0.2% |  |  |
| Consumer Finance - 0.2% |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 1.75% 1/30/2026  | 150000 | 148282 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026  | 2512000 | 2460554 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3% 10/29/2028  | 1410000 | 1356596 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.65% 7/21/2027  | 150000 | 148499 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.45% 10/1/2025  | 440000 | 439904 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.625% 9/10/2029  | 500000 | 504048 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5.1% 1/19/2029  | 700000 | 716211 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5.75% 6/6/2028  | 150000 | 155579 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.45% 4/15/2027  | 732000 | 755636 |
| TOTAL IRELAND |  | 6685309 |
| JAPAN - 1.2%  |  |  |
| Consumer Discretionary - 0.2% |  |  |
| Automobiles - 0.2% |  |  |
| Toyota Motor Corp 2.76% 7/2/2029  | 1340000 | 1279677 |
| Toyota Motor Corp 4.186% 6/30/2027  | 2180000 | 2187914 |
| Toyota Motor Corp 4.45% 6/30/2030  | 490000 | 495569 |
| Toyota Motor Corp 5.118% 7/13/2028  | 1800000 | 1857167 |
|  |  | 5820327 |
| Financials - 1.0% |  |  |
| Banks - 0.9% |  |  |
| Japan Bank for International Cooperation 1.875% 7/21/2026  | 5300000 | 5201483 |
| Japan Bank for International Cooperation 3.875% 7/3/2028  | 800000 | 802493 |
| Japan Bank for International Cooperation 4.625% 7/22/2027  | 600000 | 608658 |
| Japan Bank for International Cooperation 4.875% 10/18/2028  | 1000000 | 1031150 |
| Mitsubishi UFJ Financial Group Inc 1.538% 7/20/2027 (b) | 900000 | 878053 |
| Mitsubishi UFJ Financial Group Inc 2.757% 9/13/2026  | 1110000 | 1093715 |
| Mitsubishi UFJ Financial Group Inc 3.741% 3/7/2029  | 850000 | 840438 |
| Mitsubishi UFJ Financial Group Inc 3.961% 3/2/2028  | 450000 | 449124 |
| Mitsubishi UFJ Financial Group Inc 5.017% 7/20/2028 (b) | 1050000 | 1066345 |
| Mitsubishi UFJ Financial Group Inc 5.159% 4/24/2031 (b) | 1200000 | 1237568 |
| Mitsubishi UFJ Financial Group Inc 5.197% 1/16/2031 (b) | 300000 | 309564 |
| Mitsubishi UFJ Financial Group Inc 5.242% 4/19/2029 (b) | 300000 | 307841 |
| Mitsubishi UFJ Financial Group Inc 5.354% 9/13/2028 (b) | 300000 | 306870 |
| Mitsubishi UFJ Financial Group Inc 5.422% 2/22/2029 (b) | 1000000 | 1029344 |
| Mizuho Financial Group Inc 1.234% 5/22/2027 (b) | 210000 | 205367 |
| Mizuho Financial Group Inc 1.554% 7/9/2027 (b) | 743000 | 725865 |
| Mizuho Financial Group Inc 3.17% 9/11/2027  | 430000 | 422454 |
| Mizuho Financial Group Inc 4.711% 7/8/2031 (b) | 370000 | 374257 |
| Mizuho Financial Group Inc 5.098% 5/13/2031 (b) | 600000 | 615862 |
| Mizuho Financial Group Inc 5.382% 7/10/2030 (b) | 1000000 | 1035584 |
| Mizuho Financial Group Inc 5.414% 9/13/2028 (b) | 200000 | 204535 |
| Mizuho Financial Group Inc 5.667% 5/27/2029 (b) | 590000 | 612349 |
| Mizuho Financial Group Inc 5.778% 7/6/2029 (b) | 860000 | 895838 |
| Sumitomo Mitsui Financial Group Inc 2.174% 1/14/2027  | 1400000 | 1364119 |
| Sumitomo Mitsui Financial Group Inc 2.632% 7/14/2026  | 1520000 | 1499687 |
| Sumitomo Mitsui Financial Group Inc 2.75% 1/15/2030  | 500000 | 467866 |
| Sumitomo Mitsui Financial Group Inc 3.01% 10/19/2026  | 240000 | 236960 |
| Sumitomo Mitsui Financial Group Inc 3.04% 7/16/2029  | 1880000 | 1795870 |
| Sumitomo Mitsui Financial Group Inc 3.446% 1/11/2027  | 370000 | 366794 |
| Sumitomo Mitsui Financial Group Inc 3.544% 1/17/2028  | 2190000 | 2162596 |
| Sumitomo Mitsui Financial Group Inc 5.24% 4/15/2030  | 700000 | 724767 |
| Sumitomo Mitsui Financial Group Inc 5.52% 1/13/2028  | 650000 | 671534 |
| Sumitomo Mitsui Financial Group Inc 5.8% 7/13/2028  | 300000 | 313635 |
|  |  | 29858585 |
| Capital Markets - 0.1% |  |  |
| Nomura Holdings Inc 1.653% 7/14/2026  | 1160000 | 1134206 |
| Nomura Holdings Inc 2.172% 7/14/2028  | 410000 | 387307 |
| Nomura Holdings Inc 2.71% 1/22/2029  | 200000 | 189202 |
| Nomura Holdings Inc 5.386% 7/6/2027  | 240000 | 244626 |
| Nomura Holdings Inc 5.605% 7/6/2029  | 1030000 | 1073415 |
| Nomura Holdings Inc 6.07% 7/12/2028  | 400000 | 418876 |
|  |  | 3447632 |
| TOTAL FINANCIALS |  | 33306217 |
| Health Care - 0.0% |  |  |
| Pharmaceuticals - 0.0% |  |  |
| Takeda Pharmaceutical Co Ltd 2.05% 3/31/2030  | 1510000 | 1370610 |
| TOTAL JAPAN |  | 40497154 |
| KOREA (SOUTH) - 0.2%  |  |  |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| Export-Import Bank of Korea 4% 9/11/2029  | 500000 | 499170 |
| Export-Import Bank of Korea 5% 1/11/2028  | 2000000 | 2046739 |
| Export-Import Bank of Korea 5.125% 9/18/2028  | 400000 | 413567 |
| Korea Development Bank/The 4.125% 10/16/2027  | 2200000 | 2208884 |
| Korea Development Bank/The 4.875% 2/3/2030  | 800000 | 828521 |
| TOTAL KOREA (SOUTH) |  | 5996881 |
| LUXEMBOURG - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| ArcelorMittal SA 6.55% 11/29/2027  | 760000 | 792881 |
| MEXICO - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |
| America Movil SAB de CV 3.625% 4/22/2029  | 410000 | 399003 |
| MULTI-NATIONAL - 0.8%  |  |  |
| Financials - 0.8% |  |  |
| Banks - 0.6% |  |  |
| African Development Bank 0.875% 7/22/2026  | 2860000 | 2784371 |
| Arab Community Center for Economic & Social Service 1.625% 9/23/2025  | 1000000 | 998262 |
| Arab Community Center for Economic & Social Service 4.125% 1/7/2028  | 1000000 | 1001686 |
| Arab Community Center for Economic & Social Service 5% 1/22/2030  | 1000000 | 1036536 |
| Arab Community Center for Economic & Social Service 5% 1/24/2029  | 175000 | 180410 |
| European Investment Bank 3.75% 11/15/2029  | 7000000 | 7020001 |
| Inter-American Development Bank 1.5% 1/13/2027  | 3500000 | 3393573 |
| Inter-American Development Bank 4% 1/12/2028  | 1900000 | 1914981 |
|  |  | 18329820 |
| Capital Markets - 0.1% |  |  |
| Asian Infrastructure Investment Bank/The 3.75% 9/14/2027  | 2050000 | 2052733 |
| Financial Services - 0.1% |  |  |
| IBRD Discount Notes 1.875% 10/27/2026  | 5140000 | 5026337 |
| TOTAL MULTI-NATIONAL |  | 25408890 |
| NETHERLANDS - 0.2%  |  |  |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| Cooperatieve Rabobank UA/NY 4.883% 1/21/2028  | 1500000 | 1532439 |
| ING Groep NV 1.726% 4/1/2027 (b) | 484000 | 476796 |
| ING Groep NV 4.017% 3/28/2028 (b) | 1240000 | 1235498 |
| ING Groep NV 4.05% 4/9/2029  | 700000 | 694649 |
| ING Groep NV 5.066% 3/25/2031 (b) | 500000 | 511940 |
| ING Groep NV 5.335% 3/19/2030 (b) | 430000 | 443831 |
|  |  | 4895153 |
| Information Technology - 0.0% |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 3.4% 5/1/2030  | 790000 | 756159 |
| NXP BV / NXP Funding LLC / NXP USA Inc 3.875% 6/18/2026  | 170000 | 169266 |
| NXP BV / NXP Funding LLC / NXP USA Inc 4.4% 6/1/2027  | 290000 | 290836 |
| NXP BV / NXP Funding LLC 5.55% 12/1/2028  | 140000 | 145050 |
|  |  | 1361311 |
| TOTAL NETHERLANDS |  | 6256464 |
| SPAIN - 0.3%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Telefonica Emisiones SA 4.103% 3/8/2027  | 580000 | 578216 |
| Financials - 0.3% |  |  |
| Banks - 0.3% |  |  |
| Banco Bilbao Vizcaya Argentaria SA 5.381% 3/13/2029  | 600000 | 620604 |
| Banco Bilbao Vizcaya Argentaria SA 6.138% 9/14/2028 (b) | 200000 | 207056 |
| Banco Santander SA 1.722% 9/14/2027 (b) | 800000 | 778245 |
| Banco Santander SA 3.306% 6/27/2029  | 1400000 | 1352493 |
| Banco Santander SA 4.175% 3/24/2028 (b) | 600000 | 599031 |
| Banco Santander SA 4.379% 4/12/2028  | 600000 | 602544 |
| Banco Santander SA 5.179% 11/19/2025  | 400000 | 400469 |
| Banco Santander SA 5.294% 8/18/2027  | 400000 | 407358 |
| Banco Santander SA 5.538% 3/14/2030 (b) | 600000 | 622811 |
| Banco Santander SA 6.527% 11/7/2027 (b) | 3000000 | 3074279 |
| Banco Santander SA 6.607% 11/7/2028  | 200000 | 214036 |
|  |  | 8878926 |
| TOTAL SPAIN |  | 9457142 |
| SWEDEN - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Svensk Exportkredit AB 3.75% 5/8/2028  | 1000000 | 1001344 |
| SWITZERLAND - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Capital Markets - 0.1% |  |  |
| UBS AG/Stamford CT 1.25% 8/7/2026 (d) | 430000 | 418664 |
| UBS AG/Stamford CT 5% 7/9/2027  | 520000 | 528664 |
| UBS AG/Stamford CT 7.5% 2/15/2028  | 1430000 | 1543140 |
| UBS Group AG 4.55% 4/17/2026  | 920000 | 921373 |
| TOTAL SWITZERLAND |  | 3411841 |
| UNITED KINGDOM - 1.4%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| RELX Capital Inc 3% 5/22/2030  | 670000 | 635843 |
| Consumer Staples - 0.2% |  |  |
| Beverages - 0.0% |  |  |
| Diageo Capital PLC 2% 4/29/2030  | 750000 | 682079 |
| Diageo Capital PLC 5.3% 10/24/2027  | 650000 | 667076 |
|  |  | 1349155 |
| Food Products - 0.0% |  |  |
| Unilever Capital Corp 2% 7/28/2026  | 280000 | 275117 |
| Unilever Capital Corp 2.9% 5/5/2027  | 730000 | 718991 |
| Unilever Capital Corp 4.875% 9/8/2028  | 160000 | 164259 |
|  |  | 1158367 |
| Tobacco - 0.2% |  |  |
| BAT Capital Corp 2.259% 3/25/2028  | 450000 | 428719 |
| BAT Capital Corp 3.215% 9/6/2026 (d) | 200000 | 197823 |
| BAT Capital Corp 3.557% 8/15/2027  | 1040000 | 1026477 |
| BAT Capital Corp 4.7% 4/2/2027 (d) | 250000 | 251329 |
| BAT Capital Corp 4.906% 4/2/2030  | 430000 | 437239 |
| BAT International Finance PLC 1.668% 3/25/2026  | 680000 | 669526 |
| BAT International Finance PLC 5.931% 2/2/2029  | 590000 | 620026 |
|  |  | 3631139 |
| TOTAL CONSUMER STAPLES |  | 6138661 |
| Financials - 1.1% |  |  |
| Banks - 1.1% |  |  |
| Barclays PLC 2.279% 11/24/2027 (b) | 1940000 | 1892476 |
| Barclays PLC 4.375% 1/12/2026  | 520000 | 519849 |
| Barclays PLC 4.476% 11/11/2029 (b) | 1000000 | 1001791 |
| Barclays PLC 4.836% 5/9/2028  | 1330000 | 1336568 |
| Barclays PLC 4.942% 9/10/2030 (b) | 600000 | 609620 |
| Barclays PLC 5.2% 5/12/2026  | 800000 | 803067 |
| Barclays PLC 5.367% 2/25/2031 (b) | 500000 | 515706 |
| Barclays PLC 5.501% 8/9/2028 (b) | 200000 | 204377 |
| Barclays PLC 5.674% 3/12/2028 (b) | 1410000 | 1436824 |
| Barclays PLC 5.69% 3/12/2030 (b) | 550000 | 572291 |
| Barclays PLC 5.829% 5/9/2027 (b) | 600000 | 605439 |
| Barclays PLC 6.49% 9/13/2029 (b) | 520000 | 551197 |
| Barclays PLC 7.385% 11/2/2028 (b) | 1000000 | 1062949 |
| HSBC Holdings PLC 2.013% 9/22/2028 (b) | 3240000 | 3093471 |
| HSBC Holdings PLC 3.973% 5/22/2030 (b) | 1770000 | 1741946 |
| HSBC Holdings PLC 4.292% 9/12/2026 (b) | 300000 | 299981 |
| HSBC Holdings PLC 5.13% 3/3/2031 (b) | 400000 | 409756 |
| HSBC Holdings PLC 5.24% 5/13/2031 (b) | 1300000 | 1336357 |
| HSBC Holdings PLC 5.286% 11/19/2030 (b) | 1220000 | 1258071 |
| HSBC Holdings PLC 5.597% 5/17/2028 (b) | 1710000 | 1745872 |
| HSBC Holdings PLC 5.887% 8/14/2027 (b) | 3000000 | 3040375 |
| HSBC Holdings PLC 6.161% 3/9/2029 (b) | 400000 | 417314 |
| Lloyds Banking Group PLC 1.627% 5/11/2027 (b) | 210000 | 206023 |
| Lloyds Banking Group PLC 3.574% 11/7/2028 (b) | 1310000 | 1290446 |
| Lloyds Banking Group PLC 3.75% 3/18/2028 (b) | 610000 | 604847 |
| Lloyds Banking Group PLC 4.65% 3/24/2026  | 330000 | 329917 |
| Lloyds Banking Group PLC 4.818% 6/13/2029 (b) | 600000 | 608485 |
| Lloyds Banking Group PLC 5.087% 11/26/2028 (b) | 250000 | 254180 |
| Lloyds Banking Group PLC 5.721% 6/5/2030 (b) | 900000 | 941477 |
| Lloyds Banking Group PLC 5.871% 3/6/2029 (b) | 240000 | 249208 |
| NatWest Group PLC 3.073% 5/22/2028 (b) | 500000 | 490466 |
| NatWest Group PLC 4.445% 5/8/2030 (b) | 990000 | 993236 |
| NatWest Group PLC 5.516% 9/30/2028 (b) | 200000 | 204919 |
| NatWest Group PLC 5.808% 9/13/2029 (b) | 1900000 | 1984782 |
| NatWest Group PLC 5.847% 3/2/2027 (b) | 200000 | 201420 |
| NatWest Group PLC 6.475% 6/1/2034 (b) | 300000 | 315093 |
| Santander UK Group Holdings PLC 1.673% 6/14/2027 (b) | 420000 | 411056 |
| Santander UK Group Holdings PLC 3.823% 11/3/2028 (b) | 400000 | 394996 |
| Santander UK Group Holdings PLC 6.534% 1/10/2029 (b) | 800000 | 838019 |
|  |  | 34773867 |
| Health Care - 0.1% |  |  |
| Pharmaceuticals - 0.1% |  |  |
| Astrazeneca Finance LLC 1.2% 5/28/2026  | 2000000 | 1957166 |
| Astrazeneca Finance LLC 4.85% 2/26/2029 (d) | 760000 | 780458 |
| Astrazeneca Finance LLC 4.875% 3/3/2028  | 590000 | 603290 |
| Astrazeneca PLC 3.125% 6/12/2027  | 410000 | 404975 |
| GlaxoSmithKline Capital Inc 4.5% 4/15/2030  | 900000 | 911013 |
|  |  | 4656902 |
| Utilities - 0.0% |  |  |
| Multi-Utilities - 0.0% |  |  |
| National Grid PLC 5.602% 6/12/2028  | 360000 | 372586 |
| TOTAL UNITED KINGDOM |  | 46577859 |
| UNITED STATES - 21.8%  |  |  |
| Communication Services - 1.1% |  |  |
| Diversified Telecommunication Services - 0.4% |  |  |
| AT&T Inc 1.65% 2/1/2028  | 1550000 | 1462597 |
| AT&T Inc 1.7% 3/25/2026 (d) | 1630000 | 1606173 |
| AT&T Inc 2.3% 6/1/2027 (d) | 2980000 | 2886320 |
| AT&T Inc 4.35% 3/1/2029 (d) | 1970000 | 1978435 |
| Sprint Capital Corp 6.875% 11/15/2028  | 70000 | 75304 |
| Verizon Communications Inc 2.1% 3/22/2028  | 4240000 | 4037068 |
| Verizon Communications Inc 3.875% 2/8/2029  | 580000 | 575945 |
| Verizon Communications Inc 4.329% 9/21/2028  | 1210000 | 1218365 |
|  |  | 13840207 |
| Entertainment - 0.0% |  |  |
| Netflix Inc 4.875% 4/15/2028 (d) | 1070000 | 1094355 |
| Netflix Inc 5.875% 11/15/2028  | 260000 | 274601 |
| Walt Disney Co/The 2% 9/1/2029  | 620000 | 574368 |
| Walt Disney Co/The 3.375% 11/15/2026  | 310000 | 307790 |
|  |  | 2251114 |
| Interactive Media & Services - 0.1% |  |  |
| Alphabet Inc 1.998% 8/15/2026  | 650000 | 637892 |
| Alphabet Inc 4% 5/15/2030 (d) | 400000 | 402586 |
| Meta Platforms Inc 3.5% 8/15/2027  | 1040000 | 1033853 |
| Meta Platforms Inc 4.3% 8/15/2029  | 750000 | 759768 |
| Meta Platforms Inc 4.6% 5/15/2028  | 400000 | 407814 |
|  |  | 3241913 |
| Media - 0.3% |  |  |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.75% 2/15/2028  | 1130000 | 1113373 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.2% 3/15/2028  | 520000 | 516927 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.05% 3/30/2029  | 730000 | 741417 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.1% 6/1/2029  | 240000 | 252271 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.15% 11/10/2026  | 690000 | 700345 |
| Comcast Corp 2.35% 1/15/2027  | 270000 | 263917 |
| Comcast Corp 4.15% 10/15/2028  | 740000 | 742360 |
| Comcast Corp 4.55% 1/15/2029 (d) | 1000000 | 1014284 |
| Comcast Corp 5.1% 6/1/2029 (d) | 1280000 | 1323142 |
| Fox Corp 4.709% 1/25/2029  | 680000 | 687758 |
| Paramount Global 2.9% 1/15/2027  | 190000 | 185831 |
| Paramount Global 3.375% 2/15/2028  | 200000 | 195118 |
| TCI Communications Inc 7.875% 2/15/2026  | 620000 | 628829 |
| TWDC Enterprises 18 Corp 1.85% 7/30/2026  | 120000 | 117660 |
| TWDC Enterprises 18 Corp 2.95% 6/15/2027 (d) | 820000 | 807594 |
|  |  | 9290826 |
| Wireless Telecommunication Services - 0.3% |  |  |
| Sprint LLC 7.625% 3/1/2026  | 1140000 | 1145669 |
| T-Mobile USA Inc 1.5% 2/15/2026 (d) | 290000 | 286147 |
| T-Mobile USA Inc 2.625% 2/15/2029 (d) | 380000 | 359762 |
| T-Mobile USA Inc 3.375% 4/15/2029 (d) | 1880000 | 1820400 |
| T-Mobile USA Inc 3.75% 4/15/2027  | 470000 | 467039 |
| T-Mobile USA Inc 3.875% 4/15/2030  | 2090000 | 2047138 |
| T-Mobile USA Inc 4.95% 3/15/2028 (d) | 2000000 | 2037639 |
| T-Mobile USA Inc 5.375% 4/15/2027 (d) | 1020000 | 1020000 |
|  |  | 9183794 |
| TOTAL COMMUNICATION SERVICES |  | 37807854 |
| Consumer Discretionary - 1.2% |  |  |
| Automobile Components - 0.0% |  |  |
| Lear Corp 3.8% 9/15/2027  | 280000 | 277317 |
| Automobiles - 0.5% |  |  |
| American Honda Finance Corp 2.25% 1/12/2029  | 990000 | 929319 |
| American Honda Finance Corp 3.5% 2/15/2028 (d) | 560000 | 552654 |
| American Honda Finance Corp 4.4% 9/5/2029  | 290000 | 291754 |
| American Honda Finance Corp 4.55% 7/9/2027  | 1300000 | 1309409 |
| American Honda Finance Corp 4.8% 3/5/2030  | 800000 | 816302 |
| American Honda Finance Corp 5.125% 7/7/2028  | 280000 | 287245 |
| General Motors Financial Co Inc 1.25% 1/8/2026  | 1070000 | 1057670 |
| General Motors Financial Co Inc 2.7% 8/20/2027  | 580000 | 562712 |
| General Motors Financial Co Inc 3.85% 1/5/2028  | 280000 | 276495 |
| General Motors Financial Co Inc 4% 10/6/2026  | 640000 | 636763 |
| General Motors Financial Co Inc 4.9% 10/6/2029  | 650000 | 654838 |
| General Motors Financial Co Inc 5% 4/9/2027 (d) | 960000 | 967797 |
| General Motors Financial Co Inc 5.25% 3/1/2026 (d) | 590000 | 590997 |
| General Motors Financial Co Inc 5.35% 1/7/2030  | 920000 | 940903 |
| General Motors Financial Co Inc 5.4% 4/6/2026 (d) | 1000000 | 1004700 |
| General Motors Financial Co Inc 5.4% 5/8/2027 (d) | 630000 | 640542 |
| General Motors Financial Co Inc 5.45% 7/15/2030  | 680000 | 698159 |
| General Motors Financial Co Inc 5.55% 7/15/2029 (d) | 1120000 | 1154700 |
| General Motors Financial Co Inc 5.8% 1/7/2029 (d) | 990000 | 1027943 |
| General Motors Financial Co Inc 5.8% 6/23/2028  | 400000 | 414039 |
|  |  | 14814941 |
| Broadline Retail - 0.1% |  |  |
| Amazon.com Inc 1.2% 6/3/2027  | 1440000 | 1377596 |
| Amazon.com Inc 3.15% 8/22/2027  | 1120000 | 1105599 |
| Amazon.com Inc 3.45% 4/13/2029 (d) | 680000 | 670572 |
| Amazon.com Inc 4.55% 12/1/2027  | 420000 | 425943 |
| eBay Inc 1.4% 5/10/2026  | 666000 | 653004 |
|  |  | 4232714 |
| Hotels, Restaurants & Leisure - 0.3% |  |  |
| Darden Restaurants Inc 4.55% 10/15/2029  | 340000 | 341210 |
| Expedia Group Inc 3.25% 2/15/2030  | 520000 | 495565 |
| Expedia Group Inc 3.8% 2/15/2028  | 490000 | 485276 |
| Expedia Group Inc 5% 2/15/2026  | 330000 | 330225 |
| Las Vegas Sands Corp 5.625% 6/15/2028  | 1230000 | 1259276 |
| Marriott International Inc/MD 3.125% 6/15/2026  | 190000 | 188191 |
| Marriott International Inc/MD 4.2% 7/15/2027  | 610000 | 610946 |
| Marriott International Inc/MD 4.875% 5/15/2029 (d) | 1120000 | 1140686 |
| Marriott International Inc/MD 5% 10/15/2027  | 450000 | 457152 |
| McDonald's Corp 3.5% 7/1/2027  | 240000 | 237864 |
| McDonald's Corp 3.8% 4/1/2028 (d) | 340000 | 338291 |
| McDonald's Corp 4.4% 2/12/2031  | 750000 | 752486 |
| McDonald's Corp 5% 5/17/2029  | 670000 | 690625 |
| Starbucks Corp 2.45% 6/15/2026  | 350000 | 345361 |
| Starbucks Corp 4% 11/15/2028  | 980000 | 979533 |
| Starbucks Corp 4.8% 5/15/2030  | 500000 | 510871 |
|  |  | 9163558 |
| Household Durables - 0.0% |  |  |
| DR Horton Inc 1.3% 10/15/2026  | 750000 | 727025 |
| Lennar Corp 4.75% 11/29/2027  | 350000 | 352638 |
| Toll Brothers Finance Corp 4.35% 2/15/2028  | 370000 | 370870 |
|  |  | 1450533 |
| Leisure Products - 0.0% |  |  |
| Hasbro Inc 3.5% 9/15/2027 (d) | 860000 | 845970 |
| Hasbro Inc 3.55% 11/19/2026  | 200000 | 197967 |
|  |  | 1043937 |
| Specialty Retail - 0.2% |  |  |
| AutoNation Inc 1.95% 8/1/2028  | 190000 | 177876 |
| AutoZone Inc 3.125% 4/21/2026  | 270000 | 267871 |
| AutoZone Inc 4.5% 2/1/2028  | 160000 | 161667 |
| AutoZone Inc 5.1% 7/15/2029  | 360000 | 370746 |
| AutoZone Inc 5.165% 6/15/2030  | 550000 | 567661 |
| Home Depot Inc/The 2.125% 9/15/2026  | 480000 | 470952 |
| Home Depot Inc/The 2.8% 9/14/2027  | 1220000 | 1194119 |
| Home Depot Inc/The 3.9% 12/6/2028 (d) | 330000 | 330546 |
| Home Depot Inc/The 4.75% 6/25/2029  | 900000 | 921291 |
| Home Depot Inc/The 4.9% 4/15/2029 (d) | 660000 | 680044 |
| Lowe's Cos Inc 3.65% 4/5/2029 (d) | 1420000 | 1393872 |
| Lowe's Cos Inc 4.8% 4/1/2026 (d) | 700000 | 701511 |
| O'Reilly Automotive Inc 4.35% 6/1/2028  | 1130000 | 1134675 |
|  |  | 8372831 |
| Textiles, Apparel & Luxury Goods - 0.1% |  |  |
| NIKE Inc 2.75% 3/27/2027  | 550000 | 539927 |
| NIKE Inc 2.85% 3/27/2030  | 640000 | 607550 |
| Tapestry Inc 5.1% 3/11/2030  | 380000 | 388378 |
| VF Corp 2.8% 4/23/2027  | 420000 | 405473 |
|  |  | 1941328 |
| TOTAL CONSUMER DISCRETIONARY |  | 41297159 |
| Consumer Staples - 1.3% |  |  |
| Beverages - 0.4% |  |  |
| Coca-Cola Co/The 1.45% 6/1/2027  | 610000 | 586070 |
| Coca-Cola Co/The 1.65% 6/1/2030  | 1250000 | 1121917 |
| Coca-Cola Co/The 2.9% 5/25/2027 (d) | 760000 | 748723 |
| Constellation Brands Inc 3.7% 12/6/2026  | 340000 | 337630 |
| Constellation Brands Inc 4.35% 5/9/2027  | 250000 | 250624 |
| Constellation Brands Inc 4.65% 11/15/2028 (d) | 700000 | 708348 |
| Constellation Brands Inc 4.8% 1/15/2029  | 240000 | 243510 |
| Constellation Brands Inc 4.8% 5/1/2030 (d) | 390000 | 395971 |
| Keurig Dr Pepper Inc 2.55% 9/15/2026  | 110000 | 108164 |
| Keurig Dr Pepper Inc 3.4% 11/15/2025  | 150000 | 149603 |
| Keurig Dr Pepper Inc 3.43% 6/15/2027  | 340000 | 334532 |
| Keurig Dr Pepper Inc 4.597% 5/25/2028  | 1300000 | 1305886 |
| Keurig Dr Pepper Inc 4.6% 5/15/2030  | 480000 | 480056 |
| Molson Coors Beverage Co 3% 7/15/2026  | 840000 | 830287 |
| PepsiCo Inc 2.375% 10/6/2026  | 500000 | 491843 |
| PepsiCo Inc 2.75% 3/19/2030  | 1250000 | 1180560 |
| PepsiCo Inc 3% 10/15/2027  | 2470000 | 2427740 |
| PepsiCo Inc 3.6% 2/18/2028  | 230000 | 228866 |
| PepsiCo Inc 4.3% 7/23/2030  | 200000 | 201247 |
| PepsiCo Inc 4.6% 2/7/2030 (d) | 500000 | 511767 |
|  |  | 12643344 |
| Consumer Staples Distribution & Retail - 0.3% |  |  |
| Dollar General Corp 3.5% 4/3/2030  | 310000 | 298005 |
| Dollar General Corp 4.625% 11/1/2027 (d) | 1000000 | 1007056 |
| Dollar Tree Inc 4.2% 5/15/2028  | 940000 | 937663 |
| Kroger Co/The 2.2% 5/1/2030  | 350000 | 320205 |
| Kroger Co/The 2.65% 10/15/2026  | 120000 | 118007 |
| Kroger Co/The 3.5% 2/1/2026  | 200000 | 199191 |
| Sysco Corp 3.25% 7/15/2027  | 340000 | 335355 |
| Sysco Corp 3.3% 7/15/2026  | 590000 | 584847 |
| Sysco Corp 5.95% 4/1/2030  | 630000 | 670078 |
| Target Corp 3.375% 4/15/2029  | 250000 | 244799 |
| Target Corp 4.35% 6/15/2028 (d) | 600000 | 606267 |
| Walmart Inc 1.5% 9/22/2028 (d) | 1350000 | 1261891 |
| Walmart Inc 3.05% 7/8/2026  | 1150000 | 1140332 |
| Walmart Inc 3.9% 4/15/2028  | 300000 | 300997 |
| Walmart Inc 3.95% 9/9/2027 (d) | 800000 | 802076 |
|  |  | 8826769 |
| Food Products - 0.3% |  |  |
| Bunge Ltd Finance Corp 3.25% 8/15/2026  | 600000 | 594615 |
| Bunge Ltd Finance Corp 4.2% 9/17/2029  | 250000 | 248810 |
| Conagra Brands Inc 1.375% 11/1/2027  | 270000 | 253190 |
| Conagra Brands Inc 4.6% 11/1/2025 (d) | 230000 | 229887 |
| Conagra Brands Inc 4.85% 11/1/2028  | 1000000 | 1010782 |
| General Mills Inc 4.2% 4/17/2028  | 940000 | 940745 |
| General Mills Inc 4.875% 1/30/2030  | 620000 | 633926 |
| Hershey Co/The 2.3% 8/15/2026 (d) | 590000 | 580356 |
| JM Smucker Co 3.375% 12/15/2027  | 360000 | 354754 |
| Kellanova 3.4% 11/15/2027 (d) | 450000 | 443854 |
| Kraft Heinz Foods Co 3% 6/1/2026  | 430000 | 425243 |
| Kraft Heinz Foods Co 3.875% 5/15/2027  | 800000 | 794713 |
| McCormick & Co Inc/MD 3.4% 8/15/2027  | 390000 | 385025 |
| Mondelez International Inc 2.625% 3/17/2027  | 500000 | 488759 |
| Mondelez International Inc 4.5% 5/6/2030 (d) | 600000 | 604270 |
| The Campbell's Company 2.375% 4/24/2030  | 390000 | 356168 |
| The Campbell's Company 4.15% 3/15/2028  | 550000 | 549997 |
| Tyson Foods Inc 3.55% 6/2/2027 (d) | 550000 | 544199 |
| Tyson Foods Inc 4% 3/1/2026  | 550000 | 548705 |
| Tyson Foods Inc 5.4% 3/15/2029 (d) | 320000 | 331543 |
|  |  | 10319541 |
| Household Products - 0.1% |  |  |
| Kimberly-Clark Corp 1.05% 9/15/2027  | 450000 | 425564 |
| Kimberly-Clark Corp 3.95% 11/1/2028  | 280000 | 280368 |
| Procter & Gamble Co/The 2.85% 8/11/2027  | 1080000 | 1061587 |
| Procter & Gamble Co/The 3.95% 1/26/2028  | 1020000 | 1026046 |
|  |  | 2793565 |
| Personal Care Products - 0.0% |  |  |
| Estee Lauder Cos Inc/The 2.6% 4/15/2030  | 610000 | 566819 |
| Estee Lauder Cos Inc/The 4.375% 5/15/2028  | 250000 | 251719 |
| Kenvue Inc 5.05% 3/22/2028  | 590000 | 604921 |
|  |  | 1423459 |
| Tobacco - 0.2% |  |  |
| Altria Group Inc 2.625% 9/16/2026  | 390000 | 383554 |
| Altria Group Inc 4.4% 2/14/2026  | 100000 | 99907 |
| Altria Group Inc 4.5% 8/6/2030 (d) | 350000 | 350086 |
| Altria Group Inc 4.8% 2/14/2029  | 780000 | 792394 |
| Philip Morris International Inc 3.125% 8/17/2027  | 220000 | 216155 |
| Philip Morris International Inc 3.375% 8/15/2029  | 440000 | 427190 |
| Philip Morris International Inc 4.625% 11/1/2029  | 1720000 | 1747107 |
| Philip Morris International Inc 4.875% 2/15/2028  | 500000 | 509244 |
| Philip Morris International Inc 5.125% 11/17/2027 (d) | 1970000 | 2011780 |
|  |  | 6537417 |
| TOTAL CONSUMER STAPLES |  | 42544095 |
| Energy - 1.2% |  |  |
| Energy Equipment & Services - 0.1% |  |  |
| Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc 2.061% 12/15/2026 (d) | 660000 | 642354 |
| Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc 4.486% 5/1/2030  | 450000 | 453593 |
| Halliburton Co 2.92% 3/1/2030  | 430000 | 404365 |
| NOV Inc 3.6% 12/1/2029  | 220000 | 212674 |
|  |  | 1712986 |
| Oil, Gas & Consumable Fuels - 1.1% |  |  |
| Boardwalk Pipelines LP 4.45% 7/15/2027  | 540000 | 541073 |
| BP Capital Markets PLC 3.723% 11/28/2028  | 1380000 | 1365565 |
| Cheniere Corpus Christi Holdings LLC 5.125% 6/30/2027  | 340000 | 343639 |
| Cheniere Energy Inc 4.625% 10/15/2028  | 970000 | 969239 |
| Chevron Corp 1.995% 5/11/2027  | 830000 | 805486 |
| Chevron Corp 2.954% 5/16/2026  | 810000 | 803421 |
| Chevron USA Inc 4.05% 8/13/2028  | 370000 | 372181 |
| Chevron USA Inc 4.3% 10/15/2030  | 410000 | 412274 |
| Chevron USA Inc 4.687% 4/15/2030  | 910000 | 930121 |
| ConocoPhillips Co 4.7% 1/15/2030  | 430000 | 438166 |
| DCP Midstream Operating LP 5.625% 7/15/2027 (d) | 330000 | 336908 |
| Diamondback Energy Inc 3.5% 12/1/2029  | 850000 | 819276 |
| Diamondback Energy Inc 5.2% 4/18/2027 (d) | 500000 | 507508 |
| Energy Transfer LP 4.95% 6/15/2028  | 760000 | 771830 |
| Energy Transfer LP 5.2% 4/1/2030  | 940000 | 966831 |
| Energy Transfer LP 5.25% 7/1/2029  | 480000 | 495055 |
| Energy Transfer LP 5.5% 6/1/2027  | 100000 | 101698 |
| Energy Transfer LP 5.95% 12/1/2025  | 370000 | 370325 |
| Energy Transfer LP 6.1% 12/1/2028 (d) | 1460000 | 1535631 |
| Enterprise Products Operating LLC 4.15% 10/16/2028  | 240000 | 241074 |
| Enterprise Products Operating LLC 5.25% 8/16/2077 (b) | 250000 | 247373 |
| Enterprise Products Operating LLC 5.375% 2/15/2078 (b)(d) | 640000 | 633205 |
| EQT Corp 3.9% 10/1/2027  | 250000 | 247629 |
| EQT Corp 5.7% 4/1/2028  | 380000 | 392741 |
| EQT Corp 7% 2/1/2030 (d)(f) | 720000 | 783068 |
| Expand Energy Corp 5.375% 3/15/2030  | 630000 | 636355 |
| Exxon Mobil Corp 2.275% 8/16/2026 (d) | 650000 | 639474 |
| Hess Corp 4.3% 4/1/2027  | 350000 | 350812 |
| Kinder Morgan Inc 1.75% 11/15/2026  | 610000 | 592455 |
| Kinder Morgan Inc 4.3% 3/1/2028 (d) | 410000 | 411560 |
| Kinder Morgan Inc 5.1% 8/1/2029  | 280000 | 287729 |
| Marathon Petroleum Corp 5.15% 3/1/2030  | 400000 | 411362 |
| MPLX LP 1.75% 3/1/2026  | 840000 | 828695 |
| MPLX LP 4% 3/15/2028  | 1070000 | 1064357 |
| MPLX LP 4.25% 12/1/2027 (d) | 580000 | 579945 |
| MPLX LP 4.8% 2/15/2031  | 600000 | 600451 |
| Occidental Petroleum Corp 5.2% 8/1/2029 (d) | 500000 | 506444 |
| Occidental Petroleum Corp 6.375% 9/1/2028  | 110000 | 114781 |
| Occidental Petroleum Corp 8.5% 7/15/2027  | 770000 | 813650 |
| ONEOK Inc 4.25% 9/24/2027  | 692000 | 692625 |
| ONEOK Inc 4.4% 10/15/2029 (d) | 640000 | 639093 |
| ONEOK Inc 4.55% 7/15/2028  | 590000 | 594249 |
| ONEOK Inc 5.375% 6/1/2029  | 170000 | 175033 |
| ONEOK Inc 5.85% 1/15/2026  | 520000 | 521886 |
| Ovintiv Inc 5.65% 5/15/2028  | 580000 | 596958 |
| Phillips 66 3.9% 3/15/2028  | 990000 | 983856 |
| Phillips 66 Co 3.55% 10/1/2026  | 390000 | 386936 |
| Plains All American Pipeline LP / PAA Finance Corp 4.5% 12/15/2026  | 230000 | 230148 |
| Plains All American Pipeline LP / PAA Finance Corp 4.65% 10/15/2025  | 140000 | 139997 |
| Sabine Pass Liquefaction LLC 4.2% 3/15/2028  | 400000 | 399905 |
| Sabine Pass Liquefaction LLC 5% 3/15/2027  | 790000 | 794470 |
| Sabine Pass Liquefaction LLC 5.875% 6/30/2026  | 150000 | 150585 |
| Shell Finance US Inc 2.375% 11/7/2029  | 650000 | 608655 |
| Shell International Finance BV 3.875% 11/13/2028  | 710000 | 709098 |
| Targa Resources Corp 4.9% 9/15/2030  | 280000 | 284284 |
| Targa Resources Corp 6.15% 3/1/2029 (d) | 650000 | 685772 |
| Tennessee Gas Pipeline Co LLC 7% 3/15/2027  | 540000 | 560837 |
| Valero Energy Corp 4% 4/1/2029  | 480000 | 474609 |
| Valero Energy Partners LP 4.5% 3/15/2028  | 230000 | 231699 |
| Western Gas Partners LP 4.5% 3/1/2028 (d) | 410000 | 409578 |
| Western Gas Partners LP 4.75% 8/15/2028  | 240000 | 241391 |
| Western Gas Partners LP 6.35% 1/15/2029  | 560000 | 588997 |
| Williams Cos Inc/The 3.75% 6/15/2027  | 1990000 | 1974213 |
| Williams Cos Inc/The 4.625% 6/30/2030  | 350000 | 351842 |
| Williams Cos Inc/The 4.9% 3/15/2029  | 200000 | 203760 |
|  |  | 36899863 |
| TOTAL ENERGY |  | 38612849 |
| Financials - 8.0% |  |  |
| Banks - 3.8% |  |  |
| Bank of America Corp 1.658% 3/11/2027 (b) | 820000 | 808356 |
| Bank of America Corp 1.734% 7/22/2027 (b) | 3260000 | 3185638 |
| Bank of America Corp 3.194% 7/23/2030 (b) | 2980000 | 2862013 |
| Bank of America Corp 3.419% 12/20/2028 (b) | 1540000 | 1513340 |
| Bank of America Corp 3.593% 7/21/2028 (b) | 1120000 | 1107878 |
| Bank of America Corp 3.974% 2/7/2030 (b) | 500000 | 495841 |
| Bank of America Corp 4.25% 10/22/2026 (d) | 2030000 | 2031083 |
| Bank of America Corp 4.376% 4/27/2028 (b) | 1900000 | 1904160 |
| Bank of America Corp 4.623% 5/9/2029 (b) | 1750000 | 1769740 |
| Bank of America Corp 4.948% 7/22/2028 (b) | 1200000 | 1215834 |
| Bank of America Corp 5.08% 1/20/2027 (b) | 1100000 | 1102597 |
| Bank of America Corp 5.162% 1/24/2031 (b) | 1750000 | 1806145 |
| Bank of America Corp 5.202% 4/25/2029 (b) | 750000 | 769025 |
| Bank of America Corp 5.511% 1/24/2036 (b) | 350000 | 360568 |
| Bank of America Corp 5.819% 9/15/2029 (b)(d) | 2000000 | 2090611 |
| Bank of America Corp 6.204% 11/10/2028 (b) | 800000 | 833738 |
| Bank of America NA 5.526% 8/18/2026  | 1710000 | 1731404 |
| Citibank NA 4.914% 5/29/2030  | 3800000 | 3899550 |
| Citibank NA 4.929% 8/6/2026  | 4250000 | 4278495 |
| Citibank NA 5.803% 9/29/2028  | 760000 | 796579 |
| Citigroup Inc 1.122% 1/28/2027 (b)(d) | 2100000 | 2071786 |
| Citigroup Inc 1.462% 6/9/2027 (b) | 2200000 | 2151387 |
| Citigroup Inc 2.976% 11/5/2030 (b)(d) | 4360000 | 4120208 |
| Citigroup Inc 3.52% 10/27/2028 (b) | 1650000 | 1625062 |
| Citigroup Inc 3.668% 7/24/2028 (b) | 590000 | 583446 |
| Citigroup Inc 3.887% 1/10/2028 (b) | 1130000 | 1123166 |
| Citigroup Inc 4.075% 4/23/2029 (b) | 650000 | 647688 |
| Citigroup Inc 4.125% 7/25/2028  | 480000 | 479415 |
| Citigroup Inc 4.45% 9/29/2027  | 350000 | 350955 |
| Citigroup Inc 4.542% 9/19/2030 (b) | 290000 | 291314 |
| Citigroup Inc 4.6% 3/9/2026  | 750000 | 750650 |
| Citigroup Inc 4.643% 5/7/2028 (b) | 600000 | 603337 |
| Citizens Bank NA/Providence RI 4.575% 8/9/2028 (b) | 540000 | 542725 |
| Citizens Financial Group Inc 5.253% 3/5/2031 (b) | 640000 | 654325 |
| Citizens Financial Group Inc 5.841% 1/23/2030 (b) | 370000 | 384816 |
| Comerica Inc 5.982% 1/30/2030 (b) | 530000 | 549854 |
| Fifth Third Bancorp 1.707% 11/1/2027 (b) | 250000 | 242517 |
| Fifth Third Bancorp 3.95% 3/14/2028  | 930000 | 925632 |
| Fifth Third Bancorp 4.895% 9/6/2030 (b)(d) | 500000 | 508624 |
| Fifth Third Bancorp 6.361% 10/27/2028 (b)(d) | 500000 | 522199 |
| Huntington Bancshares Inc/OH 4.443% 8/4/2028 (b) | 1590000 | 1594533 |
| Huntington Bancshares Inc/OH 5.272% 1/15/2031 (b) | 620000 | 639189 |
| Huntington National Bank/The 4.552% 5/17/2028 (b) | 590000 | 593046 |
| JPMorgan Chase & Co 1.04% 2/4/2027 (b) | 1500000 | 1478927 |
| JPMorgan Chase & Co 1.045% 11/19/2026 (b) | 470000 | 466556 |
| JPMorgan Chase & Co 1.47% 9/22/2027 (b) | 690000 | 669989 |
| JPMorgan Chase & Co 1.578% 4/22/2027 (b) | 3211000 | 3155907 |
| JPMorgan Chase & Co 2.739% 10/15/2030 (b) | 3700000 | 3484914 |
| JPMorgan Chase & Co 2.956% 5/13/2031 (b) | 1080000 | 1008233 |
| JPMorgan Chase & Co 3.2% 6/15/2026  | 150000 | 148883 |
| JPMorgan Chase & Co 3.54% 5/1/2028 (b) | 510000 | 504478 |
| JPMorgan Chase & Co 3.625% 12/1/2027  | 450000 | 445858 |
| JPMorgan Chase & Co 3.702% 5/6/2030 (b) | 260000 | 254897 |
| JPMorgan Chase & Co 4.005% 4/23/2029 (b) | 1960000 | 1952399 |
| JPMorgan Chase & Co 4.125% 12/15/2026 (d) | 1480000 | 1480421 |
| JPMorgan Chase & Co 4.323% 4/26/2028 (b) | 3000000 | 3003577 |
| JPMorgan Chase & Co 4.851% 7/25/2028 (b) | 3700000 | 3745794 |
| JPMorgan Chase & Co 4.995% 7/22/2030 (b) | 250000 | 256404 |
| JPMorgan Chase & Co 5.012% 1/23/2030 (b) | 4970000 | 5090718 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (b) | 1880000 | 1939580 |
| JPMorgan Chase & Co 5.14% 1/24/2031 (b) | 700000 | 721369 |
| KeyCorp 2.25% 4/6/2027  | 50000 | 48438 |
| KeyCorp 5.121% 4/4/2031 (b) | 350000 | 358029 |
| M&T Bank Corp 5.179% 7/8/2031 (b) | 250000 | 255791 |
| M&T Bank Corp 7.413% 10/30/2029 (b)(d) | 180000 | 195980 |
| Manufacturers & Traders Trust Co 4.7% 1/27/2028 (d) | 1220000 | 1235230 |
| Morgan Stanley Private Bank NA 4.734% 7/18/2031 (b) | 1500000 | 1521072 |
| PNC Financial Services Group Inc/The 1.15% 8/13/2026  | 900000 | 874663 |
| PNC Financial Services Group Inc/The 4.899% 5/13/2031 (b) | 850000 | 867418 |
| PNC Financial Services Group Inc/The 5.222% 1/29/2031 (b) | 630000 | 651022 |
| PNC Financial Services Group Inc/The 5.3% 1/21/2028 (b)(d) | 1000000 | 1015360 |
| PNC Financial Services Group Inc/The 5.354% 12/2/2028 (b) | 160000 | 164121 |
| PNC Financial Services Group Inc/The 5.492% 5/14/2030 (b) | 450000 | 468442 |
| PNC Financial Services Group Inc/The 5.582% 6/12/2029 (b) | 1650000 | 1711642 |
| Regions Financial Corp 5.722% 6/6/2030 (b)(d) | 380000 | 395541 |
| Santander Holdings USA Inc 2.49% 1/6/2028 (b) | 500000 | 487142 |
| Santander Holdings USA Inc 5.353% 9/6/2030 (b)(d) | 290000 | 297908 |
| Santander Holdings USA Inc 5.741% 3/20/2031 (b) | 400000 | 415700 |
| Santander Holdings USA Inc 6.174% 1/9/2030 (b) | 420000 | 440825 |
| Santander Holdings USA Inc 6.565% 6/12/2029 (b) | 550000 | 578458 |
| Synchrony Bank 5.625% 8/23/2027 (d) | 500000 | 511030 |
| Truist Financial Corp 1.267% 3/2/2027 (b) | 937000 | 922839 |
| Truist Financial Corp 5.071% 5/20/2031 (b)(d) | 300000 | 307364 |
| Truist Financial Corp 6.047% 6/8/2027 (b) | 2000000 | 2022979 |
| Truist Financial Corp 7.161% 10/30/2029 (b)(d) | 1100000 | 1193878 |
| US Bancorp 2.375% 7/22/2026  | 380000 | 374324 |
| US Bancorp 4.653% 2/1/2029 (b) | 1720000 | 1739592 |
| US Bancorp 5.046% 2/12/2031 (b) | 300000 | 307775 |
| US Bancorp 5.1% 7/23/2030 (b)(d) | 1530000 | 1574007 |
| US Bancorp 5.727% 10/21/2026 (b) | 1000000 | 1001514 |
| US Bancorp 5.775% 6/12/2029 (b) | 1260000 | 1312892 |
| Wells Fargo & Co 2.393% 6/2/2028 (b) | 2160000 | 2093437 |
| Wells Fargo & Co 2.879% 10/30/2030 (b) | 3000000 | 2832817 |
| Wells Fargo & Co 3% 10/23/2026  | 100000 | 98689 |
| Wells Fargo & Co 3.196% 6/17/2027 (b)(d) | 2580000 | 2557651 |
| Wells Fargo & Co 3.526% 3/24/2028 (b) | 500000 | 494669 |
| Wells Fargo & Co 3.584% 5/22/2028 (b) | 600000 | 593561 |
| Wells Fargo & Co 4.1% 6/3/2026  | 460000 | 459156 |
| Wells Fargo & Co 5.15% 4/23/2031 (b)(d) | 320000 | 329566 |
| Wells Fargo & Co 5.198% 1/23/2030 (b) | 970000 | 999108 |
| Wells Fargo & Co 5.244% 1/24/2031 (b) | 600000 | 619797 |
| Wells Fargo & Co 5.574% 7/25/2029 (b) | 600000 | 622020 |
| Wells Fargo & Co 5.707% 4/22/2028 (b)(d) | 7040000 | 7200355 |
|  |  | 128479175 |
| Capital Markets - 2.1% |  |  |
| Apollo Debt Solutions BDC 6.9% 4/13/2029  | 420000 | 441921 |
| Ares Capital Corp 2.15% 7/15/2026  | 100000 | 98026 |
| Ares Capital Corp 2.875% 6/15/2028  | 750000 | 715855 |
| Ares Capital Corp 3.875% 1/15/2026 (d) | 800000 | 797646 |
| Ares Capital Corp 5.875% 3/1/2029 (d) | 580000 | 596870 |
| Ares Capital Corp 5.95% 7/15/2029  | 300000 | 310216 |
| Ares Strategic Income Fund 5.6% 2/15/2030  | 300000 | 303717 |
| Ares Strategic Income Fund 5.7% 3/15/2028 (d) | 820000 | 831282 |
| Bank of New York Mellon Corp/The 4.543% 2/1/2029 (b) | 1000000 | 1011929 |
| Bank of New York Mellon Corp/The 4.942% 2/11/2031 (b) | 700000 | 719286 |
| Bank of New York Mellon Corp/The 4.975% 3/14/2030 (b) | 300000 | 308323 |
| Bank of New York Mellon Corp/The 6.317% 10/25/2029 (b) | 210000 | 223756 |
| BlackRock Funding Inc 4.6% 7/26/2027  | 1050000 | 1063170 |
| Blackstone Private Credit Fund 2.625% 12/15/2026  | 470000 | 458304 |
| Blackstone Private Credit Fund 3.25% 3/15/2027  | 360000 | 352467 |
| Blackstone Private Credit Fund 5.25% 4/1/2030  | 90000 | 90275 |
| Blackstone Private Credit Fund 5.95% 7/16/2029  | 500000 | 515934 |
| Blackstone Private Credit Fund 7.3% 11/27/2028  | 230000 | 245840 |
| Blackstone Secured Lending Fund 5.35% 4/13/2028  | 1000000 | 1014530 |
| Blue Owl Capital Corp 2.875% 6/11/2028  | 130000 | 122714 |
| Blue Owl Capital Corp 5.95% 3/15/2029  | 1000000 | 1015546 |
| Charles Schwab Corp/The 2.45% 3/3/2027  | 1020000 | 996957 |
| Charles Schwab Corp/The 3.25% 5/22/2029  | 640000 | 622542 |
| Charles Schwab Corp/The 4.625% 3/22/2030  | 600000 | 612726 |
| Charles Schwab Corp/The 5.643% 5/19/2029 (b) | 490000 | 509698 |
| Charles Schwab Corp/The 5.875% 8/24/2026  | 1000000 | 1014721 |
| Charles Schwab Corp/The 6.196% 11/17/2029 (b)(d) | 460000 | 489479 |
| Goldman Sachs BDC Inc 6.375% 3/11/2027  | 570000 | 583043 |
| Goldman Sachs Group Inc/The 1.093% 12/9/2026 (b) | 1400000 | 1387274 |
| Goldman Sachs Group Inc/The 1.431% 3/9/2027 (b)(d) | 1660000 | 1634170 |
| Goldman Sachs Group Inc/The 1.948% 10/21/2027 (b) | 3320000 | 3232707 |
| Goldman Sachs Group Inc/The 3.615% 3/15/2028 (b)(d) | 5190000 | 5136576 |
| Goldman Sachs Group Inc/The 3.691% 6/5/2028 (b) | 500000 | 495397 |
| Goldman Sachs Group Inc/The 3.814% 4/23/2029 (b) | 1020000 | 1009435 |
| Goldman Sachs Group Inc/The 4.223% 5/1/2029 (b) | 750000 | 750529 |
| Goldman Sachs Group Inc/The 4.25% 10/21/2025  | 370000 | 369827 |
| Goldman Sachs Group Inc/The 4.482% 8/23/2028 (b) | 1640000 | 1647236 |
| Goldman Sachs Group Inc/The 5.049% 7/23/2030 (b)(d) | 1390000 | 1423044 |
| Goldman Sachs Group Inc/The 5.207% 1/28/2031 (b) | 600000 | 618249 |
| Goldman Sachs Group Inc/The 5.727% 4/25/2030 (b) | 1500000 | 1570883 |
| Golub Capital BDC Inc 6% 7/15/2029  | 470000 | 480889 |
| HPS Corporate Lending Fund 5.45% 1/14/2028  | 500000 | 504404 |
| HPS Corporate Lending Fund 6.25% 9/30/2029  | 100000 | 103364 |
| HPS Corporate Lending Fund 6.75% 1/30/2029  | 200000 | 208654 |
| Intercontinental Exchange Inc 3.1% 9/15/2027  | 1060000 | 1039260 |
| Intercontinental Exchange Inc 3.625% 9/1/2028  | 1330000 | 1312092 |
| Jefferies Financial Group Inc 4.15% 1/23/2030  | 600000 | 592187 |
| Jefferies Financial Group Inc 4.85% 1/15/2027  | 300000 | 302166 |
| Jefferies Financial Group Inc 5.875% 7/21/2028  | 290000 | 302335 |
| Lazard Group LLC 4.5% 9/19/2028  | 460000 | 462029 |
| LPL Holdings Inc 5.15% 6/15/2030  | 250000 | 255265 |
| LPL Holdings Inc 6.75% 11/17/2028 (d) | 590000 | 631563 |
| Moody's Corp 4.25% 2/1/2029  | 250000 | 251095 |
| Morgan Stanley 0.985% 12/10/2026 (b) | 1600000 | 1584374 |
| Morgan Stanley 1.512% 7/20/2027 (b) | 4650000 | 4534980 |
| Morgan Stanley 1.593% 5/4/2027 (b) | 3080000 | 3022617 |
| Morgan Stanley 3.591% 7/22/2028 (b) | 1350000 | 1333443 |
| Morgan Stanley 4.35% 9/8/2026  | 120000 | 120091 |
| Morgan Stanley 4.431% 1/23/2030 (b) | 460000 | 462022 |
| Morgan Stanley 4.654% 10/18/2030 (b) | 200000 | 201922 |
| Morgan Stanley 5% 11/24/2025  | 1248000 | 1249010 |
| Morgan Stanley 5.042% 7/19/2030 (b) | 1470000 | 1505875 |
| Morgan Stanley 5.123% 2/1/2029 (b) | 1500000 | 1532015 |
| Morgan Stanley 5.164% 4/20/2029 (b) | 820000 | 838338 |
| Morgan Stanley 5.192% 4/17/2031 (b) | 200000 | 206155 |
| Morgan Stanley 5.23% 1/15/2031 (b) | 2000000 | 2064399 |
| Morgan Stanley 5.656% 4/18/2030 (b) | 1600000 | 1670875 |
| Morgan Stanley 6.25% 8/9/2026  | 140000 | 142731 |
| Morgan Stanley Direct Lending Fund 6.15% 5/17/2029  | 300000 | 309691 |
| Nasdaq Inc 3.85% 6/30/2026  | 270000 | 269335 |
| Nasdaq Inc 5.35% 6/28/2028  | 300000 | 309534 |
| Northern Trust Corp 3.375% 5/8/2032 (b) | 250000 | 244405 |
| S&P Global Inc 2.45% 3/1/2027  | 650000 | 634815 |
| S&P Global Inc 2.7% 3/1/2029  | 870000 | 832549 |
| S&P Global Inc 4.75% 8/1/2028  | 240000 | 244812 |
| Sixth Street Specialty Lending Inc 6.125% 3/1/2029  | 160000 | 165122 |
| Sixth Street Specialty Lending Inc 6.95% 8/14/2028  | 120000 | 126963 |
| State Street Corp 1.684% 11/18/2027 (b) | 450000 | 436364 |
| State Street Corp 2.4% 1/24/2030 (d) | 2200000 | 2063241 |
| State Street Corp 4.729% 2/28/2030  | 300000 | 306745 |
| State Street Corp 5.684% 11/21/2029 (b)(d) | 220000 | 230879 |
| State Street Corp U.S. SOFR Index + 0.95%, 5.3036% 4/24/2028 (b)(c) | 600000 | 603921 |
|  |  | 69034626 |
| Consumer Finance - 1.0% |  |  |
| Ally Financial Inc 2.2% 11/2/2028  | 870000 | 812297 |
| Ally Financial Inc 5.737% 5/15/2029 (b) | 480000 | 492920 |
| Ally Financial Inc 6.848% 1/3/2030 (b) | 220000 | 233423 |
| Ally Financial Inc 6.992% 6/13/2029 (b) | 270000 | 285744 |
| American Express Co 3.3% 5/3/2027  | 540000 | 533735 |
| American Express Co 4.351% 7/20/2029 (b) | 400000 | 402063 |
| American Express Co 5.016% 4/25/2031 (b) | 950000 | 976150 |
| American Express Co 5.085% 1/30/2031 (b) | 200000 | 206132 |
| American Express Co 5.282% 7/27/2029 (b) | 240000 | 247627 |
| American Express Co 5.532% 4/25/2030 (b)(d) | 520000 | 543011 |
| American Express Co 5.85% 11/5/2027  | 3980000 | 4129858 |
| Capital One Financial Corp 3.75% 7/28/2026  | 340000 | 337895 |
| Capital One Financial Corp 3.8% 1/31/2028  | 130000 | 128838 |
| Capital One Financial Corp 4.1% 2/9/2027  | 1340000 | 1336958 |
| Capital One Financial Corp 4.2% 10/29/2025 (d) | 640000 | 639005 |
| Capital One Financial Corp 4.5% 1/30/2026  | 100000 | 99960 |
| Capital One Financial Corp 4.927% 5/10/2028 (b)(d) | 1660000 | 1676753 |
| Capital One Financial Corp 5.247% 7/26/2030 (b) | 760000 | 781576 |
| Capital One Financial Corp 5.468% 2/1/2029 (b)(d) | 2030000 | 2083803 |
| Ford Motor Credit Co LLC 4.95% 5/28/2027  | 600000 | 598553 |
| Ford Motor Credit Co LLC 5.113% 5/3/2029  | 610000 | 601586 |
| Ford Motor Credit Co LLC 5.303% 9/6/2029  | 350000 | 347498 |
| Ford Motor Credit Co LLC 5.8% 3/8/2029  | 500000 | 505549 |
| Ford Motor Credit Co LLC 5.875% 11/7/2029 (d) | 610000 | 616557 |
| Ford Motor Credit Co LLC 6.798% 11/7/2028  | 3770000 | 3923716 |
| Ford Motor Credit Co LLC 6.8% 5/12/2028  | 1005000 | 1043695 |
| John Deere Capital Corp 1.5% 3/6/2028  | 1380000 | 1300879 |
| John Deere Capital Corp 2.35% 3/8/2027  | 4350000 | 4249732 |
| John Deere Capital Corp 2.8% 9/8/2027  | 1000000 | 979204 |
| John Deere Capital Corp 4.375% 10/15/2030  | 500000 | 503958 |
| John Deere Capital Corp 4.75% 1/20/2028  | 1400000 | 1426166 |
| John Deere Capital Corp 4.9% 3/3/2028  | 300000 | 306927 |
| John Deere Capital Corp 4.95% 7/14/2028  | 600000 | 616464 |
| Synchrony Financial 3.7% 8/4/2026  | 220000 | 218412 |
| Synchrony Financial 5.45% 3/6/2031 (b) | 290000 | 295439 |
| Synchrony Financial 5.935% 8/2/2030 (b) | 340000 | 352130 |
| Toyota Motor Credit Corp 4.55% 8/9/2029 (d) | 925000 | 940259 |
| Toyota Motor Credit Corp 4.65% 1/5/2029  | 230000 | 234234 |
|  |  | 35008706 |
| Financial Services - 0.7% |  |  |
| Aon Corp / Aon Global Holdings PLC 2.85% 5/28/2027  | 220000 | 215517 |
| Blue Owl Credit Income Corp 5.8% 3/15/2030  | 470000 | 476087 |
| Blue Owl Credit Income Corp 6.6% 9/15/2029  | 300000 | 311957 |
| Blue Owl Credit Income Corp 7.75% 1/15/2029  | 700000 | 749462 |
| BP Capital Markets America Inc 3.017% 1/16/2027  | 1060000 | 1047134 |
| BP Capital Markets America Inc 5.017% 11/17/2027  | 1620000 | 1652657 |
| CNH Industrial Capital LLC 4.75% 3/21/2028  | 110000 | 111229 |
| CNH Industrial Capital LLC 5.1% 4/20/2029  | 230000 | 235930 |
| CNH Industrial Capital LLC 5.5% 1/12/2029  | 660000 | 684243 |
| Corebridge Financial Inc 3.65% 4/5/2027 (d) | 540000 | 535034 |
| Corebridge Financial Inc 6.875% 12/15/2052 (b) | 540000 | 558441 |
| CRH SMW Finance DAC 5.125% 1/9/2030  | 700000 | 720236 |
| Enact Holdings Inc 6.25% 5/28/2029  | 300000 | 313052 |
| Equitable Holdings Inc 4.35% 4/20/2028  | 600000 | 602304 |
| Essent Group Ltd 6.25% 7/1/2029  | 300000 | 314664 |
| Fidelity National Information Services Inc 1.15% 3/1/2026  | 609000 | 599316 |
| Fidelity National Information Services Inc 1.65% 3/1/2028 (d) | 500000 | 471066 |
| Fiserv Inc 3.2% 7/1/2026  | 280000 | 277409 |
| Fiserv Inc 3.5% 7/1/2029  | 950000 | 922469 |
| Fiserv Inc 4.55% 2/15/2031  | 620000 | 619889 |
| Fiserv Inc 5.15% 3/15/2027  | 840000 | 850623 |
| Fiserv Inc 5.375% 8/21/2028  | 890000 | 918072 |
| Global Payments Inc 1.2% 3/1/2026  | 1157000 | 1138415 |
| Global Payments Inc 2.15% 1/15/2027  | 200000 | 194427 |
| Global Payments Inc 2.9% 5/15/2030  | 350000 | 323046 |
| Global Payments Inc 3.2% 8/15/2029  | 530000 | 503238 |
| Global Payments Inc 4.95% 8/15/2027  | 160000 | 161751 |
| Goldman Sachs Private Credit Corp 5.875% 5/6/2028 (d)(e) | 400000 | 406282 |
| Goldman Sachs Private Credit Corp 6.25% 5/6/2030 (e) | 100000 | 102406 |
| Golub Capital Private Credit Fund 5.875% 5/1/2030  | 400000 | 405751 |
| Jackson Financial Inc 5.17% 6/8/2027  | 180000 | 182318 |
| Mastercard Inc 2.95% 6/1/2029  | 680000 | 657510 |
| Mastercard Inc 3.3% 3/26/2027  | 800000 | 792869 |
| National Rural Utilities Cooperative Finance Corp 3.7% 3/15/2029  | 550000 | 542565 |
| National Rural Utilities Cooperative Finance Corp 3.9% 11/1/2028  | 240000 | 238589 |
| National Rural Utilities Cooperative Finance Corp 4.85% 2/7/2029  | 690000 | 706346 |
| NMI Holdings Inc 6% 8/15/2029  | 300000 | 307998 |
| PayPal Holdings Inc 2.85% 10/1/2029 (d) | 620000 | 591206 |
| PayPal Holdings Inc 3.9% 6/1/2027  | 170000 | 169818 |
| Radian Group Inc 6.2% 5/15/2029  | 300000 | 314147 |
| Rexford Industrial Realty LP 5% 6/15/2028  | 110000 | 111636 |
| Sixth Street Lending Partners 5.75% 1/15/2030  | 300000 | 304569 |
| Sixth Street Lending Partners 6.5% 3/11/2029  | 270000 | 280267 |
| Visa Inc 0.75% 8/15/2027 (d) | 600000 | 566621 |
| Visa Inc 2.75% 9/15/2027  | 340000 | 332696 |
| Voya Financial Inc 3.65% 6/15/2026  | 140000 | 139288 |
| Voya Financial Inc 4.7% 1/23/2048 (b) | 130000 | 126154 |
| Western Union Co/The 1.35% 3/15/2026  | 330000 | 324429 |
|  |  | 23111133 |
| Insurance - 0.4% |  |  |
| AFLAC Inc 2.875% 10/15/2026  | 230000 | 226744 |
| Allstate Corp/The 0.75% 12/15/2025 (d) | 590000 | 583700 |
| Allstate Corp/The 5.05% 6/24/2029  | 350000 | 360262 |
| Allstate Corp/The CME Term SOFR 3 month Index + 3.1996%, 7.411% 8/15/2053 (b)(c) | 320000 | 320799 |
| American International Group Inc 4.85% 5/7/2030  | 360000 | 368329 |
| Aon Corp 8.205% 1/1/2027  | 230000 | 240811 |
| Aon North America Inc 5.15% 3/1/2029 (d) | 1000000 | 1028930 |
| Arthur J Gallagher & Co 4.85% 12/15/2029  | 456000 | 464850 |
| Assurant Inc 4.9% 3/27/2028  | 110000 | 111514 |
| Assured Guaranty US Holdings Inc 6.125% 9/15/2028  | 200000 | 210251 |
| Athene Holding Ltd 4.125% 1/12/2028  | 320000 | 319259 |
| Athene Holding Ltd 6.15% 4/3/2030  | 300000 | 320124 |
| Berkshire Hathaway Fin Corp 1.85% 3/12/2030  | 170000 | 155281 |
| Brighthouse Financial Inc 3.7% 6/22/2027 (d) | 300000 | 295841 |
| Brighthouse Financial Inc 5.625% 5/15/2030  | 300000 | 306863 |
| Brown & Brown Inc 4.7% 6/23/2028  | 700000 | 706705 |
| Brown & Brown Inc 4.9% 6/23/2030  | 120000 | 121493 |
| CNA Financial Corp 3.45% 8/15/2027  | 400000 | 394633 |
| CNA Financial Corp 4.5% 3/1/2026 (d) | 510000 | 509751 |
| First American Financial Corp 4% 5/15/2030  | 200000 | 191957 |
| Globe Life Inc 4.55% 9/15/2028  | 180000 | 181278 |
| Lincoln National Corp 3.05% 1/15/2030 (d) | 390000 | 371323 |
| Markel Group Inc 3.5% 11/1/2027  | 410000 | 403705 |
| Marsh & McLennan Cos Inc 4.375% 3/15/2029  | 560000 | 564874 |
| Marsh & McLennan Cos Inc 4.65% 3/15/2030  | 500000 | 508903 |
| Principal Financial Group Inc 3.7% 5/15/2029  | 310000 | 304252 |
| Progressive Corp/The 2.5% 3/15/2027  | 800000 | 781537 |
| Prudential Financial Inc 1.5% 3/10/2026  | 160000 | 157674 |
| Prudential Financial Inc 4.5% 9/15/2047 (b)(d) | 600000 | 590467 |
| Trinity Acq PLC 4.4% 3/15/2026  | 470000 | 469414 |
| Willis North America Inc 4.5% 9/15/2028 (d) | 390000 | 393403 |
| Willis North America Inc 4.65% 6/15/2027  | 300000 | 301951 |
|  |  | 12266878 |
| TOTAL FINANCIALS |  | 267900518 |
| Health Care - 2.3% |  |  |
| Biotechnology - 0.4% |  |  |
| AbbVie Inc 2.95% 11/21/2026  | 1830000 | 1806013 |
| AbbVie Inc 3.2% 11/21/2029  | 1840000 | 1773034 |
| AbbVie Inc 4.8% 3/15/2029  | 2030000 | 2078367 |
| Amgen Inc 2.2% 2/21/2027  | 2250000 | 2190213 |
| Amgen Inc 3.2% 11/2/2027  | 1460000 | 1432595 |
| Amgen Inc 4.05% 8/18/2029  | 450000 | 447835 |
| Amgen Inc 5.15% 3/2/2028 (d) | 1720000 | 1760183 |
| Amgen Inc 5.25% 3/2/2030  | 500000 | 517947 |
| Gilead Sciences Inc 2.95% 3/1/2027  | 110000 | 108295 |
| Gilead Sciences Inc 4.8% 11/15/2029  | 550000 | 564675 |
|  |  | 12679157 |
| Health Care Equipment & Supplies - 0.3% |  |  |
| Abbott Laboratories 1.15% 1/30/2028  | 620000 | 583035 |
| Baxter International Inc 1.915% 2/1/2027  | 1540000 | 1489516 |
| Becton Dickinson & Co 3.7% 6/6/2027  | 610000 | 605730 |
| Becton Dickinson & Co 5.081% 6/7/2029  | 700000 | 719542 |
| GE HealthCare Technologies Inc 4.8% 8/14/2029  | 270000 | 275647 |
| GE HealthCare Technologies Inc 5.65% 11/15/2027  | 890000 | 917736 |
| GE HealthCare Technologies Inc 5.857% 3/15/2030  | 440000 | 467193 |
| Medtronic Global Holdings SCA 4.25% 3/30/2028  | 290000 | 292199 |
| Solventum Corp 5.4% 3/1/2029  | 690000 | 719416 |
| Stryker Corp 3.65% 3/7/2028 (d) | 1220000 | 1210673 |
| Stryker Corp 4.25% 9/11/2029 (d) | 600000 | 602014 |
| Zimmer Biomet Holdings Inc 3.05% 1/15/2026  | 250000 | 248639 |
| Zimmer Biomet Holdings Inc 5.05% 2/19/2030  | 150000 | 154373 |
| Zimmer Biomet Holdings Inc 5.35% 12/1/2028  | 220000 | 227822 |
|  |  | 8513535 |
| Health Care Providers & Services - 1.0% |  |  |
| Cardinal Health Inc 3.41% 6/15/2027  | 730000 | 720816 |
| Cardinal Health Inc 5.125% 2/15/2029  | 130000 | 133792 |
| Cencora Inc 3.45% 12/15/2027  | 150000 | 147797 |
| Cencora Inc 4.85% 12/15/2029  | 300000 | 306839 |
| Centene Corp 4.25% 12/15/2027  | 1890000 | 1845687 |
| Centene Corp 4.625% 12/15/2029  | 2240000 | 2157385 |
| Cigna Group/The 1.25% 3/15/2026  | 1280000 | 1258831 |
| Cigna Group/The 2.4% 3/15/2030  | 380000 | 350267 |
| Cigna Group/The 4.375% 10/15/2028  | 1210000 | 1216561 |
| Cigna Group/The 4.5% 2/25/2026  | 130000 | 130049 |
| Cigna Group/The 5% 5/15/2029 (d) | 470000 | 482837 |
| CVS Health Corp 1.3% 8/21/2027 (d) | 2020000 | 1907358 |
| CVS Health Corp 2.875% 6/1/2026  | 530000 | 523734 |
| CVS Health Corp 3% 8/15/2026  | 560000 | 552840 |
| CVS Health Corp 3.25% 8/15/2029  | 970000 | 927913 |
| CVS Health Corp 4.3% 3/25/2028  | 2060000 | 2059025 |
| CVS Health Corp 5% 1/30/2029  | 1330000 | 1355439 |
| Elevance Health Inc 3.65% 12/1/2027  | 460000 | 456090 |
| Elevance Health Inc 4.75% 2/15/2030  | 230000 | 233750 |
| Elevance Health Inc 5.15% 6/15/2029 (d) | 750000 | 772242 |
| HCA Inc 4.125% 6/15/2029  | 1470000 | 1455921 |
| HCA Inc 4.5% 2/15/2027  | 820000 | 820649 |
| HCA Inc 5.25% 3/1/2030  | 510000 | 527012 |
| HCA Inc 5.25% 6/15/2026  | 1730000 | 1733028 |
| HCA Inc 5.375% 9/1/2026  | 260000 | 260953 |
| Humana Inc 1.35% 2/3/2027  | 1115000 | 1070918 |
| Humana Inc 3.125% 8/15/2029 (d) | 380000 | 361435 |
| Icon Investments Six DAC 5.849% 5/8/2029  | 245000 | 256221 |
| Laboratory Corp of America Holdings 3.6% 9/1/2027  | 800000 | 793102 |
| McKesson Corp 1.3% 8/15/2026  | 640000 | 622990 |
| McKesson Corp 4.65% 5/30/2030  | 300000 | 305174 |
| Quest Diagnostics Inc 4.6% 12/15/2027  | 970000 | 980579 |
| Sabra Health Care LP 3.9% 10/15/2029  | 140000 | 135358 |
| UnitedHealth Group Inc 1.15% 5/15/2026  | 886000 | 866815 |
| UnitedHealth Group Inc 2% 5/15/2030  | 1150000 | 1040456 |
| UnitedHealth Group Inc 2.95% 10/15/2027  | 1330000 | 1300487 |
| UnitedHealth Group Inc 3.875% 12/15/2028  | 300000 | 297738 |
| UnitedHealth Group Inc 4.25% 1/15/2029  | 570000 | 572271 |
| UnitedHealth Group Inc 4.65% 1/15/2031 (d) | 250000 | 253372 |
| UnitedHealth Group Inc 5.25% 2/15/2028  | 1250000 | 1285170 |
| Universal Health Services Inc 1.65% 9/1/2026  | 270000 | 262473 |
| Universal Health Services Inc 4.625% 10/15/2029  | 160000 | 159609 |
|  |  | 32900983 |
| Health Care Technology - 0.0% |  |  |
| IQVIA Inc 6.25% 2/1/2029 (d) | 740000 | 778979 |
| Life Sciences Tools & Services - 0.0% |  |  |
| Agilent Technologies Inc 4.2% 9/9/2027 (d) | 740000 | 740295 |
| Thermo Fisher Scientific Inc 1.75% 10/15/2028  | 130000 | 121540 |
| Thermo Fisher Scientific Inc 2.6% 10/1/2029  | 480000 | 454772 |
| Thermo Fisher Scientific Inc 4.8% 11/21/2027  | 740000 | 752433 |
| Thermo Fisher Scientific Inc 5% 12/5/2026 (d) | 330000 | 333666 |
|  |  | 2402706 |
| Pharmaceuticals - 0.6% |  |  |
| Bristol-Myers Squibb Co 3.2% 6/15/2026  | 296000 | 293979 |
| Bristol-Myers Squibb Co 3.4% 7/26/2029  | 760000 | 741081 |
| Bristol-Myers Squibb Co 4.9% 2/22/2029  | 1700000 | 1746164 |
| Eli Lilly & Co 4% 10/15/2028  | 800000 | 801930 |
| Eli Lilly & Co 4.2% 8/14/2029  | 860000 | 867594 |
| Eli Lilly & Co 4.75% 2/12/2030  | 500000 | 514069 |
| Haleon US Capital LLC 3.375% 3/24/2027  | 1230000 | 1215724 |
| Johnson & Johnson 0.95% 9/1/2027  | 580000 | 549860 |
| Johnson & Johnson 2.9% 1/15/2028 (d) | 1120000 | 1099511 |
| Johnson & Johnson 4.7% 3/1/2030 (d) | 540000 | 556213 |
| Merck & Co Inc 1.7% 6/10/2027  | 2000000 | 1926867 |
| Merck & Co Inc 1.9% 12/10/2028  | 250000 | 234711 |
| Novartis Capital Corp 2% 2/14/2027  | 580000 | 565315 |
| Novartis Capital Corp 3.1% 5/17/2027  | 120000 | 118568 |
| Pfizer Inc 2.75% 6/3/2026 (d) | 620000 | 613853 |
| Pfizer Inc 3% 12/15/2026  | 110000 | 108778 |
| Pfizer Inc 3.6% 9/15/2028 (d) | 410000 | 407774 |
| Pfizer Investment Enterprises Pte Ltd 4.45% 5/19/2028  | 2300000 | 2327885 |
| Pfizer Investment Enterprises Pte Ltd 4.65% 5/19/2030  | 2050000 | 2089817 |
| Shire Acquisitions Investments Ireland DAC 3.2% 9/23/2026  | 11000 | 10885 |
| Utah Acquisition Sub Inc 3.95% 6/15/2026  | 760000 | 755572 |
| Viatris Inc 2.3% 6/22/2027  | 390000 | 374265 |
| Viatris Inc 2.7% 6/22/2030  | 400000 | 359665 |
| Zoetis Inc 3% 9/12/2027  | 480000 | 470391 |
| Zoetis Inc 3.9% 8/20/2028 (d) | 1050000 | 1048665 |
|  |  | 19799136 |
| TOTAL HEALTH CARE |  | 77074496 |
| Industrials - 1.6% |  |  |
| Aerospace & Defense - 0.4% |  |  |
| Boeing Co 2.196% 2/4/2026  | 2740000 | 2713740 |
| Boeing Co 2.75% 2/1/2026  | 350000 | 347316 |
| Boeing Co 3.1% 5/1/2026  | 100000 | 99108 |
| Boeing Co 3.2% 3/1/2029 (d) | 1280000 | 1231036 |
| Boeing Co 3.25% 2/1/2028  | 800000 | 781264 |
| Boeing Co 5.15% 5/1/2030  | 1310000 | 1343707 |
| GE Aerospace 4.3% 7/29/2030  | 300000 | 301293 |
| General Dynamics Corp 2.125% 8/15/2026  | 180000 | 176857 |
| General Dynamics Corp 2.625% 11/15/2027  | 500000 | 486730 |
| General Dynamics Corp 3.625% 4/1/2030  | 630000 | 618915 |
| Howmet Aerospace Inc 3% 1/15/2029  | 500000 | 480937 |
| Huntington Ingalls Industries Inc 2.043% 8/16/2028  | 750000 | 702457 |
| L3Harris Technologies Inc 4.4% 6/15/2028  | 720000 | 724075 |
| L3Harris Technologies Inc 5.05% 6/1/2029  | 340000 | 349099 |
| L3Harris Technologies Inc 5.4% 1/15/2027  | 800000 | 812626 |
| Lockheed Martin Corp 5.1% 11/15/2027 (d) | 350000 | 358499 |
| Northrop Grumman Corp 3.2% 2/1/2027  | 600000 | 592644 |
| Northrop Grumman Corp 4.4% 5/1/2030  | 600000 | 604968 |
| Northrop Grumman Corp 4.6% 2/1/2029  | 190000 | 192967 |
| RTX Corp 3.5% 3/15/2027  | 1010000 | 1001049 |
| RTX Corp 5.75% 1/15/2029  | 1000000 | 1049715 |
|  |  | 14969002 |
| Air Freight & Logistics - 0.1% |  |  |
| FedEx Corp 3.1% 8/5/2029  | 510000 | 486765 |
| United Parcel Service Inc 2.4% 11/15/2026  | 210000 | 206037 |
| United Parcel Service Inc 3.05% 11/15/2027 (d) | 530000 | 520983 |
| United Parcel Service Inc 4.65% 10/15/2030 (d) | 600000 | 613158 |
|  |  | 1826943 |
| Building Products - 0.1% |  |  |
| Carrier Global Corp 2.493% 2/15/2027  | 540000 | 528346 |
| Carrier Global Corp 2.722% 2/15/2030  | 780000 | 732778 |
| Johnson Controls International plc / Tyco Fire & Security Finance SCA 5.5% 4/19/2029  | 500000 | 521290 |
| Owens Corning 3.4% 8/15/2026  | 260000 | 257702 |
|  |  | 2040116 |
| Commercial Services & Supplies - 0.1% |  |  |
| Republic Services Inc 2.9% 7/1/2026  | 530000 | 524964 |
| Republic Services Inc 3.95% 5/15/2028  | 300000 | 299896 |
| Republic Services Inc 5% 11/15/2029  | 500000 | 516764 |
| Waste Management Inc 4.65% 3/15/2030  | 900000 | 917825 |
| Waste Management Inc 4.875% 2/15/2029 (d) | 410000 | 421687 |
| Waste Management Inc 4.95% 7/3/2027 (d) | 440000 | 447801 |
|  |  | 3128937 |
| Electrical Equipment - 0.1% |  |  |
| Emerson Electric Co 2% 12/21/2028  | 600000 | 564625 |
| Hubbell Inc 3.15% 8/15/2027  | 260000 | 254812 |
| Hubbell Inc 3.35% 3/1/2026  | 110000 | 109351 |
| Regal Rexnord Corp 6.05% 2/15/2026  | 950000 | 953971 |
| Regal Rexnord Corp 6.05% 4/15/2028  | 220000 | 227764 |
| Regal Rexnord Corp 6.3% 2/15/2030  | 300000 | 317804 |
|  |  | 2428327 |
| Ground Transportation - 0.1% |  |  |
| Burlington Northern Santa Fe LLC 3.25% 6/15/2027  | 100000 | 98821 |
| CSX Corp 3.25% 6/1/2027  | 340000 | 335405 |
| CSX Corp 4.25% 3/15/2029  | 290000 | 291129 |
| Norfolk Southern Corp 2.9% 6/15/2026 (d) | 490000 | 484594 |
| Norfolk Southern Corp 7.8% 5/15/2027  | 320000 | 338890 |
| Ryder System Inc 4.85% 6/15/2030  | 400000 | 408083 |
| Ryder System Inc 5.5% 6/1/2029  | 1000000 | 1042143 |
| Union Pacific Corp 2.15% 2/5/2027  | 100000 | 97471 |
| Union Pacific Corp 6.625% 2/1/2029  | 730000 | 788573 |
|  |  | 3885109 |
| Industrial Conglomerates - 0.1% |  |  |
| 3M Co 2.25% 9/19/2026  | 250000 | 245147 |
| 3M Co 2.375% 8/26/2029 (d) | 600000 | 561996 |
| 3M Co 2.875% 10/15/2027  | 410000 | 400498 |
| 3M Co 3.625% 9/14/2028  | 460000 | 454658 |
| Honeywell International Inc 1.1% 3/1/2027  | 330000 | 315721 |
| Honeywell International Inc 2.5% 11/1/2026  | 410000 | 402740 |
| Honeywell International Inc 2.7% 8/15/2029  | 1750000 | 1664181 |
| Honeywell International Inc 4.95% 2/15/2028  | 350000 | 358156 |
|  |  | 4403097 |
| Machinery - 0.4% |  |  |
| Caterpillar Financial Services Corp 1.1% 9/14/2027  | 680000 | 643889 |
| Caterpillar Financial Services Corp 1.15% 9/14/2026  | 420000 | 408026 |
| Caterpillar Financial Services Corp 1.7% 1/8/2027  | 370000 | 359285 |
| Caterpillar Financial Services Corp 4.1% 8/15/2028  | 300000 | 301012 |
| Caterpillar Financial Services Corp 4.6% 11/15/2027  | 2180000 | 2210836 |
| Caterpillar Financial Services Corp 4.85% 2/27/2029  | 440000 | 451910 |
| Caterpillar Financial Services Corp 5% 5/14/2027 (d) | 1530000 | 1556577 |
| Cummins Inc 4.7% 2/15/2031  | 350000 | 355590 |
| Eaton Corp 4.35% 5/18/2028 (d) | 390000 | 393744 |
| Ingersoll Rand Inc 5.176% 6/15/2029  | 600000 | 619752 |
| Ingersoll Rand Inc 5.4% 8/14/2028 (d) | 470000 | 486072 |
| Otis Worldwide Corp 2.565% 2/15/2030  | 890000 | 829610 |
| Parker-Hannifin Corp 4.25% 9/15/2027  | 1600000 | 1605636 |
| Stanley Black & Decker Inc 3.4% 3/1/2026  | 610000 | 605960 |
| Stanley Black & Decker Inc 6% 3/6/2028 (d) | 1310000 | 1364238 |
| Westinghouse Air Brake Technologies Corp 3.45% 11/15/2026  | 280000 | 277276 |
| Westinghouse Air Brake Technologies Corp 4.7% 9/15/2028 (d)(f) | 660000 | 668611 |
|  |  | 13138024 |
| Passenger Airlines - 0.1% |  |  |
| American Airlines 2017-2 Class AA Pass Through Trust equipment trust certificate 3.35% 4/15/2031  | 608721 | 584999 |
| Southwest Airlines Co 2.625% 2/10/2030  | 230000 | 211506 |
| Southwest Airlines Co 5.125% 6/15/2027  | 870000 | 879864 |
| United Airlines 2020-1 Class B Pass Through Trust 4.875% 7/15/2027  | 89840 | 89805 |
|  |  | 1766174 |
| Professional Services - 0.0% |  |  |
| Paychex Inc 5.1% 4/15/2030 (d) | 594000 | 611375 |
| Verisk Analytics Inc 4.5% 8/15/2030  | 370000 | 371489 |
|  |  | 982864 |
| Trading Companies & Distributors - 0.1% |  |  |
| Air Lease Corp 2.1% 9/1/2028  | 530000 | 498642 |
| Air Lease Corp 2.2% 1/15/2027  | 280000 | 272504 |
| Air Lease Corp 3% 2/1/2030  | 600000 | 566824 |
| Air Lease Corp 3.625% 12/1/2027  | 570000 | 563580 |
| Air Lease Corp 3.625% 4/1/2027  | 180000 | 177972 |
| Air Lease Corp 5.3% 6/25/2026 (d) | 700000 | 704898 |
| GATX Corp 4.55% 11/7/2028 (d) | 680000 | 684684 |
|  |  | 3469104 |
| TOTAL INDUSTRIALS |  | 52037697 |
| Information Technology - 2.0% |  |  |
| Communications Equipment - 0.1% |  |  |
| Cisco Systems Inc 4.75% 2/24/2030  | 300000 | 308251 |
| Cisco Systems Inc 4.8% 2/26/2027  | 1250000 | 1265651 |
| Cisco Systems Inc 4.85% 2/26/2029  | 800000 | 821681 |
| Motorola Solutions Inc 4.6% 5/23/2029 (d) | 500000 | 505455 |
| Motorola Solutions Inc 5% 4/15/2029  | 210000 | 214974 |
|  |  | 3116012 |
| Electronic Equipment, Instruments & Components - 0.1% |  |  |
| Amphenol Corp 4.375% 6/12/2028  | 800000 | 807642 |
| Amphenol Corp 5.05% 4/5/2027  | 500000 | 507578 |
| Amphenol Corp 5.05% 4/5/2029 (d) | 300000 | 309343 |
| Dell International LLC / EMC Corp 4.35% 2/1/2030 (d) | 800000 | 798330 |
| Dell International LLC / EMC Corp 5.3% 10/1/2029  | 660000 | 683308 |
| Dell International LLC / EMC Corp 6.1% 7/15/2027  | 480000 | 495852 |
| Flex Ltd 3.75% 2/1/2026  | 280000 | 278563 |
| Teledyne Technologies Inc 1.6% 4/1/2026  | 180000 | 177001 |
| Teledyne Technologies Inc 2.25% 4/1/2028  | 290000 | 276268 |
| Vontier Corp 1.8% 4/1/2026  | 210000 | 206634 |
| Vontier Corp 2.4% 4/1/2028  | 120000 | 114053 |
|  |  | 4654572 |
| IT Services - 0.2% |  |  |
| CDW LLC / CDW Finance Corp 2.67% 12/1/2026  | 360000 | 352193 |
| CDW LLC / CDW Finance Corp 3.276% 12/1/2028  | 620000 | 595961 |
| CDW LLC / CDW Finance Corp 4.25% 4/1/2028  | 430000 | 427070 |
| IBM Corporation 1.7% 5/15/2027  | 1110000 | 1068135 |
| IBM Corporation 1.95% 5/15/2030  | 320000 | 289067 |
| IBM Corporation 2.2% 2/9/2027  | 1460000 | 1422429 |
| IBM Corporation 4.15% 7/27/2027  | 570000 | 571726 |
| IBM Corporation 4.5% 2/6/2028  | 430000 | 434704 |
| IBM Corporation 4.8% 2/10/2030  | 800000 | 819808 |
| IBM International Capital Pte Ltd 4.6% 2/5/2029  | 510000 | 517412 |
|  |  | 6498505 |
| Semiconductors & Semiconductor Equipment - 0.7% |  |  |
| Analog Devices Inc 3.45% 6/15/2027  | 370000 | 367090 |
| Analog Devices Inc 4.5% 6/15/2030  | 440000 | 445930 |
| Applied Materials Inc 3.3% 4/1/2027  | 630000 | 624416 |
| Applied Materials Inc 4.8% 6/15/2029  | 260000 | 267193 |
| Broadcom Corp / Broadcom Cayman Finance Ltd 3.875% 1/15/2027  | 450000 | 448106 |
| Broadcom Inc 3.459% 9/15/2026  | 691000 | 686110 |
| Broadcom Inc 4% 4/15/2029 (e) | 260000 | 258232 |
| Broadcom Inc 4.11% 9/15/2028  | 670000 | 669769 |
| Broadcom Inc 4.35% 2/15/2030 (d) | 1120000 | 1123236 |
| Broadcom Inc 4.6% 7/15/2030  | 450000 | 454329 |
| Broadcom Inc 4.75% 4/15/2029  | 230000 | 234263 |
| Broadcom Inc 5.05% 7/12/2029  | 1420000 | 1460156 |
| Intel Corp 1.6% 8/12/2028  | 2760000 | 2561546 |
| Intel Corp 2.6% 5/19/2026  | 100000 | 98740 |
| Intel Corp 3.75% 3/25/2027  | 350000 | 346697 |
| Intel Corp 3.75% 8/5/2027 (d) | 1440000 | 1424842 |
| Intel Corp 4.875% 2/10/2028  | 150000 | 151974 |
| Intel Corp 5.125% 2/10/2030  | 400000 | 409695 |
| Lam Research Corp 4% 3/15/2029 (d) | 830000 | 829763 |
| Marvell Technology Inc 1.65% 4/15/2026  | 270000 | 265296 |
| Marvell Technology Inc 2.45% 4/15/2028  | 140000 | 134032 |
| Marvell Technology Inc 4.75% 7/15/2030  | 90000 | 90820 |
| Marvell Technology Inc 4.875% 6/22/2028 (d) | 490000 | 496686 |
| Microchip Technology Inc 5.05% 3/15/2029 (d) | 1170000 | 1193059 |
| Micron Technology Inc 5.375% 4/15/2028  | 350000 | 360855 |
| Micron Technology Inc 6.75% 11/1/2029 (d) | 910000 | 987948 |
| NVIDIA Corp 3.2% 9/16/2026  | 860000 | 853646 |
| QUALCOMM Inc 1.3% 5/20/2028  | 240000 | 224448 |
| QUALCOMM Inc 3.25% 5/20/2027  | 1050000 | 1039461 |
| QUALCOMM Inc 4.5% 5/20/2030  | 570000 | 579528 |
| Texas Instruments Inc 4.5% 5/23/2030 (d) | 800000 | 812536 |
| Texas Instruments Inc 4.6% 2/15/2028  | 730000 | 742402 |
|  |  | 20642804 |
| Software - 0.6% |  |  |
| Adobe Inc 4.8% 4/4/2029 (d) | 1960000 | 2014519 |
| AppLovin Corp 5.125% 12/1/2029  | 130000 | 132954 |
| Cadence Design Systems Inc 4.3% 9/10/2029  | 600000 | 604347 |
| Fortinet Inc 1% 3/15/2026  | 210000 | 206076 |
| Microsoft Corp 2.4% 8/8/2026  | 1270000 | 1251439 |
| Microsoft Corp 3.3% 2/6/2027  | 310000 | 307750 |
| Microsoft Corp 3.4% 9/15/2026 (d) | 350000 | 348396 |
| Oracle Corp 1.65% 3/25/2026 (d) | 2766000 | 2724512 |
| Oracle Corp 2.3% 3/25/2028  | 610000 | 583002 |
| Oracle Corp 2.65% 7/15/2026  | 840000 | 828287 |
| Oracle Corp 2.8% 4/1/2027  | 440000 | 430790 |
| Oracle Corp 4.2% 9/27/2029 (d) | 2240000 | 2234159 |
| Oracle Corp 4.65% 5/6/2030  | 330000 | 334707 |
| Oracle Corp 4.8% 8/3/2028  | 1250000 | 1273973 |
| Roper Technologies Inc 2.95% 9/15/2029  | 310000 | 295752 |
| Roper Technologies Inc 3.8% 12/15/2026  | 280000 | 278266 |
| Roper Technologies Inc 4.2% 9/15/2028  | 470000 | 470312 |
| Roper Technologies Inc 4.45% 9/15/2030 (d) | 500000 | 501033 |
| Salesforce Inc 1.5% 7/15/2028  | 1560000 | 1462436 |
| Synopsys Inc 4.65% 4/1/2028  | 910000 | 922303 |
| Synopsys Inc 4.85% 4/1/2030  | 600000 | 612029 |
| VMware LLC 1.4% 8/15/2026  | 1177000 | 1144396 |
| VMware LLC 3.9% 8/21/2027  | 440000 | 437521 |
| VMware LLC 4.65% 5/15/2027  | 220000 | 221403 |
| VMware LLC 4.7% 5/15/2030  | 310000 | 313844 |
|  |  | 19934206 |
| Technology Hardware, Storage & Peripherals - 0.3% |  |  |
| Apple Inc 1.4% 8/5/2028 (d) | 940000 | 879920 |
| Apple Inc 2.45% 8/4/2026  | 100000 | 98611 |
| Apple Inc 2.9% 9/12/2027  | 460000 | 452691 |
| Apple Inc 3% 11/13/2027  | 260000 | 256339 |
| Apple Inc 3% 6/20/2027 (d) | 640000 | 631933 |
| Apple Inc 4% 5/10/2028  | 4650000 | 4681418 |
| Apple Inc 4.2% 5/12/2030  | 1240000 | 1256800 |
| Hewlett Packard Enterprise Co 4.55% 10/15/2029  | 880000 | 885319 |
| Hewlett Packard Enterprise Co 5.25% 7/1/2028  | 200000 | 205817 |
| HP Inc 1.45% 6/17/2026 (d) | 1000000 | 977598 |
| HP Inc 3% 6/17/2027  | 350000 | 342880 |
| HP Inc 5.4% 4/25/2030 (d) | 370000 | 384325 |
|  |  | 11053651 |
| TOTAL INFORMATION TECHNOLOGY |  | 65899750 |
| Materials - 0.3% |  |  |
| Chemicals - 0.2% |  |  |
| Air Products and Chemicals Inc 4.3% 6/11/2028  | 800000 | 807017 |
| Air Products and Chemicals Inc 4.6% 2/8/2029  | 330000 | 336112 |
| Albemarle Corp 4.65% 6/1/2027 (d) | 220000 | 220032 |
| Dow Chemical Co/The 4.8% 11/30/2028  | 190000 | 192603 |
| DuPont de Nemours Inc 4.725% 11/15/2028 (d) | 960000 | 979127 |
| Eastman Chemical Co 5% 8/1/2029  | 330000 | 336209 |
| Ecolab Inc 5.25% 1/15/2028 (d) | 570000 | 587025 |
| Huntsman Intl LLC 4.5% 5/1/2029 (d) | 330000 | 317497 |
| International Flavors & Fragrances Inc 4.45% 9/26/2028  | 110000 | 110336 |
| LYB International Finance III LLC 1.25% 10/1/2025  | 800000 | 797725 |
| Mosaic Co/The 4.05% 11/15/2027  | 420000 | 417850 |
| PPG Industries Inc 1.2% 3/15/2026  | 330000 | 324445 |
| Rohm and Haas Co 7.85% 7/15/2029  | 200000 | 222727 |
| RPM International Inc 4.55% 3/1/2029  | 140000 | 140710 |
| Sherwin-Williams Co/The 3.45% 6/1/2027  | 700000 | 691757 |
| Sherwin-Williams Co/The 4.55% 3/1/2028  | 300000 | 303087 |
|  |  | 6784259 |
| Construction Materials - 0.0% |  |  |
| Amrize Finance US LLC 4.95% 4/7/2030 (e) | 630000 | 643030 |
| Containers & Packaging - 0.1% |  |  |
| Amcor Group Finance PLC 5.45% 5/23/2029  | 830000 | 859509 |
| Avery Dennison Corp 4.875% 12/6/2028  | 230000 | 234248 |
| Berry Global Inc 1.57% 1/15/2026  | 280000 | 276699 |
| Berry Global Inc 1.65% 1/15/2027  | 120000 | 115854 |
| Sonoco Products Co 4.6% 9/1/2029  | 290000 | 291377 |
| WestRock MWV LLC 8.2% 1/15/2030  | 480000 | 552267 |
| WRKCo Inc 3.9% 6/1/2028  | 430000 | 426821 |
| WRKCo Inc 4% 3/15/2028  | 380000 | 378162 |
|  |  | 3134937 |
| Metals & Mining - 0.0% |  |  |
| Freeport-McMoRan Inc 4.125% 3/1/2028  | 590000 | 587003 |
| Freeport-McMoRan Inc 4.625% 8/1/2030  | 240000 | 240528 |
| Newmont Corp / Newcrest Finance Pty Ltd 3.25% 5/13/2030  | 394000 | 377143 |
| Nucor Corp 3.95% 5/1/2028  | 250000 | 249598 |
|  |  | 1454272 |
| TOTAL MATERIALS |  | 12016498 |
| Real Estate - 1.1% |  |  |
| Diversified REITs - 0.0% |  |  |
| GLP Capital LP / GLP Financing II Inc 4% 1/15/2030  | 630000 | 609469 |
| Piedmont Operating Partnership LP 9.25% 7/20/2028  | 260000 | 288984 |
| Store Capital LLC 4.5% 3/15/2028  | 400000 | 397738 |
| VICI Properties LP 4.75% 2/15/2028  | 960000 | 967540 |
| Vornado Realty LP 2.15% 6/1/2026  | 400000 | 391295 |
|  |  | 2655026 |
| Health Care REITs - 0.2% |  |  |
| Alexandria Real Estate Equities Inc 3.95% 1/15/2028  | 140000 | 139084 |
| Alexandria Real Estate Equities Inc 4.5% 7/30/2029  | 250000 | 250918 |
| Healthcare Realty Holdings LP 3.5% 8/1/2026  | 240000 | 237875 |
| Healthcare Realty Holdings LP 3.75% 7/1/2027 (d) | 680000 | 673966 |
| Healthpeak OP LLC 1.35% 2/1/2027  | 540000 | 519266 |
| Healthpeak OP LLC 2.125% 12/1/2028  | 160000 | 149700 |
| Omega Healthcare Investors Inc 3.625% 10/1/2029  | 290000 | 277546 |
| Omega Healthcare Investors Inc 5.2% 7/1/2030  | 100000 | 101441 |
| Omega Healthcare Investors Inc 5.25% 1/15/2026  | 910000 | 910073 |
| Ventas Realty LP 4.125% 1/15/2026  | 360000 | 359266 |
| Ventas Realty LP 4.4% 1/15/2029 (d) | 880000 | 882659 |
| Welltower OP LLC 2.05% 1/15/2029  | 780000 | 729409 |
| Welltower OP LLC 4.25% 4/1/2026  | 140000 | 139931 |
|  |  | 5371134 |
| Industrial REITs - 0.0% |  |  |
| Prologis LP 2.25% 4/15/2030  | 490000 | 450586 |
| Prologis LP 4.375% 2/1/2029  | 550000 | 554732 |
| Prologis LP 4.875% 6/15/2028  | 500000 | 511371 |
|  |  | 1516689 |
| Office REITs - 0.1% |  |  |
| Boston Properties LP 2.75% 10/1/2026  | 1390000 | 1365803 |
| Boston Properties LP 3.4% 6/21/2029  | 330000 | 316231 |
| Boston Properties LP 3.65% 2/1/2026  | 320000 | 318500 |
| COPT Defense Properties LP 2% 1/15/2029 (d) | 300000 | 277023 |
| Highwoods Realty LP 4.125% 3/15/2028  | 730000 | 719165 |
| Kilroy Realty LP 4.25% 8/15/2029  | 280000 | 273407 |
| Kilroy Realty LP 4.375% 10/1/2025  | 300000 | 299840 |
|  |  | 3569969 |
| Real Estate Management & Development - 0.1% |  |  |
| CBRE Services Inc 5.5% 4/1/2029  | 330000 | 342265 |
| Digital Realty Trust LP 3.7% 8/15/2027  | 660000 | 654828 |
| Digital Realty Trust LP 4.45% 7/15/2028  | 420000 | 423244 |
| Digital Realty Trust LP 5.55% 1/15/2028  | 260000 | 267802 |
| Essex Portfolio LP 3.375% 4/15/2026  | 240000 | 238363 |
| Essex Portfolio LP 4% 3/1/2029  | 160000 | 158275 |
| Extra Space Storage LP 4% 6/15/2029  | 570000 | 563876 |
| Mid-America Apartments LP 4.2% 6/15/2028  | 340000 | 340881 |
| Tanger Properties LP 3.875% 7/15/2027  | 210000 | 207694 |
|  |  | 3197228 |
| Residential REITs - 0.1% |  |  |
| American Homes 4 Rent LP 4.9% 2/15/2029  | 220000 | 224043 |
| American Homes 4 Rent LP 4.95% 6/15/2030  | 150000 | 152956 |
| AvalonBay Communities Inc 1.9% 12/1/2028  | 90000 | 84220 |
| AvalonBay Communities Inc 3.3% 6/1/2029  | 270000 | 262116 |
| Camden Property Trust 3.15% 7/1/2029  | 790000 | 759048 |
| ERP Operating LP 2.85% 11/1/2026 (d) | 610000 | 601663 |
| UDR Inc 3.5% 7/1/2027  | 650000 | 642138 |
| UDR Inc 4.4% 1/26/2029  | 250000 | 250635 |
|  |  | 2976819 |
| Retail REITs - 0.2% |  |  |
| Agree LP 2% 6/15/2028  | 120000 | 113165 |
| Brixmor Operating Partnership LP 3.9% 3/15/2027  | 170000 | 169009 |
| Brixmor Operating Partnership LP 4.125% 5/15/2029  | 260000 | 257685 |
| Brixmor Operating Partnership LP 4.125% 6/15/2026  | 500000 | 498557 |
| Federal Realty OP LP 1.25% 2/15/2026  | 290000 | 285426 |
| Federal Realty OP LP 3.2% 6/15/2029  | 360000 | 345641 |
| NNN REIT Inc 2.5% 4/15/2030  | 270000 | 249360 |
| NNN REIT Inc 3.5% 10/15/2027  | 260000 | 256506 |
| NNN REIT Inc 4% 11/15/2025  | 240000 | 239620 |
| Realty Income Corp 4% 7/15/2029  | 580000 | 575833 |
| Realty Income Corp 4.7% 12/15/2028 (d) | 730000 | 741793 |
| Realty Income Corp 4.875% 6/1/2026  | 340000 | 340900 |
| Realty Income Corp 5.05% 1/13/2026  | 500000 | 500043 |
| Regency Centers LP 4.125% 3/15/2028 (d) | 280000 | 279496 |
| Simon Property Group LP 1.75% 2/1/2028  | 260000 | 246731 |
| Simon Property Group LP 3.25% 11/30/2026  | 380000 | 376075 |
| Simon Property Group LP 3.375% 6/15/2027  | 100000 | 98972 |
| Simon Property Group LP 4.375% 10/1/2030  | 780000 | 781992 |
|  |  | 6356804 |
| Specialized REITs - 0.4% |  |  |
| American Tower Corp 1.6% 4/15/2026 (d) | 880000 | 864582 |
| American Tower Corp 2.75% 1/15/2027  | 130000 | 127400 |
| American Tower Corp 3.65% 3/15/2027  | 690000 | 684661 |
| American Tower Corp 4.4% 2/15/2026  | 290000 | 290061 |
| American Tower Corp 5.25% 7/15/2028  | 2210000 | 2273460 |
| American Tower Corp 5.8% 11/15/2028  | 100000 | 104534 |
| Crown Castle Inc 1.05% 7/15/2026  | 250000 | 242933 |
| Crown Castle Inc 2.9% 3/15/2027  | 560000 | 548522 |
| Crown Castle Inc 3.65% 9/1/2027  | 370000 | 365436 |
| Crown Castle Inc 3.7% 6/15/2026  | 480000 | 477127 |
| Crown Castle Inc 3.8% 2/15/2028 (d) | 870000 | 858680 |
| Crown Castle Inc 4.45% 2/15/2026  | 260000 | 259441 |
| Crown Castle Inc 4.9% 9/1/2029  | 310000 | 313866 |
| CubeSmart LP 2.25% 12/15/2028  | 400000 | 376392 |
| EPR Properties 4.5% 6/1/2027  | 500000 | 498432 |
| EPR Properties 4.95% 4/15/2028  | 260000 | 261413 |
| Equinix Inc 1.45% 5/15/2026  | 491000 | 480863 |
| Equinix Inc 3.2% 11/18/2029  | 880000 | 840705 |
| Public Storage Operating Co 1.95% 11/9/2028 (d) | 1250000 | 1172890 |
| Weyerhaeuser Co 4% 4/15/2030  | 740000 | 729092 |
| Weyerhaeuser Co 6.95% 10/1/2027 (d) | 150000 | 158105 |
|  |  | 11928595 |
| TOTAL REAL ESTATE |  | 37572264 |
| Utilities - 1.7% |  |  |
| Electric Utilities - 1.2% |  |  |
| AEP Texas Inc 2.1% 7/1/2030  | 280000 | 252342 |
| AEP Texas Inc 3.95% 6/1/2028  | 180000 | 178693 |
| AEP Transmission Co LLC 3.1% 12/1/2026  | 180000 | 177917 |
| American Electric Power Co Inc 1% 11/1/2025  | 260000 | 258418 |
| American Electric Power Co Inc 3.2% 11/13/2027  | 510000 | 499694 |
| American Electric Power Co Inc 4.3% 12/1/2028  | 230000 | 231180 |
| American Electric Power Co Inc 5.75% 11/1/2027  | 1000000 | 1031311 |
| American Electric Power Co Inc 7.05% 12/15/2054 (b) | 400000 | 416944 |
| Avangrid Inc 3.8% 6/1/2029  | 260000 | 255576 |
| CenterPoint Energy Houston Electric LLC 4.8% 3/15/2030 (d) | 350000 | 358385 |
| Cleco Corporate Holdings LLC 3.743% 5/1/2026  | 220000 | 218466 |
| Commonwealth Edison Co 3.7% 8/15/2028 (d) | 660000 | 655140 |
| Connecticut Light and Power Co/The 0.75% 12/1/2025  | 100000 | 99064 |
| Connecticut Light and Power Co/The 3.2% 3/15/2027  | 230000 | 227156 |
| Consolidated Edison Co of New York Inc 3.125% 11/15/2027  | 360000 | 353393 |
| Duke Energy Carolinas LLC 2.95% 12/1/2026  | 240000 | 237111 |
| Duke Energy Carolinas LLC 4.85% 3/15/2030  | 670000 | 689785 |
| Duke Energy Corp 2.65% 9/1/2026  | 340000 | 334866 |
| Duke Energy Corp 3.25% 1/15/2082 (b) | 220000 | 212205 |
| Duke Energy Corp 3.4% 6/15/2029 (d) | 430000 | 417314 |
| Duke Energy Corp 5% 12/8/2027 (d) | 750000 | 763973 |
| Duke Energy Florida LLC 3.2% 1/15/2027  | 260000 | 257308 |
| Duke Energy Progress LLC 3.45% 3/15/2029  | 380000 | 372171 |
| Edison International 4.125% 3/15/2028  | 360000 | 354162 |
| Edison International 5.25% 11/15/2028 (d) | 520000 | 525057 |
| Edison International 5.75% 6/15/2027  | 126000 | 128275 |
| Edison International 6.25% 3/15/2030  | 290000 | 301663 |
| Entergy Corp 7.125% 12/1/2054 (b)(d) | 470000 | 489483 |
| Entergy Louisiana LLC 2.4% 10/1/2026  | 490000 | 480907 |
| Entergy Louisiana LLC 3.12% 9/1/2027  | 510000 | 501159 |
| Eversource Energy 2.9% 3/1/2027  | 160000 | 157112 |
| Eversource Energy 5.45% 3/1/2028 (d) | 1400000 | 1439877 |
| Eversource Energy 5.95% 2/1/2029  | 380000 | 398632 |
| Exelon Corp 2.75% 3/15/2027  | 600000 | 587757 |
| Exelon Corp 3.4% 4/15/2026  | 100000 | 99408 |
| Exelon Corp 4.05% 4/15/2030  | 750000 | 741855 |
| FirstEnergy Corp 3.9% 7/15/2027 (f) | 620000 | 615474 |
| Florida Power & Light Co 5.05% 4/1/2028  | 390000 | 400427 |
| Georgia Power Co 4.65% 5/16/2028 (d) | 800000 | 811835 |
| Interstate Power and Light Co 3.6% 4/1/2029 (d) | 450000 | 441584 |
| NextEra Energy Capital Holdings Inc 1.875% 1/15/2027  | 1220000 | 1182427 |
| NextEra Energy Capital Holdings Inc 3.5% 4/1/2029  | 570000 | 556880 |
| NextEra Energy Capital Holdings Inc 3.8% 3/15/2082 (b) | 1080000 | 1040761 |
| NextEra Energy Capital Holdings Inc 4.625% 7/15/2027 (d) | 1130000 | 1139699 |
| NextEra Energy Capital Holdings Inc 4.8% 12/1/2077 (b) | 150000 | 144664 |
| NextEra Energy Capital Holdings Inc 4.9% 2/28/2028 (d) | 1500000 | 1525548 |
| NSTAR Electric Co 4.85% 3/1/2030  | 350000 | 358429 |
| Oklahoma Gas and Electric Co 3.3% 3/15/2030  | 380000 | 364302 |
| Oncor Electric Delivery Co LLC 4.5% 3/20/2027 (e) | 1500000 | 1510323 |
| Oncor Electric Delivery Co LLC 5.75% 3/15/2029  | 230000 | 240824 |
| Pacific Gas and Electric Co 2.95% 3/1/2026  | 210000 | 207936 |
| Pacific Gas and Electric Co 3% 6/15/2028  | 2120000 | 2043037 |
| Pacific Gas and Electric Co 3.15% 1/1/2026 (d) | 1470000 | 1461115 |
| Pacific Gas and Electric Co 3.3% 12/1/2027  | 180000 | 175725 |
| Pacific Gas and Electric Co 5.45% 6/15/2027  | 310000 | 314648 |
| PacifiCorp 3.5% 6/15/2029  | 400000 | 389138 |
| PPL Capital Funding Inc 3.1% 5/15/2026 (d) | 270000 | 267220 |
| Public Service Electric and Gas Co 0.95% 3/15/2026  | 180000 | 176779 |
| Public Service Electric and Gas Co 2.25% 9/15/2026  | 260000 | 255169 |
| Southern California Edison Co 5.15% 6/1/2029  | 550000 | 561367 |
| Southern California Edison Co 5.3% 3/1/2028 (d) | 1020000 | 1042552 |
| Southern California Edison Co 5.65% 10/1/2028 (d) | 680000 | 704043 |
| Southern Co/The 3.25% 7/1/2026  | 1890000 | 1872870 |
| Southern Co/The 3.75% 9/15/2051 (b) | 400000 | 393962 |
| Southern Co/The 5.5% 3/15/2029  | 1600000 | 1667901 |
| Southwestern Electric Power Co 2.75% 10/1/2026  | 320000 | 314645 |
| System Energy Resources Inc 6% 4/15/2028  | 120000 | 125012 |
| Union Electric Co 2.95% 6/15/2027  | 170000 | 167187 |
| Virginia Electric and Power Co 2.95% 11/15/2026  | 420000 | 414002 |
| Virginia Electric and Power Co 3.15% 1/15/2026  | 360000 | 358266 |
| Wisconsin Public Service Corp 4.55% 12/1/2029  | 100000 | 101790 |
| Xcel Energy Inc 1.75% 3/15/2027  | 590000 | 568722 |
|  |  | 38620022 |
| Gas Utilities - 0.0% |  |  |
| Atmos Energy Corp 3% 6/15/2027  | 180000 | 177212 |
| CenterPoint Energy Resources Corp 5.25% 3/1/2028  | 400000 | 410655 |
| Southern California Gas Co 2.6% 6/15/2026  | 510000 | 503151 |
| Southern California Gas Co 2.95% 4/15/2027  | 460000 | 451784 |
| Southwest Gas Corp 5.45% 3/23/2028  | 300000 | 308569 |
|  |  | 1851371 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| AES Corp/The 1.375% 1/15/2026  | 330000 | 325792 |
| AES Corp/The 5.45% 6/1/2028  | 730000 | 747104 |
|  |  | 1072896 |
| Multi-Utilities - 0.5% |  |  |
| Ameren Corp 1.75% 3/15/2028  | 450000 | 423989 |
| Ameren Corp 5.7% 12/1/2026  | 500000 | 508189 |
| CenterPoint Energy Inc 1.45% 6/1/2026  | 370000 | 361974 |
| CenterPoint Energy Inc 2.95% 3/1/2030  | 380000 | 356821 |
| CenterPoint Energy Inc 6.7% 5/15/2055 (b) | 300000 | 307223 |
| Consumers Energy Co 4.5% 1/15/2031  | 500000 | 504676 |
| Consumers Energy Co 4.7% 1/15/2030  | 340000 | 347103 |
| Consumers Energy Co 4.9% 2/15/2029  | 150000 | 153881 |
| Dominion Energy Inc 1.45% 4/15/2026  | 1900000 | 1866504 |
| Dominion Energy Inc 4.6% 5/15/2028 (d) | 700000 | 707747 |
| Dominion Energy Inc 6% 2/15/2056 (b) | 510000 | 514956 |
| DTE Energy Co 2.85% 10/1/2026  | 100000 | 98553 |
| DTE Energy Co 3.4% 6/15/2029  | 370000 | 357846 |
| DTE Energy Co 4.875% 6/1/2028  | 230000 | 233934 |
| DTE Energy Co 4.95% 7/1/2027  | 390000 | 395198 |
| DTE Energy Co 5.1% 3/1/2029  | 280000 | 287098 |
| DTE Energy Co 5.2% 4/1/2030  | 500000 | 515380 |
| NiSource Inc 5.2% 7/1/2029  | 280000 | 288876 |
| NiSource Inc 5.25% 3/30/2028 (d) | 520000 | 534308 |
| NiSource Inc 6.95% 11/30/2054 (b) | 210000 | 218355 |
| Public Service Enterprise Group Inc 5.2% 4/1/2029 (d) | 620000 | 639453 |
| Public Service Enterprise Group Inc 5.875% 10/15/2028  | 430000 | 450178 |
| Puget Energy Inc 2.379% 6/15/2028  | 310000 | 294158 |
| San Diego Gas & Electric Co 2.5% 5/15/2026  | 280000 | 276553 |
| Sempra 3.25% 6/15/2027  | 1150000 | 1130319 |
| Sempra 3.7% 4/1/2029  | 700000 | 686141 |
| Sempra 5.4% 8/1/2026  | 1500000 | 1512001 |
| Sempra 6.625% 4/1/2055 (b) | 550000 | 551525 |
| WEC Energy Group Inc 2.2% 12/15/2028 (d) | 610000 | 573274 |
| WEC Energy Group Inc 4.75% 1/15/2028  | 320000 | 324907 |
|  |  | 15421120 |
| Water Utilities - 0.0% |  |  |
| American Water Capital Corp 2.95% 9/1/2027  | 270000 | 264537 |
| American Water Capital Corp 3.45% 6/1/2029  | 570000 | 556972 |
|  |  | 821509 |
| TOTAL UTILITIES |  | 57786918 |
| TOTAL UNITED STATES |  | 730550098 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $938,815,745) |  | <br> **950611466** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.3%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.3%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.3%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.3%  |  |  |
| Financials - 0.3% |  |  |
| Financial Services - 0.3% |  |  |
| Federal Home Loan Bank 3% 3/12/2027  | 4900000 | 4851870 |
| Federal Home Loan Bank 4.5% 3/10/2028  | 5000000 | 5105492 |
|  |  | 9957362 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Tennessee Valley Authority 3.875% 8/1/2030  | 900000 | 904116 |
| TOTAL UNITED STATES |  | 10861478 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $10,800,594) |  | <br> **10861478** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 69.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 69.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 69.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 69.5%** |
|  | Yield (%) (g) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Notes 0.375% 7/31/2027  | 4.25 | 4980000 | 4683145 |
| US Treasury Notes 0.5% 10/31/2027  | 3.85 to 4.38 | 95520000 | 89385825 |
| US Treasury Notes 0.5% 4/30/2027  | 4.21 | 61430000 | 58315307 |
| US Treasury Notes 0.5% 5/31/2027  | 4.15 | 850000 | 805010 |
| US Treasury Notes 0.5% 6/30/2027  | 4.13 | 2480000 | 2343213 |
| US Treasury Notes 0.5% 8/31/2027  | 4.11 | 40000 | 37616 |
| US Treasury Notes 0.625% 11/30/2027  | 3.92 to 4.38 | 93260000 | 87340176 |
| US Treasury Notes 0.625% 12/31/2027  | 3.55 to 4.86 | 134130000 | 125275326 |
| US Treasury Notes 0.625% 3/31/2027  | 3.92 | 46820000 | 44638115 |
| US Treasury Notes 0.75% 1/31/2028  | 4.25 | 10800000 | 10094625 |
| US Treasury Notes 1% 7/31/2028  | 3.89 to 4.19 | 65440000 | 60795294 |
| US Treasury Notes 1.125% 2/28/2027  | 3.71 to 3.94 | 23360000 | 22489475 |
| US Treasury Notes 1.125% 2/29/2028  | 4.20 | 26590000 | 25039263 |
| US Treasury Notes 1.125% 8/31/2028  | 3.87 to 4.30 | 108290000 | 100760461 |
| US Treasury Notes 1.25% 12/31/2026  | 4.14 to 4.17 | 35000000 | 33866602 |
| US Treasury Notes 1.25% 4/30/2028  | 4.31 to 4.86 | 60480000 | 56924438 |
| US Treasury Notes 1.25% 5/31/2028  | 4.65 | 50220000 | 47169527 |
| US Treasury Notes 1.5% 1/31/2027  | 2.95 to 3.95 | 954000 | 924672 |
| US Treasury Notes 1.5% 11/30/2028  | 4.23 | 82340000 | 77094041 |
| US Treasury Notes 1.625% 10/31/2026  | 4.14 | 22380000 | 21827494 |
| US Treasury Notes 1.625% 8/15/2029  | 4.29 | 76900000 | 71387832 |
| US Treasury Notes 1.75% 11/15/2029  | 4.06 to 4.35 | 84340000 | 78274768 |
| US Treasury Notes 1.875% 2/28/2027  | 4.25 | 107050000 | 104193939 |
| US Treasury Notes 2.625% 5/31/2027  | 3.21 | 1260000 | 1237753 |
| US Treasury Notes 2.75% 5/31/2029  | 4.53 | 61350000 | 59490328 |
| US Treasury Notes 2.75% 7/31/2027  | 3.65 | 3840000 | 3776550 |
| US Treasury Notes 2.875% 4/30/2029  | 4.74 | 45490000 | 44338534 |
| US Treasury Notes 3.25% 6/30/2029  | 4.38 | 32920000 | 32476352 |
| US Treasury Notes 3.5% 9/30/2029  | 3.57 | 20330000 | 20221203 |
| US Treasury Notes 3.625% 8/31/2027  | 3.61 | 8340000 | 8341629 |
| US Treasury Notes 3.625% 8/31/2029  | 3.72 to 3.94 | 63080000 | 63050431 |
| US Treasury Notes 3.625% 8/31/2030  | 3.69 | 70000000 | 69786718 |
| US Treasury Notes 3.75% 12/31/2028  | 3.83 | 6020000 | 6047043 |
| US Treasury Notes 3.75% 4/15/2028  | 3.58 | 17660000 | 17727605 |
| US Treasury Notes 3.75% 4/30/2027  | 3.60 to 4.01 | 67070000 | 67140738 |
| US Treasury Notes 3.75% 5/15/2028  | 3.85 to 3.96 | 22140000 | 22231921 |
| US Treasury Notes 3.75% 6/30/2027  | 3.72 | 47310000 | 47391314 |
| US Treasury Notes 3.875% 12/31/2029  | 4.39 | 4610000 | 4649797 |
| US Treasury Notes 3.875% 3/15/2028  | 3.88 | 12930000 | 13021924 |
| US Treasury Notes 3.875% 3/31/2027  | 3.89 | 34290000 | 34378404 |
| US Treasury Notes 3.875% 4/30/2030  | 3.72 | 11590000 | 11688243 |
| US Treasury Notes 3.875% 5/31/2027  | 3.89 to 3.94 | 68720000 | 68950857 |
| US Treasury Notes 3.875% 6/15/2028  | 3.69 | 15420000 | 15539264 |
| US Treasury Notes 3.875% 6/30/2030  | 3.80 | 48330000 | 48726457 |
| US Treasury Notes 3.875% 7/15/2028  | 3.89 | 23000000 | 23177891 |
| US Treasury Notes 3.875% 7/31/2027  | 3.94 | 11900000 | 11949273 |
| US Treasury Notes 3.875% 7/31/2030  | 3.96 | 26310000 | 26521713 |
| US Treasury Notes 4% 2/28/2030  | 4.00 | 72400000 | 73415297 |
| US Treasury Notes 4% 3/31/2030  | 3.95 | 38270000 | 38794718 |
| US Treasury Notes 4% 5/31/2030  | 3.95 | 87270000 | 88480190 |
| US Treasury Notes 4% 6/30/2028  | 4.28 | 6610000 | 6683846 |
| US Treasury Notes 4% 7/31/2029  | 3.94 | 22050000 | 22342559 |
| US Treasury Notes 4.125% 10/31/2029  | 4.15 | 48720000 | 49601147 |
| US Treasury Notes 4.125% 11/30/2029  | 4.08 | 14500000 | 14765645 |
| US Treasury Notes 4.125% 2/28/2027  | 3.99 | 41950000 | 42189246 |
| US Treasury Notes 4.125% 7/31/2028  | 3.90 | 25440000 | 25813650 |
| US Treasury Notes 4.25% 12/31/2026  | 4.25 to 4.33 | 27200000 | 27362562 |
| US Treasury Notes 4.25% 2/15/2028  | 3.96 | 31450000 | 31928487 |
| US Treasury Notes 4.25% 2/28/2029  | 4.18 to 4.36 | 12010000 | 12260990 |
| US Treasury Notes 4.375% 11/30/2028  | 3.88 | 3860000 | 3950770 |
| US Treasury Notes 4.375% 12/15/2026  | 4.05 to 4.06 | 31650000 | 31882430 |
| US Treasury Notes 4.375% 12/31/2029  | 3.73 | 15580000 | 16021230 |
| US Treasury Notes 4.5% 5/15/2027  | 4.66 | 10000 | 10133 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $2,302,917,720) |  |  | **2331031006** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 0.8%** | &nbsp;&nbsp;**Money Market Funds - 0.8%** | &nbsp;&nbsp;**Money Market Funds - 0.8%** | &nbsp;&nbsp;**Money Market Funds - 0.8%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (h) | 4.36 | 5151402 | 5152432 |
| Fidelity Securities Lending Cash Central Fund (h)(i) | 4.36 | 23091686 | 23093995 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $28,246,427) |  |  | **28246427** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.3%**<br> (Cost $3,325,879,674)<br>| <br>**3366366983** |
| **NET OTHER ASSETS (LIABILITIES) - (0.3)%**  | **(9691254)** |
| **NET ASSETS - 100.0%** | **3356675729** |

---

**Legend**

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

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

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

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

(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $3,532,184 or 0.1% of net assets.

(f) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(g) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(h) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

(i) Investment made with cash collateral received from securities on loan.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 8081256 | 462186040 | 465114864 | 504371 | - | - | 5152432 | 5151402 | 0.0% |
| Fidelity Securities Lending Cash Central Fund | - | 795285726 | 772191731 | 64682 | - | - | 23093995 | 23091686 | 0.1% |
| Total | 8081256 | 1257471766 | 1237306595 | 569053 | - | - | 28246427 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium income received for lending certain types of securities.

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

**Investment Valuation**

The following is a summary of the inputs used, as of August 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Bank Notes** |  |  |  |  |
| Financials | 16923126 | - | 16923126 | - |
|  **Foreign Government and Government Agency Obligations** | 28693480 | - | 28693480 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 41884982 | - | 41884982 | - |
| Consumer Discretionary | 47477346 | - | 47477346 | - |
| Consumer Staples | 49655941 | - | 49655941 | - |
| Energy | 43946520 | - | 43946520 | - |
| Financials | 449063032 | - | 449063032 | - |
| Health Care | 83102008 | - | 83102008 | - |
| Industrials | 53600641 | - | 53600641 | - |
| Information Technology | 67618138 | - | 67618138 | - |
| Materials | 17691334 | - | 17691334 | - |
| Real Estate | 37572264 | - | 37572264 | - |
| Utilities | 58999260 | - | 58999260 | - |
|  **U.S. Government Agency Obligations** |  |  |  |  |
| Financials | 9957362 | - | 9957362 | - |
| Utilities | 904116 | - | 904116 | - |
|  **U.S. Treasury Obligations** | 2331031006 | - | 2331031006 | - |
|  **Money Market Funds** | 28246427 | 28246427 | - | - |
| **Total Investments in Securities:** | 3366366983 | 28246427 | 3338120556 | - |

---

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of August 31, 2025** | **As of August 31, 2025** | **As of August 31, 2025** |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $22,335,834) - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $3,297,633,247) | $3338120556 |  |
| Fidelity Central Funds (cost $28,246,427) | 28246427 |  |
| Total Investment in Securities (cost $3,325,879,674) |  | $3366366983 |
| Foreign currency held at value (cost $399) |  | 439 |
| Receivable for investments sold |  | 67738672 |
| Receivable for fund shares sold |  | 8708359 |
| Interest receivable |  | 27263305 |
| Distributions receivable from Fidelity Central Funds |  | 17094 |
| **Total assets** |  | 3470094852 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $78134142 |  |
| Payable for fund shares redeemed | 4222348 |  |
| Distributions payable | 7884799 |  |
| Accrued management fee | 83839 |  |
| Collateral on securities loaned | 23093995 |  |
| **Total liabilities** |  | 113419123 |
| **Net Assets**  |  | $3356675729 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $3350253878 |
| Total accumulated earnings (loss) |  | 6421851 |
| **Net Assets** |  | $3356675729 |
| **Net Asset Value**, offering price and redemption price per share ($3,356,675,729 ÷ 331,233,578 shares) |  | $10.13 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** |
| **Investment Income** |  |  |
| Interest  |  | $127843028 |
| Income from Fidelity Central Funds (including $64,682 from security lending)  |  | 569053 |
| **Total income** |  | 128412081 |
| **Expenses** |  |  |
| Management fee | $941088 |  |
| Independent trustees' fees and expenses | 7674 |  |
| Total expenses before reductions | 948762 |  |
| Expense reductions | (4027) |  |
| Total expenses after reductions |  | 944735 |
| **Net Investment income (loss)** |  | 127467346 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (3317342) |  |
| Total net realized gain (loss) |  | (3317342) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 25399591 |  |
| Assets and liabilities in foreign currencies | 25 |  |
| Total change in net unrealized appreciation (depreciation) |  | 25399616 |
| **Net gain (loss)** |  | 22082274 |
| **Net increase (decrease) in net assets resulting from operations** |  | $149549620 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **August 31, 2025** | **Year ended**<br> **August 31, 2024** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $127467346 | $90612425 |
| &nbsp;&nbsp;Net realized gain (loss) | (3317342)<br>| (23285371)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 25399616 | 94424749<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 149549620<br>| 161751803<br>|
| Distributions to shareholders | (101248697)<br>| (48042770)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 1160730886 | 993219603 |
| Reinvestment of distributions | 80771439<br>| 36715543<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (705918310) | (715849263) |
| **Net increase (decrease) in net assets resulting from share transactions** | 535584015<br>| 314085883<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 583884938<br>| 427794916<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 2772790791 | 2344995875<br>|
| &nbsp;&nbsp;End of period | $3356675729 | $2772790791 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 116317959 | 102218230 |
| Issued in reinvestment of distributions | 8103640<br>| 3768129<br>|
| &nbsp;&nbsp;Redeemed | (70682428) | (73952845) |
| &nbsp;&nbsp;Net increase (decrease) | 53739171 | 32033514 |

---

**Financial Highlights** 

**Fidelity® Short-Term Bond Index Fund** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.99 | $9.55 | $9.58 | $10.28 | $10.40 |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) A,B | .405  | .360  | .263  | .109  | .090  |
| Net realized and unrealized gain (loss)  | .059  | .271  | (.150)  | (.706)  | (.071)  |
| Total from investment operations  | .464  | .631  | .113  | (.597)  | .019  |
| Distributions from net investment income  | (.324)  | (.191)  | (.143)  | (.085)  | (.090)  |
| Distributions from net realized gain  | -  | -  | -  | (.018)  | (.049)  |
| Total distributions  | (.324)  | (.191)  | (.143)  | (.103)  | (.139)  |
| Net asset value, end of period  | $10.13 | $9.99 | $9.55 | $9.58 | $10.28 |
| **Total Return** C | 4.74% <br>| 6.68%  | 1.19%  | (5.84)%  | .19%  |
| **Ratios to Average Net Assets** B,D,E |  |  |  |  |  |
| Expenses before reductions  | .03%  | .03%  | .03%  | .03%  | .03%  |
| Expenses net of fee waivers, if any  | .03% <br>| .03%  | .03%  | .03%  | .03%  |
| Expenses net of all reductions, if any  | .03%  | .03%  | .03%  | .03%  | .03%  |
| Net investment income (loss)  | 4.06%  | 3.71%  | 2.76%  | 1.10%  | .87%  |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $3356676 | $2772791 | $2344996 | $2310878 | $2049402 |
| Portfolio turnover rate F | 55% <br>| 80%  | 79%  | 92%  | 44%  |

---

A*Calculated based on average shares outstanding during the period.*

B*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

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

D*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

E*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

F*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

**Notes to Financial Statements**

For the period ended August 31, 2025

**1. Organization.**

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

**2. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**3. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

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

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2025 is included at the end of the Fund's Schedule of Investments.

**Foreign Currency.** Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2025, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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

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

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

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

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $102447143 |
| **Gross unrealized depreciation**  | <u>(2668460)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$99778683</u> |
| **Tax Cost**  | <u>$3266588300</u> |

---

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

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$18587195</u> |
| **Capital loss carryforward**  | <u>$(111944067)</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$99778723</u> |

---

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | $(39469248) |
| Long-term | <u>(72474819)</u> |
| **Total capital loss carryforward** | <u>$(111944067)</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **August 31, 2025** | **August 31, 2024** |
| **Ordinary Income**  | $101248697 | $48042770 |

---

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**New Accounting Pronouncements.** FASB Accounting Standards Update (ASU) 2023-07 Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures became effective in this reporting period. ASU 2023-07 enhances segment information disclosure in the notes to financial statements.

In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Short-Term Bond Index Fund** | 307178174 | 224129731 |

---

**5. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is based on an annual rate of .03% of the Fund's average net assets. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**6. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are borne by the investment adviser.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2026 unless extended or renewed.

**7. Security Lending.** 

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, the borrowers provide collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the fair value of the loaned securities during the period of the loan. The fair value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned or gaining access to non-cash collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral less rebates paid to borrowers, plus any premium income received, or for non-cash collateral, fees received from borrowers as compensation for the securities loaned. Securities lending income is reduced by any lending agent fees associated with the loan. Any security lending income earned on investing cash collateral is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Any security lending income earned on non-cash collateral is presented in the Statement of Operations as a component of interest. Affiliated security lending activity, if any, was as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** | **Security Lending Income From Securities Loaned to NFS ($)** | **Value of Securities Loaned to NFS at Period End ($)** |
| **Fidelity Short-Term Bond Index Fund** | 6364 | - | - |

---

**8. Expense Reductions.** 

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $4,027.

**9. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

**10. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Salem Street Trust and the Shareholders of Fidelity Short-Term Bond Index Fund:

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statement of assets and liabilities of Fidelity Short-Term Bond Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of August 31, 2025, the related statement of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the "financial statements and financial highlights"). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of August 31, 2025, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

October 10, 2025

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

**Distributions** **(Unaudited)**

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

A total of 69.28% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $69,205,999 of distributions paid in the calendar year 2024 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates $101,248,697 of distributions paid during the fiscal year ended 2025 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2026 of amounts for use in preparing 2025 income tax returns.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img113702_4.jpg)<br>

1.9884849.107 SDX-I-ANN-1025

**Fidelity® Series Corporate Bond Fund**

**Annual Report**

**August 31, 2025**

![](img113709_1.jpg)

![](img113709_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_XBC-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Series Corporate Bond Fund](#Sub_Sec_Fund_3220_XBC-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements3220_XBC-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_XBC-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_XBC-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_XBC-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_XBC-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_XBC-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_XBC-ANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

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

**Fidelity® Series Corporate Bond Fund**

**Schedule of Investments August 31, 2025**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 0.5%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.5%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.5%  |  |  |
| Jersey Mike's Funding Series 2024-1A Class A2, 5.636% 2/15/2055 (b) | 388050 | 395523 |
| Subway Funding LLC Series 2024-1A Class A23, 6.505% 7/30/2054 (b) | 376158 | 387032 |
| Subway Funding LLC Series 2024-1A Class A2I, 6.028% 7/30/2054 (b) | 721548 | 732811 |
| Subway Funding LLC Series 2024-1A Class A2II, 6.268% 7/30/2054 (b) | 428760 | 438879 |
| Subway Funding LLC Series 2024-3A Class A23, 5.914% 7/30/2054 (b) | 529003 | 525388 |
| Subway Funding LLC Series 2024-3A Class A2I, 5.246% 7/30/2054 (b) | 551830 | 551455 |
| Subway Funding LLC Series 2024-3A Class A2II, 5.566% 7/30/2054 (b) | 906153 | 907168 |
| TOTAL UNITED STATES |  | 3938256 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $3,895,635) |  | <br> **3938256** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 0.0%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 0.0%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| TCO Commercial Mortgage Trust Series 2024-DPM Class B, CME Term SOFR 1 month Index + 1.5924%, 5.9555% 12/15/2039 (b)(c)(d)<br> (Cost $133,675) | 134000 | **134000** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| MEXICO - 0.1%  |  |  |
| United Mexican States 3.25% 4/16/2030  | 200000 | 186983 |
| United Mexican States 4.5% 4/22/2029  | 1000000 | 996250 |
| TOTAL MEXICO |  | 1183233 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $1,268,461) |  | <br> **1183233** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 83.2%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 83.2%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 83.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.3%  |  |  |
| Financials - 0.3% |  |  |
| Banks - 0.3% |  |  |
| Commonwealth Bank of Australia 3.784% 3/14/2032 (b) | 1280000 | 1202291 |
| Westpac Banking Corp 5.405% 8/10/2033 (d) | 1400000 | 1430222 |
| TOTAL AUSTRALIA |  | 2632513 |
| BELGIUM - 1.1%  |  |  |
| Consumer Staples - 0.1% |  |  |
| Beverages - 0.1% |  |  |
| Anheuser-Busch InBev Worldwide Inc 4.439% 10/6/2048  | 500000 | 421455 |
| Anheuser-Busch InBev Worldwide Inc 4.9% 1/23/2031  | 525000 | 543456 |
|  |  | 964911 |
| Financials - 1.0% |  |  |
| Banks - 1.0% |  |  |
| KBC Group NV 4.932% 10/16/2030 (b)(d) | 6373000 | 6486930 |
| KBC Group NV 6.324% 9/21/2034 (b)(d) | 1700000 | 1840896 |
|  |  | 8327826 |
| TOTAL BELGIUM |  | 9292737 |
| BRAZIL - 0.3%  |  |  |
| Materials - 0.3% |  |  |
| Metals & Mining - 0.3% |  |  |
| Vale Overseas Ltd 6.4% 6/28/2054  | 2210000 | 2200055 |
| CANADA - 3.0%  |  |  |
| Communication Services - 0.2% |  |  |
| Wireless Telecommunication Services - 0.2% |  |  |
| Rogers Communications Inc 3.8% 3/15/2032  | 238000 | 223342 |
| Rogers Communications Inc 4.55% 3/15/2052  | 1450000 | 1167764 |
|  |  | 1391106 |
| Consumer Staples - 0.0% |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| Alimentation Couche-Tard Inc 2.95% 1/25/2030 (b) | 138000 | 130352 |
| Energy - 1.6% |  |  |
| Oil, Gas & Consumable Fuels - 1.6% |  |  |
| Canadian Natural Resources Ltd 2.95% 7/15/2030  | 1071000 | 998447 |
| Canadian Natural Resources Ltd 6.25% 3/15/2038  | 3175000 | 3323955 |
| Canadian Natural Resources Ltd 6.5% 2/15/2037  | 2100000 | 2237884 |
| Cenovus Energy Inc 2.65% 1/15/2032  | 159000 | 139567 |
| Cenovus Energy Inc 3.75% 2/15/2052  | 480000 | 326149 |
| Cenovus Energy Inc 5.25% 6/15/2037  | 413000 | 393426 |
| Cenovus Energy Inc 5.4% 6/15/2047  | 39000 | 34756 |
| Cenovus Energy Inc 6.75% 11/15/2039  | 45000 | 48749 |
| Enbridge Inc 3.4% 8/1/2051  | 900000 | 594787 |
| Enbridge Inc 4.5% 6/10/2044  | 250000 | 208291 |
| Enbridge Inc 5.55% 6/20/2035  | 2000000 | 2036820 |
| Enbridge Inc 5.95% 4/5/2054  | 2549000 | 2514497 |
| Enbridge Inc 7.2% 6/27/2054 (d) | 900000 | 935867 |
|  |  | 13793195 |
| Financials - 0.7% |  |  |
| Insurance - 0.7% |  |  |
| Empower Finance 2020 LP 1.776% 3/17/2031 (b) | 324000 | 287841 |
| Empower Finance 2020 LP 3.075% 9/17/2051 (b) | 540000 | 338540 |
| Fairfax Financial Holdings Ltd 3.375% 3/3/2031  | 571000 | 536560 |
| Fairfax Financial Holdings Ltd 5.75% 5/20/2035 (b) | 2000000 | 2042572 |
| Fairfax Financial Holdings Ltd 6% 12/7/2033  | 1400000 | 1472097 |
| Intact Financial Corp 5.459% 9/22/2032 (b) | 1117000 | 1141956 |
|  |  | 5819566 |
| Utilities - 0.5% |  |  |
| Independent Power and Renewable Electricity Producers - 0.5% |  |  |
| Emera US Finance LP 3.55% 6/15/2026  | 2550000 | 2528652 |
| Emera US Finance LP 4.75% 6/15/2046  | 1775000 | 1479138 |
|  |  | 4007790 |
| TOTAL CANADA |  | 25142009 |
| FRANCE - 0.9%  |  |  |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| TotalEnergies Capital International SA 3.127% 5/29/2050  | 800000 | 525655 |
| Financials - 0.8% |  |  |
| Banks - 0.8% |  |  |
| BNP Paribas SA 1.323% 1/13/2027 (b)(d) | 1182000 | 1168197 |
| BNP Paribas SA 2.591% 1/20/2028 (b)(d) | 490000 | 478155 |
| BNP Paribas SA 3.052% 1/13/2031 (b)(d) | 875000 | 820834 |
| BNP Paribas SA 3.132% 1/20/2033 (b)(d) | 1250000 | 1126016 |
| BPCE SA 5.975% 1/18/2027 (b)(d) | 3000000 | 3014875 |
| Societe Generale SA 3% 1/22/2030 (b) | 430000 | 401767 |
|  |  | 7009844 |
| TOTAL FRANCE |  | 7535499 |
| GERMANY - 1.5%  |  |  |
| Financials - 0.3% |  |  |
| Capital Markets - 0.2% |  |  |
| Deutsche Bank AG/New York NY 2.129% 11/24/2026 (d) | 1650000 | 1640627 |
| Insurance - 0.1% |  |  |
| Allianz SE 5.6% 9/3/2054 (b)(d) | 1200000 | 1219441 |
| TOTAL FINANCIALS |  | 2860068 |
| Health Care - 1.1% |  |  |
| Pharmaceuticals - 1.1% |  |  |
| Bayer US Finance II LLC 4.875% 6/25/2048 (b) | 1150000 | 944386 |
| Bayer US Finance LLC 6.5% 11/21/2033 (b) | 4300000 | 4608389 |
| Bayer US Finance LLC 6.875% 11/21/2053 (b) | 3110000 | 3291154 |
|  |  | 8843929 |
| Industrials - 0.1% |  |  |
| Machinery - 0.1% |  |  |
| Daimler Truck Finance North America LLC 2% 12/14/2026 (b) | 1276000 | 1241092 |
| TOTAL GERMANY |  | 12945089 |
| IRELAND - 2.3%  |  |  |
| Financials - 1.0% |  |  |
| Consumer Finance - 1.0% |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026  | 227000 | 222351 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3% 10/29/2028  | 237000 | 228024 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.3% 1/30/2032  | 1754000 | 1605842 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.4% 10/29/2033  | 526000 | 467536 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.85% 10/29/2041  | 860000 | 692451 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.95% 9/10/2034  | 1640000 | 1617687 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5.75% 6/6/2028  | 1200000 | 1244635 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.15% 9/30/2030  | 1800000 | 1929621 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.45% 4/15/2027  | 599000 | 618341 |
|  |  | 8626488 |
| Industrials - 1.0% |  |  |
| Transportation Infrastructure - 1.0% |  |  |
| Avolon Holdings Funding Ltd 2.528% 11/18/2027 (b) | 1601000 | 1536551 |
| Avolon Holdings Funding Ltd 5.15% 1/15/2030 (b) | 1630000 | 1657586 |
| Avolon Holdings Funding Ltd 5.75% 3/1/2029 (b) | 4300000 | 4449897 |
| Avolon Holdings Funding Ltd 6.375% 5/4/2028 (b) | 440000 | 460194 |
|  |  | 8104228 |
| Materials - 0.3% |  |  |
| Containers & Packaging - 0.3% |  |  |
| Smurfit Kappa Treasury ULC 5.438% 4/3/2034  | 1700000 | 1744873 |
| Smurfit Westrock Financing DAC 5.418% 1/15/2035  | 1175000 | 1196361 |
|  |  | 2941234 |
| TOTAL IRELAND |  | 19671950 |
| ISRAEL - 0.0%  |  |  |
| Health Care - 0.0% |  |  |
| Pharmaceuticals - 0.0% |  |  |
| Teva Pharmaceutical Finance Netherlands III BV 6% 12/1/2032  | 200000 | 205665 |
| Teva Pharmaceutical Finance Netherlands IV BV 5.75% 12/1/2030  | 200000 | 204423 |
| TOTAL ISRAEL |  | 410088 |
| ITALY - 0.5%  |  |  |
| Financials - 0.3% |  |  |
| Banks - 0.3% |  |  |
| Intesa Sanpaolo SpA 5.71% 1/15/2026 (b) | 1126000 | 1128518 |
| Intesa Sanpaolo SpA 7.2% 11/28/2033 (b) | 500000 | 565418 |
| UniCredit SpA 1.982% 6/3/2027 (b)(d) | 1200000 | 1178071 |
|  |  | 2872007 |
| Utilities - 0.2% |  |  |
| Electric Utilities - 0.2% |  |  |
| Enel Finance International NV 5.5% 6/26/2034 (b) | 1452000 | 1489610 |
| TOTAL ITALY |  | 4361617 |
| JAPAN - 1.0%  |  |  |
| Communication Services - 0.6% |  |  |
| Diversified Telecommunication Services - 0.6% |  |  |
| NTT Finance Corp 4.567% 7/16/2027 (b) | 200000 | 201268 |
| NTT Finance Corp 4.62% 7/16/2028 (b) | 200000 | 202134 |
| NTT Finance Corp 4.876% 7/16/2030 (b) | 302000 | 306662 |
| NTT Finance Corp 5.171% 7/16/2032 (b) | 3300000 | 3362244 |
| NTT Finance Corp 5.502% 7/16/2035 (b) | 1200000 | 1229482 |
|  |  | 5301790 |
| Consumer Staples - 0.4% |  |  |
| Tobacco - 0.4% |  |  |
| Japan Tobacco Inc 5.21% 6/15/2030 (b) | 1500000 | 1557760 |
| Japan Tobacco Inc 5.856% 6/15/2035 (b) | 1500000 | 1584152 |
|  |  | 3141912 |
| TOTAL JAPAN |  | 8443702 |
| MEXICO - 0.1%  |  |  |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Petroleos Mexicanos 4.5% 1/23/2026  | 1000000 | 992450 |
| Petroleos Mexicanos 6.49% 1/23/2027  | 75000 | 75101 |
| Petroleos Mexicanos 6.5% 3/13/2027  | 80000 | 80360 |
| TOTAL MEXICO |  | 1147911 |
| NETHERLANDS - 0.8%  |  |  |
| Consumer Staples - 0.0% |  |  |
| Food Products - 0.0% |  |  |
| JDE Peet's NV 2.25% 9/24/2031 (b) | 545000 | 474221 |
| Financials - 0.7% |  |  |
| Banks - 0.7% |  |  |
| ABN AMRO Bank NV 5.515% 12/3/2035 (b)(d) | 5100000 | 5219540 |
| Cooperatieve Rabobank UA 3.75% 7/21/2026  | 300000 | 298067 |
|  |  | 5517607 |
| Information Technology - 0.1% |  |  |
| Semiconductors & Semiconductor Equipment - 0.1% |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 4.85% 8/19/2032  | 250000 | 249864 |
| NXP BV / NXP Funding LLC / NXP USA Inc 5.25% 8/19/2035  | 720000 | 715394 |
|  |  | 965258 |
| TOTAL NETHERLANDS |  | 6957086 |
| NORWAY - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Equinor ASA 1.75% 1/22/2026  | 61000 | 60382 |
| SPAIN - 0.7%  |  |  |
| Financials - 0.6% |  |  |
| Banks - 0.6% |  |  |
| Banco Santander SA 2.749% 12/3/2030  | 1000000 | 901475 |
| CaixaBank SA 5.673% 3/15/2030 (b)(d) | 1400000 | 1455378 |
| CaixaBank SA 6.037% 6/15/2035 (b)(d) | 1970000 | 2074630 |
|  |  | 4431483 |
| Utilities - 0.1% |  |  |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |
| Atlantica Sustainable Infrastructure Ltd 4.125% 6/15/2028 (b) | 1215000 | 1176694 |
| TOTAL SPAIN |  | 5608177 |
| SWITZERLAND - 0.7%  |  |  |
| Financials - 0.7% |  |  |
| Capital Markets - 0.7% |  |  |
| UBS Group AG 1.305% 2/2/2027 (b)(d) | 800000 | 789676 |
| UBS Group AG 2.095% 2/11/2032 (b)(d) | 1550000 | 1362825 |
| UBS Group AG 3.091% 5/14/2032 (b)(d) | 1200000 | 1104521 |
| UBS Group AG 3.126% 8/13/2030 (b)(d) | 613000 | 584523 |
| UBS Group AG 4.194% 4/1/2031 (b)(d) | 800000 | 790589 |
| UBS Group AG 6.537% 8/12/2033 (b)(d) | 500000 | 548293 |
| UBS Group AG 9.016% 11/15/2033 (b)(d) | 300000 | 373656 |
| TOTAL SWITZERLAND |  | 5554083 |
| UNITED KINGDOM - 3.7%  |  |  |
| Consumer Staples - 0.7% |  |  |
| Tobacco - 0.7% |  |  |
| BAT Capital Corp 2.259% 3/25/2028  | 1225000 | 1167069 |
| BAT Capital Corp 2.726% 3/25/2031  | 2800000 | 2546915 |
| BAT Capital Corp 5.834% 2/20/2031  | 468000 | 494921 |
| BAT Capital Corp 6.421% 8/2/2033  | 1300000 | 1417324 |
|  |  | 5626229 |
| Financials - 2.8% |  |  |
| Banks - 2.8% |  |  |
| Barclays PLC 2.645% 6/24/2031 (d) | 450000 | 412759 |
| Barclays PLC 2.894% 11/24/2032 (d) | 500000 | 447910 |
| Barclays PLC 5.2% 5/12/2026  | 1750000 | 1756709 |
| Barclays PLC 5.367% 2/25/2031 (d) | 1700000 | 1753400 |
| Barclays PLC 5.746% 8/9/2033 (d) | 349000 | 364915 |
| Barclays PLC 5.785% 2/25/2036 (d) | 1700000 | 1753535 |
| Barclays PLC 6.692% 9/13/2034 (d) | 1800000 | 1971922 |
| Barclays PLC 7.437% 11/2/2033 (d) | 1100000 | 1256122 |
| HSBC Holdings PLC 2.357% 8/18/2031 (d) | 1002000 | 904045 |
| HSBC Holdings PLC 2.848% 6/4/2031 (d) | 1800000 | 1670285 |
| HSBC Holdings PLC 5.24% 5/13/2031 (d) | 1900000 | 1953137 |
| HSBC Holdings PLC 7.39% 11/3/2028 (d) | 720000 | 765254 |
| Lloyds Banking Group PLC 4.65% 3/24/2026  | 1000000 | 999749 |
| Lloyds Banking Group PLC 7.953% 11/15/2033 (d) | 1000000 | 1153861 |
| Standard Chartered PLC 5.005% 10/15/2030 (b)(d) | 1140000 | 1160261 |
| Standard Chartered PLC 5.545% 1/21/2029 (b)(d) | 1088000 | 1115295 |
| Standard Chartered PLC 6.228% 1/21/2036 (b)(d) | 3000000 | 3206123 |
|  |  | 22645282 |
| Industrials - 0.2% |  |  |
| Aerospace & Defense - 0.2% |  |  |
| BAE Systems PLC 5.25% 3/26/2031 (b) | 200000 | 208331 |
| BAE Systems PLC 5.3% 3/26/2034 (b) | 800000 | 820894 |
| BAE Systems PLC 5.5% 3/26/2054 (b) | 264000 | 257748 |
|  |  | 1286973 |
| Passenger Airlines - 0.0% |  |  |
| British Airways 2021-1 Class A Pass Through Trust equipment trust certificate 2.9% 9/15/2036 (b) | 246871 | 225087 |
| TOTAL INDUSTRIALS |  | 1512060 |
| TOTAL UNITED KINGDOM |  | 29783571 |
| UNITED STATES - 66.3%  |  |  |
| Communication Services - 3.8% |  |  |
| Diversified Telecommunication Services - 0.9% |  |  |
| AT&T Inc 2.25% 2/1/2032  | 650000 | 562937 |
| AT&T Inc 3.65% 9/15/2059  | 223000 | 147621 |
| AT&T Inc 3.8% 12/1/2057  | 1354000 | 931741 |
| AT&T Inc 4.35% 3/1/2029  | 900000 | 903853 |
| Verizon Communications Inc 2.355% 3/15/2032  | 3000000 | 2604370 |
| Verizon Communications Inc 2.55% 3/21/2031  | 1539000 | 1395730 |
| Verizon Communications Inc 3.7% 3/22/2061  | 1300000 | 890764 |
| Verizon Communications Inc 4.78% 2/15/2035  | 291000 | 283746 |
| Verizon Communications Inc 5.401% 7/2/2037 (b) | 44000 | 44187 |
|  |  | 7764949 |
| Entertainment - 0.2% |  |  |
| Walt Disney Co/The 3.8% 3/22/2030  | 600000 | 593559 |
| Walt Disney Co/The 4.75% 9/15/2044  | 320000 | 289578 |
| Walt Disney Co/The 6.65% 11/15/2037  | 970000 | 1112722 |
|  |  | 1995859 |
| Media - 2.5% |  |  |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.25% 4/1/2053  | 342000 | 279543 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/2047  | 120000 | 101973 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.5% 4/1/2063  | 450000 | 368333 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.75% 4/1/2048  | 1950000 | 1737877 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.1% 6/1/2029  | 1979000 | 2080187 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.55% 6/1/2034  | 4803000 | 5094976 |
| Comcast Corp 2.937% 11/1/2056  | 679000 | 390935 |
| Comcast Corp 2.987% 11/1/2063  | 2211000 | 1229762 |
| Comcast Corp 5.3% 5/15/2035  | 2500000 | 2550492 |
| Cox Communications Inc 1.8% 10/1/2030 (b) | 740000 | 644293 |
| Discovery Communications LLC 3.95% 3/20/2028  | 481000 | 464944 |
| Time Warner Cable LLC 5.5% 9/1/2041  | 3052000 | 2757649 |
| Time Warner Cable LLC 5.875% 11/15/2040  | 2475000 | 2364753 |
| Time Warner Cable LLC 7.3% 7/1/2038  | 500000 | 544532 |
| Warnermedia Holdings Inc 3.755% 3/15/2027  | 79000 | 77815 |
|  |  | 20688064 |
| Wireless Telecommunication Services - 0.2% |  |  |
| T-Mobile USA Inc 2.4% 3/15/2029  | 381000 | 358368 |
| T-Mobile USA Inc 2.7% 3/15/2032  | 1382000 | 1224330 |
|  |  | 1582698 |
| TOTAL COMMUNICATION SERVICES |  | 32031570 |
| Consumer Discretionary - 2.6% |  |  |
| Automobiles - 1.3% |  |  |
| Ford Motor Co 3.25% 2/12/2032  | 1400000 | 1200214 |
| General Motors Co 5.95% 4/1/2049  | 1300000 | 1222347 |
| General Motors Financial Co Inc 3.1% 1/12/2032  | 1400000 | 1244826 |
| General Motors Financial Co Inc 5.55% 7/15/2029  | 3500000 | 3608435 |
| General Motors Financial Co Inc 5.95% 4/4/2034  | 1700000 | 1742472 |
| Stellantis Finance US Inc 5.75% 3/18/2030 (b) | 1748000 | 1769699 |
|  |  | 10787993 |
| Distributors - 0.0% |  |  |
| Genuine Parts Co 2.75% 2/1/2032  | 747000 | 660006 |
| Specialty Retail - 1.3% |  |  |
| Advance Auto Parts Inc 1.75% 10/1/2027  | 2313000 | 2157303 |
| Advance Auto Parts Inc 3.9% 4/15/2030  | 1000000 | 922424 |
| Home Depot Inc/The 1.375% 3/15/2031  | 575000 | 494006 |
| Home Depot Inc/The 4.95% 6/25/2034  | 2050000 | 2085141 |
| Lowe's Cos Inc 3.5% 4/1/2051  | 975000 | 659970 |
| Lowe's Cos Inc 5.15% 7/1/2033  | 2150000 | 2201787 |
| Lowe's Cos Inc 5.625% 4/15/2053  | 600000 | 572830 |
| O'Reilly Automotive Inc 4.2% 4/1/2030  | 800000 | 797998 |
| O'Reilly Automotive Inc 4.35% 6/1/2028  | 75000 | 75310 |
| Ross Stores Inc 1.875% 4/15/2031  | 600000 | 521640 |
|  |  | 10488409 |
| TOTAL CONSUMER DISCRETIONARY |  | 21936408 |
| Consumer Staples - 1.7% |  |  |
| Beverages - 0.2% |  |  |
| Constellation Brands Inc 2.25% 8/1/2031  | 1600000 | 1405136 |
| Constellation Brands Inc 2.875% 5/1/2030  | 470000 | 439621 |
|  |  | 1844757 |
| Consumer Staples Distribution & Retail - 0.5% |  |  |
| Dollar Tree Inc 4.2% 5/15/2028  | 375000 | 374068 |
| Mars Inc 4.8% 3/1/2030 (b) | 544000 | 554395 |
| Mars Inc 5% 3/1/2032 (b) | 408000 | 416430 |
| Mars Inc 5.2% 3/1/2035 (b) | 2097000 | 2116441 |
| Mars Inc 5.65% 5/1/2045 (b) | 330000 | 325318 |
| Mars Inc 5.7% 5/1/2055 (b) | 658000 | 641648 |
| Mars Inc 5.8% 5/1/2065 (b) | 82000 | 80464 |
|  |  | 4508764 |
| Food Products - 0.3% |  |  |
| Bunge Ltd Finance Corp 4.9% 4/21/2027  | 1500000 | 1513438 |
| Smithfield Foods Inc 3% 10/15/2030 (b) | 1432000 | 1309083 |
|  |  | 2822521 |
| Tobacco - 0.7% |  |  |
| Philip Morris International Inc 4.75% 11/1/2031  | 1700000 | 1724533 |
| Philip Morris International Inc 5.125% 2/15/2030  | 2200000 | 2276724 |
| Philip Morris International Inc 5.75% 11/17/2032  | 903000 | 955988 |
|  |  | 4957245 |
| TOTAL CONSUMER STAPLES |  | 14133287 |
| Energy - 6.4% |  |  |
| Oil, Gas & Consumable Fuels - 6.4% |  |  |
| Columbia Pipelines Holding Co LLC 5.097% 10/1/2031 (b) | 1470000 | 1492989 |
| Columbia Pipelines Holding Co LLC 6.042% 8/15/2028 (b) | 1000000 | 1046113 |
| Columbia Pipelines Operating Co LLC 5.695% 10/1/2054 (b) | 1470000 | 1357899 |
| Columbia Pipelines Operating Co LLC 5.927% 8/15/2030 (b) | 73000 | 77633 |
| Columbia Pipelines Operating Co LLC 5.962% 2/15/2055 (b) | 2080000 | 1980897 |
| Columbia Pipelines Operating Co LLC 6.036% 11/15/2033 (b) | 197000 | 208538 |
| Columbia Pipelines Operating Co LLC 6.497% 8/15/2043 (b) | 59000 | 61327 |
| Columbia Pipelines Operating Co LLC 6.544% 11/15/2053 (b) | 106000 | 109659 |
| DCP Midstream Operating LP 5.125% 5/15/2029  | 2200000 | 2248023 |
| Eastern Gas Transmission & Storage Inc 3% 11/15/2029  | 582000 | 554294 |
| Eastern Gas Transmission & Storage Inc 3.9% 11/15/2049  | 1000000 | 717331 |
| Energy Transfer LP 3.75% 5/15/2030  | 3554000 | 3445420 |
| Energy Transfer LP 6% 6/15/2048  | 800000 | 766966 |
| EQT Corp 5.75% 2/1/2034  | 2864000 | 2965028 |
| Florida Gas Transmission Co LLC 5.75% 7/15/2035 (b) | 2667000 | 2747464 |
| Gulfstream Natural Gas System LLC 5.6% 7/23/2035 (b) | 1735000 | 1754279 |
| Hess Corp 4.3% 4/1/2027  | 2575000 | 2580976 |
| Hess Corp 5.8% 4/1/2047  | 1135000 | 1147143 |
| Hess Corp 6% 1/15/2040  | 575000 | 615706 |
| Marathon Petroleum Corp 4.75% 9/15/2044  | 300000 | 252708 |
| Occidental Petroleum Corp 5.2% 8/1/2029  | 438000 | 443644 |
| Occidental Petroleum Corp 5.375% 1/1/2032  | 555000 | 558256 |
| Occidental Petroleum Corp 5.55% 10/1/2034  | 4906000 | 4881937 |
| ONEOK Inc 3.25% 6/1/2030  | 500000 | 472260 |
| ONEOK Inc 5.65% 9/1/2034  | 1881000 | 1912992 |
| Ovintiv Inc 5.15% 11/15/2041  | 136000 | 114378 |
| Ovintiv Inc 8.125% 9/15/2030  | 409000 | 469098 |
| Plains All American Pipeline LP / PAA Finance Corp 3.8% 9/15/2030  | 97000 | 93588 |
| Plains All American Pipeline LP / PAA Finance Corp 5.7% 9/15/2034  | 3920000 | 3998736 |
| Targa Resources Corp 4.9% 9/15/2030  | 292000 | 296468 |
| Targa Resources Corp 5.5% 2/15/2035  | 1800000 | 1815548 |
| Targa Resources Corp 5.55% 8/15/2035  | 2400000 | 2417450 |
| Targa Resources Corp 5.65% 2/15/2036  | 703000 | 710037 |
| Transcontinental Gas Pipe Line Co LLC 3.25% 5/15/2030  | 25000 | 23780 |
| Western Gas Partners LP 4.05% 2/1/2030 (e) | 4870000 | 4735150 |
| Western Gas Partners LP 5.3% 3/1/2048  | 477000 | 401895 |
| Western Gas Partners LP 6.15% 4/1/2033  | 735000 | 767926 |
| Western Gas Partners LP 6.35% 1/15/2029  | 182000 | 191424 |
| Williams Cos Inc/The 3.5% 11/15/2030  | 913000 | 870595 |
| Williams Cos Inc/The 4.65% 8/15/2032  | 394000 | 388996 |
| Williams Cos Inc/The 5.3% 8/15/2052  | 89000 | 80603 |
| Williams Cos Inc/The 6.3% 4/15/2040  | 2000000 | 2125014 |
|  |  | 53900168 |
| Financials - 22.3% |  |  |
| Banks - 9.8% |  |  |
| Bank of America Corp 2.299% 7/21/2032 (d) | 1500000 | 1323741 |
| Bank of America Corp 2.676% 6/19/2041 (d) | 1030000 | 742367 |
| Bank of America Corp 2.972% 2/4/2033 (d) | 2500000 | 2257851 |
| Bank of America Corp 3.483% 3/13/2052 (d) | 950000 | 673349 |
| Bank of America Corp 4.271% 7/23/2029 (d) | 700000 | 701736 |
| Bank of America Corp 4.571% 4/27/2033 (d) | 1600000 | 1583426 |
| Bank of America Corp 5.015% 7/22/2033 (d) | 2000000 | 2031664 |
| Bank of America Corp 5.162% 1/24/2031 (d) | 3200000 | 3302666 |
| Bank of America Corp 5.202% 4/25/2029 (d) | 5000000 | 5126831 |
| Bank of America Corp 5.468% 1/23/2035 (d) | 1800000 | 1859952 |
| Citigroup Inc 4.075% 4/23/2029 (d) | 1600000 | 1594310 |
| Citigroup Inc 4.45% 9/29/2027  | 1200000 | 1203273 |
| Citigroup Inc 4.91% 5/24/2033 (d) | 599000 | 601682 |
| Citigroup Inc 6.174% 5/25/2034 (d) | 283000 | 298144 |
| Citizens Financial Group Inc 2.638% 9/30/2032  | 2015000 | 1702754 |
| Citizens Financial Group Inc 5.253% 3/5/2031 (d) | 3000000 | 3067148 |
| Citizens Financial Group Inc 5.718% 7/23/2032 (d) | 828000 | 864783 |
| Citizens Financial Group Inc 6.645% 4/25/2035 (d) | 1173000 | 1275732 |
| Fifth Third Bancorp 8.25% 3/1/2038  | 300000 | 367545 |
| Huntington Bancshares Inc/OH 2.487% 8/15/2036 (d) | 932000 | 793028 |
| JPMorgan Chase & Co 2.956% 5/13/2031 (d) | 104000 | 97089 |
| JPMorgan Chase & Co 3.882% 7/24/2038 (d) | 2725000 | 2409572 |
| JPMorgan Chase & Co 4.203% 7/23/2029 (d) | 600000 | 600531 |
| JPMorgan Chase & Co 4.603% 10/22/2030 (d) | 2144000 | 2167394 |
| JPMorgan Chase & Co 4.912% 7/25/2033 (d) | 3000000 | 3041677 |
| JPMorgan Chase & Co 4.946% 10/22/2035 (d) | 5685000 | 5652902 |
| JPMorgan Chase & Co 5.14% 1/24/2031 (d) | 2000000 | 2061055 |
| JPMorgan Chase & Co 5.717% 9/14/2033 (d) | 2500000 | 2624613 |
| PNC Financial Services Group Inc/The 5.068% 1/24/2034 (d) | 2200000 | 2225869 |
| PNC Financial Services Group Inc/The 5.222% 1/29/2031 (d) | 1300000 | 1343378 |
| PNC Financial Services Group Inc/The 5.575% 1/29/2036 (d) | 2300000 | 2374267 |
| PNC Financial Services Group Inc/The 5.582% 6/12/2029 (d) | 1220000 | 1265577 |
| PNC Financial Services Group Inc/The 6.875% 10/20/2034 (d) | 1200000 | 1347330 |
| Truist Financial Corp 5.122% 1/26/2034 (d) | 700000 | 704958 |
| Truist Financial Corp 5.711% 1/24/2035 (d) | 2500000 | 2604213 |
| US Bancorp 5.775% 6/12/2029 (d) | 2000000 | 2083956 |
| Wells Fargo & Co 2.393% 6/2/2028 (d) | 800000 | 775347 |
| Wells Fargo & Co 4.478% 4/4/2031 (d) | 1000000 | 1003544 |
| Wells Fargo & Co 5.013% 4/4/2051 (d) | 700000 | 632652 |
| Wells Fargo & Co 5.15% 4/23/2031 (d) | 2000000 | 2059787 |
| Wells Fargo & Co 5.244% 1/24/2031 (d) | 928000 | 958619 |
| Wells Fargo & Co 5.389% 4/24/2034 (d) | 1300000 | 1337800 |
| Wells Fargo & Co 5.499% 1/23/2035 (d) | 1500000 | 1547899 |
| Wells Fargo & Co 5.557% 7/25/2034 (d) | 5300000 | 5503000 |
| Wells Fargo & Co 5.574% 7/25/2029 (d) | 1300000 | 1347710 |
| Wells Fargo & Co 6.491% 10/23/2034 (d) | 1750000 | 1924440 |
|  |  | 81067161 |
| Capital Markets - 5.0% |  |  |
| Ares Capital Corp 2.15% 7/15/2026  | 750000 | 735198 |
| Ares Strategic Income Fund 5.7% 3/15/2028  | 1450000 | 1469950 |
| Ares Strategic Income Fund 6.35% 8/15/2029  | 1470000 | 1519912 |
| Athene Global Funding 1.985% 8/19/2028 (b) | 1355000 | 1270320 |
| Athene Global Funding 2.5% 3/24/2028 (b) | 750000 | 717142 |
| Blackstone Holdings Finance Co LLC 2.8% 9/30/2050 (b) | 523000 | 315367 |
| Goldman Sachs Group Inc/The 1.431% 3/9/2027 (d) | 1850000 | 1821214 |
| Goldman Sachs Group Inc/The 4.223% 5/1/2029 (d) | 900000 | 900634 |
| Goldman Sachs Group Inc/The 5.536% 1/28/2036 (d) | 3000000 | 3093453 |
| HPS Corporate Lending Fund 5.45% 1/14/2028  | 1324000 | 1335663 |
| HPS Corporate Lending Fund 6.75% 1/30/2029  | 3142000 | 3277951 |
| Morgan Stanley 1.794% 2/13/2032 (d) | 740000 | 641858 |
| Morgan Stanley 2.239% 7/21/2032 (d) | 1500000 | 1317840 |
| Morgan Stanley 3.622% 4/1/2031 (d) | 6000000 | 5805382 |
| Morgan Stanley 4.431% 1/23/2030 (d) | 111000 | 111488 |
| Morgan Stanley 4.654% 10/18/2030 (d) | 3200000 | 3230754 |
| Morgan Stanley 5.164% 4/20/2029 (d) | 2500000 | 2555909 |
| Morgan Stanley 5.23% 1/15/2031 (d) | 1341000 | 1384179 |
| Morgan Stanley 5.32% 7/19/2035 (d) | 2800000 | 2853350 |
| Morgan Stanley 5.424% 7/21/2034 (d) | 641000 | 661790 |
| Morgan Stanley 5.449% 7/20/2029 (d) | 316000 | 326084 |
| MSCI Inc 5.25% 9/1/2035  | 500000 | 495998 |
| Nasdaq Inc 5.95% 8/15/2053  | 189000 | 192608 |
| Nasdaq Inc 6.1% 6/28/2063  | 151000 | 154850 |
| Nuveen LLC 5.55% 1/15/2030 (b) | 293000 | 306857 |
| Sammons Financial Group Global Funding 4.95% 6/12/2030 (b) | 2400000 | 2437577 |
| Sammons Financial Group Global Funding 5.05% 1/10/2028 (b) | 3296000 | 3352538 |
|  |  | 42285866 |
| Consumer Finance - 1.2% |  |  |
| Ally Financial Inc 4.75% 6/9/2027  | 2100000 | 2110052 |
| Ally Financial Inc 8% 11/1/2031  | 288000 | 329603 |
| American Express Co 5.085% 1/30/2031 (d) | 449000 | 462766 |
| Capital One Financial Corp 3.8% 1/31/2028  | 11000 | 10902 |
| Capital One Financial Corp 4.1% 2/9/2027  | 39000 | 38911 |
| Capital One Financial Corp 5.247% 7/26/2030 (d) | 662000 | 680793 |
| Capital One Financial Corp 5.468% 2/1/2029 (d) | 318000 | 326428 |
| Capital One Financial Corp 6.312% 6/8/2029 (d) | 1250000 | 1311967 |
| Capital One Financial Corp 7.624% 10/30/2031 (d) | 495000 | 561612 |
| Ford Motor Credit Co LLC 3.625% 6/17/2031  | 200000 | 180056 |
| Ford Motor Credit Co LLC 4.271% 1/9/2027  | 400000 | 396099 |
| Ford Motor Credit Co LLC 4.95% 5/28/2027  | 1850000 | 1845538 |
| Ford Motor Credit Co LLC 5.875% 11/7/2029  | 2000000 | 2021500 |
|  |  | 10276227 |
| Financial Services - 2.4% |  |  |
| Aircastle Ltd / Aircastle Ireland DAC 5% 9/15/2030 (b) | 2060000 | 2076706 |
| Aircastle Ltd / Aircastle Ireland DAC 5.25% 3/15/2030 (b) | 1250000 | 1275511 |
| Aon Corp / Aon Global Holdings PLC 2.6% 12/2/2031  | 404000 | 361305 |
| Aviation Capital Group LLC 6.75% 10/25/2028 (b) | 1300000 | 1385230 |
| Blackstone Reg Finance Co LLC 5% 12/6/2034  | 1000000 | 998399 |
| Corebridge Financial Inc 3.65% 4/5/2027  | 171000 | 169427 |
| Corebridge Financial Inc 4.35% 4/5/2042  | 45000 | 37863 |
| Equitable Holdings Inc 4.35% 4/20/2028  | 700000 | 702688 |
| Equitable Holdings Inc 5% 4/20/2048  | 679000 | 607305 |
| Essent Group Ltd 6.25% 7/1/2029  | 1500000 | 1573321 |
| Fiserv Inc 3.5% 7/1/2029  | 271000 | 263146 |
| Fiserv Inc 4.55% 2/15/2031  | 3800000 | 3799320 |
| Jackson Financial Inc 3.125% 11/23/2031  | 2257000 | 2039700 |
| Jackson Financial Inc 4% 11/23/2051  | 800000 | 552531 |
| Jackson Financial Inc 5.17% 6/8/2027  | 181000 | 183331 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3% 5/15/2032  | 1570000 | 1390362 |
| Rexford Industrial Realty LP 2.15% 9/1/2031  | 599000 | 519531 |
| Sixth Street Lending Partners 6.125% 7/15/2030 (b) | 427000 | 440270 |
| Sixth Street Lending Partners 6.5% 3/11/2029  | 1751000 | 1817584 |
|  |  | 20193530 |
| Insurance - 3.9% |  |  |
| 200 Park Funding Trust 5.74% 2/15/2055 (b) | 2100000 | 2057228 |
| AmFam Holdings Inc 2.805% 3/11/2031 (b) | 950000 | 822545 |
| Arthur J Gallagher & Co 5% 2/15/2032  | 196000 | 199517 |
| Arthur J Gallagher & Co 5.15% 2/15/2035  | 3300000 | 3309292 |
| Arthur J Gallagher & Co 5.55% 2/15/2055  | 942000 | 887565 |
| Assurant Inc 2.65% 1/15/2032  | 2100000 | 1830846 |
| Assurant Inc 5.55% 2/15/2036  | 839000 | 838450 |
| Brown & Brown Inc 4.9% 6/23/2030  | 843000 | 853491 |
| Brown & Brown Inc 5.25% 6/23/2032  | 976000 | 997641 |
| Brown & Brown Inc 5.55% 6/23/2035  | 1091000 | 1112039 |
| Brown & Brown Inc 6.25% 6/23/2055  | 1108000 | 1132797 |
| Five Corners Funding Trust II 2.85% 5/15/2030 (b) | 890000 | 832120 |
| Fortitude Group Holdings LLC 6.25% 4/1/2030 (b) | 1255000 | 1303994 |
| Guardian Life Insurance Co of America/The 4.85% 1/24/2077 (b) | 400000 | 327872 |
| Hartford Insurance Group Inc/The 4.3% 4/15/2043  | 1025000 | 867720 |
| Marsh & McLennan Cos Inc 4.9% 3/15/2049  | 834000 | 743165 |
| MetLife Inc 5.375% 7/15/2033  | 2500000 | 2616590 |
| New York Life Insurance Co 4.45% 5/15/2069 (b) | 54000 | 41230 |
| Pacific LifeCorp 3.35% 9/15/2050 (b) | 700000 | 469904 |
| Peachtree Corners Funding Trust II 6.012% 5/15/2035 (b) | 4800000 | 4994648 |
| Pine Street Trust III 6.223% 5/15/2054 (b) | 2100000 | 2085757 |
| Prudential Financial Inc 6% 9/1/2052 (d) | 672000 | 693376 |
| Reinsurance Group of America Inc 5.75% 9/15/2034  | 1700000 | 1752668 |
| Selective Insurance Group Inc 5.9% 4/15/2035  | 1095000 | 1129792 |
| Symetra Life Insurance Co 6.55% 10/1/2055 (b) | 667000 | 677978 |
|  |  | 32578225 |
| TOTAL FINANCIALS |  | 186401009 |
| Health Care - 4.5% |  |  |
| Biotechnology - 0.8% |  |  |
| Amgen Inc 5.25% 3/2/2030  | 222000 | 229968 |
| Amgen Inc 5.25% 3/2/2033  | 251000 | 257681 |
| Amgen Inc 5.65% 3/2/2053  | 818000 | 791129 |
| Amgen Inc 5.75% 3/2/2063  | 216000 | 207596 |
| Gilead Sciences Inc 5.1% 6/15/2035  | 2000000 | 2028264 |
| Gilead Sciences Inc 5.5% 11/15/2054  | 1500000 | 1458755 |
| Gilead Sciences Inc 5.6% 11/15/2064  | 1500000 | 1459943 |
|  |  | 6433336 |
| Health Care Equipment & Supplies - 0.0% |  |  |
| Becton Dickinson & Co 2.823% 5/20/2030  | 750000 | 701557 |
| Health Care Providers & Services - 3.0% |  |  |
| Centene Corp 2.5% 3/1/2031  | 650000 | 553844 |
| Centene Corp 2.625% 8/1/2031  | 2645000 | 2241575 |
| Centene Corp 3% 10/15/2030  | 1310000 | 1157630 |
| Centene Corp 4.25% 12/15/2027  | 1025000 | 1000968 |
| Centene Corp 4.625% 12/15/2029  | 585000 | 563424 |
| Cigna Group/The 4.375% 10/15/2028  | 561000 | 564042 |
| Cigna Group/The 4.8% 8/15/2038  | 1907000 | 1790103 |
| Cigna Group/The 4.9% 12/15/2048  | 7000 | 6082 |
| CVS Health Corp 5% 1/30/2029  | 202000 | 205864 |
| CVS Health Corp 5.05% 3/25/2048  | 3500000 | 3000536 |
| CVS Health Corp 5.125% 2/21/2030  | 2200000 | 2252752 |
| CVS Health Corp 5.25% 1/30/2031  | 83000 | 85351 |
| CVS Health Corp 5.3% 6/1/2033  | 1900000 | 1925424 |
| CVS Health Corp 5.875% 6/1/2053  | 1000000 | 947374 |
| CVS Health Corp 6.05% 6/1/2054  | 1400000 | 1359817 |
| Icon Investments Six DAC 5.849% 5/8/2029  | 868000 | 907757 |
| Icon Investments Six DAC 6% 5/8/2034  | 1014000 | 1054054 |
| Sabra Health Care LP 3.2% 12/1/2031  | 588000 | 531297 |
| Sabra Health Care LP 3.9% 10/15/2029  | 123000 | 118923 |
| UnitedHealth Group Inc 4.65% 1/15/2031  | 1800000 | 1824286 |
| UnitedHealth Group Inc 4.75% 7/15/2045  | 950000 | 838691 |
| UnitedHealth Group Inc 5.3% 6/15/2035  | 848000 | 866849 |
| UnitedHealth Group Inc 5.95% 6/15/2055  | 1035000 | 1034060 |
|  |  | 24830703 |
| Pharmaceuticals - 0.7% |  |  |
| Bristol-Myers Squibb Co 4.125% 6/15/2039  | 138000 | 122944 |
| Bristol-Myers Squibb Co 5.1% 2/22/2031  | 550000 | 572210 |
| Bristol-Myers Squibb Co 5.2% 2/22/2034  | 1100000 | 1129375 |
| Bristol-Myers Squibb Co 5.55% 2/22/2054  | 757000 | 729977 |
| Bristol-Myers Squibb Co 5.65% 2/22/2064  | 1100000 | 1053584 |
| Elanco Animal Health Inc 6.65% 8/28/2028 (d) | 1375000 | 1431525 |
| Perrigo Finance Unlimited Co 4.9% 6/15/2030 (e) | 600000 | 587190 |
|  |  | 5626805 |
| TOTAL HEALTH CARE |  | 37592401 |
| Industrials - 3.8% |  |  |
| Aerospace & Defense - 2.1% |  |  |
| Boeing Co 2.196% 2/4/2026  | 1200000 | 1188499 |
| Boeing Co 2.75% 2/1/2026  | 900000 | 893098 |
| Boeing Co 3.625% 2/1/2031  | 2000000 | 1909661 |
| Boeing Co 3.75% 2/1/2050  | 1150000 | 818983 |
| Boeing Co 5.04% 5/1/2027  | 900000 | 908385 |
| Boeing Co 5.15% 5/1/2030  | 2385000 | 2446367 |
| Boeing Co 5.805% 5/1/2050  | 500000 | 480818 |
| Boeing Co 6.298% 5/1/2029  | 161000 | 170970 |
| Boeing Co 6.388% 5/1/2031  | 122000 | 132501 |
| Boeing Co 6.528% 5/1/2034  | 1130000 | 1237515 |
| Boeing Co 6.858% 5/1/2054  | 646000 | 708399 |
| Boeing Co 7.008% 5/1/2064  | 2135000 | 2365544 |
| Hexcel Corp 5.875% 2/26/2035  | 450000 | 458857 |
| Northrop Grumman Corp 4.03% 10/15/2047  | 1225000 | 971511 |
| RTX Corp 6.1% 3/15/2034  | 1100000 | 1194155 |
| RTX Corp 6.4% 3/15/2054  | 1000000 | 1081859 |
|  |  | 16967122 |
| Building Products - 0.0% |  |  |
| Carrier Global Corp 5.9% 3/15/2034  | 50000 | 53300 |
| Carrier Global Corp 6.2% 3/15/2054  | 31000 | 32960 |
|  |  | 86260 |
| Ground Transportation - 0.2% |  |  |
| Burlington Northern Santa Fe LLC 4.7% 9/1/2045  | 500000 | 449380 |
| Norfolk Southern Corp 5.35% 8/1/2054  | 950000 | 904151 |
|  |  | 1353531 |
| Industrial Conglomerates - 0.0% |  |  |
| Trane Technologies Financing Ltd 4.5% 3/21/2049  | 300000 | 252340 |
| Machinery - 0.7% |  |  |
| AGCO Corp 5.8% 3/21/2034  | 1188000 | 1223005 |
| Ingersoll Rand Inc 5.314% 6/15/2031  | 1400000 | 1461469 |
| Ingersoll Rand Inc 5.4% 8/14/2028  | 629000 | 650509 |
| Ingersoll Rand Inc 5.45% 6/15/2034  | 1400000 | 1448360 |
| Ingersoll Rand Inc 5.7% 8/14/2033  | 697000 | 734568 |
|  |  | 5517911 |
| Passenger Airlines - 0.0% |  |  |
| American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/2029  | 104460 | 101557 |
| United Airlines 2019-1 Class A Pass Through Trust 4.55% 2/25/2033  | 136673 | 129306 |
| United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/2029  | 68341 | 66789 |
|  |  | 297652 |
| Professional Services - 0.7% |  |  |
| Booz Allen Hamilton Inc 5.95% 8/4/2033  | 1488000 | 1553758 |
| Paychex Inc 5.1% 4/15/2030  | 354000 | 364354 |
| Paychex Inc 5.35% 4/15/2032  | 1803000 | 1865100 |
| Paychex Inc 5.6% 4/15/2035  | 1498000 | 1550458 |
| Verisk Analytics Inc 4.5% 8/15/2030  | 202000 | 202813 |
| Verisk Analytics Inc 5.125% 2/15/2036  | 454000 | 451015 |
|  |  | 5987498 |
| Trading Companies & Distributors - 0.1% |  |  |
| Ferguson Enterprises Inc 5% 10/3/2034  | 1236000 | 1223644 |
| TOTAL INDUSTRIALS |  | 31685958 |
| Information Technology - 5.7% |  |  |
| Electronic Equipment, Instruments & Components - 1.0% |  |  |
| Amphenol Corp 5.25% 4/5/2034  | 937000 | 968315 |
| Dell International LLC / EMC Corp 3.45% 12/15/2051  | 253000 | 172805 |
| Dell International LLC / EMC Corp 4.35% 2/1/2030  | 2100000 | 2095618 |
| Dell International LLC / EMC Corp 6.2% 7/15/2030  | 950000 | 1021347 |
| Vontier Corp 1.8% 4/1/2026  | 3000000 | 2951911 |
| Vontier Corp 2.95% 4/1/2031  | 1169000 | 1062030 |
|  |  | 8272026 |
| IT Services - 0.4% |  |  |
| CDW LLC / CDW Finance Corp 2.67% 12/1/2026  | 1054000 | 1031144 |
| CDW LLC / CDW Finance Corp 5.1% 3/1/2030  | 589000 | 598848 |
| CDW LLC / CDW Finance Corp 5.55% 8/22/2034  | 1800000 | 1822032 |
|  |  | 3452024 |
| Semiconductors & Semiconductor Equipment - 2.9% |  |  |
| Broadcom Inc 1.95% 2/15/2028 (b) | 854000 | 812466 |
| Broadcom Inc 2.45% 2/15/2031 (b) | 460000 | 415899 |
| Broadcom Inc 2.6% 2/15/2033 (b) | 1617000 | 1397559 |
| Broadcom Inc 3.469% 4/15/2034 (b) | 1500000 | 1345414 |
| Broadcom Inc 3.5% 2/15/2041 (b) | 371000 | 294070 |
| Broadcom Inc 3.75% 2/15/2051 (b) | 174000 | 129938 |
| Broadcom Inc 4.6% 7/15/2030  | 2900000 | 2927902 |
| Broadcom Inc 4.9% 7/15/2032  | 2900000 | 2935581 |
| Broadcom Inc 5.05% 7/12/2029  | 1105000 | 1136247 |
| Broadcom Inc 5.15% 11/15/2031  | 1800000 | 1861213 |
| Marvell Technology Inc 2.45% 4/15/2028  | 1500000 | 1436061 |
| Marvell Technology Inc 4.75% 7/15/2030  | 208000 | 209896 |
| Marvell Technology Inc 5.45% 7/15/2035  | 339000 | 344763 |
| Micron Technology Inc 2.703% 4/15/2032  | 1100000 | 968261 |
| Micron Technology Inc 5.3% 1/15/2031  | 1556000 | 1605684 |
| Micron Technology Inc 5.65% 11/1/2032  | 1500000 | 1568442 |
| Micron Technology Inc 5.8% 1/15/2035  | 2600000 | 2687655 |
| Micron Technology Inc 6.05% 11/1/2035  | 1500000 | 1576002 |
| NVIDIA Corp 3.7% 4/1/2060  | 1050000 | 764039 |
|  |  | 24417092 |
| Software - 1.4% |  |  |
| AppLovin Corp 5.125% 12/1/2029  | 600000 | 613633 |
| AppLovin Corp 5.375% 12/1/2031  | 1900000 | 1957726 |
| Oracle Corp 2.3% 3/25/2028  | 529000 | 505587 |
| Oracle Corp 2.875% 3/25/2031  | 1300000 | 1191905 |
| Oracle Corp 3.95% 3/25/2051  | 1880000 | 1356476 |
| Oracle Corp 4% 11/15/2047  | 375000 | 283340 |
| Roper Technologies Inc 2% 6/30/2030  | 2035000 | 1827158 |
| Roper Technologies Inc 4.45% 9/15/2030  | 376000 | 376777 |
| Roper Technologies Inc 5.1% 9/15/2035  | 3304000 | 3295968 |
|  |  | 11408570 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |
| Apple Inc 2.8% 2/8/2061  | 700000 | 409561 |
| TOTAL INFORMATION TECHNOLOGY |  | 47959273 |
| Materials - 0.6% |  |  |
| Chemicals - 0.6% |  |  |
| Celanese US Holdings LLC 6.665% 7/15/2027 (d) | 1273000 | 1309902 |
| Dow Chemical Co/The 5.15% 2/15/2034  | 1900000 | 1888413 |
| International Flavors & Fragrances Inc 1.832% 10/15/2027 (b) | 475000 | 450419 |
| International Flavors & Fragrances Inc 5% 9/26/2048  | 518000 | 445438 |
| Sherwin-Williams Co/The 4.5% 6/1/2047  | 375000 | 315997 |
| Westlake Corp 3.375% 6/15/2030  | 900000 | 858995 |
|  |  | 5269164 |
| Containers & Packaging - 0.0% |  |  |
| Avery Dennison Corp 4.875% 12/6/2028  | 50000 | 50924 |
| TOTAL MATERIALS |  | 5320088 |
| Real Estate - 6.1% |  |  |
| Diversified REITs - 1.2% |  |  |
| GLP Capital LP / GLP Financing II Inc 5.625% 9/15/2034  | 2763000 | 2771698 |
| Piedmont Operating Partnership LP 2.75% 4/1/2032  | 86000 | 72698 |
| Piedmont Operating Partnership LP 6.875% 7/15/2029  | 265000 | 280395 |
| Store Capital LLC 2.7% 12/1/2031  | 1675000 | 1457922 |
| VICI Properties LP 4.75% 2/15/2028  | 378000 | 380969 |
| VICI Properties LP 4.95% 2/15/2030  | 1100000 | 1112330 |
| VICI Properties LP 5.125% 11/15/2031  | 1200000 | 1214848 |
| VICI Properties LP 5.125% 5/15/2032  | 1615000 | 1620633 |
| VICI Properties LP 5.75% 4/1/2034  | 69000 | 70959 |
| Vornado Realty LP 2.15% 6/1/2026  | 103000 | 100759 |
| WP Carey Inc 2.4% 2/1/2031  | 348000 | 310067 |
| WP Carey Inc 4.25% 10/1/2026  | 450000 | 449366 |
|  |  | 9842644 |
| Health Care REITs - 1.4% |  |  |
| Alexandria Real Estate Equities Inc 1.875% 2/1/2033  | 950000 | 769789 |
| Healthpeak OP LLC 4.75% 1/15/2033  | 2451000 | 2434287 |
| Omega Healthcare Investors Inc 3.25% 4/15/2033  | 2278000 | 1982372 |
| Omega Healthcare Investors Inc 3.375% 2/1/2031  | 1402000 | 1296168 |
| Omega Healthcare Investors Inc 4.5% 4/1/2027  | 1000000 | 1001097 |
| Ventas Realty LP 2.5% 9/1/2031  | 729000 | 649097 |
| Ventas Realty LP 5% 1/15/2035  | 2000000 | 1977308 |
| Ventas Realty LP 5.1% 7/15/2032  | 750000 | 767420 |
| Welltower OP LLC 4.125% 3/15/2029  | 675000 | 675111 |
|  |  | 11552649 |
| Office REITs - 1.2% |  |  |
| COPT Defense Properties LP 2% 1/15/2029  | 904000 | 834762 |
| COPT Defense Properties LP 2.25% 3/15/2026  | 52000 | 51265 |
| COPT Defense Properties LP 2.75% 4/15/2031  | 414000 | 373167 |
| COPT Defense Properties LP 2.9% 12/1/2033  | 3626000 | 3049889 |
| Hudson Pacific Properties LP 3.95% 11/1/2027  | 3400000 | 3250350 |
| Hudson Pacific Properties LP 5.95% 2/15/2028  | 1900000 | 1858678 |
| Kilroy Realty LP 5.875% 10/15/2035  | 789000 | 785278 |
|  |  | 10203389 |
| Real Estate Management & Development - 0.2% |  |  |
| Extra Space Storage LP 4.95% 1/15/2033  | 1144000 | 1147700 |
| Tanger Properties LP 2.75% 9/1/2031  | 596000 | 531222 |
| Tanger Properties LP 3.125% 9/1/2026  | 497000 | 489354 |
|  |  | 2168276 |
| Residential REITs - 1.1% |  |  |
| American Homes 4 Rent LP 5.5% 7/15/2034  | 584000 | 597740 |
| Invitation Homes Operating Partnership LP 2% 8/15/2031  | 600000 | 515299 |
| Invitation Homes Operating Partnership LP 4.15% 4/15/2032  | 269000 | 257313 |
| Invitation Homes Operating Partnership LP 4.875% 2/1/2035  | 3333000 | 3255917 |
| Invitation Homes Operating Partnership LP 4.95% 1/15/2033  | 1056000 | 1053666 |
| Sun Communities Operating LP 2.3% 11/1/2028  | 97000 | 91788 |
| Sun Communities Operating LP 2.7% 7/15/2031  | 250000 | 226264 |
| Sun Communities Operating LP 4.2% 4/15/2032  | 1800000 | 1729341 |
| UDR Inc 2.1% 6/15/2033  | 374000 | 305934 |
| UDR Inc 2.1% 8/1/2032  | 939000 | 792035 |
|  |  | 8825297 |
| Retail REITs - 1.0% |  |  |
| Agree LP 2% 6/15/2028  | 2100000 | 1980382 |
| Agree LP 4.8% 10/1/2032  | 1065000 | 1060903 |
| Agree LP 5.6% 6/15/2035  | 513000 | 527748 |
| Agree LP 5.625% 6/15/2034  | 1400000 | 1439992 |
| Brixmor Operating Partnership LP 2.25% 4/1/2028  | 410000 | 390463 |
| Brixmor Operating Partnership LP 4.05% 7/1/2030  | 148000 | 145032 |
| Kite Realty Group LP 5.5% 3/1/2034  | 90000 | 92053 |
| Kite Realty Group Trust 4.75% 9/15/2030  | 277000 | 277901 |
| NNN REIT Inc 5.6% 10/15/2033  | 1900000 | 1976006 |
| Phillips Edison Grocery Center Operating Partnership I LP 4.95% 1/15/2035  | 263000 | 256734 |
| Phillips Edison Grocery Center Operating Partnership I LP 5.75% 7/15/2034  | 92000 | 95009 |
| Realty Income Corp 2.85% 12/15/2032  | 30000 | 26669 |
| Realty Income Corp 3.25% 1/15/2031  | 30000 | 28363 |
|  |  | 8297255 |
| Specialized REITs - 0.0% |  |  |
| Crown Castle Inc 3.25% 1/15/2051  | 450000 | 294660 |
| TOTAL REAL ESTATE |  | 51184170 |
| Utilities - 8.8% |  |  |
| Electric Utilities - 5.8% |  |  |
| Alabama Power Co 3.05% 3/15/2032  | 380000 | 348296 |
| Alabama Power Co 5.1% 4/2/2035  | 682000 | 690470 |
| American Transmission Systems Inc 2.65% 1/15/2032 (b) | 1148000 | 1020253 |
| Cleco Corporate Holdings LLC 3.743% 5/1/2026  | 2790000 | 2770548 |
| Cleco Corporate Holdings LLC 4.973% 5/1/2046  | 750000 | 642131 |
| Consolidated Edison Co of New York Inc 5.125% 3/15/2035  | 4500000 | 4603861 |
| Consolidated Edison Co of New York Inc 5.2% 3/1/2033  | 1300000 | 1342940 |
| Consolidated Edison Co of New York Inc 5.5% 3/15/2055  | 1500000 | 1440537 |
| Duke Energy Carolinas LLC 6.1% 6/1/2037  | 3000000 | 3211829 |
| Duke Energy Corp 2.45% 6/1/2030  | 70000 | 64351 |
| Duke Energy Corp 4.5% 8/15/2032  | 1240000 | 1223466 |
| Duke Energy Corp 5% 8/15/2052  | 3150000 | 2747497 |
| Duke Energy Ohio Inc 5.25% 4/1/2033  | 2500000 | 2575643 |
| Duquesne Light Holdings Inc 2.532% 10/1/2030 (b) | 293000 | 261615 |
| Duquesne Light Holdings Inc 2.775% 1/7/2032 (b) | 266000 | 233941 |
| Duquesne Light Holdings Inc 3.616% 8/1/2027 (b) | 1810000 | 1774871 |
| Entergy Corp 2.8% 6/15/2030  | 72000 | 67049 |
| Exelon Corp 3.35% 3/15/2032  | 1602000 | 1487311 |
| Exelon Corp 4.1% 3/15/2052  | 76000 | 57694 |
| Exelon Corp 4.7% 4/15/2050  | 800000 | 666808 |
| Exelon Corp 5.1% 6/15/2045  | 370000 | 338046 |
| Exelon Corp 5.45% 3/15/2034  | 1400000 | 1442942 |
| Exelon Corp 5.6% 3/15/2053  | 1400000 | 1326263 |
| FirstEnergy Corp 2.25% 9/1/2030  | 534000 | 479532 |
| FirstEnergy Corp 2.65% 3/1/2030  | 2150000 | 1994285 |
| FirstEnergy Corp 3.4% 3/1/2050  | 1900000 | 1275801 |
| FirstEnergy Corp 3.9% 7/15/2027 (e) | 900000 | 893430 |
| FirstEnergy Transmission LLC 4.75% 1/15/2033 (b) | 1553000 | 1548582 |
| Georgia Power Co 5.25% 3/15/2034  | 1400000 | 1434988 |
| IPALCO Enterprises Inc 5.75% 4/1/2034  | 600000 | 605085 |
| ITC Holdings Corp 5.65% 5/9/2034 (b) | 2000000 | 2070508 |
| Monongahela Power Co 5.85% 2/15/2034 (b) | 875000 | 920141 |
| Ohio Edison Co 4.95% 12/15/2029 (b) | 808000 | 825814 |
| Pacific Gas and Electric Co 5.9% 10/1/2054  | 852000 | 796682 |
| Pinnacle West Capital Corp 4.9% 5/15/2028  | 351000 | 356243 |
| Pinnacle West Capital Corp 5.15% 5/15/2030  | 375000 | 385782 |
| PPL Capital Funding Inc 5.25% 9/1/2034  | 1250000 | 1269704 |
| Southern Co/The 4.4% 7/1/2046  | 700000 | 581497 |
| Southern Co/The 4.85% 3/15/2035  | 1700000 | 1669132 |
| Southern Co/The 5.7% 3/15/2034  | 380000 | 397925 |
| Virginia Electric and Power Co 5.55% 8/15/2054  | 396000 | 381432 |
|  |  | 48224925 |
| Gas Utilities - 0.5% |  |  |
| Eastern Energy Gas Holdings LLC 5.8% 1/15/2035  | 2000000 | 2084923 |
| Southern Co Gas Capital Corp 4.4% 5/30/2047  | 625000 | 508727 |
| Southern Co Gas Capital Corp 5.75% 9/15/2033  | 1800000 | 1893374 |
|  |  | 4487024 |
| Independent Power and Renewable Electricity Producers - 0.6% |  |  |
| AES Corp/The 1.375% 1/15/2026  | 290000 | 286302 |
| AES Corp/The 2.45% 1/15/2031  | 4555000 | 4081137 |
| AES Corp/The 3.95% 7/15/2030 (b) | 593000 | 572288 |
|  |  | 4939727 |
| Multi-Utilities - 1.9% |  |  |
| Berkshire Hathaway Energy Co 4.6% 5/1/2053  | 2000000 | 1660311 |
| NiSource Inc 2.95% 9/1/2029  | 229000 | 218490 |
| NiSource Inc 3.6% 5/1/2030  | 950000 | 920589 |
| NiSource Inc 4.375% 5/15/2047  | 650000 | 536156 |
| NiSource Inc 4.8% 2/15/2044  | 500000 | 443255 |
| NiSource Inc 5.25% 3/30/2028  | 4295000 | 4413176 |
| Puget Energy Inc 2.379% 6/15/2028  | 2000000 | 1897791 |
| Puget Energy Inc 4.1% 6/15/2030  | 1023000 | 997318 |
| Puget Energy Inc 4.224% 3/15/2032  | 1344000 | 1274593 |
| Puget Energy Inc 5.725% 3/15/2035  | 2042000 | 2077028 |
| Sempra 3.8% 2/1/2038  | 1500000 | 1263741 |
|  |  | 15702448 |
| TOTAL UTILITIES |  | 73354124 |
| TOTAL UNITED STATES |  | 555498456 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $713,930,894) |  | <br> **697244925** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 0.2%** | &nbsp;&nbsp;**Preferred Securities - 0.2%** | &nbsp;&nbsp;**Preferred Securities - 0.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.1%  |  |  |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Enbridge Inc 5.75% 7/15/2080 (d) | 753000 | 757704 |
| SWITZERLAND - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Capital Markets - 0.1% |  |  |
| UBS Group AG 4.875% (b)(d)(f) | 950000 | 936971 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $1,705,128) |  | <br> **1694675** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 10.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 10.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 10.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 10.1%** |
|  | Yield (%) (g) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 1.75% 8/15/2041  | 1.97 | 2500000 | 1656055 |
| US Treasury Bonds 1.875% 2/15/2041  | 2.05 to 2.19 | 2943000 | 2022508 |
| US Treasury Bonds 2% 11/15/2041  | 1.86 | 2000000 | 1371327 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.76 to 4.97 | 48050000 | 46743641 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.88 to 4.95 | 33990000 | 33076519 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $87,582,316) |  |  | **84870050** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 5.2%** | &nbsp;&nbsp;**Money Market Funds - 5.2%** | &nbsp;&nbsp;**Money Market Funds - 5.2%** | &nbsp;&nbsp;**Money Market Funds - 5.2%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (h)<br>(Cost $43,403,004)<br>| 4.36 | 43394335 | **43403013** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.3%**<br> (Cost $851,919,113)<br>| <br>**832468152** |
| **NET OTHER ASSETS (LIABILITIES) - 0.7%**  | **6250554** |
| **NET ASSETS - 100.0%** | **838718706** |

---

**Legend**

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $140,656,071 or 16.8% of net assets.

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

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

(e) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

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

(g) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(h) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 11446553 | 244992977 | 213036516 | 1091564 | - | (1) | 43403013 | 43394335 | 0.1% |
| Fidelity Securities Lending Cash Central Fund | - | 25953178 | 25953178 | 362 | - | - | - | - | 0.0% |
| Total | 11446553 | 270946155 | 238989694 | 1091926 | - | (1) | 43403013 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium income received for lending certain types of securities.

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

**Investment Valuation**

The following is a summary of the inputs used, as of August 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 3938256 | - | 3938256 | - |
|  **Commercial Mortgage Securities** | 134000 | - | 134000 | - |
|  **Foreign Government and Government Agency Obligations** | 1183233 | - | 1183233 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 38724466 | - | 38724466 | - |
| Consumer Discretionary | 21936408 | - | 21936408 | - |
| Consumer Staples | 24470912 | - | 24470912 | - |
| Energy | 69427311 | - | 69427311 | - |
| Financials | 262697776 | - | 262697776 | - |
| Health Care | 46846418 | - | 46846418 | - |
| Industrials | 42543338 | - | 42543338 | - |
| Information Technology | 48924531 | - | 48924531 | - |
| Materials | 10461377 | - | 10461377 | - |
| Real Estate | 51184170 | - | 51184170 | - |
| Utilities | 80028218 | - | 80028218 | - |
|  **Preferred Securities** |  |  |  |  |
| Energy | 757704 | - | 757704 | - |
| Financials | 936971 | - | 936971 | - |
|  **U.S. Treasury Obligations** | 84870050 | - | 84870050 | - |
|  **Money Market Funds** | 43403013 | 43403013 | - | - |
| **Total Investments in Securities:** | 832468152 | 43403013 | 789065139 | - |

---

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of August 31, 2025** | **As of August 31, 2025** | **As of August 31, 2025** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $808,516,109) | $789065139 |  |
| Fidelity Central Funds (cost $43,403,004) | 43403013 |  |
| Total Investment in Securities (cost $851,919,113) |  | $832468152 |
| Cash |  | 8182 |
| Receivable for fund shares sold |  | 1991058 |
| Interest receivable |  | 9667459 |
| Distributions receivable from Fidelity Central Funds |  | 163309 |
| **Total assets** |  | 844298160 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $2627859 |  |
| Payable for fund shares redeemed | 2948062 |  |
| Other payables and accrued expenses | 3533 |  |
| **Total liabilities** |  | 5579454 |
| **Net Assets**  |  | $838718706 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $893269159 |
| Total accumulated earnings (loss) |  | (54550453) |
| **Net Assets** |  | $838718706 |
| **Net Asset Value**, offering price and redemption price per share ($838,718,706 ÷ 89,097,465 shares) |  | $9.41 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** |
| **Investment Income** |  |  |
| Dividends  |  | $89610 |
| Interest  |  | 32459441 |
| Income from Fidelity Central Funds (including $362 from security lending)  |  | 1091926 |
| **Total income** |  | 33640977 |
| **Expenses** |  |  |
| Custodian fees and expenses | $8217 |  |
| Independent trustees' fees and expenses | 1724 |  |
| Total expenses before reductions | 9941 |  |
| Expense reductions | (726) |  |
| Total expenses after reductions |  | 9215 |
| **Net Investment income (loss)** |  | 33631762 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (10805649) |  |
| Total net realized gain (loss) |  | (10805649) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 9334527 |  |
| Fidelity Central Funds  | (1) |  |
| Total change in net unrealized appreciation (depreciation) |  | 9334526 |
| **Net gain (loss)** |  | (1471123) |
| **Net increase (decrease) in net assets resulting from operations** |  | $32160639 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **August 31, 2025** | **Year ended**<br> **August 31, 2024** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $33631762 | $24489753 |
| &nbsp;&nbsp;Net realized gain (loss) | (10805649)<br>| (9623603)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 9334526 | 40230935<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 32160639<br>| 55097085<br>|
| Distributions to shareholders | (33625639)<br>| (24672918)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 319730098 | 148346088 |
| Reinvestment of distributions | 33615746<br>| 24668123<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (111569264) | (120828917) |
| **Net increase (decrease) in net assets resulting from share transactions** | 241776580<br>| 52185294<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 240311580<br>| 82609461<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 598407126 | 515797665<br>|
| &nbsp;&nbsp;End of period | $838718706 | $598407126 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 34182808 | 16303577 |
| Issued in reinvestment of distributions | 3600553<br>| 2712147<br>|
| &nbsp;&nbsp;Redeemed | (11992834) | (13216548) |
| &nbsp;&nbsp;Net increase (decrease) | 25790527 | 5799176 |

---

**Financial Highlights** 

**Fidelity® Series Corporate Bond Fund** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.45 | $8.97 | $9.24 | $11.24 | $11.31 |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) A,B | .438  | .402  | .362  | .296  | .296  |
| Net realized and unrealized gain (loss)  | (.040)  | .483  | (.274)  | (1.974)  | .054  |
| Total from investment operations  | .398  | .885  | .088  | (1.678)  | .350  |
| Distributions from net investment income  | (.438)  | (.405)  | (.358)  | (.295)  | (.304)  |
| Distributions from net realized gain  | -  | -  | -  | (.027)  | (.116)  |
| Total distributions  | (.438)  | (.405)  | (.358)  | (.322)  | (.420)  |
| Net asset value, end of period  | $9.41 | $9.45 | $8.97 | $9.24 | $11.24 |
| **Total Return** C | 4.35% <br>| 10.15%  | 1.02%  | (15.16)%  | 3.18%  |
| **Ratios to Average Net Assets** B,D,E |  |  |  |  |  |
| Expenses before reductions F | -%  | -%  | -%  | -%  | -%  |
| Expenses net of fee waivers, if any F | -% <br>| -%  | -%  | -%  | -%  |
| Expenses net of all reductions, if any F | -%  | -%  | -%  | -%  | -%  |
| Net investment income (loss)  | 4.71%  | 4.43%  | 4.03%  | 2.89%  | 2.67%  |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $838719 | $598407 | $515798 | $397618 | $443415 |
| Portfolio turnover rate G | 39% <br>| 26%  | 25%  | 41%  | 38%  |

---

A*Calculated based on average shares outstanding during the period.*

B*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

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

D*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

E*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

F*Amount represents less than .005%.*

G*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

**Notes to Financial Statements**

For the period ended August 31, 2025

**1. Organization.**

Fidelity Series Corporate Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered only to certain other Fidelity funds, Fidelity managed 529 plans, and Fidelity managed collective investment trusts. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

**2. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**3. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

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

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, foreign government and government agency obligations, preferred securities and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities and commercial mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2025 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2025, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

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

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

Book-tax differences are primarily due to capital loss carryforwards and losses deferred due to wash sales.

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

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $12253334 |
| **Gross unrealized depreciation**  | <u>(31704295)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$(19450961)</u> |
| **Tax Cost**  | <u>$851919113</u> |

---

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

---

| | |
|:---|:---|
| **Capital loss carryforward**  | <u>$(35001187)</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$(19450961)</u> |

---

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | $(14959426) |
| Long-term | <u>(20041761)</u> |
| **Total capital loss carryforward** | <u>$(35001187)</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **August 31, 2025** | **August 31, 2024** |
| **Ordinary Income**  | $33625639 | $24672918 |

---

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**New Accounting Pronouncements.** FASB Accounting Standards Update (ASU) 2023-07 Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures became effective in this reporting period. ASU 2023-07 enhances segment information disclosure in the notes to financial statements.

In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Series Corporate Bond Fund** | 313284628 | 144863605 |

---

**5. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund does not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Fund, except custody fees, fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**6. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are borne by the investment adviser.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2026 unless extended or renewed.

**7. Security Lending.** 

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, the borrowers provide collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the fair value of the loaned securities during the period of the loan. The fair value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned or gaining access to non-cash collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral less rebates paid to borrowers, plus any premium income received, or for non-cash collateral, fees received from borrowers as compensation for the securities loaned. Securities lending income is reduced by any lending agent fees associated with the loan. Any security lending income earned on investing cash collateral is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Any security lending income earned on non-cash collateral is presented in the Statement of Operations as a component of interest. Affiliated security lending activity, if any, was as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** | **Security Lending Income From Securities Loaned to NFS ($)** | **Value of Securities Loaned to NFS at Period End ($)** |
| **Fidelity Series Corporate Bond Fund** | 39 | - | - |

---

**8. Expense Reductions.** 

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $726.

**9. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

At the end of the period, mutual funds and accounts managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.

**10. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Report of Independent Registered Public Accounting Firm**

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

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statement of assets and liabilities of Fidelity Series Corporate Bond Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of August 31, 2025, the related statement of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the "financial statements and financial highlights"). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of August 31, 2025, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

October 16, 2025

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

**Distributions** **(Unaudited)**

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

A total of 9.07% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $33,625,639 of distributions paid during the fiscal year ended 2025 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2026 of amounts for use in preparing 2025 income tax returns.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img113709_4.jpg)<br>

1.9891231.107 XBC-ANN-1025

**Fidelity® Conservative Income Bond Fund**

**Annual Report**

**August 31, 2025**

Includes Fidelity and Fidelity Advisor share classes

![](img113726_1.jpg)

![](img113726_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_FCV-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Conservative Income Bond Fund](#Sub_Sec_Fund_2267_FCV-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements2267_FCV-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_FCV-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_FCV-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_FCV-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_FCV-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_FCV-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_FCV-ANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-8544 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

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

**Fidelity® Conservative Income Bond Fund**

**Schedule of Investments August 31, 2025**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 16.1%** | &nbsp;&nbsp;**Asset-Backed Securities - 16.1%** | &nbsp;&nbsp;**Asset-Backed Securities - 16.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 16.1%  |  |  |
| Affirm Asset Securitization Trust Series 2025-X1 Class A, 5.08% 4/15/2030 (b) | 5235313 | 5241840 |
| American Express Credit Account Master Trust Series 2023-1 Class A, 4.87% 5/15/2028  | 15100000 | 15178683 |
| Autonation Finance Trust Series 2025-1A Class A2, 4.72% 4/10/2028 (b) | 24770000 | 24833419 |
| BMW Vehicle Lease Trust Series 2023-2 Class A3, 5.99% 9/25/2026  | 1990452 | 1995263 |
| BMW Vehicle Lease Trust Series 2025-1 Class A2A, 4.43% 9/27/2027  | 20575000 | 20625518 |
| BofA Auto Trust Series 2024-1A Class A2, 5.57% 12/15/2026 (b) | 1180857 | 1181921 |
| BofA Auto Trust Series 2025-1A Class A2A, 4.52% 11/22/2027 (b) | 6665000 | 6674543 |
| Capital One Multi-Asset Execution Trust Series 2022-A3 Class A, 4.95% 10/15/2027  | 17000000 | 17012976 |
| Capital One Prime Auto Receivables Trust Series 2024-1 Class A2A, 4.61% 10/15/2027  | 9846581 | 9856164 |
| CarMax Auto Owner Trust Series 2024-1 Class A2A, 5.3% 3/15/2027  | 1956639 | 1958062 |
| CarMax Auto Owner Trust Series 2024-2 Class A2B, U.S. 30-Day Avg. SOFR Index + 0.73%, 4.9227% 5/17/2027 (c)(d) | 3096121 | 3098066 |
| CarMax Auto Owner Trust Series 2024-3 Class A2A, 5.21% 9/15/2027  | 8384083 | 8405053 |
| CarMax Auto Owner Trust Series 2024-4 Class A2A, 4.67% 12/15/2027  | 6950063 | 6962222 |
| CarMax Auto Owner Trust Series 2025-1 Class A2A, 4.63% 3/15/2028  | 11931801 | 11952730 |
| CarMax Auto Owner Trust Series 2025-2 Class A2A, 4.59% 7/17/2028  | 9850000 | 9887028 |
| CarMax Auto Owner Trust Series 2025-3 Class A2A, 4.42% 8/15/2028  | 20130000 | 20178533 |
| CarMax Select Receivables Trust Series 2024-A Class A2A, 5.78% 9/15/2027  | 362605 | 363766 |
| Carvana Auto Receivables Trust 2025-P2 Series 2025-P2 Class A2, 4.56% 8/10/2028  | 16440000 | 16469878 |
| Carvana Auto Receivables Trust Series 2024-P4 Class A2, 4.62% 2/10/2028  | 4417810 | 4420647 |
| Carvana Auto Receivables Trust Series 2025-P1 Class A2, 4.5% 6/12/2028  | 4176276 | 4178352 |
| Chase Auto Owner Trust Series 2024-1A Class A2, 5.48% 4/26/2027 (b) | 681426 | 681854 |
| Chase Auto Owner Trust Series 2024-1A Class A3, 5.13% 5/25/2029 (b) | 15000000 | 15136982 |
| Chase Auto Owner Trust Series 2024-3A Class A2, 5.53% 9/27/2027 (b) | 2376986 | 2382733 |
| Chase Auto Owner Trust Series 2024-4A Class A2, 5.25% 9/27/2027 (b) | 6911744 | 6925386 |
| Chase Issuance Trust Series 2022-A1 Class A, 3.97% 9/15/2027  | 5491000 | 5489764 |
| Citizens Auto Receivables Trust Series 2024-1 Class A2A, 5.43% 10/15/2026 (b) | 466231 | 466448 |
| Citizens Auto Receivables Trust Series 2024-2 Class A2A, 5.54% 11/16/2026 (b) | 2173496 | 2175374 |
| Daimler Trucks Retail Trust Series 2024-1 Class A2, 5.6% 4/15/2026  | 567220 | 567477 |
| Dell Equip Fin Trust Series 2025-1 Class A2, 4.68% 7/22/2027 (b) | 2455000 | 2464356 |
| Dext Abs LLC Series 2025-1 Class A2, 4.59% 8/16/2027 (b) | 4790000 | 4798112 |
| DLLAA LLC Series 2025-1A Class A2, 4.7% 10/20/2027 (b) | 6440000 | 6456747 |
| Dllad LLC Series 2025-1A Class A2, 4.46% 11/20/2028 (b) | 12180000 | 12216178 |
| DLLAD Series 2024-1A Class A2, 5.5% 8/20/2027 (b) | 3643375 | 3661923 |
| DLLMT LLC Series 2024-1A Class A3, 4.84% 8/21/2028 (b) | 23800000 | 24032171 |
| DLLST Series 2024-1A Class A2, 5.33% 1/20/2026 (b) | 254572 | 254653 |
| DRIVE Series 2025-1 Class A2, 4.87% 8/15/2028  | 10530000 | 10553283 |
| Enterprise Fleet Financing 2025-2 LLC Series 2025-2 Class A2, 4.51% 2/22/2028 (b) | 20871000 | 20940166 |
| Enterprise Fleet Financing LLC Series 2025-1 Class A2, 4.65% 10/20/2027 (b) | 13735000 | 13782285 |
| Enterprise Fleet Financing LLC Series 2025-3 Class A2, 4.5% 4/20/2028 (b) | 22640000 | 22726906 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (b) | 1624044 | 1632105 |
| Exeter Automobile Receivables Trust Series 2025-3A Class A2, 4.83% 1/18/2028  | 15890000 | 15915179 |
| Exeter Automobile Receivables Trust Series 2025-4A Class A2, 4.53% 3/15/2028  | 15805000 | 15810921 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A2, 4.83% 10/16/2028  | 717699 | 719820 |
| Exeter Select Automobile Receivables Trust Series 2025-2 Class A2, 4.54% 6/15/2029  | 10180000 | 10207934 |
| Ford Credit Auto Lease Trust Series 2025-A Class A2A, 4.57% 8/15/2027  | 13223943 | 13247964 |
| Ford Credit Auto Owner Trust Series 2021-1 Class A, 1.37% 10/17/2033 (b) | 21088000 | 20701425 |
| Ford Credit Auto Owner Trust Series 2024-D Class A2A, 4.59% 10/15/2027  | 8665767 | 8678685 |
| Ford Credit Auto Owner Trust Series 2025-A Class A2A, 4.47% 12/15/2027  | 21000000 | 21041177 |
| Ford Series 2025-B Class A2A, 4.37% 3/15/2028  | 8760000 | 8777980 |
| Fordo 2022-B A2b Series 2022-B Class A3, 3.74% 9/15/2026  | 127207 | 127160 |
| FORDO Series 2024-B Class A2A, 5.4% 4/15/2027  | 5230870 | 5244341 |
| GM Financial Automobile Leasing Trust Series 2024-2 Class A2A, 5.43% 9/21/2026  | 4532709 | 4540687 |
| GM Financial Automobile Leasing Trust Series 2024-2 Class A3, 5.39% 7/20/2027  | 13000000 | 13097029 |
| GM Financial Automobile Leasing Trust Series 2025-1 Class A2A, 4.54% 5/20/2027 (c) | 33909189 | 33973928 |
| GM Financial Consumer Automobile Receivables Trust Series 2024-1 Class A2A, 5.12% 2/16/2027  | 876767 | 877073 |
| GM Financial Consumer Automobile Receivables Trust Series 2024-2 Class A2B, U.S. 30-Day Avg. SOFR Index + 0.39%, 4.7327% 3/16/2027 (c)(d) | 2459447 | 2460145 |
| GM Financial Consumer Automobile Receivables Trust Series 2024-4 Class A2A, 4.53% 10/18/2027  | 8391636 | 8399281 |
| GM Financial Consumer Automobile Receivables Trust Series 2025-2 Class A2A, 4.4% 2/16/2028  | 20575000 | 20597935 |
| Gm Financial Leasing Trst Series 2025-3 Class A2A, 4.19% 10/20/2027  | 19652000 | 19665393 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class A1, 5.34% 6/15/2028 (b) | 22870000 | 23064692 |
| GMF Floorplan Owner Revolving Trust Series 2024-3A Class A1, 4.68% 11/15/2028 (b) | 15700000 | 15786113 |
| GMF Floorplan Owner Revolving Trust Series 2025-1A Class A2, U.S. 30-Day Avg. SOFR Index + 0.6%, 4.9427% 3/15/2029 (b)(c)(d) | 13010000 | 13031456 |
| Gmf Leasing LLC Series 2025-2 Class A2A, 4.55% 7/20/2027  | 18670000 | 18724770 |
| Halst Series 2025-A Class A2A, 4.6% 6/15/2027 (b) | 8788886 | 8807105 |
| Halst Series 2025-A Class A3, 4.83% 1/18/2028 (b) | 20302000 | 20493996 |
| Harot Series 2025-2 Class A2A, 4.3% 1/18/2028  | 17984000 | 18006449 |
| Honda Auto Receivables Owner Trust Series 2023-2 Class A3, 4.93% 11/15/2027  | 2307249 | 2316209 |
| Honda Auto Receivables Owner Trust Series 2025-1 Class A2, 4.53% 8/23/2027  | 19900000 | 19932258 |
| Honda Auto Receivables Series 2024-2 Class A2, 5.48% 11/18/2026  | 3873555 | 3879877 |
| HPEFS Equipment Trust Series 2024-2A Class A2, 5.5% 10/20/2031 (b) | 3350812 | 3356034 |
| Huntington Auto Trust Series 2024-1A Class A2, 5.5% 3/15/2027 (b) | 1729997 | 1730943 |
| Hyundai Auto Lease Securitization Trust Series 2023-C Class A3, 5.8% 12/15/2026 (b) | 13862871 | 13900308 |
| Hyundai Auto Lease Securitization Trust Series 2024-A Class A2A, 5.15% 6/15/2026 (b) | 402303 | 402449 |
| Hyundai Auto Lease Securitization Trust Series 2024-B Class A2A, 5.51% 10/15/2026 (b) | 4533658 | 4539497 |
| Hyundai Auto Lease Securitization Trust Series 2025-B Class A2A, 4.58% 9/15/2027 (b) | 17210000 | 17271042 |
| Hyundai Auto Lease Securitization Trust Series 2025-C Class A2A, 4.37% 1/18/2028 (b) | 10930000 | 10963972 |
| Hyundai Auto Receivables Trust Series 2024-A Class A2A, 5.29% 4/15/2027  | 3662347 | 3668083 |
| Hyundai Auto Receivables Trust Series 2024-C Class A2A, 4.53% 9/15/2027  | 9355848 | 9365578 |
| Hyundai Auto Receivables Trust Series 2025-B Class A2A, 4.45% 8/15/2028  | 11870000 | 11905427 |
| John Deere Owner Trust Series 2024-A Class A2A, 5.19% 2/16/2027  | 7356256 | 7362960 |
| John Deere Owner Trust Series 2024-C Class A2B, U.S. 30-Day Avg. SOFR Index + 0.43%, 4.7727% 8/16/2027 (c)(d) | 8929882 | 8933104 |
| Kubota Credit Owner Trust 2025-2 Series 2025-2A Class A2, 4.48% 4/17/2028 (b) | 9175000 | 9211934 |
| Kubota Credit Owner Trust Series 2025-1A Class A2, 4.61% 12/15/2027 (b) | 18325000 | 18383631 |
| M&T Equipment Notes Series 2025-1A Class A2, 4.7% 12/16/2027 (b) | 8705000 | 8750341 |
| Marlette Funding Trust 2025-1 Series 2025-1A Class A, 4.75% 7/16/2035 (b) | 1657895 | 1659571 |
| MBART Series 2025-1 Class A2A, 4.5% 2/15/2028  | 8507545 | 8519490 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A2A, 5.44% 2/16/2027  | 7313728 | 7331342 |
| Mercedes-Benz Auto Lease Trust Series 2025-A Class A2A, 4.57% 4/17/2028  | 13710000 | 13772556 |
| Mercedes-Benz Auto Receivables Trust Series 2022-1 Class A3, 5.21% 8/16/2027  | 5809532 | 5830426 |
| Mercedes-Benz Auto Receivables Trust Series 2024-1 Class A2A, 5.06% 5/17/2027  | 1138936 | 1139194 |
| Nissan Master Owner Tr Receivable Series 2024-A Class A, U.S. 30-Day Avg. SOFR Index + 0.67%, 5.0127% 2/15/2028 (b)(c)(d) | 25000000 | 25019923 |
| Porsche Financial Auto Securitization Trust Series 2024-1A Class A2A, 4.45% 1/24/2028 (b) | 7584530 | 7588217 |
| Porsche Innovative Lease Owner Trust Series 2025-1A Class A2A, 4.6% 12/20/2027 (b) | 11105000 | 11133736 |
| Santander Drive Auto Receivables Trust Series 2025-2 Class A2, 4.71% 6/15/2028  | 17782403 | 17814754 |
| SBNA Auto Lease Trust Series 2024-B Class A2, 5.67% 11/20/2026 (b) | 1220472 | 1221421 |
| SBNA Auto Lease Trust Series 2024-B Class A3, 5.56% 11/22/2027 (b) | 5057000 | 5094950 |
| SBNA Auto Lease Trust Series 2024-C Class A2, 4.94% 11/20/2026 (b) | 1701166 | 1701969 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (b) | 11363000 | 11386892 |
| SFAST Series 2025-1A Class A2, 4.65% 5/22/2028 (b) | 11003933 | 11019684 |
| SFS Auto Receivables Securitization Trust Series 2024-2A Class A2, 5.71% 10/20/2027 (b) | 2514769 | 2518531 |
| SFS Auto Receivables Securitization Trust Series 2024-3A Class A2, 4.71% 5/22/2028 (b) | 3532239 | 3536069 |
| SFS Auto Receivables Securitization Trust Series 2025-2A Class A2, 4.52% 11/20/2028 (b) | 13510000 | 13542750 |
| Sfuel Series 2025-BA Class A2, 4.31% 5/22/2028 (b) | 22760000 | 22802331 |
| Sofi Consumer Loan Program Series 2025-3 Class A, 4.47% 8/15/2034 (b) | 5465000 | 5468451 |
| Tesla Auto Lease Trust Series 2024-B Class A2A, 4.79% 1/20/2027 (b) | 4194578 | 4197758 |
| Tesla Electric Vehicle Trust Series 2023-1 Class A2A, 5.54% 12/21/2026 (b) | 3002203 | 3005612 |
| Toyota Auto Loan Extended Note Trust Series 2021-1A Class A, 1.07% 2/27/2034 (b) | 2350000 | 2313779 |
| Toyota Auto Receivables 2022-C Owner Tr Series 2022-C Class A3, 3.76% 4/15/2027  | 1629185 | 1626241 |
| Toyota Auto Receivables Owner Trust Series 2023-A Class A3, 4.63% 9/15/2027  | 6192949 | 6202854 |
| Toyota Auto Receivables Owner Trust Series 2024-B Class A2B, U.S. 30-Day Avg. SOFR Index + 0.35%, 4.6927% 3/15/2027 (c)(d) | 3853879 | 3854941 |
| Toyota Auto Receivables Owner Trust Series 2025-B Class A2A, 4.46% 3/15/2028  | 26445000 | 26494933 |
| Toyota Lease Owner Trust Series 2025-A Class A2A, 4.58% 7/20/2027 (b) | 10811042 | 10840018 |
| USB Auto Owner Trust 2025-1 Series 2025-1A Class A2, 4.51% 6/15/2028 (b) | 18000000 | 18053878 |
| Verizon Master Trust Series 2025-3 Class A1B, U.S. 30-Day Avg. SOFR Index + 0.55%, 4.8927% 3/20/2030 (c)(d) | 22325000 | 22361729 |
| Volkswagen Auto Lease Trust Series 2023-A Class A3, 5.81% 10/20/2026  | 4811896 | 4827516 |
| Volkswagen Auto Loan Enhanced Trust Series 2024-1 Class A2A, 4.65% 11/22/2027  | 12144856 | 12168186 |
| Volvo Financial Equipment LLC Series 2024-1A Class A2, 4.56% 5/17/2027 (b) | 7310084 | 7318345 |
| Wheels Fleet Lease Funding 1 LLC Series 2025-1A Class A2, CME Term SOFR 1 month Index + 0%, 4.9868% 1/18/2040 (b)(c)(d) | 19625000 | 19683021 |
| Woart Series 2025-B Class A2A, 4.38% 8/15/2028  | 22815000 | 22859526 |
| Woart Series 2025-C Class A2A, 4.19% 10/16/2028  | 22700000 | 22716569 |
| World Omni Auto Receivables Trust 2022-A Series 2022-A Class A3, 1.66% 5/17/2027  | 1954149 | 1947779 |
| World Omni Auto Receivables Trust Series 2024-B Class A2A, 5.48% 9/15/2027  | 2668136 | 2671045 |
| World Omni Auto Receivables Trust Series 2025-A Class A2A, 4.49% 4/17/2028  | 12944605 | 12957280 |
| World Omni Automobile Lease Securitization Trst Series 2023-A Class A3, 5.07% 9/15/2026  | 71330 | 71341 |
| World Omni Automobile Lease Securitization Trust Series 2024-A Class A2B, 4.7727% 2/16/2027 (c) | 1710645 | 1711570 |
| World Omni Select Auto Trust Series 2024-A Class A2A, 5.37% 2/15/2028  | 4502547 | 4511279 |
| TOTAL UNITED STATES |  | 1236189309 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $1,233,676,767) |  | <br> **1236189309** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| PNC Bank NA 4.775% 1/15/2027 (c)<br>(Cost $9,244,609)<br>| 9246000 | **9255269** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 38.2%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 38.2%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 38.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.6%  |  |  |
| Financials - 0.3% |  |  |
| Banks - 0.3% |  |  |
| Commonwealth Bank of Australia U.S. SOFR Index + 0.46%, 4.8305% 11/27/2026 (b)(c)(d) | 25000000 | 25050330 |
| Materials - 0.3% |  |  |
| Metals & Mining - 0.3% |  |  |
| Glencore Funding LLC 1.625% 4/27/2026 (b) | 3500000 | 3433113 |
| Glencore Funding LLC U.S. SOFR Averages Index + 0.75%, 5.1108% 10/1/2026 (b)(c)(d) | 20998000 | 21047258 |
|  |  | 24480371 |
| TOTAL AUSTRALIA |  | 49530701 |
| CANADA - 3.5%  |  |  |
| Energy - 0.2% |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |
| Enbridge Inc 4.25% 12/1/2026  | 12300000 | 12301490 |
| TransCanada PipeLines Ltd 4.875% 1/15/2026  | 5341000 | 5340978 |
|  |  | 17642468 |
| Financials - 3.3% |  |  |
| Banks - 3.3% |  |  |
| Bank of Montreal 0.949% 1/22/2027 (c) | 13000000 | 12819205 |
| Bank of Montreal 4.567% 9/10/2027 (c) | 23970000 | 24028384 |
| Bank of Montreal 5.92% 9/25/2025  | 18400000 | 18416009 |
| Bank of Montreal U.S. SOFR Averages Index + 0.88%, 5.2342% 9/10/2027 (c)(d) | 18700000 | 18775033 |
| Bank of Nova Scotia/The 2.7% 8/3/2026  | 21520000 | 21240739 |
| Federation des Caisses Desjardins du Quebec U.S. SOFR Index + 0.63%, 4.9867% 1/27/2027 (b)(c)(d) | 20700000 | 20705834 |
| National Bank of Canada 4.95% 2/1/2028 (c) | 23312000 | 23530091 |
| Royal Bank of Canada 5.069% 7/23/2027 (c) | 25000000 | 25165549 |
| Royal Bank of Canada U.S. SOFR Averages Index + 0.72%, 5.0703% 10/18/2027 (c)(d) | 19000000 | 19043399 |
| Royal Bank of Canada U.S. SOFR Averages Index + 0.82%, 5.1824% 3/27/2028 (c)(d) | 20700000 | 20766449 |
| Toronto Dominion Bank U.S. SOFR Index + 0.48%, 4.8301% 10/10/2025 (c)(d) | 25000000 | 25008074 |
| Toronto Dominion Bank U.S. SOFR Index + 0.62%, 4.9768% 12/17/2026 (c)(d) | 25000000 | 25079122 |
|  |  | 254577888 |
| TOTAL CANADA |  | 272220356 |
| DENMARK - 0.5%  |  |  |
| Financials - 0.5% |  |  |
| Banks - 0.5% |  |  |
| Danske Bank A/S 1.621% 9/11/2026 (b)(c) | 18000000 | 17987525 |
| Danske Bank A/S 6.259% 9/22/2026 (b)(c) | 19000000 | 19017562 |
| TOTAL DENMARK |  | 37005087 |
| FINLAND - 0.3%  |  |  |
| Financials - 0.3% |  |  |
| Banks - 0.3% |  |  |
| Nordea Bank Abp U.S. SOFR Index + 0.7%, 5.0571% 3/17/2028 (b)(c)(d) | 20345000 | 20416011 |
| FRANCE - 0.7%  |  |  |
| Financials - 0.7% |  |  |
| Banks - 0.7% |  |  |
| BNP Paribas SA 2.591% 1/20/2028 (b)(c) | 8083000 | 7887611 |
| Credit Agricole SA 1.247% 1/26/2027 (b)(c) | 14360000 | 14171636 |
| Credit Agricole SA 5.589% 7/5/2026 (b) | 27900000 | 28188639 |
| TOTAL FRANCE |  | 50247886 |
| GERMANY - 2.4%  |  |  |
| Consumer Discretionary - 1.7% |  |  |
| Automobiles - 1.7% |  |  |
| BMW US Capital LLC U.S. SOFR Averages Index + 0.8%, 5.1534% 8/13/2026 (b)(c)(d) | 18400000 | 18469920 |
| Mercedes-Benz Finance North America LLC U.S. SOFR Index + 0.63%, 4.9838% 7/31/2026 (b)(c)(d) | 18600000 | 18651770 |
| Mercedes-Benz Finance North America LLC U.S. SOFR Index + 0.78%, 5.1408% 4/1/2027 (b)(c)(d) | 28250000 | 28349758 |
| Volkswagen Group of America Finance LLC 5.8% 9/12/2025 (b) | 18050000 | 18055623 |
| Volkswagen Group of America Finance LLC U.S. SOFR Index + 0.83%, 5.1884% 3/20/2026 (b)(c)(d) | 27150000 | 27190432 |
| Volkswagen Group of America Finance LLC U.S. SOFR Index + 1.06%, 5.4137% 8/14/2026 (b)(c)(d) | 17849000 | 17892904 |
|  |  | 128610407 |
| Financials - 0.5% |  |  |
| Capital Markets - 0.5% |  |  |
| Deutsche Bank AG/New York NY 2.129% 11/24/2026 (c) | 19938000 | 19824740 |
| Deutsche Bank AG/New York NY 7.146% 7/13/2027 (c) | 17000000 | 17384375 |
|  |  | 37209115 |
| Health Care - 0.2% |  |  |
| Pharmaceuticals - 0.2% |  |  |
| Bayer US Finance II LLC 4.25% 12/15/2025 (b) | 16400000 | 16374229 |
| TOTAL GERMANY |  | 182193751 |
| IRELAND - 0.7%  |  |  |
| Financials - 0.7% |  |  |
| Banks - 0.5% |  |  |
| Bank of Ireland Group PLC 2.029% 9/30/2027 (b)(c) | 18727000 | 18236057 |
| Bank of Ireland Group PLC 6.253% 9/16/2026 (b)(c) | 20050000 | 20049190 |
|  |  | 38285247 |
| Consumer Finance - 0.2% |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026  | 15185000 | 14874008 |
| TOTAL IRELAND |  | 53159255 |
| ITALY - 0.2%  |  |  |
| Utilities - 0.2% |  |  |
| Electric Utilities - 0.2% |  |  |
| Enel Finance International NV 1.625% 7/12/2026 (b)(e) | 18000000 | 17575897 |
| JAPAN - 0.7%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| NTT Finance Corp 4.567% 7/16/2027 (b) | 1033000 | 1039552 |
| Financials - 0.7% |  |  |
| Banks - 0.7% |  |  |
| Mizuho Financial Group Inc 1.234% 5/22/2027 (c) | 13100000 | 12811009 |
| Sumitomo Mitsui Financial Group Inc 1.402% 9/17/2026  | 26000000 | 25265770 |
| Sumitomo Mitsui Financial Group Inc 2.632% 7/14/2026  | 17700000 | 17463460 |
|  |  | 55540239 |
| TOTAL JAPAN |  | 56579791 |
| NETHERLANDS - 1.5%  |  |  |
| Financials - 1.2% |  |  |
| Banks - 1.2% |  |  |
| ABN AMRO Bank NV U.S. SOFR Averages Index + 1.78%, 6.1384% 9/18/2027 (b)(c)(d) | 19000000 | 19212228 |
| Cooperatieve Rabobank UA 1.004% 9/24/2026 (b)(c) | 19800000 | 19757488 |
| Cooperatieve Rabobank UA/NY 4.333% 8/28/2026  | 15000000 | 15039420 |
| ING Groep NV 1.726% 4/1/2027 (c) | 21617000 | 21295259 |
| ING Groep NV 6.083% 9/11/2027 (c) | 14800000 | 15048939 |
|  |  | 90353334 |
| Information Technology - 0.3% |  |  |
| Semiconductors & Semiconductor Equipment - 0.3% |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 3.875% 6/18/2026  | 13300000 | 13242596 |
| NXP BV / NXP Funding LLC 5.35% 3/1/2026  | 15389000 | 15419888 |
|  |  | 28662484 |
| TOTAL NETHERLANDS |  | 119015818 |
| NORWAY - 0.2%  |  |  |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| DNB Bank ASA 1.127% 9/16/2026 (b)(c) | 18000000 | 17975366 |
| SWEDEN - 0.3%  |  |  |
| Financials - 0.3% |  |  |
| Banks - 0.3% |  |  |
| Swedbank AB 6.136% 9/12/2026 (b) | 21000000 | 21391128 |
| SWITZERLAND - 0.6%  |  |  |
| Financials - 0.6% |  |  |
| Capital Markets - 0.6% |  |  |
| UBS Group AG 1.364% 1/30/2027 (b)(c) | 14695000 | 14511614 |
| UBS Group AG 1.494% 8/10/2027 (b)(c) | 22000000 | 21412470 |
| UBS Group AG 4.703% 8/5/2027 (b)(c) | 12300000 | 12334481 |
| TOTAL SWITZERLAND |  | 48258565 |
| UNITED KINGDOM - 2.7%  |  |  |
| Financials - 2.4% |  |  |
| Banks - 2.4% |  |  |
| Barclays PLC 4.337% 1/10/2028  | 19500000 | 19509560 |
| Barclays PLC 4.375% 1/12/2026  | 18500000 | 18494640 |
| Barclays PLC 5.829% 5/9/2027 (c) | 18000000 | 18163169 |
| Barclays PLC 7.325% 11/2/2026 (c) | 15000000 | 15064685 |
| HSBC Holdings PLC 5.887% 8/14/2027 (c) | 18500000 | 18748982 |
| Lloyds Banking Group PLC 1.627% 5/11/2027 (c) | 23000000 | 22564422 |
| Lloyds Banking Group PLC U.S. SOFR Averages Index + 1.56%, 5.912% 8/7/2027 (c)(d) | 8500000 | 8578163 |
| NatWest Group PLC 1.642% 6/14/2027 (c) | 18600000 | 18205779 |
| NatWest Group PLC 5.847% 3/2/2027 (c) | 27000000 | 27191727 |
| NatWest Group PLC 7.472% 11/10/2026 (c) | 18000000 | 18096087 |
|  |  | 184617214 |
| Health Care - 0.3% |  |  |
| Pharmaceuticals - 0.3% |  |  |
| GlaxoSmithKline Capital PLC U.S. SOFR Index + 0.5%, 4.8554% 3/12/2027 (c)(d) | 22946000 | 23023820 |
| TOTAL UNITED KINGDOM |  | 207641034 |
| UNITED STATES - 23.3%  |  |  |
| Communication Services - 0.5% |  |  |
| Wireless Telecommunication Services - 0.5% |  |  |
| Sprint LLC 7.625% 3/1/2026  | 21350000 | 21456163 |
| T-Mobile USA Inc 1.5% 2/15/2026  | 6500000 | 6413637 |
| T-Mobile USA Inc 2.625% 4/15/2026  | 10000000 | 9886284 |
|  |  | 37756084 |
| Consumer Discretionary - 2.1% |  |  |
| Automobiles - 1.7% |  |  |
| American Honda Finance Corp 4.95% 1/9/2026  | 14550000 | 14578095 |
| American Honda Finance Corp 5.8% 10/3/2025  | 20100000 | 20120239 |
| American Honda Finance Corp U.S. SOFR Index + 0.55%, 4.9046% 5/11/2026 (c)(d) | 4900000 | 4908768 |
| American Honda Finance Corp U.S. SOFR Index + 0.65%, 4.9966% 5/20/2026 (c)(d) | 22500000 | 22545675 |
| General Motors Financial Co Inc 5.25% 3/1/2026  | 18400000 | 18431105 |
| General Motors Financial Co Inc 5.4% 4/6/2026  | 12200000 | 12257344 |
| Hyundai Capital America 5.45% 6/24/2026 (b) | 10930000 | 11013533 |
| Hyundai Capital America U.S. SOFR Index + 1.12%, 5.4785% 6/23/2027 (b)(c)(d) | 18850000 | 18948611 |
|  |  | 122803370 |
| Specialty Retail - 0.4% |  |  |
| Home Depot Inc/The U.S. SOFR Index + 0.33%, 4.6863% 12/24/2025 (c)(d) | 14248000 | 14256519 |
| Ross Stores Inc 0.875% 4/15/2026  | 19065000 | 18651367 |
|  |  | 32907886 |
| TOTAL CONSUMER DISCRETIONARY |  | 155711256 |
| Consumer Staples - 0.9% |  |  |
| Beverages - 0.3% |  |  |
| Keurig Dr Pepper Inc U.S. SOFR Index + 0.58%, 4.9328% 11/15/2026 (c)(d) | 23963000 | 23966118 |
| Consumer Staples Distribution & Retail - 0.4% |  |  |
| Mars Inc 4.45% 3/1/2027 (b) | 8647000 | 8699150 |
| Walmart Inc U.S. SOFR Averages Index + 0.43%, 4.7867% 4/28/2027 (c)(d) | 19569000 | 19625398 |
|  |  | 28324548 |
| Tobacco - 0.2% |  |  |
| Altria Group Inc 4.4% 2/14/2026  | 16566000 | 16550681 |
| TOTAL CONSUMER STAPLES |  | 68841347 |
| Energy - 0.7% |  |  |
| Oil, Gas & Consumable Fuels - 0.7% |  |  |
| Chevron USA Inc U.S. SOFR Averages Index + 0.36%, 4.726% 2/26/2027 (c)(d) | 19369000 | 19389596 |
| Energy Transfer LP 5.95% 12/1/2025  | 9100000 | 9107995 |
| Transcontinental Gas Pipe Line Co LLC 7.85% 2/1/2026  | 17000000 | 17106402 |
| Williams Cos Inc/The 5.4% 3/2/2026  | 5201000 | 5225297 |
|  |  | 50829290 |
| Financials - 15.9% |  |  |
| Banks - 8.5% |  |  |
| Bank of America Corp 1.658% 3/11/2027 (c) | 16500000 | 16265693 |
| Bank of America Corp 3.559% 4/23/2027 (c) | 21500000 | 21392930 |
| Citibank NA U.S. SOFR Index + 0.708%, 5.0618% 8/6/2026 (c)(d) | 18650000 | 18704467 |
| Citibank NA U.S. SOFR Index + 0.712%, 5.0665% 11/19/2027 (c)(d) | 18600000 | 18632875 |
| Citibank NA U.S. SOFR Index + 0.781%, 5.1371% 5/29/2027 (c)(d) | 15830000 | 15948444 |
| Citigroup Inc 1.122% 1/28/2027 (c) | 9300000 | 9175054 |
| Citigroup Inc 1.462% 6/9/2027 (c) | 9300000 | 9094499 |
| Citigroup Inc 5.61% 9/29/2026 (c) | 19789000 | 19803123 |
| Citigroup Inc U.S. SOFR Index + 1.1143%, 5.497% 5/7/2028 (c)(d) | 18300000 | 18422753 |
| Huntington National Bank/The U.S. SOFR Index + 0.72%, 5.0699% 4/12/2028 (c)(d) | 16536000 | 16526616 |
| JPMorgan Chase & Co 1.04% 2/4/2027 (c) | 20500000 | 20212002 |
| JPMorgan Chase & Co 1.045% 11/19/2026 (c) | 20700000 | 20548296 |
| JPMorgan Chase & Co 1.47% 9/22/2027 (c) | 9300000 | 9030281 |
| JPMorgan Chase & Co 1.578% 4/22/2027 (c) | 21000000 | 20639690 |
| JPMorgan Chase & Co 2.947% 2/24/2028 (c) | 19250000 | 18898708 |
| JPMorgan Chase & Co 3.96% 1/29/2027 (c) | 16500000 | 16475185 |
| Morgan Stanley Bank NA 4.447% 10/15/2027 (c) | 9264000 | 9271487 |
| Morgan Stanley Bank NA U.S. SOFR Index + 0.685%, 5.0352% 10/15/2027 (c)(d) | 25000000 | 25069947 |
| Morgan Stanley Bank NA U.S. SOFR Index + 1.165%, 5.5163% 10/30/2026 (c)(d) | 16100000 | 16214180 |
| Morgan Stanley Private Bank NA U.S. SOFR Index + 0.77%, 5.1231% 7/6/2028 (c)(d) | 22410000 | 22471514 |
| PNC Financial Services Group Inc/The 4.758% 1/26/2027 (c) | 20000000 | 20017354 |
| PNC Financial Services Group Inc/The 5.102% 7/23/2027 (c) | 23305000 | 23438434 |
| PNC Financial Services Group Inc/The 6.615% 10/20/2027 (c) | 11600000 | 11890318 |
| Truist Bank 4.671% 5/20/2027 (c) | 10496000 | 10515875 |
| Truist Bank U.S. SOFR Index + 0.77%, 5.1236% 7/24/2028 (c)(d) | 24700000 | 24704693 |
| Truist Financial Corp 1.267% 3/2/2027 (c) | 10609000 | 10448663 |
| Truist Financial Corp 5.9% 10/28/2026 (c) | 18600000 | 18635497 |
| Truist Financial Corp 6.047% 6/8/2027 (c) | 21000000 | 21241283 |
| US Bancorp 5.727% 10/21/2026 (c) | 18720000 | 18748335 |
| US Bancorp 6.787% 10/26/2027 (c) | 16500000 | 16957897 |
| US Bank NA/Cincinnati OH 4.507% 10/22/2027 (c) | 9302000 | 9327457 |
| US Bank NA/Cincinnati OH U.S. SOFR Index + 0.91%, 5.2628% 5/15/2028 (c)(d) | 29000000 | 29168251 |
| Wells Fargo & Co 3.196% 6/17/2027 (c) | 20500000 | 20322421 |
| Wells Fargo & Co 3.526% 3/24/2028 (c) | 22810000 | 22566792 |
| Wells Fargo & Co 5.707% 4/22/2028 (c) | 20300000 | 20762386 |
| Wells Fargo & Co U.S. SOFR Index + 0.78%, 5.1336% 1/24/2028 (c)(d) | 20000000 | 20066411 |
|  |  | 641609811 |
| Capital Markets - 4.4% |  |  |
| Athene Global Funding 1.608% 6/29/2026 (b) | 13950000 | 13644732 |
| Athene Global Funding 4.86% 8/27/2026 (b) | 23600000 | 23719557 |
| Athene Global Funding 5.684% 2/23/2026 (b) | 6800000 | 6843922 |
| Athene Global Funding U.S. SOFR Averages Index + 0.83%, 5.1835% 1/7/2027 (b)(c)(d) | 26000000 | 26061376 |
| Bank of New York Mellon Corp/The 4.947% 4/26/2027 (c) | 25000000 | 25116286 |
| Bank of New York Mellon Corp/The U.S. SOFR Averages Index + 0.68%, 5.0342% 6/9/2028 (c)(d) | 21940000 | 22002694 |
| Bank of New York Mellon U.S. SOFR Averages Index + 0.71%, 5.06% 4/20/2027 (c)(d) | 28400000 | 28463482 |
| Goldman Sachs Group Inc/The 1.093% 12/9/2026 (c) | 26150000 | 25912288 |
| Goldman Sachs Group Inc/The 1.431% 3/9/2027 (c) | 25349000 | 24954567 |
| Goldman Sachs Group Inc/The 1.542% 9/10/2027 (c) | 16500000 | 16030582 |
| Goldman Sachs Group Inc/The 1.948% 10/21/2027 (c) | 18000000 | 17526724 |
| Goldman Sachs Group Inc/The U.S. SOFR Index + 1.29%, 5.6421% 4/23/2028 (c)(d) | 15298000 | 15443885 |
| Morgan Stanley 1.512% 7/20/2027 (c) | 23800000 | 23211291 |
| Morgan Stanley 1.593% 5/4/2027 (c) | 24450000 | 23994469 |
| Sammons Financial Group Global Funding U.S. SOFR Index + 0.85%, 5.2054% 9/2/2027 (b)(c)(d) | 23000000 | 23022784 |
| State Street Bank & Trust Co U.S. SOFR Index + 0.46%, 4.8199% 11/25/2026 (c)(d) | 11840000 | 11855697 |
| State Street Corp U.S. SOFR Index + 0.95%, 5.3036% 4/24/2028 (c)(d) | 9555000 | 9617443 |
|  |  | 337421779 |
| Consumer Finance - 1.3% |  |  |
| American Express Co 5.389% 7/28/2027 (c) | 3925000 | 3962647 |
| American Express Co 5.645% 4/23/2027 (c) | 21550000 | 21724445 |
| American Express Co 6.338% 10/30/2026 (c) | 18506000 | 18559744 |
| Toyota Motor Credit Corp 5.6% 9/11/2025  | 18000000 | 18004813 |
| Toyota Motor Credit Corp U.S. SOFR Averages Index + 0.45%, 4.8001% 4/10/2026 (c)(d) | 18800000 | 18827296 |
| Toyota Motor Credit Corp U.S. SOFR Index + 0.77%, 5.1243% 8/7/2026 (c)(d) | 18298000 | 18379218 |
|  |  | 99458163 |
| Financial Services - 0.8% |  |  |
| CNH Industrial Capital LLC 5.45% 10/14/2025  | 19000000 | 19016432 |
| Corebridge Global Funding 5.35% 6/24/2026 (b) | 16320000 | 16462816 |
| Corebridge Global Funding U.S. SOFR Index + 1.3%, 5.6614% 9/25/2026 (b)(c)(d) | 25798000 | 25991946 |
|  |  | 61471194 |
| Insurance - 0.9% |  |  |
| Brown & Brown Inc 4.6% 12/23/2026  | 6977000 | 7009708 |
| Equitable Financial Life Global Funding 4.6% 4/1/2027 (b) | 12705000 | 12778498 |
| Jackson National Life Global Funding 4.9% 1/13/2027 (b) | 15420000 | 15530900 |
| Protective Life Global Funding 5.209% 4/14/2026 (b) | 13800000 | 13863207 |
| Trinity Acq PLC 4.4% 3/15/2026  | 22000000 | 21972563 |
|  |  | 71154876 |
| TOTAL FINANCIALS |  | 1211115823 |
| Health Care - 0.4% |  |  |
| Biotechnology - 0.3% |  |  |
| Gilead Sciences Inc 3.65% 3/1/2026  | 20700000 | 20629714 |
| Pharmaceuticals - 0.1% |  |  |
| Bristol-Myers Squibb Co U.S. SOFR Index + 0.49%, 4.8412% 2/20/2026 (c)(d) | 11132000 | 11148556 |
| TOTAL HEALTH CARE |  | 31778270 |
| Industrials - 0.2% |  |  |
| Machinery - 0.2% |  |  |
| Caterpillar Financial Services Corp U.S. SOFR Index + 0.69%, 5.0413% 10/16/2026 (c)(d) | 18000000 | 18077279 |
| Information Technology - 1.0% |  |  |
| Electronic Equipment, Instruments & Components - 0.4% |  |  |
| Dell International LLC / EMC Corp 4.9% 10/1/2026  | 22090000 | 22181600 |
| Dell International LLC / EMC Corp 6.02% 6/15/2026  | 6100000 | 6153363 |
|  |  | 28334963 |
| Software - 0.5% |  |  |
| Oracle Corp 2.65% 7/15/2026  | 19000000 | 18735056 |
| VMware LLC 1.4% 8/15/2026  | 23700000 | 23043481 |
|  |  | 41778537 |
| Technology Hardware, Storage & Peripherals - 0.1% |  |  |
| Hewlett Packard Enterprise Co 4.45% 9/25/2026  | 9053000 | 9065774 |
| TOTAL INFORMATION TECHNOLOGY |  | 79179274 |
| Materials - 0.1% |  |  |
| Chemicals - 0.1% |  |  |
| International Flavors & Fragrances Inc 1.23% 10/1/2025 (b) | 5301000 | 5285294 |
| Real Estate - 0.4% |  |  |
| Office REITs - 0.3% |  |  |
| COPT Defense Properties LP 2.25% 3/15/2026  | 27000000 | 26618508 |
| Specialized REITs - 0.1% |  |  |
| American Tower Corp 1.3% 9/15/2025  | 6000000 | 5992020 |
| TOTAL REAL ESTATE |  | 32610528 |
| Utilities - 1.1% |  |  |
| Electric Utilities - 0.9% |  |  |
| DTE Electric Co 4.25% 5/14/2027  | 3954000 | 3969782 |
| Eversource Energy 4.75% 5/15/2026  | 14045000 | 14077448 |
| NextEra Energy Capital Holdings Inc 4.685% 9/1/2027  | 10348000 | 10445795 |
| Oncor Electric Delivery Co LLC 4.5% 3/20/2027 (b) | 12377000 | 12462175 |
| Pacific Gas and Electric Co U.S. SOFR Averages Index + 0.95%, 5.3042% 9/4/2025 (c)(d) | 24600000 | 24600764 |
|  |  | 65555964 |
| Multi-Utilities - 0.2% |  |  |
| Dominion Energy Inc 1.45% 4/15/2026  | 22000000 | 21612151 |
| TOTAL UTILITIES |  | 87168115 |
| TOTAL UNITED STATES |  | 1778352560 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $2,919,910,726) |  | <br> **2931563206** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Certificates of Deposit - 10.0%** | &nbsp;&nbsp;**Certificates of Deposit - 10.0%** | &nbsp;&nbsp;**Certificates of Deposit - 10.0%** | &nbsp;&nbsp;**Certificates of Deposit - 10.0%** |
|  | Yield (%) (f) | Principal<br> Amount (a)<br>| Value ($)<br>|
| Bank of Nova Scotia/Houston yankee U.S. SOFR Index + 0.33%, 4.67% 7/22/2026 (c)(d) | 4.67 | 27500000 | 27502002 |
| Bank of Nova Scotia/Houston yankee U.S. SOFR Index + 0.33%, 4.67% 8/13/2026 (c)(d) | 4.67 | 27500000 | 27499236 |
| Bank of Nova Scotia/Houston yankee U.S. SOFR Index + 0.35%, 4.69% 10/10/2025 (c)(d) | 4.69 | 25000000 | 25006487 |
| Bank of Nova Scotia/Houston yankee U.S. SOFR Index + 0.35%, 4.69% 12/19/2025 (c)(d) | 4.69 | 27800000 | 27814767 |
| Barclays Bank PLC/NY yankee U.S. SOFR Index + 0.34%, 4.68% 12/31/2025 (c)(d) | 4.68 | 29000000 | 29015564 |
| Canadian Imperial Bank of Commerce/New York NY yankee U.S. SOFR Index + 0.35%, 4.69% 9/23/2025 (c)(d) | 4.69 | 28000000 | 28005376 |
| Canadian Imperial Bank of Commerce/New York NY yankee U.S. SOFR Index + 0.38%, 4.72% 12/22/2025 (c)(d) | 4.72 | 28000000 | 28020975 |
| Lloyds Bank Corporate Markets PLC/New York NY yankee U.S. SOFR Index + 0.34%, 4.68% 8/21/2026 (c)(d) | 4.68 | 27500000 | 27499698 |
| Mitsubishi UFJ Trust & Banking Corp/NY yankee U.S. SOFR Index + 0.35%, 0% 9/2/2026 (c)(d) | 4.74 | 27000000 | 26998634 |
| Mitsubishi UFJ Trust & Banking Corp/NY yankee U.S. SOFR Index + 0.36%, 4.7% 7/23/2026 (c)(d) | 4.70 | 27500000 | 27498969 |
| Mitsubishi UFJ Trust & Banking Corp/NY yankee U.S. SOFR Index + 0.38%, 4.72% 1/9/2026 (c)(d) | 4.72 | 13500000 | 13508423 |
| Mitsubishi UFJ Trust & Banking Corp/NY yankee U.S. SOFR Index + 0.38%, 4.72% 9/9/2025 (c)(d) | 4.72 | 25000000 | 25002060 |
| Mitsubishi UFJ Trust & Banking Corp/NY yankee U.S. SOFR Index + 0.4%, 4.74% 11/12/2025 (c)(d) | 4.74 | 25000000 | 25012913 |
| Mizuho Bank Ltd/New York NY yankee U.S. SOFR Index + 0.35%, 4.69% 1/30/2026 (c)(d) | 4.69 | 28000000 | 28016495 |
| Mizuho Bank Ltd/New York NY yankee U.S. SOFR Index + 0.35%, 4.69% 11/17/2025 (c)(d) | 4.69 | 28000000 | 28011841 |
| Mizuho Bank Ltd/New York NY yankee U.S. SOFR Index + 0.35%, 4.69% 5/4/2026 (c)(d) | 4.69 | 28500000 | 28511067 |
| Mizuho Bank Ltd/New York NY yankee U.S. SOFR Index + 0.4%, 4.74% 5/8/2026 (c)(d) | 4.74 | 24000000 | 24017414 |
| State Street Bank & Trust Co U.S. SOFR Index + 0.27%, 4.61% 10/10/2025 (c)(d) | 4.61 | 28000000 | 28004911 |
| State Street Bank & Trust Co U.S. SOFR Index + 0.32%, 4.66% 11/17/2025 (c)(d) | 4.66 | 28000000 | 28009579 |
| Sumitomo Mitsui Banking Corp/New York yankee U.S. SOFR Index + 0.35%, 4.69% 11/18/2025 (c)(d) | 4.69 | 28000000 | 28013661 |
| Sumitomo Mitsui Banking Corp/New York yankee U.S. SOFR Index + 0.35%, 4.69% 7/24/2026 (c)(d) | 4.69 | 27500000 | 27499876 |
| Sumitomo Mitsui Banking Corp/New York yankee U.S. SOFR Index + 0.35%, 4.71% 8/31/2026 (c)(d) | 4.69 | 27000000 | 26999563 |
| Sumitomo Mitsui Trust NY yankee U.S. SOFR Index + 0.31%, 4.65% 11/4/2025 (c)(d) | 4.65 | 25000000 | 25008265 |
| Sumitomo Mitsui Trust NY yankee U.S. SOFR Index + 0.35%, 4.69% 11/19/2025 (c)(d) | 4.69 | 28000000 | 28013835 |
| Sumitomo Mitsui Trust NY yankee U.S. SOFR Index + 0.35%, 4.69% 12/3/2025 (c)(d) | 4.69 | 28000000 | 28016310 |
| Svenska Handelsbanken/New York NY U.S. SOFR Index + 0.34%, 4.71% 12/10/2025 (c)(d) | 4.68 | 28000000 | 28015946 |
| Svenska Handelsbanken/New York NY yankee U.S. SOFR Index + 0.35%, 4.69% 4/8/2026 (c)(d) | 4.69 | 28500000 | 28519460 |
| Svenska Handelsbanken/New York NY yankee U.S. SOFR Index + 0.4%, 4.74% 4/15/2026 (c)(d) | 4.74 | 15000000 | 15014784 |
| UBS AG/Stamford CT yankee U.S. SOFR Index + 0.41%, 4.768% 10/2/2026 (c)(d) | 4.77 | 28500000 | 28512765 |
| <br> **TOTAL CERTIFICATES OF DEPOSIT**<br> (Cost $766,300,000) |  |  | **766570876** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Paper - 4.7%** | &nbsp;&nbsp;**Commercial Paper - 4.7%** | &nbsp;&nbsp;**Commercial Paper - 4.7%** | &nbsp;&nbsp;**Commercial Paper - 4.7%** |
|  | Yield (%) (f) | Principal<br> Amount (a)<br>| Value ($)<br>|
| Bank of Montreal U.S. SOFR Index + 0.45%, 4.78% 4/8/2026 (c)(d) | 4.78 | 28500000 | 28536018 |
| BofA Securities Inc U.S. SOFR Index + 0.39%, 4.73% 11/21/2025 (c)(d) | 4.73 | 28000000 | 28013793 |
| BofA Securities Inc U.S. SOFR Index + 0.4%, 4.76% 10/17/2025 (c)(d) | 4.74 | 25000000 | 25008872 |
| HSBC USA Inc U.S. SOFR Index + 0.53%, 4.87% 7/7/2026 (c)(d) | 4.87 | 27500000 | 27498697 |
| HSBC USA Inc U.S. SOFR Index + 0.55%, 4.89% 4/30/2026 (c)(d) | 4.89 | 25000000 | 25031457 |
| ING US Funding LLC U.S. SOFR Index + 0.3%, 4.64% 2/6/2026 (c)(d) | 4.64 | 24000000 | 24009118 |
| ING US Funding LLC U.S. SOFR Index + 0.3%, 4.64% 4/2/2026 (c)(d) | 4.64 | 27500000 | 27504111 |
| ING US Funding LLC U.S. SOFR Index + 0.35%, 4.72% 11/26/2025 (c)(d) | 4.72 | 28000000 | 28011754 |
| National Bank of Canada U.S. SOFR Index + 0.25%, 4.59% 12/17/2025 (c)(d) | 4.59 | 28000000 | 28006152 |
| National Bank of Canada U.S. SOFR Index + 0.33%, 4.67% 8/14/2026 (c)(d) | 4.67 | 27500000 | 27499706 |
| National Bank of Canada yankee 4.31% 1/16/2026  | 4.50 | 28000000 | 27546660 |
| Toronto Dominion Bank U.S. SOFR Index + 0.35%, 4.71% 10/3/2025 (c)(d) | 4.71 | 28000000 | 28006992 |
| Toronto Dominion Bank U.S. SOFR Index + 0.45%, 4.81% 4/27/2026 (c)(d) | 4.81 | 22000000 | 22026675 |
| Westpac Banking Corp U.S. SOFR Index + 0.4%, 4.74% 4/10/2026 (c)(d) | 4.74 | 15000000 | 15016190 |
| <br> **TOTAL COMMERCIAL PAPER**<br> (Cost $361,540,746) |  |  | **361716195** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 18.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 18.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 18.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 18.0%** |
|  | Yield (%) (f) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 10/2/2025  | 4.28 | 337543000 | 336355919 |
| US Treasury Bills 0% 10/30/2025  | 4.29 | 114000000 | 113237856 |
| US Treasury Bills 0% 11/6/2025  | 4.21 | 249750000 | 247906026 |
| US Treasury Bills 0% 12/11/2025  | 4.24 | 400000000 | 395558888 |
| US Treasury Notes 3.5% 9/30/2026  | 4.08 to 4.36 | 223000000 | 222172460 |
| US Treasury Notes 4.25% 1/31/2026  | 4.17 to 5.02 | 66500000 | 66527016 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $1,380,424,526) |  |  | **1381758165** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 13.9%** | &nbsp;&nbsp;**Money Market Funds - 13.9%** | &nbsp;&nbsp;**Money Market Funds - 13.9%** | &nbsp;&nbsp;**Money Market Funds - 13.9%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (g)<br>(Cost $1,064,422,318)<br>| 4.36 | 1064262340 | **1064475193** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.9%**<br> (Cost $7,735,519,692)<br>| <br>**7751528213** |
| **NET OTHER ASSETS (LIABILITIES) - (0.9)%**  | **(70728951)** |
| **NET ASSETS - 100.0%** | **7680799262** |

---

**Legend**

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,298,882,073 or 16.9% of net assets.

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

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

(e) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(f) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 898678315 | 3680278511 | 3514481633 | 43261153 | - | - | 1064475193 | 1064262340 | 2.0% |
| Total | 898678315 | 3680278511 | 3514481633 | 43261153 | - | - | 1064475193 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

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

**Investment Valuation**

The following is a summary of the inputs used, as of August 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 1236189309 | - | 1236189309 | - |
|  **Bank Notes** |  |  |  |  |
| Financials | 9255269 | - | 9255269 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 38795636 | - | 38795636 | - |
| Consumer Discretionary | 284321663 | - | 284321663 | - |
| Consumer Staples | 68841347 | - | 68841347 | - |
| Energy | 68471758 | - | 68471758 | - |
| Financials | 2106917241 | - | 2106917241 | - |
| Health Care | 71176319 | - | 71176319 | - |
| Industrials | 18077279 | - | 18077279 | - |
| Information Technology | 107841758 | - | 107841758 | - |
| Materials | 29765665 | - | 29765665 | - |
| Real Estate | 32610528 | - | 32610528 | - |
| Utilities | 104744012 | - | 104744012 | - |
|  **Certificates of Deposit** | 766570876 | - | 766570876 | - |
|  **Commercial Paper** | 361716195 | - | 361716195 | - |
|  **U.S. Treasury Obligations** | 1381758165 | - | 1381758165 | - |
|  **Money Market Funds** | 1064475193 | 1064475193 | - | - |
| **Total Investments in Securities:** | 7751528213 | 1064475193 | 6687053020 | - |

---

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of August 31, 2025** | **As of August 31, 2025** | **As of August 31, 2025** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $6,671,097,374) | $6687053020 |  |
| Fidelity Central Funds (cost $1,064,422,318) | 1064475193 |  |
| Total Investment in Securities (cost $7,735,519,692) |  | $7751528213 |
| Cash |  | 468493 |
| Receivable for fund shares sold |  | 15157545 |
| Interest receivable |  | 38343641 |
| Distributions receivable from Fidelity Central Funds |  | 3827741 |
| Receivable from investment adviser for expense reductions |  | 298239 |
| **Total assets** |  | 7809623872 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $108206734 |  |
| Payable for fund shares redeemed | 13801962 |  |
| Distributions payable | 5000921 |  |
| Accrued management fee | 1275296 |  |
| Distribution and service plan fees payable | 3320 |  |
| Other affiliated payables | 536377 |  |
| **Total liabilities** |  | 128824610 |
| **Net Assets**  |  | $7680799262 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $7659586384 |
| Total accumulated earnings (loss) |  | 21212878 |
| **Net Assets** |  | $7680799262 |
| **Net Asset Value and Maximum Offering Price** |  |  |
| **Class A :** |  |  |
| **Net Asset Value** and redemption price per share ($26,153,731 ÷ 2,594,347 shares)(a) |  | $10.08 |
| Maximum offering price per share (100/98.50 of $10.08) |  | $10.23 |
| **Fidelity Conservative Income Bond Fund :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($4,754,440,792 ÷ 471,829,137 shares) |  | $10.08 |
| **Class I :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($218,948,268 ÷ 21,718,007 shares) |  | $10.08 |
| **Class Z :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($2,681,256,471 ÷ 265,960,578 shares) |  | $10.08 |
| *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** |
| **Investment Income** |  |  |
| Interest  |  | $287523804 |
| Income from Fidelity Central Funds  |  | 43261153 |
| **Total income** |  | 330784957 |
| **Expenses** |  |  |
| Management fee | $13748867 |  |
| Transfer agent fees | 5960334 |  |
| Distribution and service plan fees | 33102 |  |
| Independent trustees' fees and expenses | 16753 |  |
| Total expenses before reductions | 19759056 |  |
| Expense reductions | (3557911) |  |
| Total expenses after reductions |  | 16201145 |
| **Net Investment income (loss)** |  | 314583812 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 7235702 |  |
| Total net realized gain (loss) |  | 7235702 |
| Change in net unrealized appreciation (depreciation) on investment securities  |  | (671771) |
| **Net gain (loss)** |  | 6563931 |
| **Net increase (decrease) in net assets resulting from operations** |  | $321147743 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **August 31, 2025** | **Year ended**<br> **August 31, 2024** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $314583812 | $330496784 |
| &nbsp;&nbsp;Net realized gain (loss) | 7235702<br>| 6760528<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | (671771) | 21517969<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 321147743<br>| 358775281<br>|
| Distributions to shareholders | (317185827)<br>| (330411968)<br>|
| Share transactions - net increase (decrease) | 1501277600<br>| 185938891<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 1505239516<br>| 214302204<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 6175559746 | 5961257542<br>|
| &nbsp;&nbsp;End of period | $7680799262 | $6175559746 |

---

**Financial Highlights** 

**Fidelity Advisor® Conservative Income Bond Fund Class A**<br>

---

| | | | |
|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023** A  |
| **Selected Per-Share Data**  |  |  |  |
| Net asset value, beginning of period  | $10.08 | $10.03 | $10.01 |
| Income from Investment Operations  |  |  |  |
| Net investment income (loss) B,C | .437  | .504  | .131  |
| Net realized and unrealized gain (loss)  | .008  | .055  | .019  |
| Total from investment operations  | .445  | .559  | .150  |
| Distributions from net investment income  | (.440)  | (.509)  | (.130)  |
| Distributions from net realized gain  | (.005)  | -  | -  |
| Total distributions  | (.445)  | (.509)  | (.130)  |
| Net asset value, end of period  | $10.08 | $10.08 | $10.03 |
| **Total Return** D,E,F | 4.51% <br>| 5.70%  | 1.51%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |
| Expenses before reductions  | .48%  | .48%  | .39% I |
| Expenses net of fee waivers, if any  | .45% <br>| .45%  | .39% I |
| Expenses net of all reductions, if any  | .45%  | .45%  | .39% I |
| Net investment income (loss)  | 4.36%  | 5.06%  | 5.00% I |
| **Supplemental Data** |  |  |  |
| Net assets, end of period (000 omitted) | $26154 | $14039 | $1859 |
| Portfolio turnover rate J | 73% <br>| 76%  | 48%  |

---

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

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

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

F*Total returns do not include the effect of the sales charges.*

G*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

H*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

I*Annualized.*

J*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

**Fidelity® Conservative Income Bond Fund** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $10.07 | $10.03 | $9.99 | $10.05 | $10.07 |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) A,B | .459  | .530  | .506  | .059  | .039  |
| Net realized and unrealized gain (loss)  | .016  | .039  | (.032) C | (.056)  | (.019)  |
| Total from investment operations  | .475  | .569  | .474  | .003  | .020  |
| Distributions from net investment income  | (.460)  | (.529)  | (.434)  | (.061)  | (.038)  |
| Distributions from net realized gain  | (.005)  | -  | -  | (.002)  | (.002)  |
| Total distributions  | (.465)  | (.529)  | (.434)  | (.063)  | (.040)  |
| Net asset value, end of period  | $10.08 | $10.07 | $10.03 | $9.99 | $10.05 |
| **Total Return** D | 4.82% <br>| 5.81%  | 4.84%  | .03%  | .20%  |
| **Ratios to Average Net Assets** B,E,F |  |  |  |  |  |
| Expenses before reductions  | .30%  | .30%  | .34%  | .35%  | .35%  |
| Expenses net of fee waivers, if any  | .25% <br>| .25%  | .27%  | .25%  | .25%  |
| Expenses net of all reductions, if any  | .25%  | .25%  | .27%  | .25%  | .25%  |
| Net investment income (loss)  | 4.56%  | 5.26%  | 4.29%  | .59%  | .39%  |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $4754441 | $4469407 | $5638810 | $4522064 | $5364328 |
| Portfolio turnover rate G | 73% <br>| 76%  | 48%  | 50%  | 62%  |

---

A*Calculated based on average shares outstanding during the period.*

B*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

C*The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.*

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

E*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

F*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

G*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

**Fidelity Advisor® Conservative Income Bond Fund Class I**<br>

---

| | | | |
|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023** A  |
| **Selected Per-Share Data**  |  |  |  |
| Net asset value, beginning of period  | $10.08 | $10.03 | $10.01 |
| Income from Investment Operations  |  |  |  |
| Net investment income (loss) B,C | .458  | .527  | .126  |
| Net realized and unrealized gain (loss)  | .007  | .052  | .029  |
| Total from investment operations  | .465  | .579  | .155  |
| Distributions from net investment income  | (.460)  | (.529)  | (.135)  |
| Distributions from net realized gain  | (.005)  | -  | -  |
| Total distributions  | (.465)  | (.529)  | (.135)  |
| Net asset value, end of period  | $10.08 | $10.08 | $10.03 |
| **Total Return** D,E | 4.72% <br>| 5.91%  | 1.55%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |
| Expenses before reductions  | .37%  | .41%  | .44% H |
| Expenses net of fee waivers, if any  | .25% <br>| .25%  | .25% H |
| Expenses net of all reductions, if any  | .25%  | .25%  | .25% H |
| Net investment income (loss)  | 4.56%  | 5.26%  | 5.16% H |
| **Supplemental Data** |  |  |  |
| Net assets, end of period (000 omitted) | $218948 | $109662 | $65642 |
| Portfolio turnover rate I | 73% <br>| 76%  | 48%  |

---

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

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

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

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Annualized.*

I*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

**Fidelity Advisor® Conservative Income Bond Fund Class Z**<br>

---

| | | | |
|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023** A  |
| **Selected Per-Share Data**  |  |  |  |
| Net asset value, beginning of period  | $10.08 | $10.03 | $10.01 |
| Income from Investment Operations  |  |  |  |
| Net investment income (loss) B,C | .463  | .532  | .125  |
| Net realized and unrealized gain (loss)  | .007  | .052  | .031  |
| Total from investment operations  | .470  | .584  | .156  |
| Distributions from net investment income  | (.465)  | (.534)  | (.136)  |
| Distributions from net realized gain  | (.005)  | -  | -  |
| Total distributions  | (.470)  | (.534)  | (.136)  |
| Net asset value, end of period  | $10.08 | $10.08 | $10.03 |
| **Total Return** D,E | 4.77% <br>| 5.97%  | 1.56%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |
| Expenses before reductions  | .25%  | .25%  | .25% H |
| Expenses net of fee waivers, if any  | .20% <br>| .20%  | .20% H |
| Expenses net of all reductions, if any  | .20%  | .20%  | .20% H |
| Net investment income (loss)  | 4.61%  | 5.31%  | 5.20% H |
| **Supplemental Data** |  |  |  |
| Net assets, end of period (000 omitted) | $2681256 | $1582452 | $254947 |
| Portfolio turnover rate I | 73% <br>| 76%  | 48%  |

---

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

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

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

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Annualized.*

I*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

**Notes to Financial Statements**

For the period ended August 31, 2025

**1. Organization.**

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

**2. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**3. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

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

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, bank notes, U.S. government and government agency obligations, commercial paper and certificates of deposit are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2025 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

**Class Allocations and Expenses.** Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2025, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

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

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

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $16157845 |
| **Gross unrealized depreciation**  | <u>(149324)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$16008521</u> |
| **Tax Cost**  | <u>$7735519692</u> |

---

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

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$2223679</u> |
| **Undistributed long-term capital gain**  | <u>$2980677</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$16008521</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **August 31, 2025** | **August 31, 2024** |
| **Ordinary Income**  | $314073765 | $330411968 |
| **Long-term Capital Gains**  | <u>3112062</u> | <u>-</u> |
| **Total**  | <u>$317185827</u> | <u>$330411968</u> |

---

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**New Accounting Pronouncements.** FASB Accounting Standards Update (ASU) 2023-07 Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures became effective in this reporting period. ASU 2023-07 enhances segment information disclosure in the notes to financial statements.

In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Conservative Income Bond Fund** | 3948059354 | 2628032349 |

---

**5. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .20% of the Fund's average net assets. Under the management contract, the investment adviser pays all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense.

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Distribution Fee** | **Service Fee** | **Total Fees ($)** | **Retained by FDC ($)** |
| **Class A** | -% | .15% | 33102 | $10889 |

---

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

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

---

| | |
|:---|:---|
|  | **Retained by FDC ($)** |
| **Class A** | 3965 |

---

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

---

| | | |
|:---|:---|:---|
|  | **Amount ($)** | **% of Class-Level Average Net Assets** |
| **Class A** | 29149 | .13 |
| **Fidelity Conservative Income Bond Fund** | 4597717 | .10 |
| **Class I** | 295191 | .17 |
| **Class Z** | <u>1038277</u> | .05 |
|  | <u>5960334</u> |  |

---

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**6. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are borne by the investment adviser.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2026 unless extended or renewed.

**7. Expense Reductions.** 

The investment adviser contractually agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. This reimbursement will remain in place through December 31, 2026. Some expenses, for example the compensation of the independent Trustees, and certain other expenses such as interest expense, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

---

| | | |
|:---|:---|:---|
|  | **Expense Limitations** | **Reimbursement ($)** |
| **Class A** | .45% | 7125 |
| **Fidelity Conservative Income Bond Fund** | .25% | 2301856 |
| **Class I** | .25% | 206097 |
| **Class Z** | .20% | <u>1036059</u> |
|  |  | <u>3551137</u> |

---

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $6,774.

**8. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Year ended** <br> **August 31, 2025** | **Year ended**<br> **August 31, 2024** |
| **Fidelity Conservative Income Bond Fund** |  |  |
| **Distributions to shareholders** |  |  |
| Class A | $962855 | $435403 |
| Fidelity Conservative Income Bond Fund | 212053351 | 268207474 |
| Class I | 8119138 | 4506070 |
| Class Z | &nbsp;&nbsp;&nbsp;&nbsp; <u>96050483</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>57263021</u> |
| Total  | <u>$317185827</u> | <u>$330411968</u> |

---

**9. Share Transactions.**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Shares** | **Shares** | **Dollars** | **Dollars** |
|  | **Year ended** <br> **August 31, 2025**  | **Year ended**<br> **August 31, 2024** | **Year ended** <br> **August 31, 2025**  | **Year ended**<br> **August 31, 2024** |
| **Fidelity Conservative Income Bond Fund** |  |  |  |  |
| **Class A** |  |  |  |  |
| Shares sold | 3275175 | 2315243 | $32992446 | $23287306 |
| Reinvestment of distributions | 95189 | 42990 | 958936 | 432567 |
| Shares redeemed | <u>(2169150)</u> | <u>(1150447)</u> | <u>(21849937)</u> | <u>(11572899)</u> |
| Net increase (decrease) | <u>1201214</u> | <u>1207786</u> | <u>$12101445</u> | <u>$12146974</u> |
| **Fidelity Conservative Income Bond Fund** |  |  |  |  |
| Shares sold | 238466859 | 273472569 | $2401071307 | $2747140813 |
| Reinvestment of distributions | 15575233 | 19220406 | 156868970 | 193140627 |
| Shares redeemed | <u>(225938973)</u> | <u>(411345756)</u> | <u>(2274942977)</u> | <u>(4133091258)</u> |
| Net increase (decrease) | <u>28103119</u> | <u>(118652781)</u> | <u>$282997300</u> | <u>$(1192809818)</u> |
| **Class I** |  |  |  |  |
| Shares sold | 17832744 | 6676408 | $179600825 | $67130223 |
| Reinvestment of distributions | 688385 | 441314 | 6934864 | 4438833 |
| Shares redeemed | <u>(7685602)</u> | <u>(2779320)</u> | <u>(77423865)</u> | <u>(27944206)</u> |
| Net increase (decrease) | <u>10835527</u> | <u>4338402</u> | <u>$109111824</u> | <u>$43624850</u> |
| **Class Z** |  |  |  |  |
| Shares sold | 204818893 | 241423439 | $2063021087 | $2427553670 |
| Reinvestment of distributions | 8827196 | 5371493 | 88926637 | 54049106 |
| Shares redeemed | <u>(104723647)</u> | <u>(115174688)</u> | <u>(1054880693)</u> | <u>(1158625891)</u> |
| Net increase (decrease) | <u>108922442</u> | <u>131620244</u> | <u>$1097067031</u> | <u>$1322976885</u> |

---

**10. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

**11. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Report of Independent Registered Public Accounting Firm**

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

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statement of assets and liabilities of Fidelity Conservative Income Bond Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of August 31, 2025, the related statement of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the "financial statements and financial highlights"). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of August 31, 2025, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

October 10, 2025

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

**Distributions** **(Unaudited)**

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

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2025, $3,676,731, or, if subsequently determined to be different, the net capital gain of such year.

A total of 18.79% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $268,570,697 of distributions paid in the calendar year 2024 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates $314,073,765 of distributions paid during the fiscal year ended 2025 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2026 of amounts for use in preparing 2025 income tax returns.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img113726_4.jpg)<br>

1.924089.114 FCV-ANN-1025

**Fidelity® Sustainable Core Plus Bond Fund**

**Annual Report**

**August 31, 2025**

Includes Fidelity and Fidelity Advisor share classes

![](img113738_1.jpg)

![](img113738_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_SCB-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Sustainable Core Plus Bond Fund](#Sub_Sec_Fund_6541_SCB-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements6541_SCB-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_SCB-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_SCB-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_SCB-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_SCB-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_SCB-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_SCB-ANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-8544 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

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

**Fidelity® Sustainable Core Plus Bond Fund**

**Schedule of Investments August 31, 2025**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 6.0%** | &nbsp;&nbsp;**Asset-Backed Securities - 6.0%** | &nbsp;&nbsp;**Asset-Backed Securities - 6.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAILIWICK OF JERSEY - 1.6%  |  |  |
| Aimco Clo 19 Ltd / Aimco Clo 19 LLC Series 2024-19A Class A, CME Term SOFR 3 month Index + 1.35%, 5.6755% 10/20/2037 (b)(c)(d) | 250000 | 250872 |
| Blueberry Park Clo Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.35%, 5.6755% 10/20/2037 (b)(c)(d) | 250000 | 250625 |
| Dryden 108 Clo Ltd / Dryden 108 Clo LLC Series 2024-108A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.689% 7/18/2037 (b)(c)(d) | 250000 | 250949 |
| TOTAL BAILIWICK OF JERSEY |  | 752446 |
| GRAND CAYMAN (UK OVERSEAS TER) - 3.9%  |  |  |
| Aimco CLO 11 Ltd Series 2024-11A Class A1R2, CME Term SOFR 3 month Index + 1.34%, 5.6624% 7/17/2037 (b)(c)(d) | 250000 | 250979 |
| AIMCO CLO Series 2024-BA Class ARR, CME Term SOFR 3 month Index + 1.5%, 5.8178% 4/16/2037 (b)(c)(d) | 250000 | 250811 |
| Ares Lix Clo Ltd Series 2021-59A Class A, CME Term SOFR 3 month Index + 1.2916%, 5.6101% 4/25/2034 (b)(c)(d) | 250000 | 250265 |
| CEDF Series 2021-6A Class ARR, CME Term SOFR 3 month Index + 1.3116%, 5.6371% 4/20/2034 (b)(c)(d) | 200000 | 200092 |
| RR 28 LTD / RR 28 LLC Series 2024-28RA Class A1R, CME Term SOFR 3 month Index + 1.55%, 5.8676% 4/15/2037 (b)(c)(d) | 250000 | 250673 |
| Symphony Clo Xxvi Ltd / Symphony Clo Xxvi LLC Series 2021-26A Class AR, CME Term SOFR 3 month Index + 1.3416%, 5.6671% 4/20/2033 (b)(c)(d) | 430212 | 430359 |
| Voya CLO Ltd Series 2023-1A Class A1, CME Term SOFR 3 month Index + 1.8%, 6.1255% 1/20/2037 (b)(c)(d) | 250000 | 250705 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  | 1883884 |
| MULTI-NATIONAL - 0.3%  |  |  |
| Allegro Clo Xv Ltd / Allegro Clo Vx LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.18%, 5.5055% 4/20/2038 (b)(c)(d) | 150000 | 150020 |
| UNITED STATES - 0.2%  |  |  |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2I, 3.251% 12/5/2051 (c) | 96750 | 94715 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $2,863,374) |  | <br> **2881065** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Loan Obligations - 0.8%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.8%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.8%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| FRANCE - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Altice France SA Tranche B-13 1LN, term loan CME Term SOFR 6 month Index + 4%, 10.5% 8/14/2026 (b)(d)(e) | 997 | 881 |
| Altice France SA Tranche B14 1LN, term loan CME Term SOFR 3 month Index + 5.5%, 9.8176% 8/15/2028 (b)(d)(e) | 8977 | 8210 |
| TOTAL FRANCE |  | 9091 |
| LUXEMBOURG - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Altice Financing SA Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 9.3176% 10/31/2027 (b)(d)(e) | 1000 | 864 |
| NETHERLANDS - 0.0%  |  |  |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Enstall Group BV Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 9.5572% 8/30/2028 (b)(d)(e) | 10369 | 5081 |
| SWITZERLAND - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Consolidated Energy Finance SA Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.816% 11/15/2030 (b)(d)(e) | 7985 | 7550 |
| UNITED STATES - 0.8%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Connect Holding II LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.75%, 4.3135% 10/3/2031 (b)(d)(e) | 1034 | 754 |
| Connect Holding II LLC Tranche B-DD 1LN, term loan CME Term SOFR 1 month Index + 0%, 1% 4/3/2031 (b)(d)(e)(f) | 1159 | 1061 |
| Connect Holding II LLC Tranche B-DD 1LN, term loan CME Term SOFR 1 month Index + 0%, 8.6055% 4/3/2031 (b)(d)(e) | 10841 | 9931 |
| Lumen Technologies Inc Tranche B2 1LN, term loan CME Term SOFR 1 month Index + 2.35%, 6.7805% 4/15/2030 (b)(d)(e) | 1990 | 1976 |
|  |  | 13722 |
| Media - 0.0% |  |  |
| CMG Media Corp Tranche B2 1LN, term loan CME Term SOFR 3 month Index + 3.5%, 7.8956% 6/18/2029 (b)(d)(e) | 4953 | 4752 |
| CSC Holdings LLC Tranche B6 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.8631% 1/18/2028 (b)(d)(e) | 1990 | 1982 |
|  |  | 6734 |
| TOTAL COMMUNICATION SERVICES |  | 20456 |
| Consumer Discretionary - 0.3% |  |  |
| Diversified Consumer Services - 0.0% |  |  |
| Spin Holdco Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.5774% 3/4/2028 (b)(d)(e) | 25791 | 21778 |
| Hotels, Restaurants & Leisure - 0.2% |  |  |
| BCPE Flavor Debt Merger Sub LLC 1LN, term loan CME Term SOFR 1 month Index + 5%, 9.316% 7/2/2032 (b)(d)(e) | 8416 | 8184 |
| BCPE Flavor Debt Merger Sub LLC Tranche DD 1LN, term loan CME Term SOFR 1 month Index + 5%, 1% 7/2/2032 (b)(d)(e)(f) | 1584 | 1541 |
| Horizon US Finco LP Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 9.0579% 10/31/2031 (b)(d)(e) | 3989 | 3919 |
| United PF Holdings LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.5695% 12/30/2026 (b)(d)(e) | 17787 | 17091 |
| United PF Holdings LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 8.5%, 13.0695% 12/30/2026 (b)(d)(e) | 992 | 957 |
|  |  | 31692 |
| Household Durables - 0.1% |  |  |
| TGP Holdings III LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.666% 6/29/2028 (b)(d)(e) | 13995 | 12631 |
| Weber-Stephen Products LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.6805% 10/30/2027 (b)(d)(e) | 6978 | 6954 |
| Weber-Stephen Products LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 8.666% 10/30/2027 (b)(d)(e) | 4987 | 4966 |
|  |  | 24551 |
| Specialty Retail - 0.0% |  |  |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 8.2099% 6/6/2031 (b)(d)(e) | 2943 | 2854 |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 9.3599% 6/6/2031 (b)(d)(e) | 6997 | 6915 |
| Staples Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.75%, 10.0462% 9/4/2029 (b)(d)(e) | 9912 | 9070 |
|  |  | 18839 |
| TOTAL CONSUMER DISCRETIONARY |  | 96860 |
| Consumer Staples - 0.0% |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| C&S Wholesale Grocers Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 0% 8/6/2030 (b)(d)(e)(g) | 5000 | 4878 |
| Food Products - 0.0% |  |  |
| Del Monte Foods Corp II Inc 1LN, term loan CME Term SOFR 3 month Index + 8.15%, 0% 8/2/2028 (b)(d)(e)(h) | 1192 | 566 |
| Del Monte Foods Corp II Inc Tranche FLFO B 1LN, term loan CME Term SOFR 3 month Index + 8%, 0% 8/2/2028 (b)(d)(e)(h) | 345 | 164 |
| Del Monte Foods Corp II Inc Tranche TLA DIP, term loan CME Term SOFR 3 month Index + 0.1%, 13.9612% 3/30/2026 (b)(d)(e) | 2887 | 2752 |
| Del Monte Foods Corp II Inc Tranche TLB DIP ROLLUP, term loan CME Term SOFR 3 month Index + 0.1%, 13.964% 3/30/2026 (b)(d)(e) | 3745 | 2921 |
| Nourish Buyer I Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.8294% 7/12/2032 (b)(d)(e) | 5000 | 4963 |
|  |  | 11366 |
| TOTAL CONSUMER STAPLES |  | 16244 |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| New Fortress Energy Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.5%, 9.8075% 10/30/2028 (b)(d)(e) | 29925 | 14252 |
| Financials - 0.0% |  |  |
| Insurance - 0.0% |  |  |
| Asurion LLC Tranche B3 2LN, term loan CME Term SOFR 1 month Index + 5.25%, 9.6805% 1/31/2028 (b)(d)(e) | 7000 | 6801 |
| Health Care - 0.2% |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |
| QuidelOrtho Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 0% 8/16/2032 (b)(d)(e)(g) | 5000 | 4937 |
| Health Care Providers & Services - 0.0% |  |  |
| Cano Health LLC 1LN, term loan CME Term SOFR 3 month Index + 8%, 13.7956% 6/28/2029 (b)(d)(e) | 1709 | 1388 |
| HAH Group Holding Co LLC 1LN, term loan CME Term SOFR 1 month Index + 5%, 9.316% 9/24/2031 (b)(d)(e) | 3992 | 3570 |
| ModivCare Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 9.0456% 7/1/2031 (b)(d)(e) | 4950 | 2166 |
| Team Health Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 0% 6/23/2028 (b)(d)(e)(g) | 5000 | 4977 |
|  |  | 12101 |
| Pharmaceuticals - 0.2% |  |  |
| 1261229 BC Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 6.25%, 10.566% 10/8/2030 (b)(d)(e) | 45000 | 44338 |
| TOTAL HEALTH CARE |  | 61376 |
| Industrials - 0.1% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| TransDigm Group Inc Tranche M 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.8533% 8/19/2032 (b)(d)(e) | 5000 | 5001 |
| Air Freight & Logistics - 0.0% |  |  |
| Rand Parent LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3%, 7.2956% 3/18/2030 (b)(d)(e) | 5000 | 4977 |
| Building Products - 0.0% |  |  |
| Cornerstone Building Brands Inc 1LN, term loan CME Term SOFR 1 month Index + 5.625%, 9.9881% 8/1/2028 (b)(d)(e) | 2000 | 1924 |
| Cornerstone Building Brands Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.7131% 4/12/2028 (b)(d)(e) | 5000 | 4731 |
|  |  | 6655 |
| Commercial Services & Supplies - 0.1% |  |  |
| Brand Industrial Services Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.7962% 8/1/2030 (b)(d)(e) | 16920 | 14822 |
| Neptune Bidco US Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 9.4294% 4/11/2029 (b)(d)(e) | 8952 | 8683 |
|  |  | 23505 |
| Trading Companies & Distributors - 0.0% |  |  |
| Foundation Building Materials Inc 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 7.8192% 1/31/2028 (b)(d)(e) | 2990 | 2994 |
| Foundation Building Materials Inc Tranche B2 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.3079% 1/29/2031 (b)(d)(e) | 995 | 997 |
|  |  | 3991 |
| TOTAL INDUSTRIALS |  | 44129 |
| Information Technology - 0.0% |  |  |
| IT Services - 0.0% |  |  |
| Constant Contact Inc 2LN, term loan CME Term SOFR 3 month Index + 7.5%, 12.0792% 2/12/2029 (b)(d)(e) | 1000 | 877 |
| Constant Contact Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.5792% 2/10/2028 (b)(d)(e) | 6957 | 6636 |
|  |  | 7513 |
| Software - 0.0% |  |  |
| Polaris Newco LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.3195% 6/2/2028 (b)(d)(e) | 5972 | 5662 |
| Polaris Newco LLC Tranche PIK TERM 2LN, term loan CME Term SOFR 1 month Index + 8%, 13.2989% 6/4/2029 (b)(d)(e) | 4000 | 3793 |
|  |  | 9455 |
| TOTAL INFORMATION TECHNOLOGY |  | 16968 |
| Materials - 0.2% |  |  |
| Chemicals - 0.2% |  |  |
| American Rock Salt Co LLC 1LN, term loan 2% 6/12/2028 (b)(e)(f) | 124 | 124 |
| American Rock Salt Co LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.4605% 6/9/2028 (b)(d)(e) | 985 | 746 |
| American Rock Salt Co LLC 1LN, term loan CME Term SOFR 3 month Index + 7%, 11.4633% 6/12/2028 (b)(d)(e) | 475 | 474 |
| Herens US Holdco Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.3206% 7/3/2028 (b)(d)(e) | 21960 | 19312 |
| Hexion Holdings Corp 1LN, term loan CME Term SOFR 1 month Index + 4%, 8.3599% 3/15/2029 (b)(d)(e) | 6982 | 6966 |
| Hexion Inc 2LN, term loan CME Term SOFR 1 month Index + 7.4375%, 11.8535% 3/15/2030 (b)(d)(e) | 1706 | 1678 |
| INEOS US Petrochem LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 8.666% 4/2/2029 (b)(d)(e) | 10000 | 8975 |
| M2S Group Intermediate Holdings Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 9.0579% 8/25/2031 (b)(d)(e) | 13386 | 13172 |
| Olympus Water US Holding Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 0% 7/26/2032 (b)(d)(e)(g) | 5000 | 4983 |
|  |  | 56430 |
| Metals & Mining - 0.0% |  |  |
| Vibrantz Technologies Inc 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 8.7285% 4/23/2029 (b)(d)(e) | 8977 | 7094 |
| TOTAL MATERIALS |  | 63524 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Natgasoline LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.5%, 9.816% 3/29/2030 (b)(d)(e) | 8936 | 8995 |
| TOTAL UNITED STATES |  | 349605 |
| <br> **TOTAL BANK LOAN OBLIGATIONS**<br> (Cost $388,910) |  | <br> **372191** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 0.9%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 0.9%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 0.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.9%  |  |  |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 5.5069% 3/15/2030 (b)(c)(d) | 74709 | 74615 |
| BXHPP Trust Series 2021-FILM Class A, CME Term SOFR 1 month Index + 0.7645%, 5.1275% 8/15/2036 (b)(c)(d) | 250000 | 241635 |
| DC Commercial Mortgage Trust Series 2023-DC Class A, 6.3143% 9/12/2040 (c) | 100000 | 103883 |
| TOTAL UNITED STATES |  | 420133 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $419,948) |  | <br> **420133** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| New Fortress Energy Inc  | 343 | 844 |
| Health Care - 0.0% |  |  |
| Health Care Providers & Services - 0.0% |  |  |
| Cano Health LLC (i)(j) | 268 | 3243 |
| Cano Health LLC warrants (i)(j) | 29 | 99 |
|  |  | 3342 |
| TOTAL UNITED STATES |  | 4186 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $15,175) |  | <br> **4186** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Corporate Bonds - 0.2%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 0.2%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 0.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.2%  |  |  |
| Communication Services - 0.1% |  |  |
| Media - 0.1% |  |  |
| EchoStar Corp 3.875% 11/30/2030 pay-in-kind  | 21014 | 42768 |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Redfin Corp 0.5% 4/1/2027  | 14000 | 12880 |
| Information Technology - 0.1% |  |  |
| Semiconductors & Semiconductor Equipment - 0.1% |  |  |
| MKS Inc 1.25% 6/1/2030  | 6000 | 6012 |
| ON Semiconductor Corp 0% 5/1/2027 (k) | 5000 | 5713 |
| Wolfspeed Inc 1.875% (h) | 22000 | 7865 |
|  |  | 19590 |
| Software - 0.0% |  |  |
| Riot Platforms Inc 0.75% 1/15/2030 (c) | 14000 | 16786 |
| TOTAL INFORMATION TECHNOLOGY |  | 36376 |
| Utilities - 0.0% |  |  |
| Electric Utilities - 0.0% |  |  |
| PG&E Corp 4.25% 12/1/2027  | 5000 | 5078 |
| TOTAL UNITED STATES |  | 97102 |
| <br> **TOTAL CONVERTIBLE CORPORATE BONDS**<br> (Cost $74,949) |  | <br> **97102** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Convertible Preferred Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Acrisure Holdings Inc Series A-2 (j) | 282 | 7160 |
| Apollo Global Management Inc Series A, 6.75%  | 50 | 3588 |
|  |  | 10748 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Albemarle Corp 7.25%  | 59 | 2332 |
| TOTAL UNITED STATES |  | 13080 |
| <br> **TOTAL CONVERTIBLE PREFERRED STOCKS**<br> (Cost $12,732) |  | <br> **13080** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.8%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.8%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.8%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.8%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| GERMANY - 0.1%  |  |  |  |
| German Federal Republic 0% 8/15/2030 (l) | EUR | 25000 | 26274 |
| German Federal Republic 0% 8/15/2031 (l) | EUR | 20000 | 20443 |
| German Federal Republic 2.6% 8/15/2035 (l) | EUR | 10000 | 11584 |
| TOTAL GERMANY |  |  | 58301 |
| MEXICO - 0.5%  |  |  |  |
| United Mexican States 3.5% 2/12/2034  |  | 250000 | 213313 |
| UNITED KINGDOM - 0.2%  |  |  |  |
| United Kingdom of Great Britain and Northern Ireland 0.875% 7/31/2033 (l) | GBP | 30000 | 30862 |
| United Kingdom of Great Britain and Northern Ireland 4.25% 6/7/2032 (l) | GBP | 29000 | 39139 |
| United Kingdom of Great Britain and Northern Ireland 4.25% 7/31/2034 (l) | GBP | 20000 | 26256 |
| TOTAL UNITED KINGDOM |  |  | 96257 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $352,802) |  |  | <br> **367871** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 32.8%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 32.8%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 32.8%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 32.8%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.1%  |  |  |  |
| Materials - 0.1% |  |  |  |
| Metals & Mining - 0.1% |  |  |  |
| Mineral Resources Ltd 8% 11/1/2027 (c) |  | 8000 | 8143 |
| Mineral Resources Ltd 8.125% 5/1/2027 (c) |  | 7000 | 7003 |
| Mineral Resources Ltd 8.5% 5/1/2030 (c) |  | 31000 | 32176 |
| TOTAL AUSTRALIA |  |  | 47322 |
| BRAZIL - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Commercial Services & Supplies - 0.0% |  |  |  |
| Ambipar Lux Sarl 9.875% 2/6/2031 (c) |  | 11000 | 9237 |
| CANADA - 0.7%  |  |  |  |
| Communication Services - 0.3% |  |  |  |
| Diversified Telecommunication Services - 0.3% |  |  |  |
| TELUS Corp 3.4% 5/13/2032  |  | 130000 | 119162 |
| TELUS Corp 6.625% 10/15/2055 (b) |  | 4000 | 4069 |
| TELUS Corp 7% 10/15/2055 (b) |  | 2000 | 2052 |
|  |  |  | 125283 |
| Consumer Discretionary - 0.1% |  |  |  |
| Hotels, Restaurants & Leisure - 0.1% |  |  |  |
| 1011778 BC ULC / New Red Finance Inc 4% 10/15/2030 (c) |  | 11000 | 10285 |
| 1011778 BC ULC / New Red Finance Inc 5.625% 9/15/2029 (c) |  | 14000 | 14167 |
| 1011778 BC ULC / New Red Finance Inc 6.125% 6/15/2029 (c) |  | 4000 | 4097 |
|  |  |  | 28549 |
| Consumer Staples - 0.2% |  |  |  |
| Consumer Staples Distribution & Retail - 0.2% |  |  |  |
| Alimentation Couche-Tard Inc 3.625% 5/13/2051 (c) |  | 150000 | 104451 |
| Industrials - 0.0% |  |  |  |
| Machinery - 0.0% |  |  |  |
| New Flyer Holdings Inc 9.25% 7/1/2030 (c) |  | 2000 | 2145 |
| Information Technology - 0.1% |  |  |  |
| Software - 0.1% |  |  |  |
| Open Text Corp 3.875% 12/1/2029 (c) |  | 22000 | 20738 |
| Open Text Corp 3.875% 2/15/2028 (c) |  | 13000 | 12636 |
| Open Text Holdings Inc 4.125% 12/1/2031 (c) |  | 8000 | 7361 |
| Open Text Holdings Inc 4.125% 2/15/2030 (c) |  | 7000 | 6608 |
|  |  |  | 47343 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Hudbay Minerals Inc 4.5% 4/1/2026 (c) |  | 7000 | 6952 |
| Hudbay Minerals Inc 6.125% 4/1/2029 (c) |  | 7000 | 7077 |
|  |  |  | 14029 |
| Utilities - 0.0% |  |  |  |
| Gas Utilities - 0.0% |  |  |  |
| AltaGas Ltd 7.2% 10/15/2054 (b)(c) |  | 22000 | 22293 |
| TOTAL CANADA |  |  | 344093 |
| CHILE - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Media - 0.0% |  |  |  |
| VTR Finance NV 6.375% 7/15/2028 (c) |  | 14000 | 13664 |
| Industrials - 0.0% |  |  |  |
| Construction & Engineering - 0.0% |  |  |  |
| ATP Tower Holdings / Andean Telecom Partners Chile SpA / Andean Tower Partners C 7.875% 2/3/2030 (c) |  | 5000 | 5089 |
| TOTAL CHILE |  |  | 18753 |
| COLOMBIA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Canacol Energy Ltd 5.75% 11/24/2028 (c) |  | 19000 | 7054 |
| Gran Tierra Energy Inc 9.5% 10/15/2029 (c) |  | 7000 | 5696 |
|  |  |  | 12750 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| EnfraGen Energia Sur SA / EnfraGen Spain SA / Prime Energia SpA 5.375% 12/30/2030 (c) |  | 10000 | 9175 |
| TOTAL COLOMBIA |  |  | 21925 |
| FINLAND - 0.5%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Leisure Products - 0.0% |  |  |  |
| Amer Sports Co 6.75% 2/16/2031 (c) |  | 12000 | 12508 |
| Financials - 0.2% |  |  |  |
| Banks - 0.2% |  |  |  |
| Nordea Bank Abp 3.625% 3/15/2034 (l) | EUR | 100000 | 118506 |
| Real Estate - 0.3% |  |  |  |
| Real Estate Management & Development - 0.3% |  |  |  |
| Citycon Treasury BV 5% 3/11/2030 (l) | EUR | 100000 | 119633 |
| TOTAL FINLAND |  |  | 250647 |
| FRANCE - 0.8%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Altice France SA 5.125% 7/15/2029 (c) |  | 36000 | 30780 |
| Altice France SA 5.5% 1/15/2028 (c) |  | 5000 | 4400 |
| Altice France SA 5.5% 10/15/2029 (c) |  | 1000 | 857 |
|  |  |  | 36037 |
| Energy - 0.1% |  |  |  |
| Energy Equipment & Services - 0.1% |  |  |  |
| Vallourec SACA 7.5% 4/15/2032 (c) |  | 27000 | 28671 |
| Viridien 10% 10/15/2030 (c) |  | 11000 | 10993 |
|  |  |  | 39664 |
| Financials - 0.7% |  |  |  |
| Banks - 0.7% |  |  |  |
| BNP Paribas SA 4.042% 1/10/2032 (b)(l) | EUR | 100000 | 120591 |
| Societe Generale SA 5.5% 4/13/2029 (b)(c) |  | 200000 | 204428 |
|  |  |  | 325019 |
| TOTAL FRANCE |  |  | 400720 |
| GERMANY - 0.5%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| ZF North America Capital Inc 6.75% 4/23/2030 (c) |  | 5000 | 4873 |
| Real Estate - 0.2% |  |  |  |
| Real Estate Management & Development - 0.2% |  |  |  |
| Vonovia SE 0.625% 3/24/2031 (l) | EUR | 100000 | 101861 |
| Utilities - 0.3% |  |  |  |
| Electric Utilities - 0.3% |  |  |  |
| EnBW International Finance BV 3.85% 5/23/2030 (l) | EUR | 100000 | 121836 |
| TOTAL GERMANY |  |  | 228570 |
| GHANA - 0.1%  |  |  |  |
| Energy - 0.1% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |  |
| Kosmos Energy Ltd 7.125% 4/4/2026 (c) |  | 7000 | 6937 |
| Kosmos Energy Ltd 7.75% 5/1/2027 (c) |  | 6000 | 5679 |
| Tullow Oil PLC 10.25% 5/15/2026 (c) |  | 15000 | 12633 |
| TOTAL GHANA |  |  | 25249 |
| GRAND CAYMAN (UK OVERSEAS TER) - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Global Aircraft Leasing Co Ltd 8.75% 9/1/2027 (c) |  | 10000 | 10289 |
| HONG KONG - 0.4%  |  |  |  |
| Financials - 0.4% |  |  |  |
| Insurance - 0.4% |  |  |  |
| AIA Group Ltd 3.375% 4/7/2030 (c) |  | 200000 | 193887 |
| Industrials - 0.0% |  |  |  |
| Marine Transportation - 0.0% |  |  |  |
| Seaspan Corp 5.5% 8/1/2029 (c) |  | 3000 | 2843 |
| TOTAL HONG KONG |  |  | 196730 |
| IRELAND - 0.3%  |  |  |  |
| Financials - 0.3% |  |  |  |
| Banks - 0.3% |  |  |  |
| AIB Group PLC 2.875% 5/30/2031 (b)(l) | EUR | 100000 | 117016 |
| Industrials - 0.0% |  |  |  |
| Commercial Services & Supplies - 0.0% |  |  |  |
| Cimpress PLC 7.375% 9/15/2032 (c) |  | 15000 | 15051 |
| TOTAL IRELAND |  |  | 132067 |
| ISRAEL - 0.1%  |  |  |  |
| Energy - 0.1% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |  |
| Energean Israel Finance Ltd 4.875% 3/30/2026 (c)(l) |  | 3000 | 2966 |
| Energean Israel Finance Ltd 5.375% 3/30/2028 (c)(l) |  | 4000 | 3880 |
| Energean Israel Finance Ltd 5.875% 3/30/2031 (c)(l) |  | 2000 | 1878 |
| Energean PLC 6.5% 4/30/2027 (c) |  | 24000 | 23734 |
| TOTAL ISRAEL |  |  | 32458 |
| ITALY - 1.4%  |  |  |  |
| Financials - 0.3% |  |  |  |
| Banks - 0.3% |  |  |  |
| Intesa Sanpaolo SpA 5.125% 8/29/2031 (l) | EUR | 100000 | 129307 |
| Utilities - 1.1% |  |  |  |
| Electric Utilities - 0.7% |  |  |  |
| Enel Finance International NV 2.875% 4/11/2029 (l) | GBP | 100000 | 127198 |
| Enel Finance International NV 5.125% 6/26/2029 (c) |  | 200000 | 204995 |
|  |  |  | 332193 |
| Gas Utilities - 0.4% |  |  |  |
| Snam SpA 5% 5/28/2030 (c) |  | 200000 | 203051 |
| TOTAL UTILITIES |  |  | 535244 |
| TOTAL ITALY |  |  | 664551 |
| JAPAN - 0.4%  |  |  |  |
| Communication Services - 0.4% |  |  |  |
| Diversified Telecommunication Services - 0.4% |  |  |  |
| NTT Finance Corp 4.62% 7/16/2028 (c) |  | 200000 | 202134 |
| LUXEMBOURG - 0.3%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Media - 0.0% |  |  |  |
| Altice Financing SA 5.75% 8/15/2029 (c) |  | 17000 | 13473 |
| Altice Financing SA 9.625% 7/15/2027 (c) |  | 1000 | 930 |
| Altice France Holding SA 6% 2/15/2028 (c) |  | 12000 | 4319 |
|  |  |  | 18722 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Herens Holdco Sarl 4.75% 5/15/2028 (c) |  | 8000 | 6882 |
| Real Estate - 0.3% |  |  |  |
| Industrial REITs - 0.3% |  |  |  |
| Prologis International Funding II SA 4.375% 7/1/2036 (l) | EUR | 100000 | 121200 |
| TOTAL LUXEMBOURG |  |  | 146804 |
| MULTI-NATIONAL - 0.1%  |  |  |  |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| European Investment Bank 0.5% 11/13/2037  | EUR | 50000 | 42824 |
| NETHERLANDS - 0.7%  |  |  |  |
| Financials - 0.5% |  |  |  |
| Banks - 0.5% |  |  |  |
| Cooperatieve Rabobank UA 1.125% 5/7/2031 (l) | EUR | 100000 | 104827 |
| ING Groep NV 4.5% 5/23/2029 (b)(l) | EUR | 100000 | 122075 |
|  |  |  | 226902 |
| Information Technology - 0.2% |  |  |  |
| Semiconductors & Semiconductor Equipment - 0.2% |  |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 2.5% 5/11/2031  |  | 140000 | 125485 |
| TOTAL NETHERLANDS |  |  | 352387 |
| NIGERIA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| IHS Holding Ltd 5.625% 11/29/2026 (c) |  | 3000 | 2948 |
| IHS Holding Ltd 6.25% 11/29/2028 (c) |  | 1000 | 988 |
| IHS Holding Ltd 8.25% 11/29/2031 (c) |  | 14000 | 14400 |
| TOTAL NIGERIA |  |  | 18336 |
| NORWAY - 0.2%  |  |  |  |
| Financials - 0.2% |  |  |  |
| Banks - 0.2% |  |  |  |
| DNB Bank ASA 0.25% 2/23/2029 (b)(l) | EUR | 100000 | 110203 |
| PANAMA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| C&W Senior Finance Ltd 9% 1/15/2033 (c) |  | 15000 | 15748 |
| SOUTH AFRICA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Liquid Telecommunications Financing Plc 5.5% 9/4/2026 (c) |  | 13000 | 11253 |
| SPAIN - 0.3%  |  |  |  |
| Utilities - 0.3% |  |  |  |
| Electric Utilities - 0.3% |  |  |  |
| Iberdrola Finanzas SA 3% 9/30/2031 (l) | EUR | 100000 | 117019 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Atlantica Sustainable Infrastructure Ltd 4.125% 6/15/2028 (c) |  | 21000 | 20338 |
| TOTAL SPAIN |  |  | 137357 |
| SWITZERLAND - 0.3%  |  |  |  |
| Financials - 0.3% |  |  |  |
| Insurance - 0.3% |  |  |  |
| Swiss Re Finance Luxembourg SA 2.534% 4/30/2050 (b)(l) | EUR | 100000 | 112354 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Consolidated Energy Finance SA 12% 2/15/2031 (c) |  | 9000 | 8272 |
| Consolidated Energy Finance SA 5.625% 10/15/2028 (c) |  | 2000 | 1677 |
|  |  |  | 9949 |
| TOTAL SWITZERLAND |  |  | 122303 |
| TANZANIA - 0.0%  |  |  |  |
| Information Technology - 0.0% |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| HTA Group Ltd/Mauritius 7.5% 6/4/2029 (c) |  | 16000 | 16560 |
| UNITED KINGDOM - 2.3%  |  |  |  |
| Consumer Discretionary - 0.2% |  |  |  |
| Hotels, Restaurants & Leisure - 0.2% |  |  |  |
| Compass Group PLC 3.25% 9/16/2033 (l) | EUR | 100000 | 116134 |
| Consumer Staples - 0.3% |  |  |  |
| Household Products - 0.3% |  |  |  |
| Reckitt Benckiser Treasury Services PLC 3.875% 9/14/2033 (l) | EUR | 100000 | 120843 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| EG Global Finance PLC 12% 11/30/2028 (c) |  | 21000 | 23186 |
| Financials - 0.5% |  |  |  |
| Banks - 0.5% |  |  |  |
| Lloyds Banking Group PLC 3.875% 5/14/2032 (b)(l) | EUR | 100000 | 119910 |
| NatWest Group PLC 2.057% 11/9/2028 (b)(l) | GBP | 100000 | 128055 |
|  |  |  | 247965 |
| Health Care - 0.3% |  |  |  |
| Pharmaceuticals - 0.3% |  |  |  |
| Astrazeneca Finance LLC 1.75% 5/28/2028  |  | 140000 | 132421 |
| Utilities - 1.0% |  |  |  |
| Electric Utilities - 0.6% |  |  |  |
| NGG Finance PLC 2.125% 9/5/2082 (b)(l) | EUR | 100000 | 114637 |
| SSE PLC 4% 9/5/2031 (l) | EUR | 100000 | 122277 |
|  |  |  | 236914 |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |  |
| California Buyer Ltd / Atlantica Sustainable Infrastructure PLC 6.375% 2/15/2032 (c) |  | 56000 | 56801 |
| Water Utilities - 0.3% |  |  |  |
| Severn Trent Utilities Finance PLC 4.625% 11/30/2034 (l) | GBP | 100000 | 125873 |
| TOTAL UTILITIES |  |  | 419588 |
| TOTAL UNITED KINGDOM |  |  | 1060137 |
| UNITED STATES - 23.3%  |  |  |  |
| Communication Services - 1.8% |  |  |  |
| Diversified Telecommunication Services - 0.7% |  |  |  |
| Cablevision Lightpath LLC 3.875% 9/15/2027 (c) |  | 1000 | 987 |
| Connect Holding II LLC 10.5% 4/3/2031 (c) |  | 5000 | 4921 |
| Level 3 Financing Inc 10% 10/15/2032 (c) |  | 1000 | 1003 |
| Level 3 Financing Inc 3.625% 1/15/2029 (c) |  | 4000 | 3400 |
| Level 3 Financing Inc 3.75% 7/15/2029 (c) |  | 8000 | 6680 |
| Level 3 Financing Inc 3.875% 10/15/2030 (c) |  | 3000 | 2550 |
| Level 3 Financing Inc 4% 4/15/2031 (c) |  | 24000 | 20100 |
| Level 3 Financing Inc 4.25% 7/1/2028 (c) |  | 2000 | 1834 |
| Level 3 Financing Inc 4.5% 4/1/2030 (c) |  | 13000 | 11668 |
| Level 3 Financing Inc 4.875% 6/15/2029 (c) |  | 5000 | 4663 |
| Level 3 Financing Inc 6.875% 6/30/2033 (c) |  | 10000 | 10090 |
| Level 3 Financing Inc 7% 3/31/2034 (c) |  | 10000 | 10068 |
| Lumen Technologies Inc 4.125% 4/15/2030 (c) |  | 2000 | 1960 |
| Lumen Technologies Inc 4.5% 1/15/2029 (c) |  | 1000 | 910 |
| Verizon Communications Inc 5.05% 5/9/2033  |  | 250000 | 254560 |
|  |  |  | 335394 |
| Entertainment - 0.3% |  |  |  |
| Walt Disney Co/The 2.65% 1/13/2031  |  | 140000 | 130160 |
| Interactive Media & Services - 0.0% |  |  |  |
| Snap Inc 6.875% 3/1/2033 (c) |  | 2000 | 2020 |
| Snap Inc 6.875% 3/15/2034 (c) |  | 5000 | 5013 |
|  |  |  | 7033 |
| Media - 0.8% |  |  |  |
| Advantage Sales & Marketing Inc 6.5% 11/15/2028 (c) |  | 6000 | 4980 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.25% 1/15/2034 (c) |  | 33000 | 28654 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.75% 2/1/2032 (c) |  | 29000 | 26901 |
| CCO Holdings LLC / CCO Holdings Capital Corp 5.125% 5/1/2027 (c) |  | 17000 | 16914 |
| CCO Holdings LLC / CCO Holdings Capital Corp 5.375% 6/1/2029 (c) |  | 1000 | 992 |
| CCO Holdings LLC / CCO Holdings Capital Corp 5.5% 5/1/2026 (c) |  | 13000 | 13013 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.05% 3/30/2029  |  | 10000 | 10156 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.1% 6/1/2029  |  | 22000 | 23125 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.55% 6/1/2034  |  | 12000 | 12729 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.7% 12/1/2055 (m) |  | 100000 | 98794 |
| CMG Media Corp 8.875% 6/18/2029 (c) |  | 2000 | 1863 |
| CSC Holdings LLC 3.375% 2/15/2031 (c) |  | 27000 | 17269 |
| CSC Holdings LLC 4.625% 12/1/2030 (c) |  | 15000 | 6572 |
| DISH DBS Corp 5.125% 6/1/2029  |  | 23000 | 18987 |
| DISH DBS Corp 5.25% 12/1/2026 (c) |  | 1000 | 970 |
| DISH DBS Corp 7.375% 7/1/2028  |  | 4000 | 3620 |
| DISH DBS Corp 7.75% 7/1/2026  |  | 2000 | 1945 |
| Dotdash Meredith Inc 7.625% 6/15/2032 (c) |  | 5000 | 4899 |
| EchoStar Corp 6.75% 11/30/2030 pay-in-kind (b) |  | 28897 | 28509 |
| EW Scripps Co/The 9.875% 8/15/2030 (c) |  | 3000 | 2820 |
| Paramount Global 6.375% 3/30/2062 (b) |  | 10000 | 10017 |
| Univision Communications Inc 7.375% 6/30/2030 (c) |  | 19000 | 19104 |
| Univision Communications Inc 8% 8/15/2028 (c) |  | 7000 | 7265 |
| Univision Communications Inc 8.5% 7/31/2031 (c) |  | 33000 | 34006 |
| Univision Communications Inc 9.375% 8/1/2032 (c) |  | 5000 | 5265 |
|  |  |  | 399369 |
| TOTAL COMMUNICATION SERVICES |  |  | 871956 |
| Consumer Discretionary - 2.3% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Adient Global Holdings Ltd 7.5% 2/15/2033 (c) |  | 10000 | 10414 |
| Automobiles - 0.1% |  |  |  |
| General Motors Co 5.4% 10/15/2029  |  | 40000 | 41261 |
| Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC 10% 1/15/2031 (c) |  | 4000 | 3780 |
|  |  |  | 45041 |
| Broadline Retail - 0.2% |  |  |  |
| GrubHub Holdings Inc 5.5% 7/1/2027 (c) |  | 10000 | 9966 |
| Nordstrom Inc 4.375% 4/1/2030  |  | 10000 | 9209 |
| Saks Global Enterprises LLC 11% 12/15/2029 (c) |  | 7152 | 2824 |
| Wayfair LLC 7.25% 10/31/2029 (c) |  | 44000 | 44864 |
| Wayfair LLC 7.75% 9/15/2030 (c) |  | 9000 | 9298 |
|  |  |  | 76161 |
| Diversified Consumer Services - 0.1% |  |  |  |
| Sotheby's 7.375% 10/15/2027 (c) |  | 19000 | 18791 |
| StoneMor Inc 8.5% 5/15/2029 (c) |  | 11000 | 10612 |
|  |  |  | 29403 |
| Hotels, Restaurants & Leisure - 0.3% |  |  |  |
| BCPE Flavor Debt Merger Sub LLC and BCPE Flavor Issuer Inc 9.5% 7/1/2032 (c) |  | 5000 | 5185 |
| Carnival Corp 5.75% 3/15/2030 (c) |  | 23000 | 23579 |
| Carnival Corp 5.75% 8/1/2032 (c) |  | 5000 | 5088 |
| Carnival Corp 5.875% 6/15/2031 (c) |  | 10000 | 10251 |
| Carnival Corp 6.125% 2/15/2033 (c) |  | 12000 | 12323 |
| CEC Entertainment LLC 6.75% 5/1/2026 (c) |  | 8000 | 7967 |
| Hilton Domestic Operating Co Inc 3.625% 2/15/2032 (c) |  | 19000 | 17343 |
| Hilton Domestic Operating Co Inc 5.75% 9/15/2033 (c) |  | 20000 | 20165 |
| Hilton Domestic Operating Co Inc 5.875% 3/15/2033 (c) |  | 7000 | 7144 |
| Hilton Domestic Operating Co Inc 5.875% 4/1/2029 (c) |  | 2000 | 2037 |
| Hilton Domestic Operating Co Inc 6.125% 4/1/2032 (c) |  | 7000 | 7189 |
| MajorDrive Holdings IV LLC 6.375% 6/1/2029 (c) |  | 6000 | 4825 |
| Yum! Brands Inc 4.625% 1/31/2032  |  | 18000 | 17399 |
|  |  |  | 140495 |
| Household Durables - 0.2% |  |  |  |
| Beazer Homes USA Inc 7.5% 3/15/2031 (c) |  | 17000 | 17278 |
| LGI Homes Inc 7% 11/15/2032 (c) |  | 20000 | 19505 |
| Newell Brands Inc 6.375% 5/15/2030  |  | 7000 | 6908 |
| Newell Brands Inc 6.625% 5/15/2032  |  | 7000 | 6837 |
| Newell Brands Inc 6.875% 4/1/2036 (n) |  | 1000 | 977 |
| Newell Brands Inc 7% 4/1/2046 (n) |  | 7000 | 6083 |
| Newell Brands Inc 8.5% 6/1/2028 (c) |  | 4000 | 4223 |
| Tri Pointe Homes Inc 5.25% 6/1/2027  |  | 6000 | 5997 |
| Tri Pointe Homes Inc 5.7% 6/15/2028  |  | 2000 | 2032 |
| Whirlpool Corp 5.75% 3/1/2034  |  | 7000 | 6789 |
| Whirlpool Corp 6.125% 6/15/2030  |  | 9000 | 9100 |
| Whirlpool Corp 6.5% 6/15/2033  |  | 26000 | 26182 |
|  |  |  | 111911 |
| Specialty Retail - 1.1% |  |  |  |
| Carvana Co 4.875% 9/1/2029 (c) |  | 5000 | 4551 |
| Carvana Co 5.625% 10/1/2025 (c) |  | 15000 | 14963 |
| Carvana Co 9% 12/1/2028 pay-in-kind (b)(c) |  | 3842 | 3929 |
| Carvana Co 9% 6/1/2030 pay-in-kind (b)(c) |  | 3383 | 3538 |
| Carvana Co 9% 6/1/2031 pay-in-kind (b)(c) |  | 7816 | 8868 |
| Home Depot Inc/The 3.25% 4/15/2032  |  | 130000 | 121060 |
| LBM Acquisition LLC 6.25% 1/15/2029 (c) |  | 5000 | 4587 |
| LBM Acquisition LLC 9.5% 6/15/2031 (c) |  | 10000 | 10480 |
| Lowe's Cos Inc 3.75% 4/1/2032  |  | 130000 | 123443 |
| Lowe's Cos Inc 4.25% 4/1/2052  |  | 130000 | 100721 |
| Sally Holdings LLC / Sally Capital Inc 6.75% 3/1/2032  |  | 2000 | 2075 |
| SGUS LLC 11% 12/15/2029 (c) |  | 3030 | 2663 |
| Staples Inc 10.75% 9/1/2029 (c) |  | 14000 | 13405 |
| Staples Inc 12.75% 1/15/2030 (c) |  | 7271 | 5176 |
| TJX Cos Inc/The 3.875% 4/15/2030  |  | 120000 | 119129 |
|  |  |  | 538588 |
| Textiles, Apparel & Luxury Goods - 0.3% |  |  |  |
| Tapestry Inc 3.05% 3/15/2032  |  | 140000 | 125370 |
| William Carter Co/The 5.625% 3/15/2027 (c) |  | 4000 | 3992 |
|  |  |  | 129362 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 1081375 |
| Consumer Staples - 0.8% |  |  |  |
| Consumer Staples Distribution & Retail - 0.1% |  |  |  |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 4.875% 2/15/2030 (c) |  | 10000 | 9849 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 6.25% 3/15/2033 (c) |  | 7000 | 7160 |
| C&S Group Enterprises LLC 5% 12/15/2028 (c) |  | 8000 | 7274 |
| KeHE Distributors LLC / KeHE Finance Corp / NextWave Distribution Inc 9% 2/15/2029 (c) |  | 14000 | 14738 |
| Performance Food Group Inc 4.25% 8/1/2029 (c) |  | 6000 | 5810 |
| Performance Food Group Inc 6.125% 9/15/2032 (c) |  | 7000 | 7165 |
| US Foods Inc 5.75% 4/15/2033 (c) |  | 2000 | 2006 |
|  |  |  | 54002 |
| Food Products - 0.7% |  |  |  |
| General Mills Inc 2.25% 10/14/2031  |  | 290000 | 254908 |
| Post Holdings Inc 4.625% 4/15/2030 (c) |  | 8000 | 7715 |
| Post Holdings Inc 6.25% 10/15/2034 (c) |  | 7000 | 7041 |
| Post Holdings Inc 6.25% 2/15/2032 (c) |  | 7000 | 7191 |
| Post Holdings Inc 6.375% 3/1/2033 (c) |  | 19000 | 19193 |
|  |  |  | 296048 |
| Household Products - 0.0% |  |  |  |
| Resideo Funding Inc 6.5% 7/15/2032 (c) |  | 12000 | 12253 |
| TOTAL CONSUMER STAPLES |  |  | 362303 |
| Energy - 0.6% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Archrock Partners LP / Archrock Partners Finance Corp 6.25% 4/1/2028 (c) |  | 16000 | 16054 |
| Archrock Partners LP / Archrock Partners Finance Corp 6.625% 9/1/2032 (c) |  | 4000 | 4100 |
| Nabors Industries Ltd 7.5% 1/15/2028 (c) |  | 7000 | 7026 |
| Oceaneering International Inc 6% 2/1/2028  |  | 20000 | 20208 |
|  |  |  | 47388 |
| Oil, Gas & Consumable Fuels - 0.6% |  |  |  |
| Calumet Specialty Products Partners LP / Calumet Finance Corp 8.125% 1/15/2027 (c) |  | 5000 | 4987 |
| Calumet Specialty Products Partners LP / Calumet Finance Corp 9.75% 7/15/2028 (c) |  | 15000 | 14722 |
| CNX Midstream Partners LP 4.75% 4/15/2030 (c) |  | 24000 | 22766 |
| CNX Resources Corp 6% 1/15/2029 (c) |  | 8000 | 8017 |
| CNX Resources Corp 7.25% 3/1/2032 (c) |  | 12000 | 12452 |
| CNX Resources Corp 7.375% 1/15/2031 (c) |  | 7000 | 7260 |
| CVR Energy Inc 8.5% 1/15/2029 (c) |  | 17000 | 17183 |
| Global Partners LP / GLP Finance Corp 6.875% 1/15/2029  |  | 13000 | 13175 |
| Global Partners LP / GLP Finance Corp 7.125% 7/1/2033 (c) |  | 5000 | 5117 |
| Kinetik Holdings LP 6.625% 12/15/2028 (c) |  | 19000 | 19548 |
| Moss Creek Resources Holdings Inc 8.25% 9/1/2031 (c) |  | 4000 | 3956 |
| New Fortress Energy Inc 6.5% 9/30/2026 (c) |  | 3000 | 1049 |
| Sunoco LP / Sunoco Finance Corp 4.5% 5/15/2029  |  | 39000 | 38015 |
| Sunoco LP 6.25% 7/1/2033 (c) |  | 7000 | 7154 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6% 12/31/2030 (c) |  | 56000 | 55172 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6% 9/1/2031 (c) |  | 33000 | 32421 |
|  |  |  | 262994 |
| TOTAL ENERGY |  |  | 310382 |
| Financials - 4.7% |  |  |  |
| Banks - 2.2% |  |  |  |
| Bank of America Corp 2.687% 4/22/2032 (b) |  | 70000 | 63503 |
| Bank of America Corp 4.623% 5/9/2029 (b) |  | 209000 | 211358 |
| Bank of America Corp 5.015% 7/22/2033 (b) |  | 168000 | 170660 |
| Bank of America Corp 6.204% 11/10/2028 (b) |  | 50000 | 52109 |
| Citigroup Inc 4.91% 5/24/2033 (b) |  | 90000 | 90403 |
| Fifth Third Bancorp 4.895% 9/6/2030 (b) |  | 50000 | 50862 |
| JPMorgan Chase & Co 2.963% 1/25/2033 (b) |  | 70000 | 63499 |
| JPMorgan Chase & Co 4.586% 4/26/2033 (b) |  | 142000 | 141398 |
| JPMorgan Chase & Co 4.912% 7/25/2033 (b) |  | 28000 | 28389 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (b) |  | 27000 | 27855 |
| JPMorgan Chase & Co 5.572% 4/22/2036 (b) |  | 33000 | 34308 |
| Santander Holdings USA Inc 5.807% 9/9/2026 (b) |  | 35000 | 35007 |
| Santander Holdings USA Inc 6.499% 3/9/2029 (b) |  | 27000 | 28262 |
| Western Alliance Bancorp 3% 6/15/2031 (b) |  | 9000 | 8547 |
|  |  |  | 1006160 |
| Capital Markets - 1.2% |  |  |  |
| Goldman Sachs Group Inc/The 3.102% 2/24/2033 (b) |  | 109000 | 99116 |
| Goldman Sachs Group Inc/The 3.615% 3/15/2028 (b) |  | 130000 | 128662 |
| Jefferies Finance LLC / JFIN Co-Issuer Corp 6.625% 10/15/2031 (c) |  | 10000 | 10028 |
| Morgan Stanley 2.943% 1/21/2033 (b) |  | 70000 | 63055 |
| Morgan Stanley 4.889% 7/20/2033 (b) |  | 68000 | 68555 |
| Morgan Stanley 5.192% 4/17/2031 (b) |  | 25000 | 25769 |
| Morgan Stanley 5.664% 4/17/2036 (b) |  | 20000 | 20818 |
| MSCI Inc 5.25% 9/1/2035  |  | 25000 | 24800 |
| State Street Corp 3.031% 11/1/2034 (b) |  | 130000 | 121973 |
|  |  |  | 562776 |
| Consumer Finance - 0.2% |  |  |  |
| Ally Financial Inc 6.646% 1/17/2040 (b) |  | 12000 | 11909 |
| LFS Topco LLC 8.75% 7/15/2030 (c) |  | 5000 | 4891 |
| Navient Corp 7.875% 6/15/2032  |  | 5000 | 5276 |
| OneMain Finance Corp 3.5% 1/15/2027  |  | 1000 | 979 |
| OneMain Finance Corp 3.875% 9/15/2028  |  | 39000 | 37385 |
| OneMain Finance Corp 6.125% 5/15/2030  |  | 10000 | 10143 |
| OneMain Finance Corp 6.625% 5/15/2029  |  | 7000 | 7198 |
| OneMain Finance Corp 7.125% 11/15/2031  |  | 7000 | 7273 |
| OneMain Finance Corp 7.125% 9/15/2032  |  | 5000 | 5206 |
| SLM Corp 6.5% 1/31/2030  |  | 4000 | 4186 |
|  |  |  | 94446 |
| Financial Services - 0.2% |  |  |  |
| Block Inc 3.5% 6/1/2031  |  | 49000 | 45267 |
| Block Inc 5.625% 8/15/2030 (c) |  | 5000 | 5111 |
| Block Inc 6% 8/15/2033 (c) |  | 5000 | 5133 |
| Block Inc 6.5% 5/15/2032  |  | 15000 | 15542 |
| Clue Opco LLC 9.5% 10/15/2031 (c) |  | 2000 | 2129 |
| NFE Financing LLC 12% 11/15/2029 (c) |  | 12548 | 4611 |
| PennyMac Financial Services Inc 6.75% 2/15/2034 (c) |  | 5000 | 5034 |
| Scientific Games Holdings LP/Scientific Games US FinCo Inc 6.625% 3/1/2030 (c) |  | 10000 | 9597 |
| Walker & Dunlop Inc 6.625% 4/1/2033 (c) |  | 2000 | 2081 |
| WEX Inc 6.5% 3/15/2033 (c) |  | 7000 | 7162 |
|  |  |  | 101667 |
| Insurance - 0.8% |  |  |  |
| Equitable Financial Life Global Funding 1.3% 7/12/2026 (c) |  | 200000 | 195145 |
| Marsh & McLennan Cos Inc 2.375% 12/15/2031  |  | 210000 | 186043 |
|  |  |  | 381188 |
| Mortgage Real Estate Investment Trusts (REITs) - 0.1% |  |  |  |
| Starwood Property Trust Inc 3.625% 7/15/2026 (c) |  | 2000 | 1969 |
| Starwood Property Trust Inc 6% 4/15/2030 (c) |  | 7000 | 7112 |
| Starwood Property Trust Inc 6.5% 10/15/2030 (c) |  | 12000 | 12387 |
| Starwood Property Trust Inc 6.5% 7/1/2030 (c) |  | 7000 | 7265 |
| Starwood Property Trust Inc 7.25% 4/1/2029 (c) |  | 12000 | 12576 |
|  |  |  | 41309 |
| TOTAL FINANCIALS |  |  | 2187546 |
| Health Care - 2.3% |  |  |  |
| Biotechnology - 0.5% |  |  |  |
| Amgen Inc 3% 2/22/2029  |  | 260000 | 250215 |
| Emergent BioSolutions Inc 3.875% 8/15/2028 (c) |  | 9000 | 7535 |
|  |  |  | 257750 |
| Health Care Equipment & Supplies - 0.0% |  |  |  |
| Insulet Corp 6.5% 4/1/2033 (c) |  | 3000 | 3110 |
| Health Care Providers & Services - 1.1% |  |  |  |
| AMN Healthcare Inc 4% 4/15/2029 (c) |  | 12000 | 11192 |
| CHS/Community Health Systems Inc 4.75% 2/15/2031 (c) |  | 67000 | 57110 |
| CHS/Community Health Systems Inc 5.25% 5/15/2030 (c) |  | 11000 | 9860 |
| CHS/Community Health Systems Inc 6.125% 4/1/2030 (c) |  | 16000 | 11498 |
| CHS/Community Health Systems Inc 9.75% 1/15/2034 (c) |  | 5000 | 5064 |
| CVS Health Corp 5% 9/15/2032  |  | 12000 | 12055 |
| CVS Health Corp 6.75% 12/10/2054 (b) |  | 55000 | 55754 |
| CVS Health Corp 7% 3/10/2055 (b) |  | 24000 | 24987 |
| DaVita Inc 3.75% 2/15/2031 (c) |  | 24000 | 21901 |
| DaVita Inc 6.75% 7/15/2033 (c) |  | 5000 | 5182 |
| DaVita Inc 6.875% 9/1/2032 (c) |  | 12000 | 12414 |
| Encompass Health Corp 4.625% 4/1/2031  |  | 12000 | 11635 |
| HAH Group Holding Co LLC 9.75% 10/1/2031 (c) |  | 10000 | 9246 |
| Humana Inc 3.7% 3/23/2029  |  | 130000 | 127412 |
| ModivCare Inc 5% 10/1/2029 (c) |  | 2000 | 4 |
| Molina Healthcare Inc 3.875% 11/15/2030 (c) |  | 15000 | 13778 |
| Molina Healthcare Inc 6.25% 1/15/2033 (c) |  | 14000 | 14100 |
| Owens & Minor Inc 4.5% 3/31/2029 (c) |  | 2000 | 1699 |
| Owens & Minor Inc 6.625% 4/1/2030 (c) |  | 19000 | 16481 |
| Pediatrix Medical Group Inc 5.375% 2/15/2030 (c) |  | 14000 | 13849 |
| Radiology Partners Inc 9.781% 2/15/2030 pay-in-kind (b)(c) |  | 1099 | 1072 |
| Team Health Holdings Inc 8.375% 6/30/2028 (c) |  | 5000 | 5061 |
| Tenet Healthcare Corp 6.125% 10/1/2028  |  | 67000 | 67048 |
| Tenet Healthcare Corp 6.125% 6/15/2030  |  | 6000 | 6092 |
| US Acute Care Solutions LLC 9.75% 5/15/2029 (c) |  | 11000 | 11288 |
|  |  |  | 525782 |
| Health Care Technology - 0.1% |  |  |  |
| IQVIA Inc 5% 10/15/2026 (c) |  | 2000 | 1998 |
| IQVIA Inc 5% 5/15/2027 (c) |  | 9000 | 8964 |
| IQVIA Inc 6.25% 6/1/2032 (c) |  | 20000 | 20616 |
|  |  |  | 31578 |
| Life Sciences Tools & Services - 0.1% |  |  |  |
| Charles River Laboratories International Inc 3.75% 3/15/2029 (c) |  | 3000 | 2844 |
| Charles River Laboratories International Inc 4.25% 5/1/2028 (c) |  | 45000 | 43946 |
| Fortrea Holdings Inc 7.5% 7/1/2030 (c) |  | 3000 | 2858 |
|  |  |  | 49648 |
| Pharmaceuticals - 0.5% |  |  |  |
| Bausch Health Americas Inc 8.5% 1/31/2027 (c) |  | 5000 | 4988 |
| Bristol-Myers Squibb Co 2.95% 3/15/2032  |  | 70000 | 63860 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 5.125% 4/30/2031 (c) |  | 23000 | 19708 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 6.75% 5/15/2034 (c) |  | 5000 | 4734 |
| Zoetis Inc 2% 5/15/2030  |  | 140000 | 126876 |
|  |  |  | 220166 |
| TOTAL HEALTH CARE |  |  | 1088034 |
| Industrials - 2.0% |  |  |  |
| Aerospace & Defense - 0.1% |  |  |  |
| ATI Inc 4.875% 10/1/2029  |  | 20000 | 19593 |
| ATI Inc 7.25% 8/15/2030  |  | 7000 | 7374 |
| TransDigm Inc 6% 1/15/2033 (c) |  | 7000 | 7079 |
| TransDigm Inc 6.25% 1/31/2034 (c) |  | 5000 | 5130 |
| TransDigm Inc 6.375% 3/1/2029 (c) |  | 7000 | 7167 |
| TransDigm Inc 6.375% 5/31/2033 (c) |  | 5000 | 5066 |
| TransDigm Inc 6.75% 1/31/2034 (c) |  | 5000 | 5161 |
|  |  |  | 56570 |
| Air Freight & Logistics - 0.0% |  |  |  |
| Rand Parent LLC 8.5% 2/15/2030 (c) |  | 19000 | 19691 |
| Building Products - 0.4% |  |  |  |
| Advanced Drainage Systems Inc 6.375% 6/15/2030 (c) |  | 7000 | 7139 |
| Builders FirstSource Inc 6.375% 3/1/2034 (c) |  | 7000 | 7209 |
| Builders FirstSource Inc 6.75% 5/15/2035 (c) |  | 10000 | 10429 |
| Camelot Return Merger Sub Inc 8.75% 8/1/2028 (c) |  | 5000 | 4811 |
| Carrier Global Corp 2.493% 2/15/2027  |  | 130000 | 127195 |
| Carrier Global Corp 5.9% 3/15/2034  |  | 3000 | 3199 |
| Carrier Global Corp 6.2% 3/15/2054  |  | 2000 | 2126 |
| Cornerstone Building Brands Inc 6.125% 1/15/2029 (c) |  | 8000 | 6160 |
| Cornerstone Building Brands Inc 9.5% 8/15/2029 (c) |  | 5000 | 4812 |
| JELD-WEN Inc 4.875% 12/15/2027 (c) |  | 12000 | 11806 |
|  |  |  | 184886 |
| Commercial Services & Supplies - 0.3% |  |  |  |
| Artera Services LLC 8.5% 2/15/2031 (c) |  | 39000 | 34080 |
| Brand Industrial Services Inc 10.375% 8/1/2030 (c) |  | 31000 | 30435 |
| Neptune Bidco US Inc 9.29% 4/15/2029 (c) |  | 13000 | 12903 |
| OT Midco Inc 10% 2/15/2030 (c) |  | 7000 | 4782 |
| Reworld Holding Corp 4.875% 12/1/2029 (c) |  | 48000 | 46413 |
|  |  |  | 128613 |
| Construction & Engineering - 0.0% |  |  |  |
| AECOM 6% 8/1/2033 (c) |  | 10000 | 10207 |
| Electrical Equipment - 0.1% |  |  |  |
| Atkore Inc 4.25% 6/1/2031 (c) |  | 10000 | 9287 |
| Sensata Technologies BV 4% 4/15/2029 (c) |  | 10000 | 9578 |
| WESCO Distribution Inc 6.375% 3/15/2033 (c) |  | 7000 | 7261 |
|  |  |  | 26126 |
| Industrial Conglomerates - 0.7% |  |  |  |
| Honeywell International Inc 1.75% 9/1/2031  |  | 140000 | 120572 |
| Trane Technologies Financing Ltd 3.8% 3/21/2029  |  | 130000 | 128755 |
| Trane Technologies Financing Ltd 5.25% 3/3/2033  |  | 50000 | 51665 |
|  |  |  | 300992 |
| Machinery - 0.3% |  |  |  |
| Enpro Inc 6.125% 6/1/2033 (c) |  | 4000 | 4081 |
| Otis Worldwide Corp 2.565% 2/15/2030  |  | 140000 | 130501 |
| Terex Corp 6.25% 10/15/2032 (c) |  | 12000 | 12148 |
|  |  |  | 146730 |
| Passenger Airlines - 0.0% |  |  |  |
| JetBlue Airways Corp / JetBlue Loyalty LP 9.875% 9/20/2031 (c) |  | 7000 | 6955 |
| Professional Services - 0.1% |  |  |  |
| Verisk Analytics Inc 4.5% 8/15/2030  |  | 10000 | 10040 |
| Verisk Analytics Inc 5.125% 2/15/2036  |  | 23000 | 22849 |
|  |  |  | 32889 |
| Trading Companies & Distributors - 0.0% |  |  |  |
| Herc Holdings Inc 7% 6/15/2030 (c) |  | 10000 | 10408 |
| Herc Holdings Inc 7.25% 6/15/2033 (c) |  | 5000 | 5245 |
| United Rentals North America Inc 6.125% 3/15/2034 (c) |  | 7000 | 7250 |
|  |  |  | 22903 |
| TOTAL INDUSTRIALS |  |  | 936562 |
| Information Technology - 1.0% |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| Viasat Inc 7.5% 5/30/2031 (c) |  | 3000 | 2816 |
| Electronic Equipment, Instruments & Components - 0.3% |  |  |  |
| Dell International LLC / EMC Corp 6.2% 7/15/2030  |  | 110000 | 118261 |
| Insight Enterprises Inc 6.625% 5/15/2032 (c) |  | 2000 | 2059 |
| TTM Technologies Inc 4% 3/1/2029 (c) |  | 4000 | 3827 |
|  |  |  | 124147 |
| IT Services - 0.1% |  |  |  |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (c) |  | 10000 | 9963 |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (c) |  | 10000 | 9955 |
| CoreWeave Inc 9% 2/1/2031 (c) |  | 12000 | 11880 |
| CoreWeave Inc 9.25% 6/1/2030 (c) |  | 9000 | 9032 |
| Go Daddy Operating Co LLC / GD Finance Co Inc 3.5% 3/1/2029 (c) |  | 32000 | 30317 |
|  |  |  | 71147 |
| Semiconductors & Semiconductor Equipment - 0.5% |  |  |  |
| Entegris Inc 3.625% 5/1/2029 (c) |  | 41000 | 38646 |
| Entegris Inc 5.95% 6/15/2030 (c) |  | 31000 | 31398 |
| Micron Technology Inc 2.703% 4/15/2032  |  | 140000 | 123234 |
| ON Semiconductor Corp 3.875% 9/1/2028 (c) |  | 23000 | 22349 |
| Wolfspeed Inc 7.9583% 6/23/2030 (c)(h)(j)(n) |  | 1688 | 1684 |
|  |  |  | 217311 |
| Software - 0.1% |  |  |  |
| Elastic NV 4.125% 7/15/2029 (c) |  | 11000 | 10571 |
| Fair Isaac Corp 6% 5/15/2033 (c) |  | 10000 | 10134 |
| Gen Digital Inc 6.25% 4/1/2033 (c) |  | 7000 | 7198 |
| Gen Digital Inc 7.125% 9/30/2030 (c) |  | 11000 | 11380 |
| Rackspace Finance LLC 3.5% 5/15/2028 (c) |  | 3340 | 1583 |
| UKG Inc 6.875% 2/1/2031 (c) |  | 7000 | 7238 |
|  |  |  | 48104 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |  |
| Seagate Data Storage Technology Pte Ltd 4.125% 1/15/2031 (c) |  | 8000 | 7292 |
| Seagate Data Storage Technology Pte Ltd 5.75% 12/1/2034 (c) |  | 4000 | 3885 |
| Seagate Data Storage Technology Pte Ltd 5.875% 7/15/2030 (c) |  | 5000 | 5060 |
| Seagate Data Storage Technology Pte Ltd 8.25% 12/15/2029 (c) |  | 7000 | 7435 |
|  |  |  | 23672 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 487197 |
| Materials - 0.6% |  |  |  |
| Chemicals - 0.5% |  |  |  |
| Advancion Sciences Inc 9.25% 11/1/2026 pay-in-kind (b)(c) |  | 9383 | 8327 |
| Celanese US Holdings LLC 6.5% 4/15/2030  |  | 7000 | 7064 |
| Celanese US Holdings LLC 6.75% 4/15/2033  |  | 9000 | 9065 |
| Chemours Co/The 4.625% 11/15/2029 (c) |  | 40000 | 35718 |
| Chemours Co/The 5.75% 11/15/2028 (c) |  | 15000 | 14444 |
| GPD Cos Inc 12.5% 12/31/2029 (c) |  | 4588 | 3841 |
| International Flavors & Fragrances Inc 2.3% 11/1/2030 (c) |  | 74000 | 66188 |
| Inversion Escrow Issuer LLC 6.75% 8/1/2032 (c) |  | 20000 | 19805 |
| Mativ Holdings Inc 8% 10/1/2029 (c) |  | 5000 | 4949 |
| Olin Corp 5% 2/1/2030  |  | 7000 | 6794 |
| Olin Corp 6.625% 4/1/2033 (c) |  | 29000 | 28963 |
| Olympus Water US Holding Corp 6.25% 10/1/2029 (c) |  | 25000 | 24383 |
| Olympus Water US Holding Corp 9.75% 11/15/2028 (c) |  | 4000 | 4193 |
|  |  |  | 233734 |
| Construction Materials - 0.0% |  |  |  |
| Quikrete Holdings Inc 6.375% 3/1/2032 (c) |  | 19000 | 19596 |
| Quikrete Holdings Inc 6.75% 3/1/2033 (c) |  | 7000 | 7255 |
|  |  |  | 26851 |
| Containers & Packaging - 0.1% |  |  |  |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 4% 9/1/2029 (c) |  | 27000 | 24777 |
| Ball Corp 5.5% 9/15/2033  |  | 5000 | 5060 |
| Crown Americas LLC / Crown Americas Capital Corp 5.875% 6/1/2033 (c) |  | 10000 | 10115 |
| Graphic Packaging International LLC 6.375% 7/15/2032 (c) |  | 8000 | 8128 |
|  |  |  | 48080 |
| TOTAL MATERIALS |  |  | 308665 |
| Real Estate - 2.9% |  |  |  |
| Diversified REITs - 0.4% |  |  |  |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 8.625% 6/15/2032 (c) |  | 24000 | 23599 |
| WP Carey Inc 2.45% 2/1/2032  |  | 220000 | 190649 |
|  |  |  | 214248 |
| Health Care REITs - 0.5% |  |  |  |
| Alexandria Real Estate Equities Inc 2% 5/18/2032  |  | 220000 | 184236 |
| MPT Operating Partnership LP / MPT Finance Corp 4.625% 8/1/2029  |  | 7000 | 5518 |
| MPT Operating Partnership LP / MPT Finance Corp 5% 10/15/2027  |  | 34000 | 32228 |
| MPT Operating Partnership LP / MPT Finance Corp 8.5% 2/15/2032 (c) |  | 7000 | 7339 |
|  |  |  | 229321 |
| Hotel & Resort REITs - 0.0% |  |  |  |
| RHP Hotel Properties LP / RHP Finance Corp 6.5% 6/15/2033 (c) |  | 5000 | 5164 |
| Industrial REITs - 0.4% |  |  |  |
| Prologis LP 2.875% 11/15/2029  |  | 200000 | 189942 |
| Office REITs - 1.1% |  |  |  |
| Boston Properties LP 2.45% 10/1/2033  |  | 220000 | 178512 |
| Boston Properties LP 6.75% 12/1/2027  |  | 19000 | 19992 |
| COPT Defense Properties LP 2% 1/15/2029  |  | 150000 | 138511 |
| Hudson Pacific Properties LP 5.95% 2/15/2028  |  | 122000 | 119347 |
|  |  |  | 456362 |
| Real Estate Management & Development - 0.3% |  |  |  |
| Anywhere Real Estate Group LLC / Anywhere Co-Issuer Corp 7% 4/15/2030 (c) |  | 2400 | 2362 |
| Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp 5.75% 1/15/2029 (c) |  | 10000 | 9266 |
| Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp 9.75% 4/15/2030 (c) |  | 5000 | 5311 |
| CBRE Services Inc 2.5% 4/1/2031  |  | 140000 | 125831 |
| Taylor Morrison Communities Inc 5.125% 8/1/2030 (c) |  | 23000 | 22933 |
|  |  |  | 165703 |
| Retail REITs - 0.2% |  |  |  |
| Brixmor Operating Partnership LP 5.75% 2/15/2035  |  | 90000 | 93180 |
| Specialized REITs - 0.0% |  |  |  |
| Iron Mountain Inc 4.875% 9/15/2027 (c) |  | 12000 | 11923 |
| TOTAL REAL ESTATE |  |  | 1365843 |
| Utilities - 4.3% |  |  |  |
| Electric Utilities - 2.2% |  |  |  |
| Consolidated Edison Co of New York Inc 3.35% 4/1/2030  |  | 190000 | 184162 |
| DPL Inc 4.35% 4/15/2029  |  | 38000 | 37610 |
| Duke Energy Carolinas LLC 3.95% 11/15/2028  |  | 170000 | 169900 |
| Edison International 7.875% 6/15/2054 (b) |  | 10000 | 9886 |
| Edison International 8.125% 6/15/2053 (b) |  | 12000 | 12004 |
| Northern States Power Co/MN 2.25% 4/1/2031  |  | 210000 | 190835 |
| NRG Energy Inc 5.75% 7/15/2029 (c) |  | 20000 | 19992 |
| NRG Energy Inc 6% 2/1/2033 (c) |  | 7000 | 7094 |
| NRG Energy Inc 6.25% 11/1/2034 (c) |  | 7000 | 7177 |
| Oncor Electric Delivery Co LLC 4.15% 6/1/2032  |  | 130000 | 125899 |
| PG&E Corp 5% 7/1/2028  |  | 5000 | 4943 |
| PG&E Corp 5.25% 7/1/2030  |  | 55000 | 53602 |
| PG&E Corp 7.375% 3/15/2055 (b) |  | 16000 | 15878 |
| Wisconsin Electric Power Co 4.75% 9/30/2032  |  | 160000 | 163167 |
| XPLR Infrastructure Operating Partners LP 4.5% 9/15/2027 (c) |  | 2000 | 1962 |
| XPLR Infrastructure Operating Partners LP 7.25% 1/15/2029 (c) |  | 21000 | 21448 |
| XPLR Infrastructure Operating Partners LP 8.375% 1/15/2031 (c) |  | 7000 | 7320 |
| XPLR Infrastructure Operating Partners LP 8.625% 3/15/2033 (c) |  | 7000 | 7382 |
|  |  |  | 1040261 |
| Independent Power and Renewable Electricity Producers - 0.8% |  |  |  |
| AES Corp/The 1.375% 1/15/2026  |  | 140000 | 138215 |
| AES Corp/The 2.45% 1/15/2031  |  | 228000 | 204281 |
| AES Corp/The 6.95% 7/15/2055 (b) |  | 5000 | 4837 |
| TerraForm Power Operating LLC 4.75% 1/15/2030 (c) |  | 43000 | 41491 |
|  |  |  | 388824 |
| Multi-Utilities - 1.3% |  |  |  |
| Dominion Energy Inc 2.25% 8/15/2031  |  | 220000 | 193855 |
| NiSource Inc 1.7% 2/15/2031  |  | 230000 | 199181 |
| NiSource Inc 5.35% 4/1/2034  |  | 70000 | 71601 |
| Puget Energy Inc 4.224% 3/15/2032  |  | 190000 | 180188 |
|  |  |  | 644825 |
| TOTAL UTILITIES |  |  | 2073910 |
| TOTAL UNITED STATES |  |  | 11073773 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $15,567,453) |  |  | <br> **15692430** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Information Technology - 0.0% |  |  |
| Software - 0.0% |  |  |
| Strategy Inc 10%  | 135 | 10699 |
| Strategy Inc 9%  | 30 | 2932 |
| <br> **TOTAL NON-CONVERTIBLE PREFERRED STOCKS**<br> (Cost $14,259) |  | <br> **13631** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 0.4%** | &nbsp;&nbsp;**Preferred Securities - 0.4%** | &nbsp;&nbsp;**Preferred Securities - 0.4%** | &nbsp;&nbsp;**Preferred Securities - 0.4%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| SPAIN - 0.3%  |  |  |  |
| Communication Services - 0.3% |  |  |  |
| Diversified Telecommunication Services - 0.3% |  |  |  |
| Telefonica Europe BV 2.502% (b)(l)(o) | EUR | 100000 | 116220 |
| UNITED STATES - 0.1%  |  |  |  |
| Financials - 0.1% |  |  |  |
| Banks - 0.0% |  |  |  |
| BW Real Estate Inc 9.5% (b)(c)(o) |  | 7000 | 7212 |
| Consumer Finance - 0.1% |  |  |  |
| Ally Financial Inc 4.7% (b)(o) |  | 1000 | 914 |
| Ally Financial Inc 4.7% (b)(o) |  | 23000 | 22431 |
|  |  |  | 23345 |
| Insurance - 0.0% |  |  |  |
| Alliant Holdings LP 10.5% (b)(j)(o) |  | 2056 | 2118 |
| TOTAL FINANCIALS |  |  | 32675 |
| Industrials - 0.0% |  |  |  |
| Trading Companies & Distributors - 0.0% |  |  |  |
| Air Lease Corp 4.125% (b)(o) |  | 15000 | 14794 |
| Aircastle Ltd 5.25% (b)(c)(o) |  | 2000 | 2035 |
|  |  |  | 16829 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Edison International 5% (b)(o) |  | 2000 | 1833 |
| TOTAL UNITED STATES |  |  | 51337 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $151,342) |  |  | <br> **167557** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 20.5%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 20.5%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 20.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 20.5%  |  |  |
| Fannie Mae 2.5% 1/1/2052  | 27663 | 23154 |
| Fannie Mae 2.5% 6/1/2052  | 103520 | 87747 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2035  | 33151 | 30564 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2040  | 42951 | 37359 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 21181 | 17120 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 24935 | 19858 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 86343 | 69869 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 286202 | 228288 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 23387 | 18917 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 22105 | 17894 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 51128 | 40942 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 19128 | 16190 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 41370 | 34563 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 41408 | 34594 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 40237 | 33792 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 31985 | 26922 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 55372 | 46936 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 144962 | 127080 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 18360 | 16095 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 49366 | 42860 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 16946 | 14855 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 71088 | 62252 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 39823 | 34873 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2048  | 45049 | 40393 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 18646 | 16329 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2048  | 90556 | 83838 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 51684 | 47252 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2051  | 20720 | 19611 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 37679 | 35592 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2054  | 192375 | 190069 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 39303 | 39348 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 41119 | 40780 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2038  | 158888 | 162824 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  | 91008 | 91878 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 47338 | 47761 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 258098 | 259839 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 70894 | 73807 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 48114 | 49836 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2054  | 78013 | 79945 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 47259 | 48400 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 94314 | 96561 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 15122 | 15704 |
| Freddie Mac Gold Pool 1.5% 4/1/2051  | 107759 | 81785 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 52440 | 42074 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 19768 | 15978 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 82546 | 66281 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 24814 | 21033 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 83250 | 69473 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 18161 | 15388 |
| Freddie Mac Gold Pool 2.5% 3/1/2050  | 18706 | 15745 |
| Freddie Mac Gold Pool 2.5% 4/1/2047  | 44544 | 37785 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 27051 | 22895 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 25729 | 21809 |
| Freddie Mac Gold Pool 2.5% 7/1/2036  | 53534 | 50519 |
| Freddie Mac Gold Pool 2.5% 8/1/2052  | 86550 | 72173 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 18604 | 16291 |
| Freddie Mac Gold Pool 3% 5/1/2035  | 98320 | 94889 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 19491 | 17068 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 36859 | 34864 |
| Freddie Mac Gold Pool 4% 2/1/2053  | 87717 | 82803 |
| Freddie Mac Gold Pool 4% 5/1/2050  | 19414 | 18339 |
| Freddie Mac Gold Pool 4.5% 11/1/2052  | 126291 | 122023 |
| Freddie Mac Gold Pool 4.5% 9/1/2053  | 69177 | 66732 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 39801 | 39747 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 38572 | 39410 |
| Freddie Mac Gold Pool 5.5% 3/1/2055  | 121890 | 122635 |
| Freddie Mac Gold Pool 5.5% 5/1/2039  | 108538 | 111227 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 50000 | 51930 |
| Freddie Mac Manufactured Housing participation certificates 6% 4/1/2055  | 70375 | 72806 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 50345 | 53048 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 45559 | 48019 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 23030 | 24398 |
| Ginnie Mae I Pool 3.5% 8/20/2052  | 23326 | 21290 |
| Ginnie Mae I Pool 3.5% 9/20/2052  | 97747 | 89213 |
| Ginnie Mae I Pool 4% 10/20/2052  | 86530 | 81406 |
| Ginnie Mae I Pool 4.5% 4/20/2053  | 87418 | 84769 |
| Ginnie Mae I Pool 5% 10/20/2054  | 48463 | 47978 |
| Ginnie Mae II Pool 2% 1/20/2051  | 87494 | 71669 |
| Ginnie Mae II Pool 2% 10/20/2050  | 89097 | 72968 |
| Ginnie Mae II Pool 2% 11/20/2050  | 44880 | 36763 |
| Ginnie Mae II Pool 2% 2/20/2051  | 19129 | 15669 |
| Ginnie Mae II Pool 2% 2/20/2052  | 184244 | 150891 |
| Ginnie Mae II Pool 2% 3/20/2052  | 68236 | 55905 |
| Ginnie Mae II Pool 2% 4/20/2052  | 24998 | 20480 |
| Ginnie Mae II Pool 2.5% 5/20/2052  | 135562 | 115531 |
| Ginnie Mae II Pool 2.5% 8/20/2051  | 180310 | 153638 |
| Ginnie Mae II Pool 3% 4/20/2052  | 148224 | 131364 |
| Ginnie Mae II Pool 3% 8/20/2051  | 98245 | 87139 |
| Ginnie Mae II Pool 3.5% 10/1/2055 (m) | 50000 | 45387 |
| Ginnie Mae II Pool 3.5% 9/1/2055 (m) | 100000 | 91013 |
| Ginnie Mae II Pool 5% 6/20/2055  | 149383 | 147829 |
| Ginnie Mae II Pool 5.5% 2/20/2055  | 175000 | 176380 |
| Ginnie Mae II Pool 5.5% 3/20/2055  | 99999 | 100788 |
| Ginnie Mae II Pool 5.5% 6/20/2055  | 74810 | 75400 |
| Ginnie Mae II Pool 6% 10/1/2055 (m) | 275000 | 280229 |
| Ginnie Mae II Pool 6% 9/1/2055 (m) | 500000 | 509976 |
| Ginnie Mae II Pool 6.5% 5/20/2055  | 74505 | 76741 |
| Uniform Mortgage Backed Securities 2% 10/1/2055 (m) | 900000 | 714727 |
| Uniform Mortgage Backed Securities 2% 9/1/2055 (m) | 1300000 | 1032180 |
| Uniform Mortgage Backed Securities 2.5% 10/1/2055 (m) | 200000 | 166063 |
| Uniform Mortgage Backed Securities 2.5% 9/1/2055 (m) | 450000 | 373588 |
| Uniform Mortgage Backed Securities 3% 9/1/2055 (m) | 200000 | 173281 |
| Uniform Mortgage Backed Securities 3.5% 10/1/2055 (m) | 200000 | 180633 |
| Uniform Mortgage Backed Securities 3.5% 9/1/2055 (m) | 300000 | 271066 |
| Uniform Mortgage Backed Securities 5.5% 9/1/2055 (m) | 50000 | 50293 |
| TOTAL UNITED STATES |  | 9773905 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $9,725,320) |  | <br> **9773905** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 38.9%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 38.9%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 38.9%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 38.9%** |
|  | Yield (%) (p) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 2.25% 2/15/2052  | 2.81 | 1950000 | 1165658 |
| US Treasury Bonds 2.25% 5/15/2041 (q) | 3.80 to 4.31 | 60000 | 43478 |
| US Treasury Bonds 2.875% 5/15/2052  | 3.07 to 3.19 | 250000 | 172393 |
| US Treasury Bonds 3.25% 5/15/2042  | 3.24 | 200000 | 164461 |
| US Treasury Bonds 3.375% 8/15/2042  | 3.46 to 4.28 | 700000 | 583844 |
| US Treasury Bonds 4% 11/15/2042  | 3.84 | 100000 | 90590 |
| US Treasury Bonds 4% 11/15/2052  | 4.95 to 5.00 | 180000 | 154477 |
| US Treasury Bonds 4.125% 8/15/2053  | 4.18 | 100000 | 87582 |
| US Treasury Bonds 4.25% 2/15/2054  | 4.37 to 4.78 | 645000 | 577073 |
| US Treasury Bonds 4.25% 8/15/2054  | 3.96 to 4.66 | 155500 | 139124 |
| US Treasury Bonds 4.5% 11/15/2054  | 4.55 to 4.78 | 531000 | 495676 |
| US Treasury Bonds 4.625% 2/15/2055  | 4.54 | 258000 | 245906 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.49 to 4.66 | 571000 | 543989 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.81 to 4.95 | 626000 | 608981 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.91 | 447000 | 434987 |
| US Treasury Notes 3.375% 5/15/2033  | 3.64 to 4.04 | 1445000 | 1384999 |
| US Treasury Notes 3.625% 9/30/2031  | 3.63 to 4.00 | 663000 | 655541 |
| US Treasury Notes 3.75% 12/31/2030  | 4.08 | 940000 | 940330 |
| US Treasury Notes 3.75% 8/31/2031  | 3.65 | 120000 | 119527 |
| US Treasury Notes 3.875% 8/15/2033  | 4.52 to 4.66 | 500000 | 494766 |
| US Treasury Notes 3.875% 8/15/2034  | 3.64 to 4.27 | 916000 | 898109 |
| US Treasury Notes 4% 1/31/2029  | 4.02 to 4.05 | 350000 | 354389 |
| US Treasury Notes 4% 2/15/2034  | 4.14 to 4.57 | 248000 | 246547 |
| US Treasury Notes 4% 4/30/2032  | 4.00 to 4.29 | 891000 | 896151 |
| US Treasury Notes 4% 5/31/2030  | 4.02 | 778000 | 788789 |
| US Treasury Notes 4% 6/30/2028  | 4.04 to 4.25 | 150000 | 151676 |
| US Treasury Notes 4% 6/30/2032  | 4.15 | 360000 | 361856 |
| US Treasury Notes 4% 7/31/2029  | 3.83 | 300000 | 303980 |
| US Treasury Notes 4% 7/31/2032  | 3.94 to 4.17 | 611000 | 613769 |
| US Treasury Notes 4.125% 2/29/2032  | 4.19 | 170000 | 172357 |
| US Treasury Notes 4.125% 5/31/2032  | 4.05 to 4.23 | 611000 | 618702 |
| US Treasury Notes 4.25% 11/15/2034  | 4.22 to 4.49 | 546000 | 549583 |
| US Treasury Notes 4.25% 5/15/2035  | 4.26 to 4.45 | 1063000 | 1066322 |
| US Treasury Notes 4.25% 6/30/2029  | 4.35 | 15000 | 15330 |
| US Treasury Notes 4.25% 8/15/2035  | 4.33 | 60000 | 60122 |
| US Treasury Notes 4.375% 1/31/2032  | 4.43 to 4.46 | 205000 | 210734 |
| US Treasury Notes 4.375% 11/30/2030  | 3.91 to 4.35 | 913000 | 940568 |
| US Treasury Notes 4.375% 5/15/2034  | 4.29 to 4.30 | 100000 | 101953 |
| US Treasury Notes 4.625% 2/15/2035  | 4.17 to 4.24 | 580000 | 599847 |
| US Treasury Notes 4.625% 9/30/2030  | 5.01 | 300000 | 312492 |
| US Treasury Notes 4.875% 10/31/2030  | 4.91 | 200000 | 210688 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $19,360,115) |  |  | **18577346** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 6.7%** | &nbsp;&nbsp;**Money Market Funds - 6.7%** | &nbsp;&nbsp;**Money Market Funds - 6.7%** | &nbsp;&nbsp;**Money Market Funds - 6.7%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (r)<br>(Cost $3,195,790)<br>| 4.36 | 3195151 | **3195790** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 108.0%**<br> (Cost $52,142,169)<br>| <br>**51576287** |
| **NET OTHER ASSETS (LIABILITIES) - (8.0)%**  | **(3789801)** |
| **NET ASSETS - 100.0%** | **47786486** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 3.5% 9/1/2055 | (100000) | (91013) |
| Ginnie Mae II Pool 6% 9/1/2055 | (375000) | (382482) |
| Uniform Mortgage Backed Securities 2% 9/1/2055 | (1225000) | (972632) |
| Uniform Mortgage Backed Securities 2.5% 9/1/2055 | (450000) | (373588) |
| Uniform Mortgage Backed Securities 3.5% 9/1/2055 | (200000) | (180711) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (2000426) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $1,987,204) |  | <br> **(2000426)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 10Y US Treasury Ultra Notes Contracts (United States) | 2 | 12/19/2025 | 228844 | 1293 | 1293 |
| CBOT 2Y US Treasury Notes Contracts (United States) | 1 | 12/31/2025 | 208586 | 389 | 389 |
| CBOT 5Y US Treasury Notes Contracts (United States) | 6 | 12/31/2025 | 657000 | 3188 | 3188 |
| CBOT US Treasury Long Bond Contracts (United States) | 1 | 12/19/2025 | 114313 | 885 | 885 |
| TOTAL PURCHASED |  |  |  |  | 5755 |
| Sold |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| Eurex Euro-Bobl Contracts (Germany) | 2 | 9/8/2025 | 274833 | 1270 | 1270 |
| Eurex Euro-Bund Contracts (Germany) | 2 | 9/8/2025 | 303121 | 2671 | 2671 |
| ICE United Kingdom of Great Britain and Northern Ireland Contracts (United Kingdom) | 1 | 12/29/2025 | 122347 | (230) | (230) |
| TOTAL SOLD |  |  |  |  | 3711 |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **9466** |
| The notional amount of futures purchased as a percentage of Net Assets is 2.5% | The notional amount of futures purchased as a percentage of Net Assets is 2.5% | The notional amount of futures purchased as a percentage of Net Assets is 2.5% | The notional amount of futures purchased as a percentage of Net Assets is 2.5% | The notional amount of futures purchased as a percentage of Net Assets is 2.5% | The notional amount of futures purchased as a percentage of Net Assets is 2.5% |
| The notional amount of futures sold as a percentage of Net Assets is 1.5% | The notional amount of futures sold as a percentage of Net Assets is 1.5% | The notional amount of futures sold as a percentage of Net Assets is 1.5% | The notional amount of futures sold as a percentage of Net Assets is 1.5% | The notional amount of futures sold as a percentage of Net Assets is 1.5% | The notional amount of futures sold as a percentage of Net Assets is 1.5% |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| EUR | 5000 | USD | 5846 | Royal Bank of Canada | 10/3/2025 | 15 |
| USD | 2368672 | EUR | 2002000 | BNP Paribas SA | 10/3/2025 | 22016 |
| USD | 30152 | EUR | 26000 | BNP Paribas SA | 10/3/2025 | (324) |
| USD | 9192 | EUR | 8000 | JPMorgan Chase Bank NA | 10/3/2025 | (186) |
| USD | 5864 | EUR | 5000 | JPMorgan Chase Bank NA | 10/3/2025 | 4 |
| USD | 499672 | GBP | 366000 | BNP Paribas SA | 10/3/2025 | 4845 |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **26370** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 26880 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (510) |

---

**Currency Abbreviations**

EUR - European Monetary Unit (Euro) <br> GBP - British Pound Sterling <br> USD - United States Dollar

**Legend**

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

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

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $7,680,227 or 16.1% of net assets.

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

(e) Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.

(f) 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 $2,867 and $2,726, respectively.

(g) A coupon rate of 0% signifies an unsettled loan. The coupon rate will be determined upon settlement of the loan after period end.

(h) Non-income producing - Security is in default.

(i) Non-income producing.

(j) Level 3 security

(k) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end.

(l) Security exempt from registration under Regulation S of the Securities Act of 1933 and may be resold to qualified foreign investors outside of the United States. At the end of the period, the value of securities amounted to $2,770,857 or 5.8% of net assets.

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

(n) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

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

(p) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(q) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $43,478.

(r) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 4607924 | 14299401 | 15711535 | 142445 | - | - | 3195790 | 3195151 | 0.0% |
| Total | 4607924 | 14299401 | 15711535 | 142445 | - | - | 3195790 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

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

**Investment Valuation**

The following is a summary of the inputs used, as of August 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 2881065 | - | 2881065 | - |
|  **Bank Loan Obligations** |  |  |  |  |
| Communication Services | 30411 | - | 30411 | - |
| Consumer Discretionary | 96860 | - | 96860 | - |
| Consumer Staples | 16244 | - | 16244 | - |
| Energy | 14252 | - | 14252 | - |
| Financials | 6801 | - | 6801 | - |
| Health Care | 61376 | - | 61376 | - |
| Industrials | 44129 | - | 44129 | - |
| Information Technology | 16968 | - | 16968 | - |
| Materials | 71074 | - | 71074 | - |
| Utilities | 14076 | - | 14076 | - |
|  **Commercial Mortgage Securities** | 420133 | - | 420133 | - |
|  **Common Stocks** |  |  |  |  |
| Energy | 844 | 844 | - | - |
| Health Care | 3342 | - | - | 3342 |
|  **Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 42768 | - | 42768 | - |
| Financials | 12880 | - | 12880 | - |
| Information Technology | 36376 | - | 36376 | - |
| Utilities | 5078 | - | 5078 | - |
|  **Convertible Preferred Stocks** |  |  |  |  |
| Financials | 10748 | - | 3588 | 7160 |
| Materials | 2332 | - | 2332 | - |
|  **Foreign Government and Government Agency Obligations** | 367871 | - | 367871 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 1313133 | - | 1313133 | - |
| Consumer Discretionary | 1243439 | - | 1243439 | - |
| Consumer Staples | 587597 | - | 587597 | - |
| Energy | 443689 | - | 443689 | - |
| Financials | 3821818 | - | 3821818 | - |
| Health Care | 1220455 | - | 1220455 | - |
| Industrials | 970927 | - | 970927 | - |
| Information Technology | 676585 | - | 674901 | 1684 |
| Materials | 386847 | - | 386847 | - |
| Real Estate | 1708537 | - | 1708537 | - |
| Utilities | 3319403 | - | 3319403 | - |
|  **Non-Convertible Preferred Stocks** |  |  |  |  |
| Information Technology | 13631 | 13631 | - | - |
|  **Preferred Securities** |  |  |  |  |
| Communication Services | 116220 | - | 116220 | - |
| Financials | 32675 | - | 30557 | 2118 |
| Industrials | 16829 | - | 16829 | - |
| Utilities | 1833 | - | 1833 | - |
|  **U.S. Government Agency - Mortgage Securities** | 9773905 | - | 9773905 | - |
|  **U.S. Treasury Obligations** | 18577346 | - | 18577346 | - |
|  **Money Market Funds** | 3195790 | 3195790 | - | - |
| **Total Investments in Securities:** | 51576287 | 3210265 | 48351718 | 14304 |
|  **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 9696 | 9696 | - | - |
| Forward Foreign Currency Contracts | 26880 | - | 26880 | - |
| Total Assets | 36576 | 9696 | 26880 | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (230) | (230) | - | - |
| Forward Foreign Currency Contracts | (510) | - | (510) | - |
| Total Liabilities | (740) | (230) | (510) | - |
| **Total Derivative Instruments:** | 35836 | 9466 | 26370 | - |
|  **<u>Other Financial Instruments:</u>** |  |  |  |  |
|  **TBA Sale Commitments** | (2000426) | - | (2000426) | - |
| **Total Other Financial Instruments:** | (2000426) | - | (2000426) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2025. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts (a)  | 26880 | (510) |
| **Total Foreign Exchange Risk**  | 26880 | (510) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (b)  | 9696 | (230) |
| **Total Interest Rate Risk**  | 9696 | (230) |
| **Total Value of Derivatives** | 36576 | (740) |

---

(a)Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-item(s).

(b)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of August 31, 2025** | **As of August 31, 2025** | **As of August 31, 2025** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $48,946,379) | $48380497 |  |
| Fidelity Central Funds (cost $3,195,790) | 3195790 |  |
| Total Investment in Securities (cost $52,142,169) |  | $51576287 |
| Cash |  | 45920 |
| Foreign currency held at value (cost $16,376) |  | 16394 |
| Receivable for investments sold |  | 52157 |
| Receivable for TBA sale commitments |  | 1987204 |
| Unrealized appreciation on forward foreign currency contracts |  | 26880 |
| Receivable for fund shares sold |  | 38936 |
| Dividends receivable |  | 94 |
| Interest receivable |  | 399671 |
| Distributions receivable from Fidelity Central Funds |  | 11342 |
| Receivable for daily variation margin on futures contracts |  | 330 |
| Receivable from investment adviser for expense reductions |  | 357 |
| **Total assets** |  | 54155572 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $344617 |  |
| Delayed delivery | 3958402 |  |
| TBA sale commitments, at value | 2000426 |  |
| Unrealized depreciation on forward foreign currency contracts | 510 |  |
| Payable for fund shares redeemed | 12133 |  |
| Distributions payable | 34287 |  |
| Accrued management fee | 13607 |  |
| Distribution and service plan fees payable | 1684 |  |
| Other affiliated payables | 3411 |  |
| Other payables and accrued expenses | 9 |  |
| **Total liabilities** |  | 6369086 |
| Commitments and contingent liabilities (see Significant Accounting Policies note) |  |  |
| **Net Assets**  |  | $47786486 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $49187686 |
| Total accumulated earnings (loss) |  | (1401200) |
| **Net Assets** |  | $47786486 |
| **Net Asset Value and Maximum Offering Price** |  |  |
| **Class A :** |  |  |
| **Net Asset Value** and redemption price per share ($2,329,978 ÷ 248,245 shares)(a) |  | $9.39 |
| Maximum offering price per share (100/96.00 of $9.39) |  | $9.78 |
| **Class M :** |  |  |
| **Net Asset Value** and redemption price per share ($1,249,503 ÷ 133,129 shares)(a) |  | $9.39 |
| Maximum offering price per share (100/96.00 of $9.39) |  | $9.78 |
| **Class C :** |  |  |
| **Net Asset Value** and offering price per share ($1,134,500 ÷ 120,889 shares)(a) |  | $9.38 |
| **Fidelity Sustainable Core Plus Bond Fund :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($29,536,104 ÷ 3,146,859 shares) |  | $9.39 |
| **Class I :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($1,251,361 ÷ 133,323 shares) |  | $9.39 |
| **Class Z :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($12,285,040 ÷ 1,308,828 shares) |  | $9.39 |
| *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** |
| **Investment Income** |  |  |
| Dividends  |  | $5451 |
| Interest  |  | 1819519 |
| Income from Fidelity Central Funds  |  | 142445 |
| **Total income** |  | 1967415 |
| **Expenses** |  |  |
| Management fee | $145078 |  |
| Transfer agent fees | 37875 |  |
| Distribution and service plan fees | 18929 |  |
| Independent trustees' fees and expenses | 102 |  |
| Total expenses before reductions | 201984 |  |
| Expense reductions | (6206) |  |
| Total expenses after reductions |  | 195778 |
| **Net Investment income (loss)** |  | 1771637 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (140419) |  |
| Forward foreign currency contracts | (196528) |  |
| Foreign currency transactions | 2077 |  |
| Futures contracts | (2635) |  |
| Total net realized gain (loss) |  | (337505) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (2223) |  |
| Forward foreign currency contracts | 30239 |  |
| Assets and liabilities in foreign currencies | 1176 |  |
| Futures contracts | 13449 |  |
| TBA sale commitments | 12976 |  |
| Total change in net unrealized appreciation (depreciation) |  | 55617 |
| **Net gain (loss)** |  | (281888) |
| **Net increase (decrease) in net assets resulting from operations** |  | $1489749 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **August 31, 2025** | **Year ended**<br> **August 31, 2024** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $1771637 | $1512788 |
| &nbsp;&nbsp;Net realized gain (loss) | (337505)<br>| (293565)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 55617 | 1397579<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 1489749<br>| 2616802<br>|
| Distributions to shareholders | (1636836)<br>| (1344931)<br>|
| Share transactions - net increase (decrease) | 8670973<br>| 4992258<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 8523886<br>| 6264129<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 39262600 | 32998471<br>|
| &nbsp;&nbsp;End of period | $47786486 | $39262600 |

---

**Financial Highlights** 

**Fidelity Advisor® Sustainable Core Plus Bond Fund Class A**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $9.43 | $9.11 | $9.51 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .378  | .380  | .340  | .094  |
| Net realized and unrealized gain (loss)  | (.069)  | .276  | (.408)  | (.508)  |
| Total from investment operations  | .309  | .656  | (.068)  | (.414)  |
| Distributions from net investment income  | (.349)  | (.336)  | (.332)  | (.076)  |
| Total distributions  | (.349)  | (.336)  | (.332)  | (.076)  |
| Net asset value, end of period  | $9.39 | $9.43 | $9.11 | $9.51 |
| **Total Return** D,E,F | 3.37% <br>| 7.38%  | (.70)%  | (4.15)%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |  |
| Expenses before reductions  | .67%  | .68%  | .68%  | .65% I |
| Expenses net of fee waivers, if any  | .67% <br>| .68%  | .68%  | .65% I |
| Expenses net of all reductions, if any  | .67%  | .68%  | .67%  | .65% I |
| Net investment income (loss)  | 4.08%  | 4.16%  | 3.68%  | 2.54% I |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $2330 | $2063 | $1279 | $1226 |
| Portfolio turnover rate J | 201% <br>| 334%  | 266%  | 118% K |

---

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

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

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

F*Total returns do not include the effect of the sales charges.*

G*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

H*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

I*Annualized.*

J*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

K*Amount not annualized.*

**Fidelity Advisor® Sustainable Core Plus Bond Fund Class M**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $9.43 | $9.11 | $9.51 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .372  | .380  | .342  | .095  |
| Net realized and unrealized gain (loss)  | (.070)  | .276  | (.408)  | (.509)  |
| Total from investment operations  | .302  | .656  | (.066)  | (.414)  |
| Distributions from net investment income  | (.342)  | (.336)  | (.334)  | (.076)  |
| Total distributions  | (.342)  | (.336)  | (.334)  | (.076)  |
| Net asset value, end of period  | $9.39 | $9.43 | $9.11 | $9.51 |
| **Total Return** D,E,F | 3.30% <br>| 7.39%  | (.68)%  | (4.15)%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |  |
| Expenses before reductions  | .74%  | .68%  | .66%  | .65% I |
| Expenses net of fee waivers, if any  | .74% <br>| .68%  | .66%  | .65% I |
| Expenses net of all reductions, if any  | .74%  | .67%  | .65%  | .65% I |
| Net investment income (loss)  | 4.01%  | 4.17%  | 3.71%  | 2.54% I |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $1250 | $1305 | $1016 | $1020 |
| Portfolio turnover rate J | 201% <br>| 334%  | 266%  | 118% K |

---

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

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

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

F*Total returns do not include the effect of the sales charges.*

G*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

H*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

I*Annualized.*

J*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

K*Amount not annualized.*

**Fidelity Advisor® Sustainable Core Plus Bond Fund Class C**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $9.43 | $9.11 | $9.51 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .303  | .313  | .273  | .067  |
| Net realized and unrealized gain (loss)  | (.080)  | .276  | (.408)  | (.508)  |
| Total from investment operations  | .223  | .589  | (.135)  | (.441)  |
| Distributions from net investment income  | (.273)  | (.269)  | (.265)  | (.049)  |
| Total distributions  | (.273)  | (.269)  | (.265)  | (.049)  |
| Net asset value, end of period  | $9.38 | $9.43 | $9.11 | $9.51 |
| **Total Return** D,E,F | 2.43% <br>| 6.60%  | (1.42)%  | (4.41)%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |  |
| Expenses before reductions  | 1.49%  | 1.41%  | 1.40%  | 1.39% I |
| Expenses net of fee waivers, if any  | 1.49% <br>| 1.41%  | 1.40%  | 1.39% I |
| Expenses net of all reductions, if any  | 1.49%  | 1.40%  | 1.40%  | 1.39% I |
| Net investment income (loss)  | 3.26%  | 3.44%  | 2.96%  | 1.79% I |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $1135 | $1071 | $956 | $955 |
| Portfolio turnover rate J | 201% <br>| 334%  | 266%  | 118% K |

---

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

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

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

F*Total returns do not include the effect of the contingent deferred sales charge.*

G*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

H*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

I*Annualized.*

J*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

K*Amount not annualized.*

**Fidelity® Sustainable Core Plus Bond Fund** <br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $9.43 | $9.11 | $9.51 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .399  | .401  | .360  | .102  |
| Net realized and unrealized gain (loss)  | (.070)  | .276  | (.407)  | (.509)  |
| Total from investment operations  | .329  | .677  | (.047)  | (.407)  |
| Distributions from net investment income  | (.369)  | (.357)  | (.353)  | (.083)  |
| Total distributions  | (.369)  | (.357)  | (.353)  | (.083)  |
| Net asset value, end of period  | $9.39 | $9.43 | $9.11 | $9.51 |
| **Total Return** D,E | 3.60% <br>| 7.63%  | (.47)%  | (4.08)%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |
| Expenses before reductions  | .45%  | .45%  | .45%  | .45% H |
| Expenses net of fee waivers, if any  | .45% <br>| .45%  | .45%  | .45% H |
| Expenses net of all reductions, if any  | .45%  | .45%  | .44%  | .44% H |
| Net investment income (loss)  | 4.30%  | 4.39%  | 3.91%  | 2.74% H |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $29536 | $26371 | $25950 | $21580 |
| Portfolio turnover rate I | 201% <br>| 334%  | 266%  | 118% J |

---

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

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

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

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Annualized.*

I*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

J*Amount not annualized.*

**Fidelity Advisor® Sustainable Core Plus Bond Fund Class I**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $9.43 | $9.11 | $9.51 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .399  | .403  | .365  | .104  |
| Net realized and unrealized gain (loss)  | (.070)  | .276  | (.408)  | (.509)  |
| Total from investment operations  | .329  | .679  | (.043)  | (.405)  |
| Distributions from net investment income  | (.369)  | (.359)  | (.357)  | (.085)  |
| Total distributions  | (.369)  | (.359)  | (.357)  | (.085)  |
| Net asset value, end of period  | $9.39 | $9.43 | $9.11 | $9.51 |
| **Total Return** D,E | 3.60% <br>| 7.66%  | (.43)%  | (4.06)%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |
| Expenses before reductions  | .49%  | .42%  | .41%  | .40% H |
| Expenses net of fee waivers, if any  | .45% <br>| .42%  | .41%  | .40% H |
| Expenses net of all reductions, if any  | .45%  | .42%  | .40%  | .40% H |
| Net investment income (loss)  | 4.30%  | 4.42%  | 3.95%  | 2.79% H |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $1251 | $1190 | $957 | $959 |
| Portfolio turnover rate I | 201% <br>| 334%  | 266%  | 118% J |

---

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

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

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

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Annualized.*

I*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

J*Amount not annualized.*

**Fidelity Advisor® Sustainable Core Plus Bond Fund Class Z**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $9.44 | $9.11 | $9.51 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .407  | .409  | .368  | .105  |
| Net realized and unrealized gain (loss)  | (.079)  | .286  | (.407)  | (.509)  |
| Total from investment operations  | .328  | .695  | (.039)  | (.404)  |
| Distributions from net investment income  | (.378)  | (.365)  | (.361)  | (.086)  |
| Total distributions  | (.378)  | (.365)  | (.361)  | (.086)  |
| Net asset value, end of period  | $9.39 | $9.44 | $9.11 | $9.51 |
| **Total Return** D,E | 3.58% <br>| 7.84%  | (.38)%  | (4.05)%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |
| Expenses before reductions  | .40%  | .40%  | .40%  | .40% H |
| Expenses net of fee waivers, if any  | .36% <br>| .36%  | .36%  | .36% H |
| Expenses net of all reductions, if any  | .36%  | .36%  | .35%  | .36% H |
| Net investment income (loss)  | 4.39%  | 4.48%  | 4.00%  | 2.82% H |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $12285 | $7262 | $2841 | $1404 |
| Portfolio turnover rate I | 201% <br>| 334%  | 266%  | 118% J |

---

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

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

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

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Annualized.*

I*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

J*Amount not annualized.*

**Notes to Financial Statements**

For the period ended August 31, 2025

**1. Organization.**

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

**2. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**3. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

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

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, bank loan obligations, foreign government and government agency obligations, preferred securities and U.S government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2025 is included at the end of the Fund's Schedule of Investments.

**Foreign Currency.** Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

**Class Allocations and Expenses.** Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2025, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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

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

Book-tax differences are primarily due to futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), market discount, contingent interest, partnerships, capital loss carryforwards, certain conversion ratio adjustments and losses deferred due to wash sales and futures contracts.

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

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $816649 |
| **Gross unrealized depreciation**  | <u>(1265987)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$(449338)</u> |
| **Tax Cost**  | <u>$51784301</u> |

---

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

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$82871</u> |
| **Capital loss carryforward**  | <u>$(1036354)</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$(447716)</u> |

---

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | $(698109) |
| Long-term | <u>(338245)</u> |
| **Total capital loss carryforward** | <u>$(1036354)</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **August 31, 2025** | **August 31, 2024** |
| **Ordinary Income**  | <u>$1636836</u> | <u>$1344931</u> |
| **Total**  | <u>$1636836</u> | <u>$1344931</u> |

---

**Delayed Delivery Transactions and When-Issued Securities.** During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

**To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls.** TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The value of these commitments and proceeds to be received at contractual settlement date are reflected in the Statement of Assets and Liabilities as "TBA sale commitments, at value" and "Receivable for TBA sale commitments," respectively. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, a fund realizes a gain or loss. If a fund delivers securities under the commitment, a fund realizes a gain or loss from the sale of the securities based upon the price established at the date the commitment was entered into.

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**Loans and Other Direct Debt Instruments.** Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.

**Commitments.** A commitment is an agreement to acquire an investment at a future date (subject to conditions) in connection with a potential public or non-public offering. Commitments outstanding at period end are presented in the table below. Unrealized appreciation (depreciation) on any commitments outstanding at period end is separately presented in the Statement of Assets and Liabilities as Unrealized appreciation (depreciation) on unfunded commitments, and any change in unrealized appreciation (depreciation) on unfunded commitments during the period is separately presented in the Statement of Operations, as applicable based on contractual conditions of each commitment. The commitment amount represents the maximum amount of the commitment.

---

| | | | |
|:---|:---|:---|:---|
|  | **Investment to be Acquired** | **Commitment Amount ($)** | **Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Sustainable Core Plus Bond Fund** | Wolfspeed New 2L Convertible Notes | 3355 | - |

---

**New Accounting Pronouncements.** FASB Accounting Standards Update (ASU) 2023-07 Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures became effective in this reporting period. ASU 2023-07 enhances segment information disclosure in the notes to financial statements.

In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts and forward foreign currency contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

---

| | |
|:---|:---|
| Foreign Exchange Risk  | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.<br>|
| Interest Rate Risk  | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

**Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives.** The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Sustainable Core Plus Bond Fund** |  |  |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(196528)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>30239</u> |
| **Total Foreign Exchange Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(196528)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>30239</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>(2635)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>13449</u> |
| **Total Interest Rate Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>(2635)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>13449</u> |
| Totals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(199163)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>43688</u> |

---

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.

**Forward Foreign Currency Contracts.** Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period, unless an average contract value is presented in the table below.

---

| | |
|:---|:---|
|  | **Average Contracts Amount ($)** |
| **Fidelity Sustainable Core Plus Bond Fund** | 2714955 |

---

**Futures Contracts.** A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period.

Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.

**5. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Sustainable Core Plus Bond Fund** | 52023618 | 52557297 |

---

**6. Fees and Other Transactions with Affiliates.**

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Distribution Fee** | **Service Fee** | **Total Fees ($)** | **Retained by FDC ($)** |
| **Class A** | - % | .25% | 4940 | 2149 |
| **Class M** | - % | .25% | 3129 | 2563 |
| **Class C** | .75% | .25% | <u>10860</u> | <u>10327</u> |
|  |  |  | <u>18929</u> | <u>15039</u> |

---

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

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

---

| | |
|:---|:---|
|  | **Retained by FDC ($)** |
| **Class A** | 32 |
| **Class M** | <u>39</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>71</u> |

---

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

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

---

| | | |
|:---|:---|:---|
|  | **Amount ($)** | **% of Class-Level Average Net Assets** |
| **Class A** | 1465 | .07 |
| **Class M** | 1778 | .14 |
| **Class C** | 1520 | .14 |
| **Fidelity Sustainable Core Plus Bond Fund** | 26851 | .10 |
| **Class I** | 1732 | .14 |
| **Class Z** | <u>4529</u> | .05 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>37875</u> |  |

---

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.

---

| | | | |
|:---|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** | **Realized Gain (Loss) ($)** |
| **Fidelity Sustainable Core Plus Bond Fund** | - | 1732 | 1088 |

---

**7. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are borne by the investment adviser.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2026 unless extended or renewed.

**8. Expense Reductions.** 

The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through December 31, 2026. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

---

| | | |
|:---|:---|:---|
|  | **Expense Limitations** | **Reimbursement ($)** |
| **Class I** | .45% | 508 |
| **Class Z** | .36% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>3592</u> |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>4100</u> |

---

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $2,106.

**9. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Year ended** <br> **August 31, 2025** | **Year ended**<br> **August 31, 2024** |
| **Fidelity Sustainable Core Plus Bond Fund** |  |  |
| **Distributions to shareholders** |  |  |
| Class A | $74068 | $61215 |
| Class M | 46093 | 43811 |
| Class C | 31879 | 29167 |
| Fidelity Sustainable Core Plus Bond Fund | 1068237 | 992735 |
| Class I | 48704 | 39744 |
| Class Z | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>367855</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>178259</u> |
| Total  | <u>$1636836</u> | <u>$1344931</u> |

---

**10. Share Transactions.**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Shares** | **Shares** | **Dollars** | **Dollars** |
|  | **Year ended** <br> **August 31, 2025**  | **Year ended**<br> **August 31, 2024** | **Year ended** <br> **August 31, 2025**  | **Year ended**<br> **August 31, 2024** |
| **Fidelity Sustainable Core Plus Bond Fund** |  |  |  |  |
| **Class A** |  |  |  |  |
| Shares sold | 62492 | 84517 | $576409 | $764816 |
| Reinvestment of distributions | 6818 | 5776 | 63485 | 52821 |
| Shares redeemed | <u>(39756)</u> | <u>(12000)</u> | <u>(372623)</u> | <u>(109336)</u> |
| Net increase (decrease) | <u>29554</u> | <u>78293</u> | <u>$267271</u> | <u>$708301</u> |
| **Class M** |  |  |  |  |
| Shares sold | 1646 | 28756 | $15285 | $253040 |
| Reinvestment of distributions | 4945 | 4792 | 46035 | 43811 |
| Shares redeemed | <u>(11767)</u> | <u>(6823)</u> | <u>(109612)</u> | <u>(60312)</u> |
| Net increase (decrease) | <u>(5176)</u> | <u>26725</u> | <u>$(48292)</u> | <u>$236539</u> |
| **Class C** |  |  |  |  |
| Shares sold | 4304 | 5989 | $39936 | $55576 |
| Reinvestment of distributions | 3426 | 3191 | 31879 | 29163 |
| Shares redeemed | <u>(422)</u> | <u>(555)</u> | <u>(3886)</u> | <u>(5077)</u> |
| Net increase (decrease) | <u>7308</u> | <u>8625</u> | <u>$67929</u> | <u>$79662</u> |
| **Fidelity Sustainable Core Plus Bond Fund** |  |  |  |  |
| Shares sold | 647351 | 529316 | $6016198 | $4830507 |
| Reinvestment of distributions | 111232 | 105587 | 1035423 | 964442 |
| Shares redeemed | <u>(406807)</u> | <u>(688964)</u> | <u>(3747140)</u> | <u>(6211784)</u> |
| Net increase (decrease) | <u>351776</u> | <u>(54061)</u> | <u>$3304481</u> | <u>$(416835)</u> |
| **Class I** |  |  |  |  |
| Shares sold | 15563 | 21962 | $145630 | $201226 |
| Reinvestment of distributions | 5217 | 4312 | 48563 | 39423 |
| Shares redeemed | <u>(13532)</u> | <u>(5229)</u> | <u>(124567)</u> | <u>(48104)</u> |
| Net increase (decrease) | <u>7248</u> | <u>21045</u> | <u>$69626</u> | <u>$192545</u> |
| **Class Z** |  |  |  |  |
| Shares sold | 729296 | 463104 | $6770613 | $4240371 |
| Reinvestment of distributions | 13408 | 9403 | 124820 | 86034 |
| Shares redeemed | <u>(203556)</u> | <u>(14797)</u> | <u>(1885475)</u> | <u>(134359)</u> |
| Net increase (decrease) | <u>539148</u> | <u>457710</u> | <u>$5009958</u> | <u>$4192046</u> |

---

**11. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

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

---

| | |
|:---|:---|
| **Fund** | **Affiliated %**  |
| **Fidelity Sustainable Core Plus Bond Fund**  | 47% |

---

In addition, at the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.

---

| | |
|:---|:---|
|  | **Fidelity Sustainable Multi-Asset Fund** |
| **Fidelity Sustainable Core Plus Bond Fund** | 11% |

---

**12. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Report of Independent Registered Public Accounting Firm**

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

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statement of assets and liabilities of Fidelity Sustainable Core Plus Bond Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of August 31, 2025, the related statement of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the three years in the period then ended and for the period from April 13, 2022 (commencement of operations) through August 31, 2022, and the related notes (collectively referred to as the "financial statements and financial highlights"). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of August 31, 2025, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and financial highlights for each of the three years in the period then ended and for the period from April 13, 2022 (commencement of operations) through August 31, 2022, in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2025, by correspondence with the custodian, brokers and agent banks; when replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

October 15, 2025

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

**Distributions** **(Unaudited)**

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

A total of 34.24% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $1,233,391 of distributions paid in the calendar year 2024 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates $1,636,835 of distributions paid during the fiscal year ended 2025 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2026 of amounts for use in preparing 2025 income tax returns.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img113738_4.jpg)<br>

1.9904879.103 SCB-ANN-1025

**Fidelity® Sustainable Low Duration Bond Fund**

**Annual Report**

**August 31, 2025**

Includes Fidelity and Fidelity Advisor share classes

![](img113740_1.jpg)

![](img113740_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_SLD-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Sustainable Low Duration Bond Fund](#Sub_Sec_Fund_6526_SLD-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements6526_SLD-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_SLD-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_SLD-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_SLD-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_SLD-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_SLD-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_SLD-ANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-8544 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

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

**Fidelity® Sustainable Low Duration Bond Fund**

**Schedule of Investments August 31, 2025**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 19.0%** | &nbsp;&nbsp;**Asset-Backed Securities - 19.0%** | &nbsp;&nbsp;**Asset-Backed Securities - 19.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 19.0%  |  |  |
| Affirm Asset Securitization Trust Series 2025-X1 Class A, 5.08% 4/15/2030 (b) | 72361 | 72451 |
| Autonation Finance Trust Series 2025-1A Class A2, 4.72% 4/10/2028 (b) | 100000 | 100256 |
| BMW Vehicle Lease Trust Series 2025-1 Class A2A, 4.43% 9/27/2027  | 125000 | 125307 |
| BofA Auto Trust Series 2024-1A Class A2, 5.57% 12/15/2026 (b) | 5300 | 5305 |
| BofA Auto Trust Series 2025-1A Class A2A, 4.52% 11/22/2027 (b) | 40000 | 40057 |
| Capital One Multi-Asset Execution Trust Series 2019-A3 Class A3, 2.06% 8/15/2028  | 160000 | 157022 |
| Capital One Prime Auto Receivables Trust Series 2024-1 Class A2A, 4.61% 10/15/2027  | 75453 | 75526 |
| CarMax Auto Owner Trust Series 2024-1 Class A2A, 5.3% 3/15/2027  | 7981 | 7987 |
| CarMax Auto Owner Trust Series 2024-3 Class A2A, 5.21% 9/15/2027  | 34392 | 34478 |
| CarMax Auto Owner Trust Series 2024-4 Class A2A, 4.67% 12/15/2027  | 33783 | 33842 |
| CarMax Auto Owner Trust Series 2025-1 Class A2A, 4.63% 3/15/2028  | 60502 | 60608 |
| CarMax Auto Owner Trust Series 2025-2 Class A2A, 4.59% 7/17/2028  | 60000 | 60226 |
| CarMax Auto Owner Trust Series 2025-3 Class A2A, 4.42% 8/15/2028  | 125000 | 125301 |
| CarMax Select Receivables Trust Series 2024-A Class A2A, 5.78% 9/15/2027  | 1964 | 1971 |
| Carvana Auto Receivables Trust 2025-P2 Series 2025-P2 Class A2, 4.56% 8/10/2028  | 100000 | 100182 |
| Carvana Auto Receivables Trust Series 2024-P4 Class A2, 4.62% 2/10/2028  | 21683 | 21696 |
| Carvana Auto Receivables Trust Series 2025-P1 Class A2, 4.5% 6/12/2028  | 23073 | 23085 |
| Chase Auto Owner Trust Series 2024-1A Class A2, 5.48% 4/26/2027 (b) | 2779 | 2781 |
| Chase Auto Owner Trust Series 2024-3A Class A2, 5.53% 9/27/2027 (b) | 14738 | 14774 |
| Chase Auto Owner Trust Series 2024-4A Class A2, 5.25% 9/27/2027 (b) | 28181 | 28237 |
| Citibank Credit Card Issuance Trust Series 2023-A1 Class A1, 5.23% 12/8/2027  | 100000 | 100241 |
| Citizens Auto Receivables Trust Series 2024-1 Class A2A, 5.43% 10/15/2026 (b) | 1891 | 1892 |
| Citizens Auto Receivables Trust Series 2024-2 Class A2A, 5.54% 11/16/2026 (b) | 8858 | 8866 |
| Dell Equip Fin Trust Series 2025-1 Class A2, 4.68% 7/22/2027 (b) | 100000 | 100381 |
| Dell Equipment Finance Trust Series 2024-1 Class A2, 5.58% 3/22/2030 (b) | 24902 | 24936 |
| Dell Equipment Finance Trust Series 2024-2 Class A2, 4.69% 8/22/2030 (b) | 88844 | 88978 |
| Dext Abs LLC Series 2025-1 Class A2, 4.59% 8/16/2027 (b) | 100000 | 100169 |
| DLLAA LLC Series 2025-1A Class A2, 4.7% 10/20/2027 (b) | 30000 | 30078 |
| DLLAA Series 2023-1A Class A2, 5.93% 7/20/2026 (b) | 1 | 1 |
| Dllad LLC Series 2025-1A Class A2, 4.46% 11/20/2028 (b) | 75000 | 75223 |
| DLLAD Series 2024-1A Class A2, 5.5% 8/20/2027 (b) | 16481 | 16564 |
| DLLMT LLC Series 2024-1A Class A3, 4.84% 8/21/2028 (b) | 145000 | 146414 |
| DLLST Series 2024-1A Class A3, 5.05% 8/20/2027 (b) | 130000 | 130520 |
| DRIVE Series 2025-1 Class A2, 4.87% 8/15/2028  | 65000 | 65144 |
| Enterprise Fleet Financing 2025-2 LLC Series 2025-2 Class A2, 4.51% 2/22/2028 (b) | 127000 | 127421 |
| Enterprise Fleet Financing LLC Series 2023-3 Class A2, 6.4% 3/20/2030 (b) | 73202 | 74294 |
| Enterprise Fleet Financing LLC Series 2024-1 Class A2, 5.23% 3/20/2030 (b) | 143097 | 144221 |
| Enterprise Fleet Financing LLC Series 2024-3 Class A2, 5.31% 4/20/2027 (b) | 33681 | 33858 |
| Enterprise Fleet Financing LLC Series 2024-4 Class A2, 4.69% 7/20/2027 (b) | 66514 | 66689 |
| Enterprise Fleet Financing LLC Series 2025-1 Class A2, 4.65% 10/20/2027 (b) | 70000 | 70241 |
| Exeter Automobile Receivables Trust Series 2025-3A Class A2, 4.83% 1/18/2028  | 95000 | 95151 |
| Exeter Automobile Receivables Trust Series 2025-4A Class A2, 4.53% 3/15/2028  | 95000 | 95036 |
| Exeter Select Automobile Receivables Trust Series 2025-2 Class A2, 4.54% 6/15/2029  | 60000 | 60165 |
| Ford Credit Auto Lease Trust Series 2025-A Class A2A, 4.57% 8/15/2027  | 67765 | 67889 |
| Ford Credit Auto Owner Trust Series 2021-1 Class A, 1.37% 10/17/2033 (b) | 130000 | 127617 |
| Ford Credit Auto Owner Trust Series 2024-D Class A2A, 4.59% 10/15/2027  | 42108 | 42170 |
| Ford Credit Auto Owner Trust Series 2025-A Class A2A, 4.47% 12/15/2027  | 140000 | 140275 |
| Ford Credit Floorplan Master Owner Trust A Series 2024-1 Class A1, 5.29% 4/15/2029 (b) | 170000 | 173099 |
| Ford Series 2025-B Class A2A, 4.37% 3/15/2028  | 55000 | 55113 |
| FORDO Series 2024-B Class A2A, 5.4% 4/15/2027  | 23549 | 23610 |
| GM Financial Automobile Leasing Trust Series 2024-2 Class A2A, 5.43% 9/21/2026  | 20406 | 20442 |
| GM Financial Automobile Leasing Trust Series 2025-1 Class A2A, 4.54% 5/20/2027 (c) | 126545 | 126787 |
| GM Financial Automobile Leasing Trust Series 2025-1 Class A3, 4.66% 2/21/2028  | 100000 | 100761 |
| GM Financial Consumer Automobile Receivables Trust Series 2024-1 Class A2A, 5.12% 2/16/2027  | 3596 | 3597 |
| GM Financial Consumer Automobile Receivables Trust Series 2024-2 Class A2A, 5.33% 3/16/2027  | 9789 | 9799 |
| GM Financial Consumer Automobile Receivables Trust Series 2024-4 Class A2A, 4.53% 10/18/2027  | 38362 | 38397 |
| GM Financial Consumer Automobile Receivables Trust Series 2025-2 Class A2A, 4.4% 2/16/2028  | 125000 | 125139 |
| Gm Financial Leasing Trst Series 2025-3 Class A2A, 4.19% 10/20/2027  | 119000 | 119081 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class A1, 5.34% 6/15/2028 (b) | 160000 | 161362 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class A2, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.4927% 6/15/2028 (b)(c)(d) | 107000 | 107598 |
| GMF Floorplan Owner Revolving Trust Series 2024-3A Class A1, 4.68% 11/15/2028 (b) | 120000 | 120658 |
| GMF Floorplan Owner Revolving Trust Series 2025-1A Class A2, U.S. 30-Day Avg. SOFR Index + 0.6%, 4.9427% 3/15/2029 (b)(c)(d) | 100000 | 100165 |
| Gmf Leasing LLC Series 2025-2 Class A2A, 4.55% 7/20/2027  | 110000 | 110323 |
| Greensky Home Improvement Issuer Trust Series 2025-2A Class A2, 4.93% 6/25/2060 (b) | 100000 | 100276 |
| Halst Series 2025-A Class A2A, 4.6% 6/15/2027 (b) | 91599 | 91788 |
| Halst Series 2025-A Class A3, 4.83% 1/18/2028 (b) | 170000 | 171608 |
| Harot Series 2025-2 Class A2A, 4.3% 1/18/2028  | 109000 | 109136 |
| Honda Auto Receivables Owner Trust Series 2023-2 Class A3, 4.93% 11/15/2027  | 72527 | 72808 |
| Honda Auto Receivables Owner Trust Series 2025-1 Class A2, 4.53% 8/23/2027  | 130000 | 130211 |
| Honda Auto Receivables Series 2024-2 Class A2, 5.48% 11/18/2026  | 17512 | 17540 |
| Hyundai Auto Lease Securitization Trust Series 2023-C Class A3, 5.8% 12/15/2026 (b) | 63266 | 63436 |
| Hyundai Auto Lease Securitization Trust Series 2024-B Class A2A, 5.51% 10/15/2026 (b) | 31104 | 31144 |
| Hyundai Auto Lease Securitization Trust Series 2025-B Class A2A, 4.58% 9/15/2027 (b) | 105000 | 105372 |
| Hyundai Auto Receivables Trust Series 2024-A Class A2A, 5.29% 4/15/2027  | 15066 | 15090 |
| Hyundai Auto Receivables Trust Series 2024-C Class A2A, 4.53% 9/15/2027  | 43295 | 43340 |
| Hyundai Auto Receivables Trust Series 2025-B Class A2A, 4.45% 8/15/2028  | 70000 | 70209 |
| John Deere Owner Trust Series 2024-A Class A2A, 5.19% 2/16/2027  | 28891 | 28917 |
| Kubota Credit Owner Trust 2025-2 Series 2025-2A Class A2, 4.48% 4/17/2028 (b) | 100000 | 100403 |
| Kubota Credit Owner Trust Series 2025-1A Class A2, 4.61% 12/15/2027 (b) | 100000 | 100320 |
| M&T Equipment Notes Series 2025-1A Class A2, 4.7% 12/16/2027 (b) | 50000 | 50260 |
| Marlette Funding Trust 2025-1 Series 2025-1A Class A, 4.75% 7/16/2035 (b) | 90595 | 90687 |
| MBART Series 2025-1 Class A2A, 4.5% 2/15/2028  | 42345 | 42405 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A2A, 5.44% 2/16/2027  | 31976 | 32053 |
| Mercedes-Benz Auto Lease Trust Series 2024-B Class A3, 4.23% 2/15/2028  | 130000 | 130132 |
| Mercedes-Benz Auto Lease Trust Series 2025-A Class A2A, 4.57% 4/17/2028  | 85000 | 85388 |
| Mercedes-Benz Auto Receivables Trust Series 2024-1 Class A2A, 5.06% 5/17/2027  | 4608 | 4609 |
| Porsche Financial Auto Securitization Trust Series 2024-1A Class A2A, 4.45% 1/24/2028 (b) | 41959 | 41980 |
| Porsche Innovative Lease Owner Trust Series 2025-1A Class A2A, 4.6% 12/20/2027 (b) | 100000 | 100259 |
| Post Road Equipment Finance LLC Series 2025-1A Class A2, 4.9% 5/15/2031 (b) | 100000 | 100679 |
| RCKT Trust Series 2025-1A Class A, 4.9% 7/25/2034 (b) | 91077 | 91158 |
| Santander Drive Auto Receivables Trust Series 2025-1 Class A3, 4.74% 1/16/2029  | 20000 | 20074 |
| Santander Drive Auto Receivables Trust Series 2025-2 Class A2, 4.71% 6/15/2028  | 94064 | 94235 |
| SBNA Auto Lease Trust Series 2024-B Class A2, 5.67% 11/20/2026 (b) | 5462 | 5466 |
| SBNA Auto Lease Trust Series 2024-C Class A2, 4.94% 11/20/2026 (b) | 8141 | 8145 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (b) | 100000 | 100210 |
| SFAST Series 2025-1A Class A2, 4.65% 5/22/2028 (b) | 55112 | 55190 |
| SFS Auto Receivables Securitization Trust Series 2023-1A Class A3, 5.47% 10/20/2028 (b) | 76736 | 77263 |
| SFS Auto Receivables Securitization Trust Series 2024-2A Class A2, 5.71% 10/20/2027 (b) | 11309 | 11326 |
| SFS Auto Receivables Securitization Trust Series 2024-3A Class A2, 4.71% 5/22/2028 (b) | 16139 | 16157 |
| SFS Auto Receivables Securitization Trust Series 2025-2A Class A2, 4.52% 11/20/2028 (b) | 80000 | 80194 |
| Sfuel Series 2025-BA Class A2, 4.31% 5/22/2028 (b) | 140000 | 140260 |
| Sofi Consumer Loan Program Series 2025-3 Class A, 4.47% 8/15/2034 (b) | 100000 | 100063 |
| Tesla Auto Lease Trust Series 2024-B Class A2A, 4.79% 1/20/2027 (b) | 19042 | 19057 |
| Tesla Electric Vehicle Trust Series 2023-1 Class A2A, 5.54% 12/21/2026 (b) | 12279 | 12293 |
| Toyota Auto Loan Extended Note Trust Series 2021-1A Class A, 1.07% 2/27/2034 (b) | 100000 | 98459 |
| Toyota Auto Receivables Owner Trust Series 2023-D Class A2A, 5.8% 11/16/2026  | 2118 | 2120 |
| Toyota Auto Receivables Owner Trust Series 2025-B Class A2A, 4.46% 3/15/2028  | 160000 | 160302 |
| Toyota Lease Owner Trust Series 2025-A Class A2A, 4.58% 7/20/2027 (b) | 52995 | 53137 |
| USB Auto Owner Trust 2025-1 Series 2025-1A Class A2, 4.51% 6/15/2028 (b) | 110000 | 110329 |
| Verizon Master Trust Series 2025-3 Class A1A, 4.51% 3/20/2030  | 95000 | 95608 |
| Volkswagen Auto Loan Enhanced Trust 2023-2 Series 2023-2 Class A3, 5.48% 12/20/2028  | 110000 | 111557 |
| Volkswagen Auto Loan Enhanced Trust Series 2024-1 Class A2A, 4.65% 11/22/2027  | 93064 | 93243 |
| Wheels Fleet Lease Funding 1 LLC Series 2023-2A Class A, 6.46% 8/18/2038 (b) | 69270 | 70183 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-1A Class A1, 5.49% 2/18/2039 (b) | 74407 | 75253 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-2A Class A1, 4.87% 6/21/2039 (b) | 89614 | 90314 |
| Wheels Fleet Lease Funding 1 LLC Series 2025-1A Class A2, CME Term SOFR 1 month Index + 0%, 4.9868% 1/18/2040 (b)(c)(d) | 105000 | 105310 |
| Woart Series 2025-B Class A2A, 4.38% 8/15/2028  | 130000 | 130254 |
| Woart Series 2025-C Class A2A, 4.19% 10/16/2028  | 138000 | 138101 |
| World Omni Auto Receivables Tr Series 2024-A Class A3, 4.86% 3/15/2029  | 140000 | 140724 |
| World Omni Auto Receivables Trust 2023-C Series 2023-C Class A3, 5.15% 11/15/2028  | 106688 | 107297 |
| World Omni Auto Receivables Trust Series 2024-B Class A2A, 5.48% 9/15/2027  | 11933 | 11946 |
| World Omni Auto Receivables Trust Series 2025-A Class A2A, 4.49% 4/17/2028  | 62838 | 62899 |
| World Omni Select Auto Trust Series 2024-A Class A2A, 5.37% 2/15/2028  | 20936 | 20977 |
| TOTAL UNITED STATES |  | 8960611 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $8,939,243) |  | <br> **8960611** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.5%** | &nbsp;&nbsp;**Bank Notes - 0.5%** | &nbsp;&nbsp;**Bank Notes - 0.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.5%  |  |  |
| Financials - 0.5% |  |  |
| Banks - 0.5% |  |  |
| Citibank NA 5.438% 4/30/2026 <br>(Cost $250,000)<br>| 250000 | **251740** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.2%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.2%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.2%  |  |  |
| Ocwen Loan Investment Trust Series 2025-HB1 Class A, 3% 6/25/2038 (b)(c)<br> (Cost $73,166) | 75215 | **73094** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 0.4%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 0.4%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 0.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.4%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 6.1066% 6/15/2040 (b)(c)(d) | 95000 | 95416 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 5.5069% 3/15/2030 (b)(c)(d) | 70724 | 70635 |
| TOTAL UNITED STATES |  | 166051 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $165,328) |  | <br> **166051** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 47.5%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 47.5%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 47.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.2%  |  |  |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| Commonwealth Bank of Australia U.S. SOFR Index + 0.46%, 4.8305% 11/27/2026 (b)(c)(d) | 91000 | 91183 |
| CANADA - 4.2%  |  |  |
| Communication Services - 0.1% |  |  |
| Wireless Telecommunication Services - 0.1% |  |  |
| Rogers Communications Inc 3.625% 12/15/2025  | 60000 | 59824 |
| Energy - 0.2% |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |
| Enbridge Inc 5.9% 11/15/2026  | 85000 | 86487 |
| Financials - 3.6% |  |  |
| Banks - 3.6% |  |  |
| Bank of Montreal 0.949% 1/22/2027 (c) | 115000 | 113401 |
| Bank of Montreal 4.567% 9/10/2027 (c) | 124000 | 124302 |
| Bank of Montreal 5.92% 9/25/2025  | 50000 | 50043 |
| Bank of Nova Scotia/The 2.7% 8/3/2026  | 140000 | 138183 |
| Bank of Nova Scotia/The 2.951% 3/11/2027  | 120000 | 118102 |
| Bank of Nova Scotia/The 5.35% 12/7/2026  | 126000 | 127768 |
| Canadian Imperial Bank of Commerce 4.508% 9/11/2027 (c) | 140000 | 140301 |
| Canadian Imperial Bank of Commerce 5.615% 7/17/2026  | 120000 | 121449 |
| Royal Bank of Canada 4.51% 10/18/2027 (c) | 135000 | 135308 |
| Royal Bank of Canada 5.069% 7/23/2027 (c) | 110000 | 110728 |
| Royal Bank of Canada U.S. SOFR Averages Index + 0.72%, 5.0703% 10/18/2027 (c)(d) | 90000 | 90206 |
| Toronto Dominion Bank 1.25% 9/10/2026  | 128000 | 124361 |
| Toronto Dominion Bank 5.532% 7/17/2026  | 113000 | 114244 |
| Toronto Dominion Bank U.S. SOFR Index + 0.62%, 4.9768% 12/17/2026 (c)(d) | 125000 | 125396 |
|  |  | 1633792 |
| Materials - 0.1% |  |  |
| Chemicals - 0.1% |  |  |
| Nutrien Ltd 5.95% 11/7/2025  | 50000 | 50066 |
| Utilities - 0.2% |  |  |
| Independent Power and Renewable Electricity Producers - 0.2% |  |  |
| Emera US Finance LP 3.55% 6/15/2026  | 90000 | 89247 |
| TOTAL CANADA |  | 1919416 |
| CHILE - 0.3%  |  |  |
| Utilities - 0.3% |  |  |
| Electric Utilities - 0.3% |  |  |
| Enel Americas SA 4% 10/25/2026  | 140000 | 139142 |
| FRANCE - 0.4%  |  |  |
| Financials - 0.4% |  |  |
| Banks - 0.4% |  |  |
| BNP Paribas SA 2.591% 1/20/2028 (b)(c) | 200000 | 195165 |
| GERMANY - 0.3%  |  |  |
| Consumer Discretionary - 0.3% |  |  |
| Automobiles - 0.3% |  |  |
| Mercedes-Benz Finance North America LLC 4.9% 1/9/2026 (b) | 150000 | 150155 |
| IRELAND - 1.6%  |  |  |
| Financials - 1.1% |  |  |
| Banks - 0.4% |  |  |
| Bank of Ireland Group PLC 2.029% 9/30/2027 (b)(c) | 200000 | 194757 |
| Consumer Finance - 0.7% |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 1.75% 1/30/2026  | 151000 | 149271 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.45% 4/3/2026  | 150000 | 149871 |
|  |  | 299142 |
| TOTAL FINANCIALS |  | 493899 |
| Industrials - 0.5% |  |  |
| Transportation Infrastructure - 0.5% |  |  |
| Avolon Holdings Funding Ltd 4.25% 4/15/2026 (b) | 120000 | 119693 |
| Avolon Holdings Funding Ltd 4.375% 5/1/2026 (b) | 128000 | 127782 |
|  |  | 247475 |
| TOTAL IRELAND |  | 741374 |
| ITALY - 0.4%  |  |  |
| Utilities - 0.4% |  |  |
| Electric Utilities - 0.4% |  |  |
| Enel Finance International NV 7.05% 10/14/2025 (b)(e) | 200000 | 200512 |
| JAPAN - 0.8%  |  |  |
| Communication Services - 0.4% |  |  |
| Diversified Telecommunication Services - 0.4% |  |  |
| NTT Finance Corp 4.567% 7/16/2027 (b) | 200000 | 201269 |
| Financials - 0.4% |  |  |
| Banks - 0.4% |  |  |
| Mizuho Financial Group Inc 1.554% 7/9/2027 (c) | 200000 | 195387 |
| TOTAL JAPAN |  | 396656 |
| NETHERLANDS - 1.5%  |  |  |
| Financials - 1.0% |  |  |
| Banks - 1.0% |  |  |
| Cooperatieve Rabobank UA/NY 4.333% 8/28/2026  | 250000 | 250658 |
| ING Groep NV 1.726% 4/1/2027 (c) | 200000 | 197023 |
|  |  | 447681 |
| Information Technology - 0.5% |  |  |
| Semiconductors & Semiconductor Equipment - 0.5% |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 3.875% 6/18/2026  | 150000 | 149353 |
| NXP BV / NXP Funding LLC 5.35% 3/1/2026  | 121000 | 121242 |
|  |  | 270595 |
| TOTAL NETHERLANDS |  | 718276 |
| NORWAY - 0.4%  |  |  |
| Financials - 0.4% |  |  |
| Banks - 0.4% |  |  |
| DNB Bank ASA 1.127% 9/16/2026 (b)(c) | 200000 | 199726 |
| SWEDEN - 0.4%  |  |  |
| Financials - 0.4% |  |  |
| Banks - 0.4% |  |  |
| Swedbank AB 6.136% 9/12/2026 (b) | 200000 | 203725 |
| UNITED KINGDOM - 3.7%  |  |  |
| Financials - 3.4% |  |  |
| Banks - 3.4% |  |  |
| Barclays PLC 6.496% 9/13/2027 (c) | 200000 | 204153 |
| Barclays PLC 7.325% 11/2/2026 (c) | 200000 | 200862 |
| HSBC Holdings PLC 5.887% 8/14/2027 (c) | 200000 | 202692 |
| HSBC Holdings PLC 7.336% 11/3/2026 (c) | 200000 | 200907 |
| Lloyds Banking Group PLC 1.627% 5/11/2027 (c) | 200000 | 196212 |
| Lloyds Banking Group PLC 5.985% 8/7/2027 (c) | 200000 | 202791 |
| NatWest Group PLC 5.847% 3/2/2027 (c) | 200000 | 201420 |
| NatWest Group PLC 7.472% 11/10/2026 (c) | 200000 | 201068 |
|  |  | 1610105 |
| Health Care - 0.3% |  |  |
| Pharmaceuticals - 0.3% |  |  |
| GlaxoSmithKline Capital PLC U.S. SOFR Index + 0.5%, 4.8554% 3/12/2027 (c)(d) | 122000 | 122414 |
| TOTAL UNITED KINGDOM |  | 1732519 |
| UNITED STATES - 33.3%  |  |  |
| Communication Services - 1.4% |  |  |
| Diversified Telecommunication Services - 0.5% |  |  |
| AT&T Inc 1.7% 3/25/2026  | 154000 | 151749 |
| AT&T Inc 3.875% 1/15/2026  | 93000 | 92749 |
|  |  | 244498 |
| Wireless Telecommunication Services - 0.9% |  |  |
| Sprint LLC 7.625% 3/1/2026  | 150000 | 150746 |
| T-Mobile USA Inc 1.5% 2/15/2026  | 155000 | 152941 |
| T-Mobile USA Inc 2.25% 2/15/2026  | 113000 | 111745 |
|  |  | 415432 |
| TOTAL COMMUNICATION SERVICES |  | 659930 |
| Consumer Discretionary - 2.8% |  |  |
| Automobiles - 1.3% |  |  |
| American Honda Finance Corp 4.95% 1/9/2026  | 59000 | 59113 |
| General Motors Financial Co Inc 1.25% 1/8/2026  | 60000 | 59309 |
| General Motors Financial Co Inc 5.25% 3/1/2026  | 100000 | 100169 |
| General Motors Financial Co Inc 6.05% 10/10/2025  | 119000 | 119158 |
| Hyundai Capital America 1.8% 10/15/2025 (b) | 53000 | 52803 |
| Hyundai Capital America 5.5% 3/30/2026 (b) | 50000 | 50298 |
| Hyundai Capital America 6.25% 11/3/2025 (b) | 80000 | 80227 |
| Hyundai Capital America U.S. SOFR Index + 1.12%, 5.4785% 6/23/2027 (b)(c)(d) | 110000 | 110576 |
|  |  | 631653 |
| Leisure Products - 0.5% |  |  |
| Mattel Inc 3.375% 4/1/2026 (b) | 163000 | 161542 |
| Mattel Inc 5.875% 12/15/2027 (b) | 90000 | 90239 |
|  |  | 251781 |
| Specialty Retail - 1.0% |  |  |
| AutoZone Inc 3.125% 4/21/2026  | 140000 | 138897 |
| Home Depot Inc/The U.S. SOFR Index + 0.33%, 4.6863% 12/24/2025 (c)(d) | 64000 | 64038 |
| Lowe's Cos Inc 3.375% 9/15/2025  | 70000 | 69970 |
| O'Reilly Automotive Inc 5.75% 11/20/2026  | 136000 | 138267 |
| Ross Stores Inc 0.875% 4/15/2026  | 40000 | 39132 |
|  |  | 450304 |
| TOTAL CONSUMER DISCRETIONARY |  | 1333738 |
| Consumer Staples - 2.0% |  |  |
| Beverages - 0.6% |  |  |
| Keurig Dr Pepper Inc U.S. SOFR Index + 0.58%, 4.9328% 11/15/2026 (c)(d) | 145000 | 145019 |
| Molson Coors Beverage Co 3% 7/15/2026  | 140000 | 138381 |
|  |  | 283400 |
| Consumer Staples Distribution & Retail - 0.8% |  |  |
| Mars Inc 4.45% 3/1/2027 (b) | 46000 | 46277 |
| Mondelez International Holdings Netherlands BV 1.25% 9/24/2026 (b) | 200000 | 193860 |
| Walmart Inc U.S. SOFR Averages Index + 0.43%, 4.7867% 4/28/2027 (c)(d) | 118000 | 118340 |
|  |  | 358477 |
| Food Products - 0.6% |  |  |
| Bunge Ltd Finance Corp 3.25% 8/15/2026  | 108000 | 107031 |
| Conagra Brands Inc 4.6% 11/1/2025  | 50000 | 49975 |
| Kraft Heinz Foods Co 3% 6/1/2026  | 144000 | 142407 |
|  |  | 299413 |
| TOTAL CONSUMER STAPLES |  | 941290 |
| Energy - 1.4% |  |  |
| Oil, Gas & Consumable Fuels - 1.4% |  |  |
| EQT Corp 3.125% 5/15/2026 (b) | 90000 | 88947 |
| MPLX LP 1.75% 3/1/2026  | 114000 | 112466 |
| Phillips 66 1.3% 2/15/2026  | 60000 | 59102 |
| Spectra Energy Partners LP 3.375% 10/15/2026  | 140000 | 138493 |
| Transcontinental Gas Pipe Line Co LLC 7.85% 2/1/2026  | 60000 | 60376 |
| Western Gas Partners LP 4.65% 7/1/2026  | 124000 | 123876 |
| Williams Cos Inc/The 5.4% 3/2/2026  | 60000 | 60280 |
|  |  | 643540 |
| Financials - 17.1% |  |  |
| Banks - 8.7% |  |  |
| Bank of America Corp 1.197% 10/24/2026 (c) | 80000 | 79626 |
| Bank of America Corp 1.658% 3/11/2027 (c) | 133000 | 131111 |
| Bank of America Corp 1.734% 7/22/2027 (c) | 110000 | 107491 |
| Bank of America Corp 3.559% 4/23/2027 (c) | 134000 | 133333 |
| Bank of America Corp 3.824% 1/20/2028 (c) | 130000 | 129249 |
| Bank of America Corp 5.08% 1/20/2027 (c) | 115000 | 115271 |
| Bank of America Corp 5.933% 9/15/2027 (c) | 90000 | 91453 |
| Citibank NA U.S. SOFR Index + 0.781%, 5.1371% 5/29/2027 (c)(d) | 250000 | 251871 |
| Citigroup Inc 1.462% 6/9/2027 (c) | 60000 | 58674 |
| Citigroup Inc 3.2% 10/21/2026  | 70000 | 69211 |
| Citigroup Inc 5.61% 9/29/2026 (c) | 90000 | 90064 |
| Citizens Financial Group Inc 2.85% 7/27/2026  | 104000 | 102592 |
| JPMorgan Chase & Co 1.045% 11/19/2026 (c) | 120000 | 119121 |
| JPMorgan Chase & Co 1.578% 4/22/2027 (c) | 90000 | 88456 |
| JPMorgan Chase & Co 2.947% 2/24/2028 (c) | 120000 | 117810 |
| JPMorgan Chase & Co 3.782% 2/1/2028 (c) | 140000 | 139176 |
| JPMorgan Chase & Co 3.96% 1/29/2027 (c) | 155000 | 154767 |
| JPMorgan Chase & Co 5.04% 1/23/2028 (c) | 90000 | 90941 |
| JPMorgan Chase & Co 6.07% 10/22/2027 (c) | 158000 | 161105 |
| Morgan Stanley Private Bank NA U.S. SOFR Index + 0.77%, 5.1231% 7/6/2028 (c)(d) | 250000 | 250686 |
| PNC Financial Services Group Inc/The 4.758% 1/26/2027 (c) | 100000 | 100086 |
| PNC Financial Services Group Inc/The 5.102% 7/23/2027 (c) | 190000 | 191088 |
| PNC Financial Services Group Inc/The 6.615% 10/20/2027 (c) | 103000 | 105578 |
| Truist Financial Corp 1.267% 3/2/2027 (c) | 90000 | 88640 |
| Truist Financial Corp 5.9% 10/28/2026 (c) | 149000 | 149284 |
| Truist Financial Corp 6.047% 6/8/2027 (c) | 110000 | 111264 |
| US Bancorp 5.727% 10/21/2026 (c) | 154000 | 154233 |
| US Bancorp 6.787% 10/26/2027 (c) | 124000 | 127441 |
| Wells Fargo & Co 3% 10/23/2026  | 120000 | 118428 |
| Wells Fargo & Co 3% 4/22/2026  | 114000 | 113108 |
| Wells Fargo & Co 3.196% 6/17/2027 (c) | 118000 | 116978 |
| Wells Fargo & Co 4.9% 1/24/2028 (c) | 110000 | 110956 |
| Wells Fargo & Co 5.707% 4/22/2028 (c) | 100000 | 102278 |
|  |  | 4071370 |
| Capital Markets - 5.3% |  |  |
| Athene Global Funding 1.73% 10/2/2026 (b) | 119000 | 115771 |
| Athene Global Funding 4.86% 8/27/2026 (b) | 108000 | 108546 |
| Athene Global Funding 4.95% 1/7/2027 (b) | 110000 | 110936 |
| Athene Global Funding 5.339% 1/15/2027 (b) | 135000 | 136766 |
| Bank of New York Mellon Corp/The U.S. SOFR Averages Index + 0.68%, 5.0342% 6/9/2028 (c)(d) | 160000 | 160457 |
| Bank of New York Mellon U.S. SOFR Averages Index + 0.71%, 5.06% 4/20/2027 (c)(d) | 250000 | 250559 |
| Goldman Sachs Group Inc/The 1.093% 12/9/2026 (c) | 114000 | 112964 |
| Goldman Sachs Group Inc/The 1.431% 3/9/2027 (c) | 170000 | 167355 |
| Goldman Sachs Group Inc/The 3.5% 11/16/2026  | 43000 | 42644 |
| Goldman Sachs Group Inc/The 4.387% 6/15/2027 (c) | 188000 | 187972 |
| Goldman Sachs Group Inc/The U.S. SOFR Index + 1.29%, 5.6421% 4/23/2028 (c)(d) | 90000 | 90858 |
| LPL Holdings Inc 4.625% 11/15/2027 (b) | 128000 | 127969 |
| Morgan Stanley 0.985% 12/10/2026 (c) | 109000 | 107936 |
| Morgan Stanley 1.512% 7/20/2027 (c) | 150000 | 146290 |
| Morgan Stanley 1.593% 5/4/2027 (c) | 140000 | 137392 |
| Morgan Stanley 3.125% 7/27/2026  | 108000 | 107012 |
| Morgan Stanley 5.05% 1/28/2027 (c) | 98000 | 98252 |
| Morgan Stanley 6.138% 10/16/2026 (c) | 129000 | 129234 |
| State Street Corp 5.751% 11/4/2026 (c) | 100000 | 100223 |
| State Street Corp U.S. SOFR Index + 0.95%, 5.3036% 4/24/2028 (c)(d) | 58000 | 58379 |
|  |  | 2497515 |
| Consumer Finance - 1.3% |  |  |
| American Express Co 5.389% 7/28/2027 (c) | 85000 | 85815 |
| American Express Co 5.645% 4/23/2027 (c) | 135000 | 136093 |
| American Express Co 6.338% 10/30/2026 (c) | 154000 | 154447 |
| Toyota Motor Credit Corp U.S. SOFR Averages Index + 0.45%, 4.8001% 4/10/2026 (c)(d) | 90000 | 90131 |
| Toyota Motor Credit Corp U.S. SOFR Index + 0.71%, 5.0637% 5/14/2027 (c)(d) | 130000 | 130507 |
|  |  | 596993 |
| Financial Services - 0.5% |  |  |
| Aviation Capital Group LLC 1.95% 9/20/2026 (b) | 110000 | 107161 |
| Corebridge Global Funding 5.75% 7/2/2026 (b) | 90000 | 91116 |
| Western Union Co/The 1.35% 3/15/2026  | 55000 | 54071 |
|  |  | 252348 |
| Insurance - 1.3% |  |  |
| Brown & Brown Inc 4.6% 12/23/2026  | 43000 | 43202 |
| Equitable Financial Life Global Funding 1% 1/9/2026 (b) | 120000 | 118565 |
| Equitable Financial Life Global Funding 1.3% 7/12/2026 (b) | 90000 | 87815 |
| Equitable Financial Life Global Funding 5.5% 12/2/2025 (b) | 120000 | 120291 |
| Jackson National Life Global Funding 3.05% 4/29/2026 (b) | 90000 | 89227 |
| Jackson National Life Global Funding 4.9% 1/13/2027 (b) | 150000 | 151079 |
|  |  | 610179 |
| TOTAL FINANCIALS |  | 8028405 |
| Health Care - 1.6% |  |  |
| Biotechnology - 0.2% |  |  |
| Gilead Sciences Inc 3.65% 3/1/2026  | 100000 | 99660 |
| Health Care Providers & Services - 1.4% |  |  |
| Cigna Group/The 1.25% 3/15/2026  | 55000 | 54090 |
| CVS Health Corp 2.875% 6/1/2026  | 147000 | 145262 |
| CVS Health Corp 3% 8/15/2026  | 155000 | 153019 |
| CVS Health Corp 5% 2/20/2026  | 106000 | 106247 |
| HCA Inc 5.25% 6/15/2026  | 100000 | 100175 |
| HCA Inc 5.875% 2/15/2026  | 80000 | 80066 |
|  |  | 638859 |
| TOTAL HEALTH CARE |  | 738519 |
| Industrials - 1.2% |  |  |
| Aerospace & Defense - 0.3% |  |  |
| L3Harris Technologies Inc 3.85% 12/15/2026  | 126000 | 125368 |
| Ground Transportation - 0.3% |  |  |
| CSX Corp 2.6% 11/1/2026  | 130000 | 127859 |
| Industrial Conglomerates - 0.2% |  |  |
| Trane Technologies Financing Ltd 3.5% 3/21/2026  | 92000 | 91524 |
| Machinery - 0.3% |  |  |
| Caterpillar Financial Services Corp U.S. SOFR Index + 0.69%, 5.0413% 10/16/2026 (c)(d) | 150000 | 150644 |
| Trading Companies & Distributors - 0.1% |  |  |
| Air Lease Corp 2.875% 1/15/2026  | 53000 | 52643 |
| TOTAL INDUSTRIALS |  | 548038 |
| Information Technology - 2.4% |  |  |
| Electronic Equipment, Instruments & Components - 0.4% |  |  |
| Dell International LLC / EMC Corp 4.9% 10/1/2026  | 90000 | 90373 |
| Dell International LLC / EMC Corp 6.02% 6/15/2026  | 116000 | 117015 |
|  |  | 207388 |
| Semiconductors & Semiconductor Equipment - 0.2% |  |  |
| Marvell Technology Inc 1.65% 4/15/2026  | 90000 | 88432 |
| Software - 1.6% |  |  |
| Oracle Corp 2.65% 7/15/2026  | 115000 | 113396 |
| Oracle Corp 5.8% 11/10/2025  | 140000 | 140318 |
| Roper Technologies Inc 1% 9/15/2025  | 60000 | 59920 |
| Roper Technologies Inc 3.8% 12/15/2026  | 140000 | 139134 |
| Roper Technologies Inc 3.85% 12/15/2025  | 129000 | 128809 |
| VMware LLC 1.4% 8/15/2026  | 165000 | 160429 |
|  |  | 742006 |
| Technology Hardware, Storage & Peripherals - 0.2% |  |  |
| Hewlett Packard Enterprise Co 4.45% 9/25/2026  | 103000 | 103145 |
| TOTAL INFORMATION TECHNOLOGY |  | 1140971 |
| Materials - 0.2% |  |  |
| Chemicals - 0.2% |  |  |
| Celanese US Holdings LLC 1.4% 8/5/2026  | 60000 | 57704 |
| International Flavors & Fragrances Inc 1.23% 10/1/2025 (b) | 37000 | 36890 |
|  |  | 94594 |
| Real Estate - 1.4% |  |  |
| Diversified REITs - 0.2% |  |  |
| Vici Properties LP / Vici Note Co Inc 4.25% 12/1/2026 (b) | 135000 | 134399 |
| Office REITs - 0.3% |  |  |
| COPT Defense Properties LP 2.25% 3/15/2026  | 140000 | 138022 |
| Specialized REITs - 0.9% |  |  |
| American Tower Corp 1.6% 4/15/2026  | 109000 | 107090 |
| American Tower Corp 3.375% 10/15/2026  | 85000 | 84174 |
| American Tower Corp 4.4% 2/15/2026  | 64000 | 64014 |
| Crown Castle Inc 1.05% 7/15/2026  | 152000 | 147703 |
|  |  | 402981 |
| TOTAL REAL ESTATE |  | 675402 |
| Utilities - 1.8% |  |  |
| Electric Utilities - 1.4% |  |  |
| DTE Electric Co 4.25% 5/14/2027  | 24000 | 24096 |
| Eversource Energy 4.75% 5/15/2026  | 100000 | 100231 |
| FirstEnergy Corp 1.6% 1/15/2026  | 109000 | 107709 |
| Jersey Central Power & Light Co 4.3% 1/15/2026 (b) | 90000 | 89873 |
| NextEra Energy Capital Holdings Inc 4.685% 9/1/2027  | 63000 | 63595 |
| Oncor Electric Delivery Co LLC 4.5% 3/20/2027 (b) | 65000 | 65447 |
| Pacific Gas and Electric Co 2.95% 3/1/2026  | 50000 | 49508 |
| Pacific Gas and Electric Co U.S. SOFR Averages Index + 0.95%, 5.3042% 9/4/2025 (c)(d) | 120000 | 120004 |
| Vistra Operations Co LLC 5.05% 12/30/2026 (b) | 21000 | 21155 |
|  |  | 641618 |
| Multi-Utilities - 0.4% |  |  |
| Dominion Energy Inc 1.45% 4/15/2026  | 130000 | 127708 |
| Dominion Energy Inc 3.9% 10/1/2025  | 80000 | 79946 |
|  |  | 207654 |
| TOTAL UTILITIES |  | 849272 |
| TOTAL UNITED STATES |  | 15653699 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $22,255,414) |  | <br> **22341548** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 29.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 29.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 29.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 29.5%** |
|  | Yield (%) (f) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 10/2/2025  | 4.28 | 2757000 | 2747304 |
| US Treasury Bills 0% 11/28/2025  | 4.10 to 4.32 | 1611200 | 1595438 |
| US Treasury Bills 0% 11/6/2025  | 4.16 to 4.21 | 3000000 | 2977851 |
| US Treasury Bills 0% 9/4/2025  | 4.16 to 4.21 | 2872500 | 2871824 |
| US Treasury Notes 3.5% 9/30/2026  | 3.96 to 4.36 | 2215600 | 2207378 |
| US Treasury Notes 4.125% 1/31/2027  | 3.89 to 4.08 | 1500000 | 1507441 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $13,893,058) |  |  | **13907236** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 2.8%** | &nbsp;&nbsp;**Money Market Funds - 2.8%** | &nbsp;&nbsp;**Money Market Funds - 2.8%** | &nbsp;&nbsp;**Money Market Funds - 2.8%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (g)<br>(Cost $1,324,656)<br>| 4.36 | 1324391 | **1324656** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.9%**<br> (Cost $46,900,865)<br>| <br>**47024936** |
| **NET OTHER ASSETS (LIABILITIES) - 0.1%**  | **62187** |
| **NET ASSETS - 100.0%** | **47087123** |

---

**Legend**

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $9,273,972 or 19.7% of net assets.

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

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

(e) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(f) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 990120 | 27988075 | 27653539 | 43926 | - | - | 1324656 | 1324391 | 0.0% |
| Total | 990120 | 27988075 | 27653539 | 43926 | - | - | 1324656 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

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

**Investment Valuation**

The following is a summary of the inputs used, as of August 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 8960611 | - | 8960611 | - |
|  **Bank Notes** |  |  |  |  |
| Financials | 251740 | - | 251740 | - |
|  **Collateralized Mortgage Obligations** | 73094 | - | 73094 | - |
|  **Commercial Mortgage Securities** | 166051 | - | 166051 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 921023 | - | 921023 | - |
| Consumer Discretionary | 1483893 | - | 1483893 | - |
| Consumer Staples | 941290 | - | 941290 | - |
| Energy | 730027 | - | 730027 | - |
| Financials | 13099068 | - | 13099068 | - |
| Health Care | 860933 | - | 860933 | - |
| Industrials | 795513 | - | 795513 | - |
| Information Technology | 1411566 | - | 1411566 | - |
| Materials | 144660 | - | 144660 | - |
| Real Estate | 675402 | - | 675402 | - |
| Utilities | 1278173 | - | 1278173 | - |
|  **U.S. Treasury Obligations** | 13907236 | - | 13907236 | - |
|  **Money Market Funds** | 1324656 | 1324656 | - | - |
| **Total Investments in Securities:** | 47024936 | 1324656 | 45700280 | - |

---

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of August 31, 2025** | **As of August 31, 2025** | **As of August 31, 2025** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $45,576,209) | $45700280 |  |
| Fidelity Central Funds (cost $1,324,656) | 1324656 |  |
| Total Investment in Securities (cost $46,900,865) |  | $47024936 |
| Receivable for fund shares sold |  | 148445 |
| Interest receivable |  | 293048 |
| Distributions receivable from Fidelity Central Funds |  | 2756 |
| Receivable from investment adviser for expense reductions |  | 1457 |
| **Total assets** |  | 47470642 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $168129 |  |
| Payable for fund shares redeemed | 178900 |  |
| Distributions payable | 23805 |  |
| Accrued management fee | 7747 |  |
| Distribution and service plan fees payable | 1670 |  |
| Other affiliated payables | 3265 |  |
| Other payables and accrued expenses | 3 |  |
| **Total liabilities** |  | 383519 |
| **Net Assets**  |  | $47087123 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $46043782 |
| Total accumulated earnings (loss) |  | 1043341 |
| **Net Assets** |  | $47087123 |
| **Net Asset Value and Maximum Offering Price** |  |  |
| **Class A :** |  |  |
| **Net Asset Value** and redemption price per share ($3,673,106 ÷ 355,733 shares)(a) |  | $10.33 |
| Maximum offering price per share (100/98.50 of $10.33) |  | $10.49 |
| **Class M :** |  |  |
| **Net Asset Value** and redemption price per share ($2,098,861 ÷ 203,277 shares)(a) |  | $10.33 |
| Maximum offering price per share (100/98.50 of $10.33) |  | $10.49 |
| **Class C :** |  |  |
| **Net Asset Value** and offering price per share ($1,172,195 ÷ 113,593 shares)(a) |  | $10.32 |
| **Fidelity Sustainable Low Duration Bond Fund :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($26,342,846 ÷ 2,551,256 shares) |  | $10.33 |
| **Class I :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($1,167,610 ÷ 113,081 shares) |  | $10.33 |
| **Class Z :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($12,632,505 ÷ 1,223,393 shares) |  | $10.33 |
| *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** |
| **Investment Income** |  |  |
| Interest  |  | $1738679 |
| Income from Fidelity Central Funds  |  | 43926 |
| **Total income** |  | 1782605 |
| **Expenses** |  |  |
| Management fee | $74586 |  |
| Transfer agent fees | 32954 |  |
| Distribution and service plan fees | 18151 |  |
| Independent trustees' fees and expenses | 88 |  |
| Total expenses before reductions | 125779 |  |
| Expense reductions | (17423) |  |
| Total expenses after reductions |  | 108356 |
| **Net Investment income (loss)** |  | 1674249 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 39650 |  |
| Total net realized gain (loss) |  | 39650 |
| Change in net unrealized appreciation (depreciation) on investment securities  |  | 12929 |
| **Net gain (loss)** |  | 52579 |
| **Net increase (decrease) in net assets resulting from operations** |  | $1726828 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **August 31, 2025** | **Year ended**<br> **August 31, 2024** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $1674249 | $1337760 |
| &nbsp;&nbsp;Net realized gain (loss) | 39650<br>| 18303<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 12929 | 141610<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 1726828<br>| 1497673<br>|
| Distributions to shareholders | (1529974)<br>| (1016595)<br>|
| Share transactions - net increase (decrease) | 17414328<br>| 5467747<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 17611182<br>| 5948825<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 29475941 | 23527116<br>|
| &nbsp;&nbsp;End of period | $47087123 | $29475941 |

---

**Financial Highlights** 

**Fidelity Advisor® Sustainable Low Duration Bond Fund Class A**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $10.31 | $10.13 | $9.96 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .445  | .498  | .401  | .053  |
| Net realized and unrealized gain (loss)  | .018  | .056  | (.024)  | (.058)  |
| Total from investment operations  | .463  | .554  | .377  | (.005)  |
| Distributions from net investment income  | (.431)  | (.370)  | (.207)  | (.035)  |
| Distributions from net realized gain  | (.012)  | (.004)  | -  | -  |
| Total distributions  | (.443)  | (.374)  | (.207)  | (.035)  |
| Net asset value, end of period  | $10.33 | $10.31 | $10.13 | $9.96 |
| **Total Return** D,E,F | 4.60% <br>| 5.58%  | 3.83%  | (.05)%  |
| **Ratios to Average Net Assets** B,G,H |  |  |  |  |
| Expenses before reductions  | .47%  | .45%  | .51%  | .51% I |
| Expenses net of fee waivers, if any  | .45% <br>| .45%  | .50%  | .51% I |
| Expenses net of all reductions, if any  | .45%  | .45%  | .50%  | .51% I |
| Net investment income (loss)  | 4.33%  | 4.89%  | 4.00%  | 1.40% I |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $3673 | $4194 | $3209 | $1730 |
| Portfolio turnover rate J | 58% <br>| 67%  | 25%  | 5% K |

---

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

B*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

C*Calculated based on average shares outstanding during the period.*

D*Total returns for periods of less than one year are not annualized.*

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

F*Total returns do not include the effect of the sales charges.*

G*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

H*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

I*Annualized.*

J*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

K*Amount not annualized.*

**Fidelity Advisor® Sustainable Low Duration Bond Fund Class M**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $10.31 | $10.13 | $9.96 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .446  | .501  | .402  | .054  |
| Net realized and unrealized gain (loss)  | .020  | .055  | (.023)  | (.059)  |
| Total from investment operations  | .466  | .556  | .379  | (.005)  |
| Distributions from net investment income  | (.434)  | (.372)  | (.209)  | (.035)  |
| Distributions from net realized gain  | (.012)  | (.004)  | -  | -  |
| Total distributions  | (.446)  | (.376)  | (.209)  | (.035)  |
| Net asset value, end of period  | $10.33 | $10.31 | $10.13 | $9.96 |
| **Total Return** D,E,F | 4.63% <br>| 5.60%  | 3.84%  | (.05)%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |  |
| Expenses before reductions  | .42%  | .43%  | .48%  | .51% I |
| Expenses net of fee waivers, if any  | .42% <br>| .43%  | .48%  | .51% I |
| Expenses net of all reductions, if any  | .41%  | .43%  | .48%  | .51% I |
| Net investment income (loss)  | 4.36%  | 4.91%  | 4.02%  | 1.40% I |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $2099 | $766 | $605 | $515 |
| Portfolio turnover rate J | 58% <br>| 67%  | 25%  | 5% K |

---

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

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

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

F*Total returns do not include the effect of the sales charges.*

G*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

H*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

I*Annualized.*

J*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

K*Amount not annualized.*

**Fidelity Advisor® Sustainable Low Duration Bond Fund Class C**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $10.30 | $10.12 | $9.95 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .360  | .414  | .317  | .021  |
| Net realized and unrealized gain (loss)  | .018  | .055  | (.024)  | (.064)  |
| Total from investment operations  | .378  | .469  | .293  | (.043)  |
| Distributions from net investment income  | (.346)  | (.285)  | (.123)  | (.007)  |
| Distributions from net realized gain  | (.012)  | (.004)  | -  | -  |
| Total distributions  | (.358)  | (.289)  | (.123)  | (.007)  |
| Net asset value, end of period  | $10.32 | $10.30 | $10.12 | $9.95 |
| **Total Return** D,E,F | 3.74% <br>| 4.71%  | 2.96%  | (.43)%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |  |
| Expenses before reductions  | 1.28%  | 1.28%  | 1.34%  | 1.36% I |
| Expenses net of fee waivers, if any  | 1.28% <br>| 1.28%  | 1.34%  | 1.36% I |
| Expenses net of all reductions, if any  | 1.27%  | 1.28%  | 1.33%  | 1.36% I |
| Net investment income (loss)  | 3.51%  | 4.06%  | 3.17%  | .55% I |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $1172 | $973 | $872 | $759 |
| Portfolio turnover rate J | 58% <br>| 67%  | 25%  | 5% K |

---

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

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

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

F*Total returns do not include the effect of the contingent deferred sales charge.*

G*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

H*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

I*Annualized.*

J*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

K*Amount not annualized.*

**Fidelity® Sustainable Low Duration Bond Fund** <br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $10.31 | $10.13 | $9.96 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .465  | .518  | .418  | .059  |
| Net realized and unrealized gain (loss)  | .018  | .057  | (.021)  | (.058)  |
| Total from investment operations  | .483  | .575  | .397  | .001  |
| Distributions from net investment income  | (.451)  | (.391)  | (.227)  | (.041)  |
| Distributions from net realized gain  | (.012)  | (.004)  | -  | -  |
| Total distributions  | (.463)  | (.395)  | (.227)  | (.041)  |
| Net asset value, end of period  | $10.33 | $10.31 | $10.13 | $9.96 |
| **Total Return** D,E | 4.81% <br>| 5.79%  | 4.03%  | .01%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |
| Expenses before reductions  | .30%  | .30%  | .36%  | .39% H |
| Expenses net of fee waivers, if any  | .25% <br>| .25%  | .31%  | .35% H |
| Expenses net of all reductions, if any  | .25%  | .25%  | .30%  | .35% H |
| Net investment income (loss)  | 4.53%  | 5.09%  | 4.20%  | 1.56% H |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $26343 | $18003 | $11859 | $4499 |
| Portfolio turnover rate I | 58% <br>| 67%  | 25%  | 5% J |

---

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

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

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

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Annualized.*

I*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

J*Amount not annualized.*

**Fidelity Advisor® Sustainable Low Duration Bond Fund Class I**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $10.31 | $10.13 | $9.96 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .464  | .524  | .416  | .060  |
| Net realized and unrealized gain (loss)  | .019  | .051  | (.019)  | (.059)  |
| Total from investment operations  | .483  | .575  | .397  | .001  |
| Distributions from net investment income  | (.451)  | (.391)  | (.227)  | (.041)  |
| Distributions from net realized gain  | (.012)  | (.004)  | -  | -  |
| Total distributions  | (.463)  | (.395)  | (.227)  | (.041)  |
| Net asset value, end of period  | $10.33 | $10.31 | $10.13 | $9.96 |
| **Total Return** D,E | 4.81% <br>| 5.79%  | 4.03%  | .01%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |
| Expenses before reductions  | .27%  | .32%  | .37%  | .37% H |
| Expenses net of fee waivers, if any  | .25% <br>| .25%  | .31%  | .35% H |
| Expenses net of all reductions, if any  | .25%  | .25%  | .30%  | .35% H |
| Net investment income (loss)  | 4.53%  | 5.10%  | 4.20%  | 1.56% H |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $1168 | $654 | $3219 | $526 |
| Portfolio turnover rate I | 58% <br>| 67%  | 25%  | 5% J |

---

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

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

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

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Annualized.*

I*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

J*Amount not annualized.*

**Fidelity Advisor® Sustainable Low Duration Bond Fund Class Z**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $10.31 | $10.13 | $9.96 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .469  | .526  | .426  | .061  |
| Net realized and unrealized gain (loss)  | .019  | .054  | (.024)  | (.058)  |
| Total from investment operations  | .488  | .580  | .402  | .003  |
| Distributions from net investment income  | (.456)  | (.396)  | (.232)  | (.043)  |
| Distributions from net realized gain  | (.012)  | (.004)  | -  | -  |
| Total distributions  | (.468)  | (.400)  | (.232)  | (.043)  |
| Net asset value, end of period  | $10.33 | $10.31 | $10.13 | $9.96 |
| **Total Return** D,E | 4.86% <br>| 5.84%  | 4.08%  | .03%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |
| Expenses before reductions  | .25%  | .25%  | .31%  | .35% H |
| Expenses net of fee waivers, if any  | .20% <br>| .20%  | .25%  | .30% H |
| Expenses net of all reductions, if any  | .20%  | .20%  | .25%  | .30% H |
| Net investment income (loss)  | 4.58%  | 5.14%  | 4.25%  | 1.61% H |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $12633 | $4886 | $3764 | $962 |
| Portfolio turnover rate I | 58% <br>| 67%  | 25%  | 5% J |

---

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

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

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

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Annualized.*

I*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

J*Amount not annualized.*

**Notes to Financial Statements**

For the period ended August 31, 2025

**1. Organization.**

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

**2. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**3. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

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

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, bank notes and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations and commercial mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2025 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

**Class Allocations and Expenses.** Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2025, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

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

Book-tax differences are primarily due to market discount.

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

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $424880 |
| **Gross unrealized depreciation**  | <u>(1035)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$423845</u> |
| **Tax Cost**  | <u>$46601091</u> |

---

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

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$597002</u> |
| **Undistributed long-term capital gain**  | <u>$22498</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$423845</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **August 31, 2025** | **August 31, 2024** |
| **Ordinary Income**  | $1515915 | $1007076 |
| **Long-term Capital Gains**  | <u>14059</u> | <u>9519</u> |
| **Total**  | <u>$1529974</u> | <u>$1016595</u> |

---

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**New Accounting Pronouncements.** FASB Accounting Standards Update (ASU) 2023-07 Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures became effective in this reporting period. ASU 2023-07 enhances segment information disclosure in the notes to financial statements.

In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Sustainable Low Duration Bond Fund** | 25651805 | 14016040 |

---

**5. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .20% of the Fund's average net assets. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain other expenses such as proxy and shareholder meeting expenses.

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Distribution Fee** | **Service Fee** | **Total Fees ($)** | **Retained by FDC ($)** |
| **Class A** | - % | .15% | 5684 | 957 |
| **Class M** | - % | .15% | 1844 | 831 |
| **Class C** | .75% | .25% | <u>10623</u> | <u>6300</u> |
|  |  |  | <u>18151</u> | <u>8088</u> |

---

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

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

---

| | |
|:---|:---|
|  | **Retained by FDC ($)** |
| **Class A** | 243 |
| **Class C**A | <u>2</u> |
|  | <u>245</u> |

---

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

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

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

---

| | | |
|:---|:---|:---|
|  | **Amount ($)** | **% of Class-Level Average Net Assets** |
| **Class A** | 4398 | .12 |
| **Class M** | 828 | .07 |
| **Class C** | 803 | .08 |
| **Fidelity Sustainable Low Duration Bond Fund** | 22258 | .10 |
| **Class I** | 639 | .07 |
| **Class Z** | <u>4028</u> | .05 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>32954</u> |  |

---

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**6. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are borne by the investment adviser.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2026 unless extended or renewed.

**7. Expense Reductions.** 

The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through December 31, 2026. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

---

| | | |
|:---|:---|:---|
|  | **Expense Limitations** | **Reimbursement ($)** |
| **Class A** | .45% | 615 |
| **Class M** | .45% | - |
| **Class C** | 1.30% | - |
| **Fidelity Sustainable Low Duration Bond Fund** | .25% | 11150 |
| **Class I** | .25% | 168 |
| **Class Z** | .20% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>3996</u> |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>15929</u> |

---

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $1,494.

**8. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Year ended** <br> **August 31, 2025** | **Year ended**<br> **August 31, 2024** |
| **Fidelity Sustainable Low Duration Bond Fund** |  |  |
| **Distributions to shareholders** |  |  |
| Class A | $160776 | $134958 |
| Class M | 44602 | 23883 |
| Class C | 36003 | 26353 |
| Fidelity Sustainable Low Duration Bond Fund | 927159 | 579534 |
| Class I | 39237 | 78687 |
| Class Z | <u>322197</u> | <u>173180</u> |
| Total  | <u>$1529974</u> | <u>$1016595</u> |

---

**9. Share Transactions.**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Shares** | **Shares** | **Dollars** | **Dollars** |
|  | **Year ended** <br> **August 31, 2025**  | **Year ended**<br> **August 31, 2024** | **Year ended** <br> **August 31, 2025**  | **Year ended**<br> **August 31, 2024** |
| **Fidelity Sustainable Low Duration Bond Fund** |  |  |  |  |
| **Class A** |  |  |  |  |
| Shares sold | 98465 | 249498 | $1010136 | $2542258 |
| Reinvestment of distributions | 15682 | 13239 | 160606 | 134904 |
| Shares redeemed | <u>(165260)</u> | <u>(172722)</u> | <u>(1700849)</u> | <u>(1761046)</u> |
| Net increase (decrease) | <u>(51113)</u> | <u>90015</u> | <u>$(530107)</u> | <u>$916116</u> |
| **Class M** |  |  |  |  |
| Shares sold | 130296 | 17673 | $1335060 | $180581 |
| Reinvestment of distributions | 4348 | 2344 | 44575 | 23879 |
| Shares redeemed | <u>(5666)</u> | <u>(5460)</u> | <u>(58283)</u> | <u>(55721)</u> |
| Net increase (decrease) | <u>128978</u> | <u>14557</u> | <u>$1321352</u> | <u>$148739</u> |
| **Class C** |  |  |  |  |
| Shares sold | 21898 | 18851 | $224776 | $191260 |
| Reinvestment of distributions | 3519 | 2588 | 35978 | 26338 |
| Shares redeemed | <u>(6223)</u> | <u>(13190)</u> | <u>(63720)</u> | <u>(133909)</u> |
| Net increase (decrease) | <u>19194</u> | <u>8249</u> | <u>$197034</u> | <u>$83689</u> |
| **Fidelity Sustainable Low Duration Bond Fund** |  |  |  |  |
| Shares sold | 1989210 | 1322817 | $20409046 | $13483971 |
| Reinvestment of distributions | 79655 | 51256 | 816175 | 522289 |
| Shares redeemed | <u>(1263811)</u> | <u>(798858)</u> | <u>(12994472)</u> | <u>(8145134)</u> |
| Net increase (decrease) | <u>805054</u> | <u>575215</u> | <u>$8230749</u> | <u>$5861126</u> |
| **Class I** |  |  |  |  |
| Shares sold | 54216 | 45683 | $556450 | $464041 |
| Reinvestment of distributions | 3786 | 7645 | 38786 | 77705 |
| Shares redeemed | <u>(8402)</u> | <u>(307737)</u> | <u>(86394)</u> | <u>(3125566)</u> |
| Net increase (decrease) | <u>49600</u> | <u>(254409)</u> | <u>$508842</u> | <u>$(2583820)</u> |
| **Class Z** |  |  |  |  |
| Shares sold | 883718 | 471271 | $9065862 | $4808900 |
| Reinvestment of distributions | 9441 | 11517 | 96892 | 117246 |
| Shares redeemed | <u>(143639)</u> | <u>(380552)</u> | <u>(1476296)</u> | <u>(3884249)</u> |
| Net increase (decrease) | <u>749520</u> | <u>102236</u> | <u>$7686458</u> | <u>$1041897</u> |

---

**10. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

**11. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Salem Street Trust and the Shareholders of Fidelity Sustainable Low Duration Bond Fund:

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statement of assets and liabilities of Fidelity Sustainable Low Duration Bond Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of August 31, 2025, the related statement of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the three years in the period then ended and for the period from April 13, 2022 (commencement of operations) through August 31, 2022, and the related notes (collectively referred to as the "financial statements and financial highlights"). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of August 31, 2025, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the three years in the period then ended and for the period from April 13, 2022 (commencement of operations) through August 31, 2022, in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

October 16, 2025

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

**Distributions** **(Unaudited)**

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

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2025, $26,622, or, if subsequently determined to be different, the net capital gain of such year.

A total of 28.88% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $1,149,188 of distributions paid in the calendar year 2024 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates 98.66% and 80.95% of the short-term capital gain dividends distributed in October and December, respectively during the fiscal year as qualifying to be taxed as short-term capital gain dividends for nonresident alien shareholders.

The fund designates $1,515,913 of distributions paid during the fiscal year ended 2025 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2026 of amounts for use in preparing 2025 income tax returns.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img113740_4.jpg)<br>

1.9904900.103 SLD-ANN-1025

**Fidelity® SAI Sustainable Low Duration Bond Fund**

**(formerly Fidelity® SAI Sustainable Low Duration Income Fund)**

**Annual Report**

**August 31, 2025**

Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.

![](img113741_1.jpg)

![](img113741_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_SLO-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® SAI Sustainable Low Duration Bond Fund](#Sub_Sec_Fund_6525_SLO-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements6525_SLO-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_SLO-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_SLO-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_SLO-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_SLO-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_SLO-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_SLO-ANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

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

**Fidelity® SAI Sustainable Low Duration Bond Fund**

**Schedule of Investments August 31, 2025**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 18.3%** | &nbsp;&nbsp;**Asset-Backed Securities - 18.3%** | &nbsp;&nbsp;**Asset-Backed Securities - 18.3%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 18.3%  |  |  |
| Affirm Asset Securitization Trust Series 2025-X1 Class A, 5.08% 4/15/2030 (b) | 72361 | 72451 |
| Autonation Finance Trust Series 2025-1A Class A2, 4.72% 4/10/2028 (b) | 100000 | 100256 |
| BMW Vehicle Lease Trust Series 2025-1 Class A2A, 4.43% 9/27/2027  | 140000 | 140344 |
| BofA Auto Trust Series 2024-1A Class A2, 5.57% 12/15/2026 (b) | 4807 | 4812 |
| BofA Auto Trust Series 2025-1A Class A2A, 4.52% 11/22/2027 (b) | 40000 | 40057 |
| Capital One Multi-Asset Execution Trust Series 2019-A3 Class A3, 2.06% 8/15/2028  | 150000 | 147209 |
| Capital One Prime Auto Receivables Trust Series 2024-1 Class A2A, 4.61% 10/15/2027  | 88028 | 88114 |
| CarMax Auto Owner Trust Series 2024-1 Class A2A, 5.3% 3/15/2027  | 3873 | 3876 |
| CarMax Auto Owner Trust Series 2024-2 Class A2A, 5.65% 5/17/2027  | 14849 | 14876 |
| CarMax Auto Owner Trust Series 2024-3 Class A2A, 5.21% 9/15/2027  | 34392 | 34478 |
| CarMax Auto Owner Trust Series 2024-4 Class A2A, 4.67% 12/15/2027  | 36854 | 36919 |
| CarMax Auto Owner Trust Series 2025-1 Class A2A, 4.63% 3/15/2028  | 69145 | 69266 |
| CarMax Auto Owner Trust Series 2025-2 Class A2A, 4.59% 7/17/2028  | 65000 | 65244 |
| CarMax Auto Owner Trust Series 2025-3 Class A2A, 4.42% 8/15/2028  | 130000 | 130313 |
| CarMax Select Receivables Trust Series 2024-A Class A2A, 5.78% 9/15/2027  | 1964 | 1971 |
| Carvana Auto Receivables Trust 2025-P2 Series 2025-P2 Class A2, 4.56% 8/10/2028  | 115000 | 115209 |
| Carvana Auto Receivables Trust Series 2024-P4 Class A2, 4.62% 2/10/2028  | 24393 | 24408 |
| Carvana Auto Receivables Trust Series 2025-P1 Class A2, 4.5% 6/12/2028  | 23073 | 23085 |
| Chase Auto Owner Trust Series 2024-1A Class A2, 5.48% 4/26/2027 (b) | 2438 | 2439 |
| Chase Auto Owner Trust Series 2024-3A Class A2, 5.53% 9/27/2027 (b) | 14738 | 14774 |
| Chase Auto Owner Trust Series 2024-4A Class A2, 5.25% 9/27/2027 (b) | 28181 | 28237 |
| Citizens Auto Receivables Trust Series 2024-1 Class A2A, 5.43% 10/15/2026 (b) | 893 | 892 |
| Citizens Auto Receivables Trust Series 2024-2 Class A2A, 5.54% 11/16/2026 (b) | 5952 | 5957 |
| Daimler Trucks Retail Trust Series 2024-1 Class A2, 5.6% 4/15/2026  | 3066 | 3067 |
| Dell Equip Fin Trust Series 2025-1 Class A2, 4.68% 7/22/2027 (b) | 100000 | 100381 |
| Dell Equipment Finance Trust Series 2024-2 Class A2, 4.69% 8/22/2030 (b) | 88844 | 88978 |
| Dext Abs LLC Series 2025-1 Class A2, 4.59% 8/16/2027 (b) | 100000 | 100169 |
| DLLAA LLC Series 2025-1A Class A2, 4.7% 10/20/2027 (b) | 35000 | 35091 |
| Dllad LLC Series 2025-1A Class A2, 4.46% 11/20/2028 (b) | 80000 | 80238 |
| DLLAD Series 2024-1A Class A2, 5.5% 8/20/2027 (b) | 14715 | 14790 |
| DLLMT LLC Series 2024-1A Class A3, 4.84% 8/21/2028 (b) | 150000 | 151463 |
| DLLST Series 2024-1A Class A3, 5.05% 8/20/2027 (b) | 140000 | 140560 |
| DRIVE Series 2025-1 Class A2, 4.87% 8/15/2028  | 70000 | 70155 |
| Enterprise Fleet Financing 2025-2 LLC Series 2025-2 Class A2, 4.51% 2/22/2028 (b) | 136000 | 136451 |
| Enterprise Fleet Financing LLC Series 2023-3 Class A2, 6.4% 3/20/2030 (b) | 78833 | 80008 |
| Enterprise Fleet Financing LLC Series 2024-1 Class A2, 5.23% 3/20/2030 (b) | 149602 | 150777 |
| Enterprise Fleet Financing LLC Series 2024-3 Class A2, 5.31% 4/20/2027 (b) | 33021 | 33195 |
| Enterprise Fleet Financing LLC Series 2024-4 Class A2, 4.69% 7/20/2027 (b) | 71265 | 71453 |
| Enterprise Fleet Financing LLC Series 2025-1 Class A2, 4.65% 10/20/2027 (b) | 80000 | 80275 |
| Exeter Automobile Receivables Trust Series 2025-3A Class A2, 4.83% 1/18/2028  | 105000 | 105166 |
| Exeter Automobile Receivables Trust Series 2025-4A Class A2, 4.53% 3/15/2028  | 105000 | 105039 |
| Exeter Select Automobile Receivables Trust Series 2025-2 Class A2, 4.54% 6/15/2029  | 65000 | 65178 |
| Ford Credit Auto Lease Trust Series 2025-A Class A2A, 4.57% 8/15/2027  | 77446 | 77587 |
| Ford Credit Auto Owner Trust Series 2021-1 Class A, 1.37% 10/17/2033 (b) | 140000 | 137434 |
| Ford Credit Auto Owner Trust Series 2023-A Class A3, 4.65% 2/15/2028  | 101534 | 101759 |
| Ford Credit Auto Owner Trust Series 2024-D Class A2A, 4.59% 10/15/2027  | 46318 | 46388 |
| Ford Credit Auto Owner Trust Series 2025-A Class A2A, 4.47% 12/15/2027  | 110000 | 110216 |
| Ford Credit Floorplan Master Owner Trust A Series 2024-1 Class A1, 5.29% 4/15/2029 (b) | 180000 | 183281 |
| Ford Series 2025-B Class A2A, 4.37% 3/15/2028  | 55000 | 55113 |
| FORDO Series 2024-B Class A2A, 5.4% 4/15/2027  | 21484 | 21539 |
| GM Financial Automobile Leasing Trust Series 2024-2 Class A2A, 5.43% 9/21/2026  | 18365 | 18398 |
| GM Financial Automobile Leasing Trust Series 2025-1 Class A2A, 4.54% 5/20/2027 (c) | 155748 | 156045 |
| GM Financial Automobile Leasing Trust Series 2025-1 Class A3, 4.66% 2/21/2028  | 100000 | 100761 |
| GM Financial Consumer Automobile Receivables Trust Series 2024-1 Class A2A, 5.12% 2/16/2027  | 1706 | 1707 |
| GM Financial Consumer Automobile Receivables Trust Series 2024-2 Class A2A, 5.33% 3/16/2027  | 6689 | 6696 |
| GM Financial Consumer Automobile Receivables Trust Series 2024-4 Class A2A, 4.53% 10/18/2027  | 40798 | 40835 |
| GM Financial Consumer Automobile Receivables Trust Series 2025-2 Class A2A, 4.4% 2/16/2028  | 130000 | 130145 |
| Gm Financial Leasing Trst Series 2025-3 Class A2A, 4.19% 10/20/2027  | 128000 | 128087 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class A1, 5.34% 6/15/2028 (b) | 170000 | 171447 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class A2, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.4927% 6/15/2028 (b)(c)(d) | 126000 | 126704 |
| GMF Floorplan Owner Revolving Trust Series 2024-3A Class A1, 4.68% 11/15/2028 (b) | 140000 | 140768 |
| GMF Floorplan Owner Revolving Trust Series 2025-1A Class A2, U.S. 30-Day Avg. SOFR Index + 0.6%, 4.9427% 3/15/2029 (b)(c)(d) | 100000 | 100165 |
| Gmf Leasing LLC Series 2025-2 Class A2A, 4.55% 7/20/2027  | 125000 | 125367 |
| Greensky Home Improvement Issuer Trust Series 2025-2A Class A2, 4.93% 6/25/2060 (b) | 100000 | 100276 |
| Halst Series 2025-A Class A2A, 4.6% 6/15/2027 (b) | 91599 | 91788 |
| Halst Series 2025-A Class A3, 4.83% 1/18/2028 (b) | 180000 | 181703 |
| Harot Series 2025-2 Class A2A, 4.3% 1/18/2028  | 117000 | 117146 |
| Honda Auto Receivables Owner Trust Series 2023-2 Class A3, 4.93% 11/15/2027  | 75548 | 75842 |
| Honda Auto Receivables Owner Trust Series 2025-1 Class A2, 4.53% 8/23/2027  | 160000 | 160259 |
| Honda Auto Receivables Series 2024-2 Class A2, 5.48% 11/18/2026  | 15920 | 15946 |
| Hyundai Auto Lease Securitization Trust Series 2023-C Class A3, 5.8% 12/15/2026 (b) | 66016 | 66195 |
| Hyundai Auto Lease Securitization Trust Series 2024-B Class A2A, 5.51% 10/15/2026 (b) | 31104 | 31144 |
| Hyundai Auto Lease Securitization Trust Series 2025-B Class A2A, 4.58% 9/15/2027 (b) | 110000 | 110390 |
| Hyundai Auto Receivables Trust Series 2024-A Class A2A, 5.29% 4/15/2027  | 9566 | 9581 |
| Hyundai Auto Receivables Trust Series 2024-C Class A2A, 4.53% 9/15/2027  | 45390 | 45437 |
| Hyundai Auto Receivables Trust Series 2025-B Class A2A, 4.45% 8/15/2028  | 80000 | 80239 |
| John Deere Owner Trust Series 2024-A Class A2A, 5.19% 2/16/2027  | 17335 | 17350 |
| Kubota Credit Owner Trust 2025-2 Series 2025-2A Class A2, 4.48% 4/17/2028 (b) | 100000 | 100403 |
| Kubota Credit Owner Trust Series 2025-1A Class A2, 4.61% 12/15/2027 (b) | 100000 | 100320 |
| M&T Equipment Notes Series 2025-1A Class A2, 4.7% 12/16/2027 (b) | 55000 | 55286 |
| Marlette Funding Trust 2025-1 Series 2025-1A Class A, 4.75% 7/16/2035 (b) | 90595 | 90687 |
| MBART Series 2025-1 Class A2A, 4.5% 2/15/2028  | 46195 | 46260 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A2A, 5.44% 2/16/2027  | 30377 | 30450 |
| Mercedes-Benz Auto Lease Trust Series 2024-B Class A3, 4.23% 2/15/2028  | 140000 | 140142 |
| Mercedes-Benz Auto Lease Trust Series 2025-A Class A2A, 4.57% 4/17/2028  | 90000 | 90411 |
| Mercedes-Benz Auto Receivables Series 2023-1 Class A3, 4.51% 11/15/2027  | 32612 | 32649 |
| Mercedes-Benz Auto Receivables Trust Series 2024-1 Class A2A, 5.06% 5/17/2027  | 2272 | 2272 |
| Porsche Financial Auto Securitization Trust Series 2024-1A Class A2A, 4.45% 1/24/2028 (b) | 43218 | 43239 |
| Porsche Innovative Lease Owner Trust Series 2025-1A Class A2A, 4.6% 12/20/2027 (b) | 100000 | 100259 |
| Post Road Equipment Finance LLC Series 2025-1A Class A2, 4.9% 5/15/2031 (b) | 100000 | 100679 |
| RCKT Trust Series 2025-1A Class A, 4.9% 7/25/2034 (b) | 91077 | 91158 |
| Santander Drive Auto Receivables Trust Series 2025-1 Class A3, 4.74% 1/16/2029  | 20000 | 20074 |
| Santander Drive Auto Receivables Trust Series 2025-2 Class A2, 4.71% 6/15/2028  | 94064 | 94235 |
| SBNA Auto Lease Trust Series 2024-B Class A2, 5.67% 11/20/2026 (b) | 5016 | 5020 |
| SBNA Auto Lease Trust Series 2024-C Class A2, 4.94% 11/20/2026 (b) | 8314 | 8318 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (b) | 100000 | 100211 |
| SFAST Series 2025-1A Class A2, 4.65% 5/22/2028 (b) | 62460 | 62549 |
| SFS Auto Receivables Securitization Trust Series 2023-1A Class A3, 5.47% 10/20/2028 (b) | 76736 | 77263 |
| SFS Auto Receivables Securitization Trust Series 2024-2A Class A2, 5.71% 10/20/2027 (b) | 10325 | 10341 |
| SFS Auto Receivables Securitization Trust Series 2024-3A Class A2, 4.71% 5/22/2028 (b) | 17062 | 17080 |
| SFS Auto Receivables Securitization Trust Series 2025-2A Class A2, 4.52% 11/20/2028 (b) | 95000 | 95230 |
| Sfuel Series 2025-BA Class A2, 4.31% 5/22/2028 (b) | 150000 | 150279 |
| Sofi Consumer Loan Program Series 2025-3 Class A, 4.47% 8/15/2034 (b) | 100000 | 100063 |
| Tesla Auto Lease Trust Series 2024-B Class A2A, 4.79% 1/20/2027 (b) | 20471 | 20486 |
| Tesla Electric Vehicle Trust Series 2023-1 Class A2A, 5.54% 12/21/2026 (b) | 4605 | 4610 |
| Toyota Auto Loan Extended Note Trust Series 2021-1A Class A, 1.07% 2/27/2034 (b) | 100000 | 98459 |
| Toyota Auto Receivables Owner Trust Series 2023-D Class A2A, 5.8% 11/16/2026  | 753 | 753 |
| Toyota Auto Receivables Owner Trust Series 2025-B Class A2A, 4.46% 3/15/2028  | 170000 | 170321 |
| Toyota Lease Owner Trust Series 2025-A Class A2A, 4.58% 7/20/2027 (b) | 61828 | 61994 |
| USB Auto Owner Trust 2025-1 Series 2025-1A Class A2, 4.51% 6/15/2028 (b) | 125000 | 125374 |
| Verizon Master Trust Series 2025-3 Class A1A, 4.51% 3/20/2030  | 90000 | 90576 |
| Volkswagen Auto Lease Trust Series 2023-A Class A3, 5.81% 10/20/2026  | 53885 | 54060 |
| Volkswagen Auto Loan Enhanced Trust 2023-2 Series 2023-2 Class A3, 5.48% 12/20/2028  | 120000 | 121699 |
| Volkswagen Auto Loan Enhanced Trust Series 2024-1 Class A2A, 4.65% 11/22/2027  | 108575 | 108783 |
| Wheels Fleet Lease Funding 1 LLC Series 2023-2A Class A, 6.46% 8/18/2038 (b) | 74599 | 75582 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-1A Class A1, 5.49% 2/18/2039 (b) | 74407 | 75252 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-2A Class A1, 4.87% 6/21/2039 (b) | 89614 | 90314 |
| Wheels Fleet Lease Funding 1 LLC Series 2025-1A Class A2, CME Term SOFR 1 month Index + 0%, 4.9868% 1/18/2040 (b)(c)(d) | 100000 | 100296 |
| Woart Series 2025-B Class A2A, 4.38% 8/15/2028  | 140000 | 140273 |
| Woart Series 2025-C Class A2A, 4.19% 10/16/2028  | 148000 | 148108 |
| World Omni Auto Receivables Tr Series 2024-A Class A3, 4.86% 3/15/2029  | 145000 | 145750 |
| World Omni Auto Receivables Trust 2023-C Series 2023-C Class A3, 5.15% 11/15/2028  | 114894 | 115550 |
| World Omni Auto Receivables Trust Series 2024-B Class A2A, 5.48% 9/15/2027  | 10922 | 10934 |
| World Omni Auto Receivables Trust Series 2025-A Class A2A, 4.49% 4/17/2028  | 76303 | 76378 |
| World Omni Automobile Lease Securitization Trst Series 2023-A Class A3, 5.07% 9/15/2026  | 814 | 813 |
| World Omni Select Auto Trust Series 2024-A Class A2A, 5.37% 2/15/2028  | 19300 | 19338 |
| TOTAL UNITED STATES |  | 9481940 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $9,459,668) |  | <br> **9481940** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.1%** | &nbsp;&nbsp;**Bank Notes - 0.1%** | &nbsp;&nbsp;**Bank Notes - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Capital Markets - 0.1% |  |  |
| Goldman Sachs Bank USA 5.283% 3/18/2027 (c)<br>(Cost $71,164)<br>| 71000 | **71323** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.1%  |  |  |
| Ocwen Loan Investment Trust Series 2025-HB1 Class A, 3% 6/25/2038 (b)(c)<br> (Cost $73,166) | 75215 | **73094** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 0.4%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 0.4%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 0.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.4%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 6.1066% 6/15/2040 (b)(c)(d) | 105000 | 105459 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 5.5069% 3/15/2030 (b)(c)(d) | 78693 | 78595 |
| TOTAL UNITED STATES |  | 184054 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $183,254) |  | <br> **184054** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 44.9%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 44.9%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 44.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.2%  |  |  |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| Commonwealth Bank of Australia U.S. SOFR Index + 0.46%, 4.8305% 11/27/2026 (b)(c)(d) | 105000 | 105211 |
| CANADA - 3.6%  |  |  |
| Energy - 0.2% |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |
| Enbridge Inc 5.9% 11/15/2026  | 91000 | 92592 |
| Financials - 3.3% |  |  |
| Banks - 3.3% |  |  |
| Bank of Montreal 0.949% 1/22/2027 (c) | 140000 | 138053 |
| Bank of Montreal 4.567% 9/10/2027 (c) | 151000 | 151368 |
| Bank of Nova Scotia/The 2.7% 8/3/2026  | 120000 | 118443 |
| Bank of Nova Scotia/The 2.951% 3/11/2027  | 100000 | 98418 |
| Bank of Nova Scotia/The 5.35% 12/7/2026  | 146000 | 148048 |
| Canadian Imperial Bank of Commerce 4.508% 9/11/2027 (c) | 150000 | 150323 |
| Canadian Imperial Bank of Commerce 5.615% 7/17/2026  | 146000 | 147763 |
| Royal Bank of Canada 4.51% 10/18/2027 (c) | 140000 | 140320 |
| Royal Bank of Canada 5.069% 7/23/2027 (c) | 100000 | 100662 |
| Royal Bank of Canada U.S. SOFR Averages Index + 0.72%, 5.0703% 10/18/2027 (c)(d) | 100000 | 100228 |
| Toronto Dominion Bank 1.25% 9/10/2026  | 140000 | 136020 |
| Toronto Dominion Bank 5.532% 7/17/2026  | 130000 | 131431 |
| Toronto Dominion Bank U.S. SOFR Index + 0.62%, 4.9768% 12/17/2026 (c)(d) | 145000 | 145460 |
|  |  | 1706537 |
| Utilities - 0.1% |  |  |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |
| Emera US Finance LP 3.55% 6/15/2026  | 80000 | 79330 |
| TOTAL CANADA |  | 1878459 |
| CHILE - 0.3%  |  |  |
| Utilities - 0.3% |  |  |
| Electric Utilities - 0.3% |  |  |
| Enel Americas SA 4% 10/25/2026  | 144000 | 143118 |
| FRANCE - 0.4%  |  |  |
| Financials - 0.4% |  |  |
| Banks - 0.4% |  |  |
| BNP Paribas SA 2.591% 1/20/2028 (b)(c) | 200000 | 195165 |
| GERMANY - 0.3%  |  |  |
| Consumer Discretionary - 0.3% |  |  |
| Automobiles - 0.3% |  |  |
| Mercedes-Benz Finance North America LLC 5.2% 8/3/2026 (b) | 150000 | 151291 |
| IRELAND - 1.5%  |  |  |
| Financials - 1.0% |  |  |
| Banks - 0.4% |  |  |
| Bank of Ireland Group PLC 2.029% 9/30/2027 (b)(c) | 200000 | 194757 |
| Consumer Finance - 0.6% |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 1.75% 1/30/2026  | 171000 | 169042 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.45% 4/3/2026  | 150000 | 149870 |
|  |  | 318912 |
| TOTAL FINANCIALS |  | 513669 |
| Industrials - 0.5% |  |  |
| Transportation Infrastructure - 0.5% |  |  |
| Avolon Holdings Funding Ltd 4.25% 4/15/2026 (b) | 115000 | 114705 |
| Avolon Holdings Funding Ltd 4.375% 5/1/2026 (b) | 140000 | 139762 |
|  |  | 254467 |
| TOTAL IRELAND |  | 768136 |
| ITALY - 0.4%  |  |  |
| Utilities - 0.4% |  |  |
| Electric Utilities - 0.4% |  |  |
| Enel Finance International NV 7.05% 10/14/2025 (b)(e) | 200000 | 200512 |
| JAPAN - 0.8%  |  |  |
| Communication Services - 0.4% |  |  |
| Diversified Telecommunication Services - 0.4% |  |  |
| NTT Finance Corp 4.567% 7/16/2027 (b) | 200000 | 201269 |
| Financials - 0.4% |  |  |
| Banks - 0.4% |  |  |
| Mizuho Financial Group Inc 1.554% 7/9/2027 (c) | 200000 | 195387 |
| TOTAL JAPAN |  | 396656 |
| NETHERLANDS - 1.4%  |  |  |
| Financials - 0.9% |  |  |
| Banks - 0.9% |  |  |
| Cooperatieve Rabobank UA/NY 4.333% 8/28/2026  | 250000 | 250658 |
| ING Groep NV 1.726% 4/1/2027 (c) | 200000 | 197023 |
|  |  | 447681 |
| Information Technology - 0.5% |  |  |
| Semiconductors & Semiconductor Equipment - 0.5% |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 3.875% 6/18/2026  | 160000 | 159309 |
| NXP BV / NXP Funding LLC 5.35% 3/1/2026  | 131000 | 131263 |
|  |  | 290572 |
| TOTAL NETHERLANDS |  | 738253 |
| NORWAY - 0.4%  |  |  |
| Financials - 0.4% |  |  |
| Banks - 0.4% |  |  |
| DNB Bank ASA 1.127% 9/16/2026 (b)(c) | 200000 | 199726 |
| SWEDEN - 0.4%  |  |  |
| Financials - 0.4% |  |  |
| Banks - 0.4% |  |  |
| Swedbank AB 6.136% 9/12/2026 (b) | 200000 | 203725 |
| UNITED KINGDOM - 2.7%  |  |  |
| Financials - 2.7% |  |  |
| Banks - 2.7% |  |  |
| Barclays PLC 5.829% 5/9/2027 (c) | 200000 | 201813 |
| Barclays PLC 7.325% 11/2/2026 (c) | 200000 | 200862 |
| HSBC Holdings PLC 5.887% 8/14/2027 (c) | 200000 | 202693 |
| HSBC Holdings PLC 7.336% 11/3/2026 (c) | 200000 | 200907 |
| Lloyds Banking Group PLC 5.985% 8/7/2027 (c) | 200000 | 202791 |
| NatWest Group PLC 5.847% 3/2/2027 (c) | 200000 | 201420 |
| NatWest Group PLC 7.472% 11/10/2026 (c) | 200000 | 201068 |
| TOTAL UNITED KINGDOM |  | 1411554 |
| UNITED STATES - 32.5%  |  |  |
| Communication Services - 1.2% |  |  |
| Diversified Telecommunication Services - 0.4% |  |  |
| AT&T Inc 1.7% 3/25/2026  | 150000 | 147808 |
| AT&T Inc 3.875% 1/15/2026  | 108000 | 107709 |
|  |  | 255517 |
| Wireless Telecommunication Services - 0.8% |  |  |
| T-Mobile USA Inc 1.5% 2/15/2026  | 146000 | 144060 |
| T-Mobile USA Inc 2.25% 2/15/2026  | 120000 | 118667 |
| T-Mobile USA Inc 2.625% 4/15/2026  | 130000 | 128522 |
|  |  | 391249 |
| TOTAL COMMUNICATION SERVICES |  | 646766 |
| Consumer Discretionary - 2.2% |  |  |
| Automobiles - 1.2% |  |  |
| American Honda Finance Corp 4.95% 1/9/2026  | 28000 | 28054 |
| General Motors Financial Co Inc 5.25% 3/1/2026  | 150000 | 150254 |
| General Motors Financial Co Inc 6.05% 10/10/2025  | 70000 | 70093 |
| Hyundai Capital America 1.8% 10/15/2025 (b) | 50000 | 49814 |
| Hyundai Capital America 5.65% 6/26/2026 (b) | 80000 | 80799 |
| Hyundai Capital America 6.25% 11/3/2025 (b) | 90000 | 90255 |
| Hyundai Capital America U.S. SOFR Index + 1.12%, 5.4785% 6/23/2027 (b)(c)(d) | 130000 | 130680 |
|  |  | 599949 |
| Leisure Products - 0.4% |  |  |
| Mattel Inc 3.375% 4/1/2026 (b) | 70000 | 69374 |
| Mattel Inc 5.875% 12/15/2027 (b) | 130000 | 130346 |
|  |  | 199720 |
| Specialty Retail - 0.6% |  |  |
| AutoZone Inc 3.125% 4/21/2026  | 145000 | 143857 |
| Home Depot Inc/The U.S. SOFR Index + 0.33%, 4.6863% 12/24/2025 (c)(d) | 58000 | 58035 |
| Ross Stores Inc 0.875% 4/15/2026  | 120000 | 117396 |
|  |  | 319288 |
| TOTAL CONSUMER DISCRETIONARY |  | 1118957 |
| Consumer Staples - 2.1% |  |  |
| Beverages - 0.6% |  |  |
| Keurig Dr Pepper Inc U.S. SOFR Index + 0.58%, 4.9328% 11/15/2026 (c)(d) | 156000 | 156020 |
| Molson Coors Beverage Co 3% 7/15/2026  | 160000 | 158150 |
|  |  | 314170 |
| Consumer Staples Distribution & Retail - 0.8% |  |  |
| 7-Eleven Inc 0.95% 2/10/2026 (b) | 70000 | 68886 |
| Mars Inc 4.45% 3/1/2027 (b) | 49000 | 49295 |
| Mondelez International Holdings Netherlands BV 1.25% 9/24/2026 (b) | 200000 | 193860 |
| Walmart Inc U.S. SOFR Averages Index + 0.43%, 4.7867% 4/28/2027 (c)(d) | 127000 | 127366 |
|  |  | 439407 |
| Food Products - 0.7% |  |  |
| Bunge Ltd Finance Corp 3.25% 8/15/2026  | 108000 | 107031 |
| Conagra Brands Inc 4.6% 11/1/2025  | 100000 | 99951 |
| Kraft Heinz Foods Co 3% 6/1/2026  | 139000 | 137462 |
|  |  | 344444 |
| TOTAL CONSUMER STAPLES |  | 1098021 |
| Energy - 1.3% |  |  |
| Oil, Gas & Consumable Fuels - 1.3% |  |  |
| EQT Corp 3.125% 5/15/2026 (b) | 83000 | 82029 |
| MPLX LP 1.75% 3/1/2026  | 50000 | 49327 |
| Spectra Energy Partners LP 3.375% 10/15/2026  | 145000 | 143439 |
| Transcontinental Gas Pipe Line Co LLC 7.85% 2/1/2026  | 141000 | 141883 |
| Western Gas Partners LP 4.65% 7/1/2026  | 148000 | 147852 |
| Williams Cos Inc/The 5.4% 3/2/2026  | 100000 | 100467 |
|  |  | 664997 |
| Financials - 17.8% |  |  |
| Banks - 8.9% |  |  |
| Bank of America Corp 1.197% 10/24/2026 (c) | 74000 | 73654 |
| Bank of America Corp 1.658% 3/11/2027 (c) | 140000 | 138012 |
| Bank of America Corp 1.734% 7/22/2027 (c) | 160000 | 156351 |
| Bank of America Corp 3.559% 4/23/2027 (c) | 130000 | 129353 |
| Bank of America Corp 3.824% 1/20/2028 (c) | 130000 | 129249 |
| Bank of America Corp 5.08% 1/20/2027 (c) | 125000 | 125295 |
| Bank of America Corp 5.933% 9/15/2027 (c) | 93000 | 94501 |
| Citibank NA U.S. SOFR Index + 0.781%, 5.1371% 5/29/2027 (c)(d) | 250000 | 251871 |
| Citigroup Inc 1.122% 1/28/2027 (c) | 130000 | 128253 |
| Citigroup Inc 1.462% 6/9/2027 (c) | 140000 | 136907 |
| Citigroup Inc 3.2% 10/21/2026  | 115000 | 113704 |
| Citigroup Inc 3.887% 1/10/2028 (c) | 100000 | 99395 |
| Citigroup Inc 5.61% 9/29/2026 (c) | 80000 | 80057 |
| Citizens Financial Group Inc 2.85% 7/27/2026  | 110000 | 108511 |
| JPMorgan Chase & Co 1.045% 11/19/2026 (c) | 140000 | 138974 |
| JPMorgan Chase & Co 1.578% 4/22/2027 (c) | 120000 | 117941 |
| JPMorgan Chase & Co 2.947% 2/24/2028 (c) | 130000 | 127628 |
| JPMorgan Chase & Co 3.782% 2/1/2028 (c) | 175000 | 173970 |
| JPMorgan Chase & Co 3.96% 1/29/2027 (c) | 138000 | 137792 |
| JPMorgan Chase & Co 6.07% 10/22/2027 (c) | 142000 | 144790 |
| Morgan Stanley Private Bank NA U.S. SOFR Index + 0.77%, 5.1231% 7/6/2028 (c)(d) | 250000 | 250686 |
| PNC Financial Services Group Inc/The 4.758% 1/26/2027 (c) | 132000 | 132115 |
| PNC Financial Services Group Inc/The 5.102% 7/23/2027 (c) | 200000 | 201145 |
| PNC Financial Services Group Inc/The 6.615% 10/20/2027 (c) | 120000 | 123003 |
| Truist Financial Corp 1.267% 3/2/2027 (c) | 94000 | 92579 |
| Truist Financial Corp 5.9% 10/28/2026 (c) | 116000 | 116221 |
| Truist Financial Corp 6.047% 6/8/2027 (c) | 130000 | 131494 |
| US Bancorp 5.727% 10/21/2026 (c) | 147000 | 147223 |
| US Bancorp 6.787% 10/26/2027 (c) | 163000 | 167523 |
| Wells Fargo & Co 3% 10/23/2026  | 148000 | 146061 |
| Wells Fargo & Co 3% 4/22/2026  | 89000 | 88304 |
| Wells Fargo & Co 3.196% 6/17/2027 (c) | 130000 | 128874 |
| Wells Fargo & Co 4.9% 1/24/2028 (c) | 130000 | 131130 |
| Wells Fargo & Co 5.707% 4/22/2028 (c) | 120000 | 122733 |
|  |  | 4585299 |
| Capital Markets - 5.5% |  |  |
| Athene Global Funding 2.95% 11/12/2026 (b) | 140000 | 137648 |
| Athene Global Funding 4.95% 1/7/2027 (b) | 108000 | 108919 |
| Athene Global Funding 5.339% 1/15/2027 (b) | 130000 | 131700 |
| Athene Global Funding 5.62% 5/8/2026 (b) | 100000 | 100794 |
| Bank of New York Mellon Corp/The U.S. SOFR Averages Index + 0.68%, 5.0342% 6/9/2028 (c)(d) | 180000 | 180514 |
| Bank of New York Mellon U.S. SOFR Averages Index + 0.71%, 5.06% 4/20/2027 (c)(d) | 250000 | 250559 |
| Goldman Sachs Group Inc/The 1.093% 12/9/2026 (c) | 134000 | 132782 |
| Goldman Sachs Group Inc/The 1.431% 3/9/2027 (c) | 170000 | 167355 |
| Goldman Sachs Group Inc/The 1.948% 10/21/2027 (c) | 110000 | 107108 |
| Goldman Sachs Group Inc/The 3.5% 11/16/2026  | 140000 | 138843 |
| Goldman Sachs Group Inc/The 4.387% 6/15/2027 (c) | 150000 | 149978 |
| Goldman Sachs Group Inc/The U.S. SOFR Index + 1.29%, 5.6421% 4/23/2028 (c)(d) | 140000 | 141335 |
| LPL Holdings Inc 4.625% 11/15/2027 (b) | 140000 | 139966 |
| Morgan Stanley 0.985% 12/10/2026 (c) | 172000 | 170320 |
| Morgan Stanley 1.512% 7/20/2027 (c) | 170000 | 165795 |
| Morgan Stanley 1.593% 5/4/2027 (c) | 80000 | 78510 |
| Morgan Stanley 5.05% 1/28/2027 (c) | 110000 | 110284 |
| Morgan Stanley 6.138% 10/16/2026 (c) | 130000 | 130236 |
| Morgan Stanley U.S. SOFR Index + 1.02%, 5.3726% 4/13/2028 (c)(d) | 100000 | 100568 |
| State Street Corp 5.751% 11/4/2026 (c) | 120000 | 120267 |
| State Street Corp U.S. SOFR Index + 0.95%, 5.3036% 4/24/2028 (c)(d) | 62000 | 62405 |
|  |  | 2825886 |
| Consumer Finance - 1.2% |  |  |
| American Express Co 5.389% 7/28/2027 (c) | 140000 | 141343 |
| American Express Co 5.645% 4/23/2027 (c) | 100000 | 100809 |
| American Express Co 6.338% 10/30/2026 (c) | 155000 | 155450 |
| Toyota Motor Credit Corp U.S. SOFR Averages Index + 0.45%, 4.8001% 4/10/2026 (c)(d) | 90000 | 90131 |
| Toyota Motor Credit Corp U.S. SOFR Index + 0.71%, 5.0637% 5/14/2027 (c)(d) | 150000 | 150585 |
|  |  | 638318 |
| Financial Services - 0.8% |  |  |
| Aviation Capital Group LLC 1.95% 9/20/2026 (b) | 108000 | 105212 |
| Corebridge Global Funding 0.9% 9/22/2025 (b) | 100000 | 99799 |
| Corebridge Global Funding 5.75% 7/2/2026 (b) | 80000 | 80992 |
| Western Union Co/The 1.35% 3/15/2026  | 114000 | 112075 |
|  |  | 398078 |
| Insurance - 1.4% |  |  |
| Brown & Brown Inc 4.6% 12/23/2026  | 49000 | 49230 |
| Equitable Financial Life Global Funding 1% 1/9/2026 (b) | 120000 | 118565 |
| Equitable Financial Life Global Funding 1.3% 7/12/2026 (b) | 140000 | 136601 |
| Equitable Financial Life Global Funding 5.5% 12/2/2025 (b) | 101000 | 101245 |
| Jackson National Life Global Funding 3.05% 4/29/2026 (b) | 90000 | 89227 |
| Jackson National Life Global Funding 4.9% 1/13/2027 (b) | 150000 | 151079 |
| Reinsurance Group of America Inc 3.95% 9/15/2026  | 100000 | 99677 |
|  |  | 745624 |
| TOTAL FINANCIALS |  | 9193205 |
| Health Care - 1.3% |  |  |
| Health Care Providers & Services - 1.3% |  |  |
| Cigna Group/The 1.25% 3/15/2026  | 120000 | 118015 |
| CVS Health Corp 2.875% 6/1/2026  | 163000 | 161073 |
| CVS Health Corp 3% 8/15/2026  | 91000 | 89837 |
| CVS Health Corp 5% 2/20/2026  | 100000 | 100233 |
| HCA Inc 5.25% 6/15/2026  | 60000 | 60105 |
| HCA Inc 5.375% 9/1/2026  | 70000 | 70257 |
| HCA Inc 5.875% 2/15/2026  | 100000 | 100082 |
|  |  | 699602 |
| Industrials - 0.8% |  |  |
| Aerospace & Defense - 0.2% |  |  |
| L3Harris Technologies Inc 3.85% 12/15/2026  | 100000 | 99498 |
| Ground Transportation - 0.3% |  |  |
| CSX Corp 2.6% 11/1/2026  | 140000 | 137694 |
| Machinery - 0.3% |  |  |
| Caterpillar Financial Services Corp U.S. SOFR Index + 0.69%, 5.0413% 10/16/2026 (c)(d) | 150000 | 150645 |
| Trading Companies & Distributors - 0.0% |  |  |
| Air Lease Corp 2.875% 1/15/2026  | 50000 | 49663 |
| TOTAL INDUSTRIALS |  | 437500 |
| Information Technology - 1.9% |  |  |
| Electronic Equipment, Instruments & Components - 0.5% |  |  |
| Dell International LLC / EMC Corp 4.9% 10/1/2026  | 100000 | 100415 |
| Dell International LLC / EMC Corp 6.02% 6/15/2026  | 158000 | 159382 |
|  |  | 259797 |
| Semiconductors & Semiconductor Equipment - 0.2% |  |  |
| Marvell Technology Inc 1.65% 4/15/2026  | 130000 | 127735 |
| Software - 1.1% |  |  |
| Oracle Corp 1.65% 3/25/2026  | 141000 | 138885 |
| Oracle Corp 2.65% 7/15/2026  | 105000 | 103536 |
| Roper Technologies Inc 3.8% 12/15/2026  | 145000 | 144102 |
| VMware LLC 1.4% 8/15/2026  | 150000 | 145845 |
|  |  | 532368 |
| Technology Hardware, Storage & Peripherals - 0.1% |  |  |
| Hewlett Packard Enterprise Co 4.45% 9/25/2026  | 45000 | 45063 |
| TOTAL INFORMATION TECHNOLOGY |  | 964963 |
| Materials - 0.2% |  |  |
| Chemicals - 0.2% |  |  |
| Celanese US Holdings LLC 1.4% 8/5/2026  | 90000 | 86556 |
| International Flavors & Fragrances Inc 1.23% 10/1/2025 (b) | 37000 | 36890 |
|  |  | 123446 |
| Real Estate - 1.4% |  |  |
| Diversified REITs - 0.2% |  |  |
| Vici Properties LP / Vici Note Co Inc 4.25% 12/1/2026 (b) | 150000 | 149332 |
| Office REITs - 0.4% |  |  |
| COPT Defense Properties LP 2.25% 3/15/2026  | 190000 | 187315 |
| Specialized REITs - 0.8% |  |  |
| American Tower Corp 1.3% 9/15/2025  | 70000 | 69907 |
| American Tower Corp 1.6% 4/15/2026  | 120000 | 117898 |
| American Tower Corp 3.375% 10/15/2026  | 140000 | 138639 |
| Crown Castle Inc 1.05% 7/15/2026  | 90000 | 87456 |
|  |  | 413900 |
| TOTAL REAL ESTATE |  | 750547 |
| Utilities - 2.3% |  |  |
| Electric Utilities - 1.3% |  |  |
| DTE Electric Co 4.25% 5/14/2027  | 25000 | 25100 |
| Duke Energy Corp 2.65% 9/1/2026  | 91000 | 89626 |
| Eversource Energy 4.75% 5/15/2026  | 130000 | 130300 |
| Jersey Central Power & Light Co 4.3% 1/15/2026 (b) | 92000 | 91870 |
| NextEra Energy Capital Holdings Inc 4.685% 9/1/2027  | 67000 | 67633 |
| Oncor Electric Delivery Co LLC 4.5% 3/20/2027 (b) | 64000 | 64440 |
| Pacific Gas and Electric Co U.S. SOFR Averages Index + 0.95%, 5.3042% 9/4/2025 (c)(d) | 120000 | 120004 |
| Vistra Operations Co LLC 5.05% 12/30/2026 (b) | 24000 | 24177 |
|  |  | 613150 |
| Multi-Utilities - 1.0% |  |  |
| Dominion Energy Inc 1.45% 4/15/2026  | 120000 | 117885 |
| Dominion Energy Inc 2.85% 8/15/2026  | 100000 | 98672 |
| DTE Energy Co 2.85% 10/1/2026  | 140000 | 137974 |
| WEC Energy Group Inc 4.75% 1/9/2026  | 100000 | 100063 |
| WEC Energy Group Inc 5.6% 9/12/2026  | 80000 | 80992 |
|  |  | 535586 |
| TOTAL UTILITIES |  | 1148736 |
| TOTAL UNITED STATES |  | 16846740 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $23,144,839) |  | <br> **23238546** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 31.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 31.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 31.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 31.1%** |
|  | Yield (%) (f) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 10/2/2025  | 4.25 | 3550000 | 3537515 |
| US Treasury Bills 0% 11/28/2025  | 4.11 to 4.32 | 2157700 | 2136592 |
| US Treasury Bills 0% 11/6/2025  | 4.16 to 4.21 | 2750000 | 2729696 |
| US Treasury Bills 0% 9/4/2025  | 4.16 to 4.29 | 3251400 | 3250635 |
| US Treasury Notes 3.5% 9/30/2026  | 3.96 to 4.36 | 2237200 | 2228898 |
| US Treasury Notes 4.125% 1/31/2027  | 3.89 to 4.08 | 2250000 | 2261162 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $16,127,160) |  |  | **16144498** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 5.1%** | &nbsp;&nbsp;**Money Market Funds - 5.1%** | &nbsp;&nbsp;**Money Market Funds - 5.1%** | &nbsp;&nbsp;**Money Market Funds - 5.1%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (g)<br>(Cost $2,669,493)<br>| 4.36 | 2668960 | **2669493** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.0%**<br> (Cost $51,728,744)<br>| <br>**51862948** |
| **NET OTHER ASSETS (LIABILITIES) - 0.0%**  | **11144** |
| **NET ASSETS - 100.0%** | **51874092** |

---

**Legend**

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $9,712,816 or 18.7% of net assets.

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

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

(e) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(f) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 793162 | 29042626 | 27166295 | 53240 | - | - | 2669493 | 2668960 | 0.0% |
| Total | 793162 | 29042626 | 27166295 | 53240 | - | - | 2669493 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

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

**Investment Valuation**

The following is a summary of the inputs used, as of August 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 9481940 | - | 9481940 | - |
|  **Bank Notes** |  |  |  |  |
| Financials | 71323 | - | 71323 | - |
|  **Collateralized Mortgage Obligations** | 73094 | - | 73094 | - |
|  **Commercial Mortgage Securities** | 184054 | - | 184054 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 848035 | - | 848035 | - |
| Consumer Discretionary | 1270248 | - | 1270248 | - |
| Consumer Staples | 1098021 | - | 1098021 | - |
| Energy | 757589 | - | 757589 | - |
| Financials | 14171860 | - | 14171860 | - |
| Health Care | 699602 | - | 699602 | - |
| Industrials | 691967 | - | 691967 | - |
| Information Technology | 1255535 | - | 1255535 | - |
| Materials | 123446 | - | 123446 | - |
| Real Estate | 750547 | - | 750547 | - |
| Utilities | 1571696 | - | 1571696 | - |
|  **U.S. Treasury Obligations** | 16144498 | - | 16144498 | - |
|  **Money Market Funds** | 2669493 | 2669493 | - | - |
| **Total Investments in Securities:** | 51862948 | 2669493 | 49193455 | - |

---

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of August 31, 2025** | **As of August 31, 2025** | **As of August 31, 2025** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $49,059,251) | $49193455 |  |
| Fidelity Central Funds (cost $2,669,493) | 2669493 |  |
| Total Investment in Securities (cost $51,728,744) |  | $51862948 |
| Receivable for fund shares sold |  | 14511 |
| Interest receivable |  | 291523 |
| Distributions receivable from Fidelity Central Funds |  | 4702 |
| Prepaid expenses |  | 59 |
| Receivable from investment adviser for expense reductions |  | 5152 |
| **Total assets** |  | 52178895 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $228247 |  |
| Payable for fund shares redeemed | 17806 |  |
| Distributions payable | 2063 |  |
| Accrued management fee | 8397 |  |
| Audit fee payable | 45181 |  |
| Other payables and accrued expenses | 3109 |  |
| **Total liabilities** |  | 304803 |
| **Net Assets**  |  | $51874092 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $50760083 |
| Total accumulated earnings (loss) |  | 1114009 |
| **Net Assets** |  | $51874092 |
| **Net Asset Value**, offering price and redemption price per share ($51,874,092 ÷ 4,930,901 shares) |  | $10.52 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** |
| **Investment Income** |  |  |
| Interest  |  | $1862338 |
| Income from Fidelity Central Funds  |  | 53240 |
| **Total income** |  | 1915578 |
| **Expenses** |  |  |
| Management fee | $81168 |  |
| Custodian fees and expenses | 1513 |  |
| Independent trustees' fees and expenses | 96 |  |
| Registration fees | 31699 |  |
| Audit fees | 58327 |  |
| Legal | 28 |  |
| Miscellaneous | 164 |  |
| Total expenses before reductions | 172995 |  |
| Expense reductions | (93056) |  |
| Total expenses after reductions |  | 79939 |
| **Net Investment income (loss)** |  | 1835639 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 55096 |  |
| Total net realized gain (loss) |  | 55096 |
| Change in net unrealized appreciation (depreciation) on investment securities  |  | 37104 |
| **Net gain (loss)** |  | 92200 |
| **Net increase (decrease) in net assets resulting from operations** |  | $1927839 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **August 31, 2025** | **Year ended**<br> **August 31, 2024** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $1835639 | $903730 |
| &nbsp;&nbsp;Net realized gain (loss) | 55096<br>| 3759<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 37104 | 108638<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 1927839<br>| 1016127<br>|
| Distributions to shareholders | (1422101)<br>| (503304)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 46081810 | 26415330 |
| Reinvestment of distributions | 1388732<br>| 479979<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (26443368) | (4891261) |
| **Net increase (decrease) in net assets resulting from share transactions** | 21027174<br>| 22004048<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 21532912<br>| 22516871<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 30341180 | 7824309<br>|
| &nbsp;&nbsp;End of period | $51874092 | $30341180 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 4413373 | 2572450 |
| Issued in reinvestment of distributions | 133121<br>| 46682<br>|
| &nbsp;&nbsp;Redeemed | (2531426) | (475635) |
| &nbsp;&nbsp;Net increase (decrease) | 2015068 | 2143497 |

---

**Financial Highlights** 

**Fidelity® SAI Sustainable Low Duration Bond Fund** <br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $10.41 | $10.13 | $9.96 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .471  | .519  | .413  | .059  |
| Net realized and unrealized gain (loss)  | .017  | .069  | .001  | (.050)  |
| Total from investment operations  | .488  | .588  | .414  | .009  |
| Distributions from net investment income  | (.372)  | (.305)  | (.244)  | (.049)  |
| Distributions from net realized gain  | (.006)  | (.003)  | -  | -  |
| Total distributions  | (.378)  | (.308)  | (.244)  | (.049)  |
| Net asset value, end of period  | $10.52 | $10.41 | $10.13 | $9.96 |
| **Total Return** D,E | 4.78% <br>| 5.89%  | 4.21%  | .09%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |
| Expenses before reductions  | .43%  | .68%  | 1.74%  | 1.88% H,I |
| Expenses net of fee waivers, if any  | .20% <br>| .20%  | .23%  | .25% I |
| Expenses net of all reductions, if any  | .20%  | .19%  | .22%  | .25% I |
| Net investment income (loss)  | 4.52%  | 5.10%  | 4.13%  | 1.54% I |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $51874 | $30341 | $7824 | $5035 |
| Portfolio turnover rate J | 57% <br>| 32%  | 36%  | 6% K |

---

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

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

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

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Audit fees are not annualized.*

I*Annualized.*

J*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

K*Amount not annualized.*

**Notes to Financial Statements**

For the period ended August 31, 2025

**1. Organization.**

Fidelity SAI Sustainable Low Duration Bond Fund (the Fund) (formerly Fidelity SAI Sustainable Low Duration Income Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

**2. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**3. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

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

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, bank notes and U.S. government and government agency obligations, are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations and commercial mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2025 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2025, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

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

Book-tax differences are primarily due to market discount.

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

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $399311 |
| **Gross unrealized depreciation**  | <u>(1156)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$398155</u> |
| **Tax Cost**  | <u>$51464793</u> |

---

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

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$687494</u> |
| **Undistributed long-term capital gain**  | <u>$28361</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$398155</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **August 31, 2025** | **August 31, 2024** |
| **Ordinary Income**  | $1415718 | $500919 |
| **Long-term Capital Gains**  | <u>6383</u> | <u>2385</u> |
| **Total**  | <u>$1422101</u> | <u>$503304</u> |

---

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**New Accounting Pronouncements.** FASB Accounting Standards Update (ASU) 2023-07 Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures became effective in this reporting period. ASU 2023-07 enhances segment information disclosure in the notes to financial statements.

In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity SAI Sustainable Low Duration Bond Fund** | 28312717 | 14265560 |

---

**5. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .20% of the Fund's average net assets.

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**6. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2026 unless extended or renewed.

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Fidelity SAI Sustainable Low Duration Bond Fund** | 52 |

---

**7. Expense Reductions.** 

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .20% of average net assets. This reimbursement will remain in place through December 31, 2026. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $91,662.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $1,394.

**8. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

**9. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Salem Street Trust and the Shareholders of Fidelity SAI Sustainable Low Duration Bond Fund (formerly Fidelity SAI Sustainable Low Duration Income Fund):

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statement of assets and liabilities of Fidelity SAI Sustainable Low Duration Bond Fund (formerly Fidelity SAI Sustainable Low Duration Income Fund) (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of August 31, 2025, the related statement of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the three years in the period then ended and for the period from April 13, 2022 (commencement of operations) through August 31, 2022, and the related notes (collectively referred to as the "financial statements and financial highlights"). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of August 31, 2025, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the three years in the period then ended and for the period from April 13, 2022 (commencement of operations) through August 31, 2022, in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

October 15, 2025

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

**Distributions** **(Unaudited)**

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

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2025, $32,222, or, if subsequently determined to be different, the net capital gain of such year.

A total of 29.88% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $1,403,936 of distributions paid during the fiscal year ended 2025 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2026 of amounts for use in preparing 2025 income tax returns.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img113741_4.jpg)<br>

1.9904914.103 SLO-ANN-1025

**Fidelity® Series Sustainable Investment Grade Bond Fund**

**Annual Report**

**August 31, 2025**

![](img113743_1.jpg)

![](img113743_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_SGB-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Series Sustainable Investment Grade Bond Fund](#Sub_Sec_Fund_7314_SGB-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements7314_SGB-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_SGB-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_SGB-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_SGB-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_SGB-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_SGB-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_SGB-ANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

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

**Fidelity® Series Sustainable Investment Grade Bond Fund**

**Schedule of Investments August 31, 2025**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 6.4%** | &nbsp;&nbsp;**Asset-Backed Securities - 6.4%** | &nbsp;&nbsp;**Asset-Backed Securities - 6.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| GRAND CAYMAN (UK OVERSEAS TER) - 6.4%  |  |  |
| Allegro Clo Xii Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.44%, 5.7655% 7/21/2037 (b)(c)(d) | 250000 | 250717 |
| Magnetite Xxvi Ltd / Magnetite Xxvi LLC Series 2025-26A Class AR2, CME Term SOFR 3 month Index + 1.15%, 5.4685% 1/25/2038 (b)(c)(d) | 250000 | 250107 |
| RR 28 LTD / RR 28 LLC Series 2024-28RA Class A1R, CME Term SOFR 3 month Index + 1.55%, 5.8676% 4/15/2037 (b)(c)(d) | 250000 | 250673 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  | 751497 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $749,508) |  | <br> **751497** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 0.2%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 0.2%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 0.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.2%  |  |  |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 5.5069% 3/15/2030 (b)(c)(d)<br> (Cost $18,883) | 18926 | **18903** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.4%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.4%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| MEXICO - 0.4%  |  |  |
| United Mexican States 3.5% 2/12/2034 <br> (Cost $49,796) | 60000 | **51195** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 19.6%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 19.6%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 19.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.5%  |  |  |
| Communication Services - 0.4% |  |  |
| Diversified Telecommunication Services - 0.4% |  |  |
| TELUS Corp 3.4% 5/13/2032  | 45000 | 41248 |
| Consumer Staples - 0.1% |  |  |
| Consumer Staples Distribution & Retail - 0.1% |  |  |
| Alimentation Couche-Tard Inc 3.625% 5/13/2051 (c) | 29000 | 20194 |
| TOTAL CANADA |  | 61442 |
| NETHERLANDS - 0.3%  |  |  |
| Information Technology - 0.3% |  |  |
| Semiconductors & Semiconductor Equipment - 0.3% |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 2.5% 5/11/2031  | 36000 | 32268 |
| UNITED KINGDOM - 0.2%  |  |  |
| Health Care - 0.2% |  |  |
| Pharmaceuticals - 0.2% |  |  |
| Astrazeneca Finance LLC 1.75% 5/28/2028  | 27000 | 25538 |
| UNITED STATES - 18.6%  |  |  |
| Communication Services - 1.7% |  |  |
| Diversified Telecommunication Services - 0.8% |  |  |
| AT&T Inc 2.25% 2/1/2032  | 20000 | 17321 |
| Verizon Communications Inc 5.05% 5/9/2033  | 74000 | 75350 |
|  |  | 92671 |
| Entertainment - 0.2% |  |  |
| Walt Disney Co/The 2.65% 1/13/2031  | 27000 | 25102 |
| Media - 0.5% |  |  |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.05% 3/30/2029  | 10000 | 10156 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.1% 6/1/2029  | 5000 | 5256 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.55% 6/1/2034  | 3000 | 3182 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.7% 12/1/2055 (e) | 40000 | 39518 |
|  |  | 58112 |
| Wireless Telecommunication Services - 0.2% |  |  |
| T-Mobile USA Inc 2.875% 2/15/2031  | 22000 | 20197 |
| TOTAL COMMUNICATION SERVICES |  | 196082 |
| Consumer Discretionary - 1.2% |  |  |
| Automobiles - 0.2% |  |  |
| General Motors Co 5.4% 10/15/2029  | 18000 | 18567 |
| Specialty Retail - 0.8% |  |  |
| Home Depot Inc/The 3.25% 4/15/2032  | 25000 | 23281 |
| Lowe's Cos Inc 3.75% 4/1/2032  | 35000 | 33235 |
| Lowe's Cos Inc 4.25% 4/1/2052  | 25000 | 19369 |
| TJX Cos Inc/The 3.875% 4/15/2030  | 23000 | 22833 |
|  |  | 98718 |
| Textiles, Apparel & Luxury Goods - 0.2% |  |  |
| Tapestry Inc 3.05% 3/15/2032  | 27000 | 24179 |
| TOTAL CONSUMER DISCRETIONARY |  | 141464 |
| Consumer Staples - 0.4% |  |  |
| Food Products - 0.4% |  |  |
| General Mills Inc 2.25% 10/14/2031  | 55000 | 48345 |
| Financials - 7.0% |  |  |
| Banks - 4.2% |  |  |
| Bank of America Corp 4.623% 5/9/2029 (d) | 38000 | 38429 |
| Bank of America Corp 5.015% 7/22/2033 (d) | 55000 | 55871 |
| Bank of America Corp 5.162% 1/24/2031 (d) | 20000 | 20641 |
| Citigroup Inc 2.666% 1/29/2031 (d) | 49000 | 45449 |
| Citigroup Inc 4.91% 5/24/2033 (d) | 15000 | 15067 |
| Citizens Financial Group Inc 5.718% 7/23/2032 (d) | 11000 | 11489 |
| Fifth Third Bancorp 4.895% 9/6/2030 (d) | 10000 | 10172 |
| JPMorgan Chase & Co 2.963% 1/25/2033 (d) | 30000 | 27214 |
| JPMorgan Chase & Co 4.912% 7/25/2033 (d) | 65000 | 65903 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (d) | 6000 | 6190 |
| JPMorgan Chase & Co 5.14% 1/24/2031 (d) | 20000 | 20611 |
| JPMorgan Chase & Co 5.572% 4/22/2036 (d) | 8000 | 8317 |
| PNC Financial Services Group Inc/The 4.812% 10/21/2032 (d) | 50000 | 50558 |
| Santander Holdings USA Inc 5.807% 9/9/2026 (d) | 7000 | 7001 |
| Santander Holdings USA Inc 6.499% 3/9/2029 (d) | 5000 | 5234 |
| Wells Fargo & Co 5.15% 4/23/2031 (d) | 9000 | 9269 |
| Wells Fargo & Co 5.244% 1/24/2031 (d) | 12000 | 12396 |
| Wells Fargo & Co 5.499% 1/23/2035 (d) | 59000 | 60884 |
| Wells Fargo & Co 5.605% 4/23/2036 (d) | 8000 | 8306 |
|  |  | 479001 |
| Capital Markets - 1.5% |  |  |
| Goldman Sachs Group Inc/The 3.102% 2/24/2033 (d) | 21000 | 19096 |
| Goldman Sachs Group Inc/The 3.615% 3/15/2028 (d) | 25000 | 24743 |
| Morgan Stanley 2.943% 1/21/2033 (d) | 30000 | 27024 |
| Morgan Stanley 4.889% 7/20/2033 (d) | 46000 | 46375 |
| Morgan Stanley 5.192% 4/17/2031 (d) | 6000 | 6185 |
| Morgan Stanley 5.23% 1/15/2031 (d) | 17000 | 17547 |
| Morgan Stanley 5.664% 4/17/2036 (d) | 5000 | 5204 |
| MSCI Inc 5.25% 9/1/2035  | 7000 | 6944 |
| State Street Corp 3.031% 11/1/2034 (d) | 25000 | 23456 |
|  |  | 176574 |
| Consumer Finance - 0.1% |  |  |
| American Express Co 5.085% 1/30/2031 (d) | 16000 | 16491 |
| Insurance - 1.2% |  |  |
| Equitable Financial Life Global Funding 1.3% 7/12/2026 (c) | 53000 | 51713 |
| Marsh & McLennan Cos Inc 2.375% 12/15/2031  | 57000 | 50498 |
| Reinsurance Group of America Inc 5.75% 9/15/2034  | 20000 | 20620 |
| Unum Group 4% 6/15/2029  | 20000 | 19703 |
|  |  | 142534 |
| TOTAL FINANCIALS |  | 814600 |
| Health Care - 1.3% |  |  |
| Biotechnology - 0.4% |  |  |
| Amgen Inc 3% 2/22/2029  | 50000 | 48118 |
| Health Care Providers & Services - 0.6% |  |  |
| Centene Corp 4.625% 12/15/2029  | 31000 | 29857 |
| CVS Health Corp 5% 9/15/2032  | 3000 | 3013 |
| Humana Inc 3.7% 3/23/2029  | 37000 | 36264 |
|  |  | 69134 |
| Pharmaceuticals - 0.3% |  |  |
| Bristol-Myers Squibb Co 2.95% 3/15/2032  | 13000 | 11860 |
| Zoetis Inc 2% 5/15/2030  | 27000 | 24469 |
|  |  | 36329 |
| TOTAL HEALTH CARE |  | 153581 |
| Industrials - 1.0% |  |  |
| Building Products - 0.2% |  |  |
| Carrier Global Corp 2.493% 2/15/2027  | 25000 | 24460 |
| Carrier Global Corp 5.9% 3/15/2034  | 2000 | 2132 |
|  |  | 26592 |
| Industrial Conglomerates - 0.5% |  |  |
| Honeywell International Inc 1.75% 9/1/2031  | 27000 | 23253 |
| Trane Technologies Financing Ltd 3.8% 3/21/2029  | 35000 | 34665 |
|  |  | 57918 |
| Machinery - 0.2% |  |  |
| Otis Worldwide Corp 2.565% 2/15/2030  | 27000 | 25168 |
| Professional Services - 0.1% |  |  |
| Verisk Analytics Inc 4.5% 8/15/2030  | 3000 | 3012 |
| Verisk Analytics Inc 5.125% 2/15/2036  | 6000 | 5961 |
|  |  | 8973 |
| TOTAL INDUSTRIALS |  | 118651 |
| Information Technology - 0.5% |  |  |
| Electronic Equipment, Instruments & Components - 0.2% |  |  |
| Dell International LLC / EMC Corp 6.2% 7/15/2030  | 21000 | 22577 |
| Semiconductors & Semiconductor Equipment - 0.3% |  |  |
| Micron Technology Inc 2.703% 4/15/2032  | 36000 | 31689 |
| TOTAL INFORMATION TECHNOLOGY |  | 54266 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| International Flavors & Fragrances Inc 2.3% 11/1/2030 (c) | 14000 | 12521 |
| Real Estate - 1.9% |  |  |
| Diversified REITs - 0.3% |  |  |
| WP Carey Inc 2.45% 2/1/2032  | 42000 | 36397 |
| Health Care REITs - 0.3% |  |  |
| Alexandria Real Estate Equities Inc 2% 5/18/2032  | 42000 | 35172 |
| Industrial REITs - 0.3% |  |  |
| Prologis LP 2.875% 11/15/2029  | 38000 | 36089 |
| Office REITs - 0.6% |  |  |
| Boston Properties LP 2.45% 10/1/2033  | 47000 | 38136 |
| COPT Defense Properties LP 2% 1/15/2029  | 29000 | 26779 |
|  |  | 64915 |
| Real Estate Management & Development - 0.2% |  |  |
| CBRE Services Inc 2.5% 4/1/2031  | 27000 | 24267 |
| Retail REITs - 0.2% |  |  |
| Brixmor Operating Partnership LP 5.75% 2/15/2035  | 20000 | 20707 |
| Regency Centers LP 5.1% 1/15/2035  | 4000 | 4013 |
|  |  | 24720 |
| TOTAL REAL ESTATE |  | 221560 |
| Utilities - 3.6% |  |  |
| Electric Utilities - 1.5% |  |  |
| Consolidated Edison Co of New York Inc 3.35% 4/1/2030  | 47000 | 45556 |
| Duke Energy Carolinas LLC 3.95% 11/15/2028  | 33000 | 32980 |
| Northern States Power Co/MN 2.25% 4/1/2031  | 40000 | 36350 |
| Oncor Electric Delivery Co LLC 4.15% 6/1/2032  | 25000 | 24211 |
| Wisconsin Electric Power Co 4.75% 9/30/2032  | 31000 | 31614 |
|  |  | 170711 |
| Independent Power and Renewable Electricity Producers - 0.8% |  |  |
| AES Corp/The 1.375% 1/15/2026  | 27000 | 26655 |
| AES Corp/The 2.45% 1/15/2031  | 78000 | 69886 |
|  |  | 96541 |
| Multi-Utilities - 1.3% |  |  |
| Dominion Energy Inc 2.25% 8/15/2031  | 61000 | 53751 |
| NiSource Inc 1.7% 2/15/2031  | 63000 | 54558 |
| Puget Energy Inc 4.224% 3/15/2032  | 44000 | 41728 |
|  |  | 150037 |
| TOTAL UTILITIES |  | 417289 |
| TOTAL UNITED STATES |  | 2178359 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $2,252,495) |  | <br> **2297607** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 20.5%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 20.5%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 20.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 20.5%  |  |  |
| Fannie Mae 2.5% 6/1/2052  | 51285 | 43471 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 22522 | 18901 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 74049 | 64290 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2054  | 38475 | 38014 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  | 45505 | 45939 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2054  | 39007 | 39973 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 23461 | 24027 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 47259 | 48400 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 15122 | 15704 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 101602 | 81518 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 52999 | 44328 |
| Freddie Mac Gold Pool 2.5% 9/1/2051  | 29338 | 24621 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 20970 | 18370 |
| Freddie Mac Gold Pool 4.5% 1/1/2053  | 45642 | 44085 |
| Freddie Mac Non Gold Pool 5.5% 3/1/2054  | 21296 | 21499 |
| Ginnie Mae I Pool 4% 10/20/2052  | 86530 | 81406 |
| Ginnie Mae I Pool 5% 10/20/2054  | 24232 | 23989 |
| Ginnie Mae II Pool 2% 1/20/2051  | 47321 | 38762 |
| Ginnie Mae II Pool 2% 2/20/2052  | 68232 | 55880 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 49995 | 42600 |
| Ginnie Mae II Pool 2.5% 5/20/2052  | 67781 | 57765 |
| Ginnie Mae II Pool 3% 4/20/2052  | 49558 | 43921 |
| Ginnie Mae II Pool 3% 8/20/2051  | 24561 | 21785 |
| Ginnie Mae II Pool 5% 6/20/2055  | 49789 | 49271 |
| Ginnie Mae II Pool 5.5% 5/20/2055  | 49845 | 50238 |
| Ginnie Mae II Pool 6% 10/1/2055 (e) | 50000 | 50951 |
| Ginnie Mae II Pool 6% 9/1/2055 (e) | 125000 | 127495 |
| Uniform Mortgage Backed Securities 2% 10/1/2055 (e) | 250000 | 198535 |
| Uniform Mortgage Backed Securities 2% 9/1/2055 (e) | 400000 | 317594 |
| Uniform Mortgage Backed Securities 2.5% 10/1/2055 (e) | 50000 | 41516 |
| Uniform Mortgage Backed Securities 2.5% 9/1/2055 (e) | 75000 | 62265 |
| Uniform Mortgage Backed Securities 3.5% 9/1/2055 (e) | 100000 | 90355 |
| Uniform Mortgage Backed Securities 4% 9/1/2055 (e) | 75000 | 69999 |
| Uniform Mortgage Backed Securities 5.5% 9/1/2040 (e) | 100000 | 102211 |
| Uniform Mortgage Backed Securities 5.5% 9/1/2055 (e) | 50000 | 50293 |
| Uniform Mortgage Backed Securities 6% 10/1/2055 (e) | 50000 | 51043 |
| Uniform Mortgage Backed Securities 6% 9/1/2055 (e) | 175000 | 178801 |
| Uniform Mortgage Backed Securities 6.5% 9/1/2055 (e) | 25000 | 25905 |
| TOTAL UNITED STATES |  | 2405720 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $2,383,420) |  | <br> **2405720** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 52.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 52.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 52.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 52.7%** |
|  | Yield (%) (f) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 3.625% 2/15/2053  | 3.74 | 335000 | 268144 |
| US Treasury Bonds 3.875% 2/15/2043  | 3.81 | 180000 | 159940 |
| US Treasury Bonds 4% 11/15/2052  | 4.95 to 5.00 | 42000 | 36045 |
| US Treasury Bonds 4.25% 2/15/2054  | 4.24 to 4.78 | 310600 | 277890 |
| US Treasury Bonds 4.25% 8/15/2054  | 3.96 to 4.66 | 36000 | 32208 |
| US Treasury Bonds 4.5% 11/15/2054  | 4.55 to 4.83 | 115000 | 107350 |
| US Treasury Bonds 4.625% 2/15/2055  | 4.54 to 4.81 | 89000 | 84828 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.49 to 4.65 | 95000 | 90506 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.83 to 4.92 | 205000 | 199427 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.88 to 4.91 | 154000 | 149861 |
| US Treasury Notes 3.5% 4/30/2028  | 3.35 | 460000 | 458910 |
| US Treasury Notes 3.5% 4/30/2030  | 3.36 | 70000 | 69461 |
| US Treasury Notes 3.625% 5/15/2026  | 4.03 | 45000 | 44903 |
| US Treasury Notes 3.625% 9/30/2031  | 3.63 to 3.87 | 219000 | 216536 |
| US Treasury Notes 3.75% 12/31/2028  | 3.84 | 200000 | 200898 |
| US Treasury Notes 3.75% 5/31/2030  | 3.98 | 210000 | 210558 |
| US Treasury Notes 3.875% 8/15/2034  | 3.64 to 4.27 | 268000 | 262766 |
| US Treasury Notes 4% 3/31/2030  | 3.94 | 100000 | 101371 |
| US Treasury Notes 4% 4/30/2032  | 4.00 | 51000 | 51295 |
| US Treasury Notes 4% 5/31/2030  | 3.97 | 250000 | 253467 |
| US Treasury Notes 4% 6/30/2028  | 4.25 | 60000 | 60670 |
| US Treasury Notes 4% 6/30/2032  | 3.99 | 76000 | 76392 |
| US Treasury Notes 4% 7/31/2030  | 4.07 to 4.16 | 105000 | 106382 |
| US Treasury Notes 4% 7/31/2032  | 3.94 to 4.14 | 310000 | 311405 |
| US Treasury Notes 4.125% 10/31/2031  | 4.37 | 77000 | 78176 |
| US Treasury Notes 4.125% 11/30/2029  | 4.08 | 12000 | 12219 |
| US Treasury Notes 4.125% 2/29/2032  | 4.19 | 40000 | 40555 |
| US Treasury Notes 4.125% 3/31/2032  | 4.13 | 320000 | 324313 |
| US Treasury Notes 4.125% 5/31/2032  | 4.05 to 4.27 | 201000 | 203534 |
| US Treasury Notes 4.125% 7/31/2028  | 4.18 to 4.27 | 175000 | 177570 |
| US Treasury Notes 4.125% 7/31/2031  | 3.78 | 137000 | 139246 |
| US Treasury Notes 4.125% 8/31/2030  | 4.61 | 58000 | 59090 |
| US Treasury Notes 4.25% 1/31/2030  | 4.34 to 4.47 | 140000 | 143298 |
| US Treasury Notes 4.25% 11/15/2034  | 4.22 to 4.49 | 174000 | 175142 |
| US Treasury Notes 4.25% 2/28/2031  | 4.27 | 35000 | 35843 |
| US Treasury Notes 4.25% 5/15/2035  | 4.23 to 4.45 | 318000 | 318994 |
| US Treasury Notes 4.25% 8/15/2035  | 4.26 | 42000 | 42085 |
| US Treasury Notes 4.375% 1/31/2032  | 4.46 | 50000 | 51398 |
| US Treasury Notes 4.375% 11/30/2030  | 4.27 to 4.35 | 93000 | 95808 |
| US Treasury Notes 4.5% 11/15/2033  | 3.86 to 4.35 | 155000 | 159832 |
| US Treasury Notes 4.625% 2/15/2035  | 4.17 to 4.34 | 186000 | 192365 |
| US Treasury Notes 4.625% 5/31/2031  | 4.33 | 67000 | 69840 |
| US Treasury Notes 4.875% 10/31/2030  | 4.91 | 20000 | 21068 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $6,247,465) |  |  | **6171589** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 11.4%** | &nbsp;&nbsp;**Money Market Funds - 11.4%** | &nbsp;&nbsp;**Money Market Funds - 11.4%** | &nbsp;&nbsp;**Money Market Funds - 11.4%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (g)<br>(Cost $1,329,922)<br>| 4.36 | 1329656 | **1329922** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 111.2%**<br> (Cost $13,031,489)<br>| <br>**13026433** |
| **NET OTHER ASSETS (LIABILITIES) - (11.2)%**  | **(1317926)** |
| **NET ASSETS - 100.0%** | **11708507** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 6% 9/1/2055 | (75000) | (76496) |
| Uniform Mortgage Backed Securities 2% 9/1/2055 | (300000) | (238196) |
| Uniform Mortgage Backed Securities 2.5% 9/1/2055 | (50000) | (41510) |
| Uniform Mortgage Backed Securities 6% 9/1/2055 | (100000) | (102172) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (458374) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $455,733) |  | <br> **(458374)** |

---

**Legend**

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

(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) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $854,828 or 7.3% of net assets.

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

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

(f) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 1161291 | 2348830 | 2180199 | 51801 | - | - | 1329922 | 1329656 | 0.0% |
| Total | 1161291 | 2348830 | 2180199 | 51801 | - | - | 1329922 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

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

**Investment Valuation**

The following is a summary of the inputs used, as of August 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 751497 | - | 751497 | - |
|  **Commercial Mortgage Securities** | 18903 | - | 18903 | - |
|  **Foreign Government and Government Agency Obligations** | 51195 | - | 51195 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 237330 | - | 237330 | - |
| Consumer Discretionary | 141464 | - | 141464 | - |
| Consumer Staples | 68539 | - | 68539 | - |
| Financials | 814600 | - | 814600 | - |
| Health Care | 179119 | - | 179119 | - |
| Industrials | 118651 | - | 118651 | - |
| Information Technology | 86534 | - | 86534 | - |
| Materials | 12521 | - | 12521 | - |
| Real Estate | 221560 | - | 221560 | - |
| Utilities | 417289 | - | 417289 | - |
|  **U.S. Government Agency - Mortgage Securities** | 2405720 | - | 2405720 | - |
|  **U.S. Treasury Obligations** | 6171589 | - | 6171589 | - |
|  **Money Market Funds** | 1329922 | 1329922 | - | - |
| **Total Investments in Securities:** | 13026433 | 1329922 | 11696511 | - |
|  **<u>Other Financial Instruments:</u>** |  |  |  |  |
|  **TBA Sale Commitments** | (458374) | - | (458374) | - |
| **Total Other Financial Instruments:** | (458374) | - | (458374) | - |

---

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of August 31, 2025** | **As of August 31, 2025** | **As of August 31, 2025** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $11,701,567) | $11696511 |  |
| Fidelity Central Funds (cost $1,329,922) | 1329922 |  |
| Total Investment in Securities (cost $13,031,489) |  | $13026433 |
| Cash |  | 11851 |
| Receivable for TBA sale commitments |  | 455733 |
| Receivable for fund shares sold |  | 82719 |
| Interest receivable |  | 82886 |
| Distributions receivable from Fidelity Central Funds |  | 4389 |
| Receivable from investment adviser for expense reductions |  | 170 |
| **Total assets** |  | 13664181 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $86740 |  |
| Delayed delivery | 1399011 |  |
| TBA sale commitments, at value | 458374 |  |
| Payable for fund shares redeemed | 10776 |  |
| Distributions payable | 8 |  |
| Other payables and accrued expenses | 765 |  |
| **Total liabilities** |  | 1955674 |
| **Net Assets**  |  | $11708507 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $11802346 |
| Total accumulated earnings (loss) |  | (93839) |
| **Net Assets** |  | $11708507 |
| **Net Asset Value**, offering price and redemption price per share ($11,708,507 ÷ 1,200,383 shares) |  | $9.75 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** |
| **Investment Income** |  |  |
| Interest  |  | $370248 |
| Income from Fidelity Central Funds  |  | 51801 |
| **Total income** |  | 422049 |
| **Expenses** |  |  |
| Custodian fees and expenses | $1828 |  |
| Independent trustees' fees and expenses | 22 |  |
| Total expenses before reductions | 1850 |  |
| Expense reductions | (2222) |  |
| Total expenses after reductions |  | (372) |
| **Net Investment income (loss)** |  | 422421 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (8564) |  |
| Total net realized gain (loss) |  | (8564) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (66035) |  |
| TBA sale commitments | (432) |  |
| Total change in net unrealized appreciation (depreciation) |  | (66467) |
| **Net gain (loss)** |  | (75031) |
| **Net increase (decrease) in net assets resulting from operations** |  | $347390 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **August 31, 2025** | **Year ended**<br> **August 31, 2024** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $422421 | $320911 |
| &nbsp;&nbsp;Net realized gain (loss) | (8564)<br>| (39349)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | (66467) | 212011<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 347390<br>| 493573<br>|
| Distributions to shareholders | (421193)<br>| (321111)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 4946224 | 3363595 |
| Reinvestment of distributions | 421182<br>| 321109<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (1831976) | (1158092) |
| **Net increase (decrease) in net assets resulting from share transactions** | 3535430<br>| 2526612<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 3461627<br>| 2699074<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 8246880 | 5547806<br>|
| &nbsp;&nbsp;End of period | $11708507 | $8246880 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 511635 | 346654 |
| Issued in reinvestment of distributions | 43376<br>| 33391<br>|
| &nbsp;&nbsp;Redeemed | (189434) | (120565) |
| &nbsp;&nbsp;Net increase (decrease) | 365577 | 259480 |

---

**Financial Highlights** 

**Fidelity® Series Sustainable Investment Grade Bond Fund** <br>

---

| | | | |
|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023** A  |
| **Selected Per-Share Data**  |  |  |  |
| Net asset value, beginning of period  | $9.88 | $9.64 | $10.00 |
| Income from Investment Operations  |  |  |  |
| Net investment income (loss) B,C | .440  | .451  | .138  |
| Net realized and unrealized gain (loss)  | (.130)  | .241  | (.360)  |
| Total from investment operations  | .310  | .692  | (.222)  |
| Distributions from net investment income  | (.440)  | (.452)  | (.138)  |
| Total distributions  | (.440)  | (.452)  | (.138)  |
| Net asset value, end of period  | $9.75 | $9.88 | $9.64 |
| **Total Return** D,E | 3.25% <br>| 7.42%  | (2.22)%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |
| Expenses before reductions  | .02%  | .02%  | .03% H,I |
| Expenses net of fee waivers, if any J | -% <br>| -%  | -% I |
| Expenses net of all reductions, if any J | -%  | -%  | -% I |
| Net investment income (loss)  | 4.55%  | 4.70%  | 4.61% I |
| **Supplemental Data** |  |  |  |
| Net assets, end of period (000 omitted) | $11709 | $8247 | $5548 |
| Portfolio turnover rate K | 235% <br>| 405%  | 128% L |

---

A*For the period May 11, 2023 (commencement of operations) through August 31, 2023.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

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

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Proxy expenses are not annualized.*

I*Annualized.*

J*Amount represents less than .005%.*

K*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

L*Amount not annualized.*

**Notes to Financial Statements**

For the period ended August 31, 2025

**1. Organization.**

Fidelity Series Sustainable Investment Grade Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered only to certain other Fidelity funds, Fidelity managed 529 plans, and Fidelity managed collective investment trusts. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

**2. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**3. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

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

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, foreign government and government agency obligations and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, commercial mortgage securities, and U.S. government agency mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2025 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2025, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

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

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

Book-tax differences are primarily due to capital loss carryforwards and losses deferred due to wash sales.

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

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $125785 |
| **Gross unrealized depreciation**  | <u>(133695)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$(7910)</u> |
| **Tax Cost**  | <u>$13031702</u> |

---

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

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$1181</u> |
| **Capital loss carryforward**  | <u>$(87110)</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$(7910)</u> |

---

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | $(69120) |
| Long-term | <u>(17990)</u> |
| **Total capital loss carryforward** | <u>$(87110)</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **August 31, 2025** | **August 31, 2024** |
| **Ordinary Income**  | $421193 | $321111 |

---

**Delayed Delivery Transactions and When-Issued Securities.** During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

**To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls.** TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The value of these commitments and proceeds to be received at contractual settlement date are reflected in the Statement of Assets and Liabilities as "TBA sale commitments, at value" and "Receivable for TBA sale commitments," respectively. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, a fund realizes a gain or loss. If a fund delivers securities under the commitment, a fund realizes a gain or loss from the sale of the securities based upon the price established at the date the commitment was entered into.

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**New Accounting Pronouncements.** FASB Accounting Standards Update (ASU) 2023-07 Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures became effective in this reporting period. ASU 2023-07 enhances segment information disclosure in the notes to financial statements.

In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, and U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Series Sustainable Investment Grade Bond Fund** | 16125001 | 15521975 |

---

**5. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund does not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Fund, except custody fees, fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**6. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are borne by the investment adviser.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2026 unless extended or renewed.

**7. Expense Reductions.** 

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .003% of average net assets. This reimbursement will remain in place through December 31, 2028. Some expenses, for example the compensation of the independent Trustees, and certain other expenses such as interest expense, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $1,550.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $672.

**8. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

At the end of the period, mutual funds and accounts managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.

**9. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Salem Street Trust and the Shareholders of Fidelity Series Sustainable Investment Grade Bond Fund:

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statement of assets and liabilities of Fidelity Series Sustainable Investment Grade Bond Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of August 31, 2025, the related statement of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the two years in the period then ended and for the period from May 11, 2023 (commencement of operations) through August 31, 2023, and the related notes (collectively referred to as the "financial statements and financial highlights"). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of August 31, 2025, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the two years in the period then ended and for the period from May 11, 2023 (commencement of operations) through August 31, 2023, in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

October 15, 2025

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

**Distributions** **(Unaudited)**

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

A total of 47.74% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $421,193 of distributions paid during the fiscal year ended 2025 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2026 of amounts for use in preparing 2025 income tax returns.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img113743_4.jpg)<br>

1.9908952.102 SGB-ANN-1025

**Fidelity® SAI Investment Grade Securitized Fund**

**Annual Report**

**August 31, 2025**

Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.

![](img113744_1.jpg)

![](img113744_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_IVG-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® SAI Investment Grade Securitized Fund](#Sub_Sec_Fund_7329_IVG-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements7329_IVG-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_IVG-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_IVG-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_IVG-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_IVG-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_IVG-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_IVG-ANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

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

**Fidelity® SAI Investment Grade Securitized Fund**

**Schedule of Investments August 31, 2025**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 2.9%** | &nbsp;&nbsp;**Asset-Backed Securities - 2.9%** | &nbsp;&nbsp;**Asset-Backed Securities - 2.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.1%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (b) | 128626 | 130335 |
| Chesapeake Funding II LLC Series 2024-1A Class A1, 5.52% 5/15/2036 (b) | 522749 | 529205 |
| TOTAL CANADA |  | 659540 |
| UNITED STATES - 2.8%  |  |  |
| Achv Abs Trust Series 2024-3AL Class A, 5.01% 12/26/2031 (b) | 97205 | 97935 |
| Affirm Asset Securitization Trust Series 2024-A Class 1A, 5.61% 2/15/2029 (b) | 1100000 | 1105614 |
| Affirm Master Trust Series 2025-2A Class A, 4.67% 7/15/2033 (b) | 1800000 | 1809740 |
| Ally Auto Receivables Trust Series 2024-1 Class A3, 5.08% 12/15/2028  | 736347 | 740757 |
| ARI Fleet Lease Trust Series 2024-B Class A2, 5.54% 4/15/2033 (b) | 219298 | 220932 |
| Autonation Finance Trust Series 2025-1A Class A2, 4.72% 4/10/2028 (b) | 535000 | 536370 |
| BHG Series 2025-2CON Class A, 4.84% 9/17/2036 (b) | 900000 | 907204 |
| BofA Auto Trust Series 2024-1A Class A3, 5.35% 11/15/2028 (b) | 277000 | 279510 |
| CarMax Auto Owner Trust Series 2023-4 Class A3, 6% 7/17/2028  | 363639 | 368380 |
| CarMax Auto Owner Trust Series 2024-2 Class A3, 5.5% 1/16/2029  | 532000 | 539408 |
| CFMT LLC Series 2023-HB12 Class A, 4.25% 4/25/2033 (b) | 7086 | 7077 |
| Chase Auto Owner Trust Series 2024-1A Class A3, 5.13% 5/25/2029 (b) | 713000 | 719511 |
| Dell Equip Fin Trust Series 2025-1 Class A2, 4.68% 7/22/2027 (b) | 420000 | 421601 |
| DLLAA Series 2023-1A Class A2, 5.93% 7/20/2026 (b) | 45 | 45 |
| DLLAA Series 2023-1A Class A3, 5.64% 2/22/2028 (b) | 171000 | 172982 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (b) | 1074024 | 1077994 |
| DLLAD Series 2024-1A Class A3, 5.3% 7/20/2029 (b) | 230000 | 235463 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (b) | 410071 | 412106 |
| Enterprise Fleet Financing Series 2024-2 Class A3, 5.61% 4/20/2028 (b) | 483000 | 492023 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A2, 4.83% 10/16/2028  | 123426 | 123791 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A3, 4.69% 4/15/2030  | 115000 | 115962 |
| Ford Credit Auto Owner Trust Series 2020-2 Class A, 1.06% 4/15/2033 (b) | 4600000 | 4581188 |
| Fordr Series 2025-2 Class B, 4.67% 2/15/2038 (b)(c) | 3300000 | 3309868 |
| GM Financial Leasing Trust Series 2023-3 Class A3, 5.38% 11/20/2026  | 55571 | 55641 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class A1, 5.34% 6/15/2028 (b) | 1296000 | 1307033 |
| GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/2034 (b)(c) | 10481 | 8303 |
| HPEFS Equipment Trust Series 2024-2A Class A3, 5.36% 10/20/2031 (b) | 1200000 | 1208627 |
| Marlette Funding Trust Series 2024-1A Class A, 5.95% 7/17/2034 (b) | 13052 | 13059 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A3, 5.32% 1/18/2028  | 818000 | 827628 |
| Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/2036 (b) | 702190 | 706978 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (b) | 611258 | 615957 |
| OBX Trust Series 2024-HYB1 Class A1, 3.6302% 3/25/2053 (b)(d) | 5247894 | 5155937 |
| OWN Equipment Fund I LLC Series 2024-2M Class A, 5.7% 12/20/2032 (b) | 703560 | 715388 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (b) | 621000 | 622306 |
| Sclp 2025-2 Series 2025-2 Class A, 4.82% 6/25/2034 (b) | 2160929 | 2166220 |
| SFS Auto Receivables Securitization Trust Series 2024-2A Class A3, 5.33% 11/20/2029 (b) | 415000 | 419570 |
| Sofi Consumer Loan Program Series 2025-3 Class A, 4.47% 8/15/2034 (b) | 915000 | 915578 |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/2051 (b) | 966622 | 901659 |
| Westf 2025-A Series 2025-A Class A, 5.582% 6/15/2050 (b) | 725993 | 736993 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-2A Class A1, 4.87% 6/21/2039 (b) | 971412 | 979000 |
| Willis Engine Structured Tr VII Series 2023-A Class A, 8% 10/15/2048 (b) | 297585 | 308656 |
| World Omni Auto Receivables Trust 2023-B Series 2023-B Class A3, 4.66% 5/15/2028  | 182153 | 182502 |
| World Omni Auto Receivables Trust 2023-C Series 2023-C Class A3, 5.15% 11/15/2028  | 175624 | 176626 |
| TOTAL UNITED STATES |  | 36299122 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $36,220,553) |  | <br> **36958662** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 11.6%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 11.6%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 11.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 11.6%  |  |  |
| Ajax Mortgage Loan Trust Series 2021-C Class A, 5.115% 1/25/2061 (b) | 141700 | 141820 |
| Ajax Mortgage Loan Trust Series 2021-E Class A1, 1.74% 12/25/2060 (b) | 1527605 | 1350761 |
| CFMT LLC Series 2022-HB10 Class A, 3.25% 11/25/2035 (b) | 469812 | 468159 |
| CSMC Trust Series 2014-3R Class 2A1, CME Term SOFR 1 month Index + 0.8145%, 0% 5/27/2037 (b)(d)(f)(h) | 70297 | 6 |
| CSMC Trust Series 2015-1R Class 6A1, CME Term SOFR 1 month Index + 0.3945%, 4.3477% 5/27/2037 (b)(d)(f) | 51427 | 51104 |
| Fannie Mae Guaranteed REMIC Series 1999-17 Class PG, 6% 4/25/2029  | 12925 | 13125 |
| Fannie Mae Guaranteed REMIC Series 1999-32 Class PL, 6% 7/25/2029  | 19832 | 20210 |
| Fannie Mae Guaranteed REMIC Series 1999-33 Class PK, 6% 7/25/2029  | 14082 | 14336 |
| Fannie Mae Guaranteed REMIC Series 2001-20 Class Z, 6% 5/25/2031  | 18935 | 19290 |
| Fannie Mae Guaranteed REMIC Series 2001-31 Class ZC, 6.5% 7/25/2031  | 6349 | 6443 |
| Fannie Mae Guaranteed REMIC Series 2001-52 Class YZ, 6.5% 10/25/2031  | 3006 | 3119 |
| Fannie Mae Guaranteed REMIC Series 2002-16 Class ZD, 6.5% 4/25/2032  | 5292 | 5491 |
| Fannie Mae Guaranteed REMIC Series 2002-74 Class SV, 7.4355% - U.S. 30-Day Avg. SOFR Index 3.0871% 11/25/2032 (d)(e) | 1087 | 29 |
| Fannie Mae Guaranteed REMIC Series 2003-118 Class S, 7.9855% - U.S. 30-Day Avg. SOFR Index 3.6371% 12/25/2033 (d)(e) | 21062 | 2672 |
| Fannie Mae Guaranteed REMIC Series 2003-21 Class SK, 7.9855% - U.S. 30-Day Avg. SOFR Index 3.6371% 3/25/2033 (d)(e) | 4252 | 472 |
| Fannie Mae Guaranteed REMIC Series 2005-39 Class TE, 5% 5/25/2035  | 48019 | 48898 |
| Fannie Mae Guaranteed REMIC Series 2005-47 Class SW, 6.6055% - U.S. 30-Day Avg. SOFR Index 2.2571% 6/25/2035 (d)(e) | 36086 | 2575 |
| Fannie Mae Guaranteed REMIC Series 2005-73 Class SA, U.S. 30-Day Avg. SOFR Index x 17.2524%, 5.9465% 8/25/2035 (d)(f) | 1044 | 1103 |
| Fannie Mae Guaranteed REMIC Series 2005-79 Class ZC, 5.9% 9/25/2035  | 46838 | 47495 |
| Fannie Mae Guaranteed REMIC Series 2006-116 Class SG, 6.5255% - U.S. 30-Day Avg. SOFR Index 2.1771% 12/25/2036 (d)(e) | 12327 | 1242 |
| Fannie Mae Guaranteed REMIC Series 2007-40 Class SE, 6.3255% - U.S. 30-Day Avg. SOFR Index 1.9771% 5/25/2037 (d)(e) | 7313 | 691 |
| Fannie Mae Guaranteed REMIC Series 2007-57 Class SA, U.S. 30-Day Avg. SOFR Index x 39.9331%, 13.8428% 6/25/2037 (d)(f) | 23428 | 32045 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SB, U.S. 30-Day Avg. SOFR Index x 38.9131%, 12.8228% 7/25/2037 (d)(f) | 3322 | 3816 |
| Fannie Mae Guaranteed REMIC Series 2010-135 Class ZA, 4.5% 12/25/2040  | 23630 | 22748 |
| Fannie Mae Guaranteed REMIC Series 2010-150 Class ZC, 4.75% 1/25/2041  | 209685 | 207667 |
| Fannie Mae Guaranteed REMIC Series 2011-4 Class PZ, 5% 2/25/2041  | 85883 | 85544 |
| Fannie Mae Guaranteed REMIC Series 2011-67 Class AI, 4% 7/25/2026 (e) | 47 | 0 |
| Fannie Mae Guaranteed REMIC Series 2012-100 Class WI, 3% 9/25/2027 (e) | 31127 | 617 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class DA, 1.75% 1/25/2043  | 18823 | 17589 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class GA, 1.75% 6/25/2042  | 24604 | 23021 |
| Fannie Mae Guaranteed REMIC Series 2012-67 Class AI, 4.5% 7/25/2027 (e) | 177 | 1 |
| Fannie Mae Guaranteed REMIC Series 2013-133 Class IB, 3% 4/25/2032 (e) | 443 | 1 |
| Fannie Mae Guaranteed REMIC Series 2013-134 Class SA, 5.9355% - U.S. 30-Day Avg. SOFR Index 1.5871% 1/25/2044 (d)(e) | 26147 | 3035 |
| Fannie Mae Guaranteed REMIC Series 2013-88 Class ZE, 3% 7/25/2043  | 7253684 | 6618922 |
| Fannie Mae Guaranteed REMIC Series 2015-42 Class IL, 6% 6/25/2045 (e) | 138511 | 19866 |
| Fannie Mae Guaranteed REMIC Series 2015-70 Class JC, 3% 10/25/2045  | 186629 | 178454 |
| Fannie Mae Guaranteed REMIC Series 2017-30 Class AI, 5.5% 5/25/2047 (e) | 85469 | 12142 |
| Fannie Mae Guaranteed REMIC Series 2020-3 Class DZ, 3.5% 2/25/2040  | 5549846 | 5230655 |
| Fannie Mae Guaranteed REMIC Series 2020-96 Class A, 1.5% 1/25/2051  | 12321950 | 9648103 |
| Fannie Mae Guaranteed REMIC Series 2021-65 Class GA, 2% 7/25/2049  | 10660979 | 8692568 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 189908 | 159008 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 201818 | 168980 |
| Fannie Mae Guaranteed REMIC Series 2021-68 Class KJ, 2.25% 10/25/2051  | 4319548 | 3843648 |
| Fannie Mae Guaranteed REMIC Series 2021-69 Class JK, 1.5% 10/25/2051  | 376696 | 324563 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 166264 | 147511 |
| Fannie Mae Guaranteed REMIC Series 2021-95 Class BA, 2.5% 6/25/2049  | 390340 | 342368 |
| Fannie Mae Guaranteed REMIC Series 2021-95, 2.5% 9/25/2048  | 257411 | 229196 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class AH, 2.5% 3/25/2049  | 3008263 | 2646696 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 264792 | 230937 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  | 247297 | 227951 |
| Fannie Mae Guaranteed REMIC Series 2022-11 Class B, 3% 6/25/2049  | 469852 | 437236 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class HA, 3% 8/25/2046  | 622967 | 585411 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class JA, 3% 5/25/2048  | 342373 | 315974 |
| Fannie Mae Guaranteed REMIC Series 2022-20 Class HC, 2.5% 4/25/2052  | 3936377 | 3604242 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class D, 2% 2/25/2048  | 629979 | 562699 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 1990273 | 1758974 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 190553 | 167542 |
| Fannie Mae Guaranteed REMIC Series 2022-49 Class TC, 4% 12/25/2048  | 212083 | 208457 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class BA, 2.5% 12/25/2049  | 5704788 | 4938666 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class DA, 2.25% 11/25/2047  | 1195760 | 1068579 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  | 349831 | 322581 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class E, 2.5% 11/25/2047  | 372298 | 336702 |
| Fannie Mae Guaranteed REMIC Series 2023-51 Class FB, U.S. 30-Day Avg. SOFR Index + 1.55%, 5.8984% 11/25/2053 (d)(f) | 9730871 | 9815837 |
| Fannie Mae Guaranteed REMIC Series 2023-56 Class FC, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.8484% 11/25/2053 (d)(f) | 6650277 | 6704757 |
| Fannie Mae Guaranteed REMIC Series 2024-90 Class FD, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 12/25/2054 (d)(f) | 3944650 | 3949464 |
| Fannie Mae Mortgage pass-thru certificates Series 2013-51 Class GI, 3% 10/25/2032 (e) | 20437 | 735 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 9/25/2054 (d)(f) | 898640 | 899645 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.7484% 2/25/2055 (d)(f) | 1409711 | 1415397 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.7484% 9/25/2054 (d)(f) | 1431172 | 1436375 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 2/25/2055 (d)(f) | 2497019 | 2504217 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.4984% 2/25/2055 (d)(f) | 792772 | 793680 |
| Fannie Mae Series 2010-95 Class ZC, 5% 9/25/2040  | 436664 | 430697 |
| Fannie Mae Series 2022-30 Class E, 4.5% 7/25/2048  | 696336 | 692839 |
| Fannie Mae Series 2022-9 Class BA, 3% 5/25/2048  | 483054 | 445368 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-348 Class 14, 6.5% 8/25/2034 (d)(e) | 10872 | 1918 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 12, 5.5% 4/25/2034 (d)(e) | 6598 | 993 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 13, 6% 3/25/2034 (e) | 10306 | 1717 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2005-359 Class 19, 6% 7/25/2035 (d)(e) | 5977 | 1041 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-384 Class 6, 5% 7/25/2037 (e) | 19925 | 3194 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2043 Class CJ, 6.5% 4/15/2028  | 6438 | 6512 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4386 Class AZ, 4.5% 11/15/2040  | 278454 | 274396 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class EA, 2.5% 8/25/2048  | 308113 | 273560 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 151737 | 133620 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5164 Class M, 2.5% 7/25/2048  | 314435 | 279457 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5165 Class PC, 1.5% 11/25/2051  | 472222 | 406433 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2121 Class MG, 6% 2/15/2029  | 7180 | 7332 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2135 Class JE, 6% 3/15/2029  | 7464 | 7637 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2154 Class PT, 6% 5/15/2029  | 15350 | 15685 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2000-2218 Class ZB, 6% 3/15/2030  | 3261 | 3332 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2274 Class ZM, 6.5% 1/15/2031  | 5383 | 5461 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2357 Class ZB, 6.5% 9/15/2031  | 16107 | 16586 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2380 Class SY, 8.0855% - U.S. 30-Day Avg. SOFR Index 3.7428% 11/15/2031 (d)(e) | 7870 | 385 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2502 Class ZC, 6% 9/15/2032  | 15807 | 16307 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2520 Class BE, 6% 11/15/2032  | 21814 | 22556 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2587 Class IM, 6.5% 3/15/2033 (e) | 7961 | 1157 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2693 Class MD, 5.5% 10/15/2033  | 316217 | 323277 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2802 Class OB, 6% 5/15/2034  | 26240 | 26912 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2933 Class ZM, 5.75% 2/15/2035  | 106912 | 109029 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2947 Class XZ, 6% 3/15/2035  | 55320 | 57226 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class ZD, 5.5% 6/15/2035  | 67370 | 68329 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-3002 Class NE, 5% 7/15/2035  | 27493 | 28252 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3115 Class SM, 6.4855% - U.S. 30-Day Avg. SOFR Index 2.1428% 2/15/2036 (d)(e) | 9370 | 872 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3189 Class PD, 6% 7/15/2036  | 29255 | 30594 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3237 Class C, 5.5% 11/15/2036  | 86570 | 88958 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3244 Class SG, 6.5455% - U.S. 30-Day Avg. SOFR Index 2.2028% 11/15/2036 (d)(e) | 33517 | 3113 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3336 Class LI, 6.4655% - U.S. 30-Day Avg. SOFR Index 2.1228% 6/15/2037 (d)(e) | 28911 | 2904 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2008-3415 Class PC, 5% 12/15/2037  | 10845 | 11008 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3832 Class PE, 5% 3/15/2041  | 137594 | 140020 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3949 Class MK, 4.5% 10/15/2034  | 19695 | 19631 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4135 Class AB, 1.75% 6/15/2042  | 19157 | 18006 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2013-4149 Class IO, 3% 1/15/2033 (e) | 12443 | 806 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2013-4281 Class AI, 4% 12/15/2028 (e) | 1 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2014-4314 Class AI, 5% 3/15/2034 (e) | 16 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4427 Class LI, 3.5% 2/15/2034 (e) | 48083 | 1542 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4471 Class PA, 4% 12/15/2040  | 60536 | 60159 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4646 Class LA, 4% 9/15/2045  | 76109 | 75788 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4661 Class AC, 4% 4/15/2043  | 2381 | 2376 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4683 Class LM, 3% 5/15/2047  | 162227 | 156467 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4692 Class KB, 4% 10/15/2046  | 309877 | 304223 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4746 Class PA, 4% 2/15/2047  | 148762 | 147321 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5000 Class BA, 2% 4/25/2045  | 589999 | 547290 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5018 Class LC, 3% 10/25/2040  | 279832 | 253520 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5058 Class BE, 3% 11/25/2050  | 805075 | 689467 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5133 Class BA, 1.5% 7/25/2041  | 2126587 | 1785529 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5141 Class JM, 1.5% 4/25/2051  | 660790 | 561150 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class AD, 1.5% 10/25/2051  | 374399 | 321513 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class PC, 1.5% 10/25/2051  | 371008 | 315270 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5169 Class TP, 2.5% 6/25/2049  | 312341 | 273282 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 964504 | 846092 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 189563 | 170744 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5182 Class A, 2.5% 10/25/2048  | 1277107 | 1135909 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  | 200789 | 176112 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class TP, 2.5% 5/25/2049  | 320166 | 280793 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  | 185536 | 166993 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class CA, 2.5% 5/25/2049  | 268499 | 235411 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 222717 | 192268 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class A, 2.5% 6/25/2049  | 268500 | 235411 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  | 140747 | 126803 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 658141 | 596599 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5199, 3% 5/25/2048  | 9066202 | 8435075 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5200 Class C, 3% 5/25/2048  | 1843949 | 1732399 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5201 Class EB, 3% 2/25/2048  | 5705898 | 5287419 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class AG, 3% 1/25/2049  | 241771 | 221813 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class LB, 2.5% 10/25/2047  | 151073 | 136311 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class UA, 3% 4/25/2050  | 1738975 | 1564686 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5207 Class PA, 3% 6/25/2051  | 4340306 | 3829157 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5210 Class AB, 3% 1/25/2042  | 1275232 | 1199110 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5214 Class CB, 3.25% 4/25/2052  | 3099962 | 2939682 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5248 Class A, 4% 4/15/2048  | 1028756 | 1021022 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5330 Class FA, U.S. 30-Day Avg. SOFR Index + 1.05%, 5.3984% 8/25/2053 (d)(f) | 1580919 | 1579361 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5425 Class FK, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 6/25/2054 (d)(f) | 1148164 | 1151142 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 2/25/2055 (d)(f) | 728043 | 726234 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 5.5984% 10/25/2054 (d)(f) | 1388194 | 1391398 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5529 Class CF, U.S. 30-Day Avg. SOFR Index + 1.05%, 5.3984% 4/25/2055 (d)(f) | 1341856 | 1338879 |
| Freddie Mac Non Gold Pool Series 1998-2095 Class PE, 6% 11/15/2028  | 17251 | 17590 |
| Freddie Mac Non Gold Pool Series 1998-2104 Class PG, 6% 12/15/2028  | 5820 | 5938 |
| Freddie Mac Non Gold Pool Series 1999-2114 Class ZM, 6% 1/15/2029  | 2439 | 2491 |
| Freddie Mac Non Gold Pool Series 1999-2162 Class PH, 6% 6/15/2029  | 1681 | 1710 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H19 Class FG, CME Term SOFR 1 month Index + 0.4145%, 4.7417% 8/20/2060 (d)(f)(g) | 13110 | 13073 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H13 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.9417% 4/20/2061 (d)(f)(g) | 5460 | 5462 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H21 Class DF, CME Term SOFR 1 month Index + 0.7645%, 5.0917% 5/20/2061 (d)(f)(g) | 96 | 96 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class HA, 2.5% 8/20/2064 (g) | 1097 | 1031 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-134 Class BA, 2.5% 11/20/2046  | 30986 | 28372 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H06 Class FA, 1 year U.S. Treasury Index + 0.35%, 4.33% 8/20/2066 (d)(f)(g) | 67806 | 67522 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-24 Class ZM, 5% 4/20/2034  | 44697 | 44718 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-32 Class GS, 6.3855% - CME Term SOFR 1 month Index 2.0256% 5/16/2034 (d)(e) | 26848 | 1570 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-73 Class AL, 7.0855% - CME Term SOFR 1 month Index 2.7256% 8/17/2034 (d)(e) | 9133 | 886 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-37 Class TS, 6.5755% - CME Term SOFR 1 month Index 2.2156% 6/16/2037 (d)(e) | 16063 | 1415 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-160 Class DY, 4% 12/20/2040  | 288433 | 283078 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-170 Class B, 4% 12/20/2040  | 63725 | 62482 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-136 Class WI, 4.5% 5/20/2040 (e) | 3693 | 132 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-52 Class HI, 7% 4/16/2041 (e) | 83723 | 9841 |
| Ginnie Mae REMIC pass-thru certificates Series 2013-149 Class MA, 2.5% 5/20/2040  | 103356 | 101815 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  | 86770 | 80313 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  | 355702 | 317418 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-11 Class F, CME Term SOFR 1 month Index + 0.5145%, 4.8549% 1/20/2049 (d)(f) | 61928 | 61551 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-128 Class FH, CME Term SOFR 1 month Index + 0.6145%, 4.9549% 10/20/2049 (d)(f) | 109900 | 107808 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-23 Class NF, CME Term SOFR 1 month Index + 0.5645%, 4.9049% 2/20/2049 (d)(f) | 211757 | 208440 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL2 Class A1, 3.75% 7/25/2061 (b) | 860827 | 841221 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL4 Class A1, 3.9% 9/25/2061 (b)(c) | 180019 | 176357 |
| MFA Trust Series 2022-RPL1 Class A1, 3.3% 8/25/2061 (b) | 774704 | 732290 |
| NYMT Loan Trust Series 2021-CP1 Class A1, 2.0424% 7/25/2061 (b) | 707937 | 662286 |
| NYMT Loan Trust Series 2024-CP1 Class A1, 3.75% 2/25/2068 (b) | 1115224 | 1051173 |
| OBX Series 2025-NQM14 Class A1, 5.162% 7/25/2065 (b)(c) | 593274 | 594486 |
| Ocwen Loan Investment Trust Series 2023-HB1 Class A, 3% 6/25/2036 (b) | 18618 | 18468 |
| Ocwen Loan Investment Trust Series 2024-HB1 Class A, 3% 2/25/2037 (b) | 56015 | 55110 |
| PRET Trust Series 2024-RPL1 Class A1, 3.9% 10/25/2063 (b) | 1767436 | 1689928 |
| Prpm 2025-Rcf3 LLC Series 2025-RCF3 Class A1, 5.25% 7/25/2055 (b)(d) | 756248 | 758830 |
| PRPM LLC Series 2024-RPL1 Class A1, 4.2% 12/25/2064 (b)(d) | 6241393 | 6136967 |
| PRPM LLC Series 2024-RPL2 Class A1, 3.5% 5/25/2054 (b)(d) | 670372 | 652364 |
| RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/2050 (b) | 235522 | 221268 |
| Thornburg Mortgage Securities Trust Series 2003-4 Class A1, CME Term SOFR 1 month Index + 0.7545%, 5.077% 9/25/2043 (d)(f) | 189520 | 183486 |
| Verus Securitization Trust Series 2025-5 Class A1, 5.427% 6/25/2070 (b)(d) | 1168775 | 1174843 |
| Verus Securitization Trust Series 2025-6 Class A1, 5.417% 7/25/2070 (b)(c) | 4058327 | 4089738 |
| Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 6.399% 9/25/2033 (d) | 19530 | 19359 |
| TOTAL UNITED STATES |  | 149815629 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $147,817,692) |  | <br> **149815629** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 13.2%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 13.2%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 13.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 13.2%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 6.1066% 6/15/2040 (b)(d)(f) | 2670000 | 2681681 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (b) | 199642 | 191648 |
| BANK Series 2017-BNK5 Class A5, 3.39% 6/15/2060  | 1480783 | 1458489 |
| BANK Series 2017-BNK5 Class ASB, 3.179% 6/15/2060  | 201064 | 199166 |
| BANK Series 2018-BN10 Class A4, 3.428% 2/15/2061  | 387146 | 380800 |
| BANK Series 2018-BN10 Class ASB, 3.641% 2/15/2061  | 399220 | 396494 |
| BANK Series 2018-BN13 Class A4, 3.953% 8/15/2061  | 600000 | 596662 |
| BANK Series 2018-BN15 Class A3, 4.138% 11/15/2061  | 2387448 | 2383925 |
| BANK Series 2019-BN19 Class ASB, 3.071% 8/15/2061  | 880336 | 861018 |
| BANK Series 2020-BN25 Class XB, 0.5289% 1/15/2063 (d)(e) | 6959678 | 126244 |
| BANK Series 2021-BN33 Class XA, 1.155% 5/15/2064 (d)(e) | 4796399 | 193353 |
| Benchmark Mortgage Trust Series 2018-B2 Class ASB, 3.7802% 2/15/2051  | 352250 | 349518 |
| Benchmark Mortgage Trust Series 2018-B7 Class A4, 4.51% 5/15/2053  | 400000 | 401019 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.8756% 12/15/2062 (d)(e) | 11793078 | 240924 |
| Benchmark Mortgage Trust Series 2023-V3 Class XA, 1.0527% 7/15/2056 (d)(e) | 44574451 | 926190 |
| BLOX Trust Series 2021-BLOX Class A, CME Term SOFR 1 month Index + 1.1145%, 5.4785% 9/15/2026 (b)(d)(f) | 752731 | 744791 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.7053% 3/15/2041 (b)(d)(f) | 2539062 | 2543823 |
| BMO Mortgage Trust Series 2023-C6 Class XA, 0.9854% 9/15/2056 (d)(e) | 18773096 | 965806 |
| BMO Mortgage Trust Series 2024-5C5 Class A3, 5.8574% 2/15/2057  | 700000 | 733807 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.7548% 3/15/2041 (b)(d)(f) | 2887240 | 2890846 |
| BX Commercial Mortgage Trust 21-SOAR Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.8541% 4/15/2037 (b)(d)(f) | 163551 | 163602 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 6.0044% 5/15/2041 (b)(d) | 1557330 | 1561224 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class B, CME Term SOFR 1 month Index + 2.1908%, 6.5539% 12/9/2040 (b)(d)(f) | 408125 | 408890 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 5.6559% 12/15/2039 (b)(d)(f) | 298011 | 298849 |
| BX Trust 2019-OC11 Series 2019-OC11 Class XA, 0.8735% 12/9/2041 (b)(d)(e) | 114700000 | 3175928 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.805% 4/15/2041 (b)(d)(f) | 1906516 | 1911283 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 5.5069% 3/15/2030 (b)(d)(f) | 2493276 | 2490160 |
| BX Trust Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 5.2785% 2/15/2036 (b)(d)(f) | 154000 | 153952 |
| BX Trust Series 2021-MFM1 Class A, CME Term SOFR 1 month Index + 0.8145%, 5.1775% 1/15/2034 (b)(d)(f) | 498917 | 498761 |
| BX Trust Series 2021-SOAR Class A, CME Term SOFR 1 month Index + 0.7845%, 5.1485% 6/15/2038 (b)(d)(f)(h) | 2350534 | 2349800 |
| BX Trust Series 2022-IND Class B, CME Term SOFR 1 month Index + 1.94%, 6.3031% 4/15/2037 (b)(d)(f) | 3681300 | 3683601 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.8051% 2/15/2039 (b)(d)(f) | 6612688 | 6623021 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 6.0543% 3/15/2041 (b)(d)(f) | 493591 | 494361 |
| CD Mortgage Trust Series 2017-CD5 Class A3, 3.171% 8/15/2050  | 750000 | 733474 |
| CD Mortgage Trust Series 2018-CD7 Class ASB, 4.213% 8/15/2051  | 143456 | 143157 |
| Cent Trust Series 2025-CITY Class A, 5.0909% 7/10/2040 (b)(d) | 747000 | 756609 |
| Cent Trust Series 2025-CITY Class X, 0.2082% 7/10/2040 (b) | 26131000 | 193831 |
| CFCRE Commercial Mortgage Trust Series 2016-C7 Class A2, 3.5853% 12/10/2054  | 1583583 | 1558705 |
| CGMS Commercial Mortgage Trust Series 2017-B1 Class A3, 3.197% 8/15/2050  | 4757961 | 4661819 |
| Citigroup Commercial Mortgage Trust Series 2015-GC33 Class XA, 0.8379% 9/10/2058 (d)(e) | 1235899 | 40 |
| Citigroup Commercial Mortgage Trust Series 2016-C1 Class A4, 3.209% 5/10/2049  | 8600000 | 8519139 |
| Citigroup Commercial Mortgage Trust Series 2016-P4 Class A4, 2.902% 7/10/2049  | 3389000 | 3330938 |
| Citigroup Commercial Mortgage Trust Series 2016-P6 Class XA, 0.6857% 12/10/2049 (d)(e) | 5954823 | 27352 |
| Citigroup Commercial Mortgage Trust Series 2017-P7 Class AAB, 3.509% 4/14/2050  | 268493 | 266933 |
| Citigroup Commercial Mortgage Trust Series 2018-C6 Class A3, 4.145% 11/10/2051  | 1500000 | 1477275 |
| Citigroup Commercial Mortgage Trust Series 2019-GC41 Class XA, 1.1594% 8/10/2056 (d)(e) | 4662579 | 140249 |
| COMM Mortgage Trust Series 2017-CD4 Class ASB, 3.317% 5/10/2050  | 141295 | 140251 |
| CSAIL Commercial Mortgage Trust Series 2017-CX10 Class ASB, 3.3269% 11/15/2050  | 109260 | 108304 |
| DBJPM Mortgage Trust Series 2017-C6 Class ASB, 3.121% 6/10/2050  | 251112 | 248795 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class A, 6.038% 1/15/2041 (b)(d) | 163000 | 167558 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class A, CME Term SOFR 1 month Index + 0.8155%, 5.1795% 11/15/2038 (b)(d)(f) | 3530582 | 3528376 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class B, CME Term SOFR 1 month Index + 1.2347%, 5.5987% 11/15/2038 (b)(d)(f) | 2191738 | 2189683 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-M2 Class A2, 4.62% 4/25/2030  | 5100000 | 5178687 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K068 Class A2, 3.244% 8/25/2027  | 1100000 | 1085305 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K069 Class A2, 3.187% 9/25/2027  | 977979 | 963181 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K070 Class A2, 3.303% 11/25/2027  | 2400000 | 2367224 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K071 Class A2, 3.286% 11/25/2027  | 1600000 | 1577068 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K072 Class A2, 3.444% 12/25/2027  | 1100000 | 1087592 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K073 Class A2, 3.35% 1/25/2028  | 2800000 | 2763051 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K074 Class A2, 3.6% 1/25/2028  | 4400000 | 4364077 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K076 Class A2, 3.9% 4/25/2028  | 1300000 | 1297863 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K077 Class A2, 3.85% 5/25/2028  | 4200000 | 4187403 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K081 Class A2, 3.9% 8/25/2028  | 900000 | 899013 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K083 Class A2, 4.05% 9/25/2028  | 900000 | 902564 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-K735 Class A2, 2.862% 5/25/2026  | 4766946 | 4721176 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K740 Class A2, 1.47% 9/25/2027  | 2500000 | 2379475 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K141 Class A2, 2.25% 2/25/2032  | 3300000 | 2937123 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-K753 Class A2, 4.4% 10/25/2030  | 1200000 | 1215649 |
| GS Mortgage Securities Trust Series 2015-GC34 Class XA, 1.2179% 10/10/2048 (d)(e) | 1527885 | 94 |
| GS Mortgage Securities Trust Series 2017-GS8 Class AAB, 3.313% 11/10/2050  | 154936 | 153499 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A4, 3.89% 7/10/2051  | 1500000 | 1466251 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  | 400000 | 393015 |
| GS Mortgage Securities Trust Series 2018-GS10 Class AAB, 4.106% 7/10/2051  | 108492 | 107754 |
| GS Mortgage Securities Trust Series 2019-GC38 Class A3, 3.703% 2/10/2052  | 1400000 | 1376414 |
| GS Mortgage Securities Trust Series 2020-GC45 Class AAB, 2.8428% 2/13/2053  | 527265 | 511416 |
| GS Mortgage Securities Trust Series 2021-IP Class A, CME Term SOFR 1 month Index + 1.0645%, 5.4285% 10/15/2036 (b)(d)(f) | 1116351 | 1115656 |
| JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class ASB, 3.4743% 12/15/2049  | 1001165 | 994947 |
| JPMCC Commercial Mortgage Securities Trust Series 2017-JP6 Class ASB, 3.2829% 7/15/2050  | 190096 | 188332 |
| JPMDB Commercial Mortgage Securities Trust Series 2016-C4 Class ASB, 2.9941% 12/15/2049  | 51233 | 50807 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class AFX, 4.2475% 7/5/2033 (b) | 443741 | 421554 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class XAFX, 1.2948% 7/5/2033 (b)(d)(e) | 3810547 | 82795 |
| LCCM Mortgage Trust Series 2017-LC26 Class A3, 3.289% 7/12/2050 (b) | 121347 | 118888 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class A, CME Term SOFR 1 month Index + 0.8145%, 5.1785% 7/15/2038 (b)(d)(f) | 332189 | 332189 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2017-C34 Class ASB, 3.354% 11/15/2052  | 389429 | 385267 |
| Morgan Stanley Capital I Trust Series 2017-HR2 Class A3, 3.33% 12/15/2050  | 594136 | 582472 |
| Morgan Stanley Capital I Trust Series 2018-BOP Class A, CME Term SOFR 1 month Index + 0.897%, 5.261% 8/15/2033 (b)(d)(f) | 704715 | 575752 |
| Morgan Stanley Capital I Trust Series 2018-L1 Class ASB, 4.238% 10/15/2051  | 2322827 | 2312346 |
| Morgan Stanley Capital I Trust Series 2019-L2 Class A3, 3.806% 3/15/2052  | 6380020 | 6214473 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class XA, 1.2876% 6/15/2054 (d)(e) | 1002294 | 40303 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class A, 3.9% 9/24/2057 (b)(d) | 1149061 | 1132939 |
| MSWF Commercial Mortgage Trust Series 2023-2 Class XD, 3.2523% 12/15/2056 (b)(d)(e) | 1500000 | 285515 |
| OPEN Trust Series 2023-AIR Class A, CME Term SOFR 1 month Index + 3.0891%, 7.4522% 11/15/2040 (b)(d)(f) | 32246 | 32266 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 5.2084% 11/15/2038 (b)(d)(f) | 892284 | 892006 |
| SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 5.5574% 11/15/2038 (b)(d)(f) | 795912 | 795663 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 5.606% 12/15/2039 (b)(d)(f) | 1083000 | 1083000 |
| UBS Commercial Mortgage Trust Series 2017-C4 Class ASB, 3.366% 10/15/2050  | 272890 | 270438 |
| UBS Commercial Mortgage Trust Series 2017-C7 Class ASB, 3.586% 12/15/2050  | 913175 | 905473 |
| UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 1.1229% 12/15/2050 (d)(e) | 4916314 | 92005 |
| UBS Commercial Mortgage Trust Series 2018-C12 Class A4, 4.0299% 8/15/2051  | 2469981 | 2438526 |
| UBS Commercial Mortgage Trust Series 2018-C9 Class A4, 4.117% 3/15/2051  | 300000 | 294031 |
| Wells Fargo Commercial Mortgage Trust Series 2015-C31 Class XA, 1.0312% 11/15/2048 (d)(e) | 1866956 | 102 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C35 Class A4FL, CME Term SOFR 1 month Index + 1.1645%, 5.5276% 7/15/2048 (b)(d)(f) | 4000000 | 4002240 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C38 Class ASB, 3.261% 7/15/2050  | 92809 | 92200 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C40 Class A3, 3.317% 10/15/2050  | 6565000 | 6460490 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C41 Class A3, 3.21% 11/15/2050  | 5000000 | 4892183 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C42 Class ASB, 3.488% 12/15/2050  | 120762 | 119928 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C42 Class XA, 0.9783% 12/15/2050 (d)(e) | 6683005 | 103867 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C45 Class ASB, 4.147% 6/15/2051  | 2733810 | 2732190 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class XA, 1.0657% 8/15/2051 (d)(e) | 3548484 | 63152 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C47 Class ASB, 4.365% 9/15/2061  | 620582 | 622394 |
| Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 5.6785% 5/15/2031 (b)(d)(f) | 13457000 | 13422313 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A11, CME Term SOFR 1 month Index + 1.9907%, 6.3538% 8/15/2041 (b)(d)(f) | 1000000 | 998215 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A12, CME Term SOFR 1 month Index + 1.6912%, 6.0543% 8/15/2041 (b)(d)(f) | 2500000 | 2498272 |
| TOTAL UNITED STATES |  | 170852207 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $167,642,934) |  | <br> **170852207** |

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---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 123.8%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 123.8%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 123.8%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 123.8%  |  |  |
| Fannie Mae 2.5% 1/1/2052  | 580911 | 486229 |
| Fannie Mae 3.5% 12/1/2036  | 97834 | 95533 |
| Fannie Mae 3.5% 5/1/2036  | 75996 | 74285 |
| Fannie Mae 6.5% 7/1/2054  | 186324 | 195889 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.445%, 6.32% 4/1/2037 (d)(f) | 6438 | 6622 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.462%, 6.71% 1/1/2035 (d)(f) | 1452 | 1491 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.553%, 6.178% 6/1/2036 (d)(f) | 592 | 607 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.596%, 6.596% 3/1/2036 (d)(f) | 5433 | 5604 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.609%, 6.359% 8/1/2035 (d)(f) | 14526 | 14927 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.667%, 6.464% 11/1/2036 (d)(f) | 1024 | 1053 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.683%, 6.511% 5/1/2036 (d)(f) | 967 | 997 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.73%, 6.753% 3/1/2040 (d)(f) | 5177 | 5367 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.694% 7/1/2035 (d)(f) | 1101 | 1133 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 7.211% 8/1/2041 (d)(f) | 7333 | 7639 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.636% 1/1/2042 (d)(f) | 11505 | 11982 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.807%, 6.818% 12/1/2040 (d)(f) | 104753 | 109112 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.713% 2/1/2042 (d)(f) | 4970 | 5184 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.208%, 6.458% 3/1/2035 (d)(f) | 1262 | 1291 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.27%, 6.913% 6/1/2036 (d)(f) | 10232 | 10451 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.277%, 7.235% 10/1/2033 (d)(f) | 1753 | 1786 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  | 1374403 | 1235008 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2037  | 934159 | 837371 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2051  | 2305113 | 1749499 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 534915 | 480663 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 509471 | 457800 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 368666 | 331275 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 276071 | 248072 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 251967 | 226412 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041  | 2580192 | 2140039 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 1156956 | 1039615 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 255315 | 229420 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 546378 | 490110 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 537690 | 482317 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 290089 | 260214 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2051  | 1862808 | 1413805 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 706409 | 633660 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 698485 | 626552 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 222820 | 199873 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041  | 865622 | 723866 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 1063259 | 953760 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 729200 | 654104 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036  | 380642 | 341442 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036  | 58428 | 52575 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2051  | 87034 | 66055 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 771412 | 691486 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 758354 | 680256 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 589261 | 447228 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 128781 | 98907 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 7/1/2036  | 541116 | 485051 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 8/1/2036  | 775157 | 694844 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2036  | 803793 | 720512 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2037  | 2099598 | 1943596 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 157007 | 127100 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 192472 | 154185 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2035  | 441809 | 407325 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2040  | 297737 | 259296 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 930630 | 802446 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 886356 | 719736 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 57499 | 46547 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 2588670 | 2092335 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 1927264 | 1560152 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 143014 | 115728 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 694292 | 598672 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 555836 | 479206 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 556696 | 448219 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 3173788 | 2544439 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 2279805 | 1845540 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 1437654 | 1162007 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 304830 | 246384 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 1009924 | 930152 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 647880 | 522445 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 478855 | 387641 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 457020 | 369394 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 387799 | 313445 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 86697 | 84814 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2042  | 7953247 | 6840562 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 69250 | 56059 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 24814 | 19916 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 947018 | 764851 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 381001 | 305093 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2042  | 1690098 | 1452661 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 12799125 | 10249112 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 1012325 | 819177 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 336845 | 272576 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 53439 | 43243 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 38715 | 31074 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 1008592 | 816472 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 652037 | 522129 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 296351 | 239901 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 208966 | 168378 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 165506 | 132842 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 352058 | 308035 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 13383727 | 10717241 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 958384 | 775529 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2051  | 8325917 | 6667117 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2051  | 151508 | 122601 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 257092 | 224767 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 657918 | 568616 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 595620 | 480861 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 351214 | 284313 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 423956 | 340417 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 230825 | 186208 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 98553 | 79072 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 28524 | 22885 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 241511 | 233163 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2037  | 1292872 | 1220859 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2040  | 41226 | 37244 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 12051762 | 10230564 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 357503 | 300016 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 878832 | 737788 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 306965 | 256165 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 237427 | 229307 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 31121 | 30079 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2037  | 117034 | 108013 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2041  | 943117 | 845079 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2050  | 443028 | 375665 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 6752430 | 5675065 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 2345601 | 1959627 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 1217988 | 1022514 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 514197 | 431513 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 382540 | 321505 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 155591 | 150268 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2036  | 498045 | 467813 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2040  | 800056 | 720061 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 101916 | 91098 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 2348806 | 1962305 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 2216920 | 1870826 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 987988 | 829735 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 752489 | 632427 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 433574 | 418434 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 1902137 | 1837012 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 677861 | 572037 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 557653 | 469549 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 19071 | 15915 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 317032 | 300463 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 233961 | 221880 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 131955 | 127487 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 102349 | 97096 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2051  | 18077 | 15176 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 31130 | 25978 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 342266 | 309135 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 991543 | 834580 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  | 238531 | 230366 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 2073608 | 1915178 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 31212 | 30223 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2040  | 111101 | 100155 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 264927 | 237961 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 68910 | 61459 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 27204 | 24287 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 13273691 | 11143400 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 9690570 | 8135333 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 1474802 | 1246407 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 807713 | 675559 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 20058 | 16838 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2040  | 671306 | 604877 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2050  | 1261368 | 1069575 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 3002914 | 2545376 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2037  | 11569292 | 10910422 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 997360 | 894029 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 1191163 | 1006694 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 43108 | 41710 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2041  | 1604716 | 1437994 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 164894 | 137760 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2050  | 4665992 | 3956518 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  | 35719 | 29841 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 433307 | 418324 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2044  | 205322 | 187357 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 519155 | 454791 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 43759 | 39911 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 318297 | 285599 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 1027756 | 909650 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 4440117 | 3892409 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 820912 | 722214 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 172230 | 150985 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 17160 | 16713 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 103249 | 101076 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 87265 | 79614 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 405397 | 363751 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 392195 | 351905 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 91796 | 83864 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2049  | 1442803 | 1272943 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 102991 | 90254 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 711430 | 623450 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 17675 | 15605 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 16869 | 14894 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 960418 | 938282 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 686454 | 670711 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 225887 | 218076 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 64350 | 62185 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 27216 | 24811 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 4086709 | 3620908 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 955365 | 837218 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 506311 | 443697 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 365852 | 321180 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 188486 | 165235 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 177582 | 174213 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2033  | 564249 | 549690 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  | 71100 | 69639 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 42803 | 39239 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 509137 | 464239 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 486707 | 443440 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 72753 | 66335 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 1400710 | 1237556 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 512610 | 451940 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 1112152 | 971488 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 1041795 | 912308 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 976147 | 854820 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 645960 | 565673 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 86614 | 84543 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 28142 | 27434 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2047  | 145764 | 130790 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 1952957 | 1725477 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 1014378 | 897809 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 1187833 | 1047248 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 252440 | 221064 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 159111 | 145099 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2047  | 141172 | 128508 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2048  | 693621 | 632977 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2048  | 645916 | 590459 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 2012536 | 1778117 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 1991159 | 1726251 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 1019814 | 900389 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 228390 | 208374 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 130719 | 117331 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 136329 | 120194 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2052  | 444908 | 386236 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2032  | 361785 | 352679 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2034  | 205020 | 200964 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 575374 | 525754 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 49538 | 45426 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 694585 | 622796 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 307685 | 280281 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 2535635 | 2234739 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 865218 | 762545 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 171450 | 156269 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2035  | 440579 | 430473 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 301285 | 274840 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  | 841491 | 744001 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 17112 | 16154 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 269937 | 249575 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 53358 | 49383 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 694803 | 644562 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2050  | 15513809 | 14610336 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 211435 | 192397 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 73089 | 66667 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 51424 | 48465 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 15943 | 15035 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 5573 | 5243 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 73343 | 68040 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 2408986 | 2222748 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 645764 | 599069 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 14709 | 13840 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 13541 | 12718 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 9035 | 8465 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 5662 | 5333 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 3306 | 3065 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 340967 | 310585 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2035  | 465952 | 457624 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 9209 | 8667 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 4610677 | 4338277 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 469294 | 433893 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 87379 | 80788 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 50679 | 46904 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 11003 | 10366 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  | 133337 | 123696 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  | 68968 | 63981 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 191154 | 174002 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 75692 | 71060 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2047  | 45430 | 42046 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 101526 | 95431 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 72068 | 67671 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 17294 | 16258 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 10984 | 10335 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2049  | 28239 | 25826 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2050  | 204535 | 186230 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 13766 | 12997 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 150744 | 147814 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 49560 | 48597 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 477107 | 449778 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 1033677 | 945042 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2034  | 193087 | 189334 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 221973 | 209477 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 11848 | 11149 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 93100 | 86164 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 73071 | 67696 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2050  | 2171212 | 1993179 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 73674 | 69494 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 32726 | 30865 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 15214 | 14387 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 49774 | 46112 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 411590 | 381828 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 315213 | 306869 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 11588 | 11289 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 4483 | 4372 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 209579 | 201390 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2039  | 6696 | 6526 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 13690 | 13363 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 11471 | 11125 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 32688 | 31143 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 116749 | 113675 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 10910 | 10663 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 90837 | 88300 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2049  | 49440 | 46903 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 6618 | 6434 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 141928 | 136683 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2038  | 4045975 | 3952093 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 260971 | 254050 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 29625 | 28830 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 14320 | 13874 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 7489 | 7327 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 6398 | 6228 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 40167 | 39189 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 16603 | 16205 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 121937 | 118246 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 21045 | 20407 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 20739 | 20159 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 13780 | 13332 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 177389 | 172149 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2048  | 102737 | 97496 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 126866 | 123249 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 89203 | 86669 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 43908 | 42655 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 24442 | 23709 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 18276 | 17718 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 14382880 | 13844009 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 73483 | 70494 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 50105 | 48075 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 2250350 | 2117965 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 929911 | 878402 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2040  | 4271018 | 4151893 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 20818 | 20314 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 10719 | 10452 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 1640 | 1602 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  | 24814 | 23268 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2052  | 744351 | 702422 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 9243621 | 8905700 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2047  | 6316 | 6043 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 5000 | 4895 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 42498 | 42525 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2040  | 9290 | 9281 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 32573 | 32266 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2045  | 80163 | 80258 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2048  | 753404 | 740421 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 88194 | 88136 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 27121 | 27091 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2043  | 6854 | 6815 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2052  | 1399470 | 1352175 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2052  | 1379325 | 1332711 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 64583 | 64512 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 132421 | 132276 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2046  | 174096 | 173855 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 61175 | 61032 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 423509 | 423186 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 116630 | 116515 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 34311 | 34220 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 583814 | 585430 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  | 43938 | 43716 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 6743 | 6610 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2041  | 7986 | 7967 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 7536 | 7525 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2049  | 443597 | 432903 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2052  | 9908888 | 9583311 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2042  | 25277 | 25248 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2049  | 341822 | 335612 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 899588 | 897800 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 676836 | 676126 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 2186796 | 2181083 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 951370 | 952452 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 492017 | 491500 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052 (i) | 2359562 | 2356347 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2035  | 42385 | 42943 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2049  | 199843 | 201882 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2033  | 23953 | 24232 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2053  | 423990 | 428182 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2044  | 10609 | 10767 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 517260 | 524020 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 6895 | 7003 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 18583 | 18811 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2041  | 1202 | 1221 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2052  | 10188694 | 10203466 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  | 48657 | 49169 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  | 29444 | 29754 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  | 21610 | 21837 |
| Fannie Mae Mortgage pass-thru certificates 5.311% 8/1/2041 (d) | 68612 | 69481 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2052  | 795774 | 808597 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 2994021 | 3053493 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 2564957 | 2586249 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2054  | 2641217 | 2663142 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 322424 | 327318 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  | 11103045 | 11209091 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  | 951409 | 966443 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 1021240 | 1041844 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 2035571 | 2053740 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 1679073 | 1704555 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 484464 | 488788 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 5866984 | 5919353 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 1160777 | 1186373 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2052  | 596197 | 605804 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 1726920 | 1741255 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 1684038 | 1749424 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 2882072 | 2963497 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 2020879 | 2094924 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 751707 | 781129 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 292506 | 304137 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 1595812 | 1635332 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2054  | 4680780 | 4796699 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 4645241 | 4757376 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 1843989 | 1909967 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 1007322 | 1042656 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 702506 | 726709 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 5009475 | 5130403 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 4702477 | 4815994 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 3290302 | 3410858 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 3793081 | 3893535 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 5152885 | 5275665 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2052  | 2365081 | 2440651 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  | 757223 | 780471 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 5682405 | 5817802 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 1784401 | 1854800 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2054  | 4801981 | 5030571 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2035  | 6461 | 6872 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2053  | 1283054 | 1344231 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2053  | 144882 | 152320 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2037  | 1917 | 2041 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 1405790 | 1460409 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 4/1/2035  | 414 | 438 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2038  | 810 | 865 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 4101201 | 4314694 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2036  | 8975 | 9523 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 1602958 | 1664612 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 653 | 694 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 4417917 | 4652040 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 3157601 | 3279051 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 681663 | 714113 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2055 (k) | 924394 | 975548 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 3103 | 3300 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 1772 | 1885 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2054  | 271014 | 285003 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  | 700543 | 739528 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  | 520299 | 549579 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 892107 | 935201 |
| Fannie Mae Mortgage pass-thru certificates 6.773% 2/1/2039 (d) | 18534 | 19255 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2027  | 554 | 557 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2026  | 430 | 433 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2026  | 300 | 302 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2028  | 473 | 482 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2030  | 18931 | 19904 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2026  | 7 | 6 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2026  | 701 | 704 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 817 | 822 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 102 | 104 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 30 | 31 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2032  | 1194 | 1268 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2032  | 6969 | 7461 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2032  | 1271 | 1359 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2032  | 3639 | 3871 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2032  | 3080 | 3294 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 1457 | 1559 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 780 | 832 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 427 | 454 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 313 | 334 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 267 | 285 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 172 | 183 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 5 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2029  | 1238 | 1293 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2032  | 19120 | 20444 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2030  | 85 | 89 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2032  | 4828 | 5178 |
| Fannie Mae Mortgage pass-thru certificates 8% 3/1/2037  | 4558 | 4919 |
| Fannie Mae Mortgage pass-thru certificates 9% 10/1/2030  | 12778 | 13618 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 1253900 | 1126727 |
| Freddie Mac Gold Pool 1.5% 1/1/2051  | 2285179 | 1734370 |
| Freddie Mac Gold Pool 1.5% 10/1/2036  | 172414 | 154227 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 909949 | 817660 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 808586 | 726577 |
| Freddie Mac Gold Pool 1.5% 11/1/2050  | 56617 | 43430 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  | 776202 | 697478 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 38595 | 29606 |
| Freddie Mac Gold Pool 1.5% 2/1/2036  | 668619 | 599761 |
| Freddie Mac Gold Pool 1.5% 2/1/2051  | 2321486 | 1761926 |
| Freddie Mac Gold Pool 1.5% 3/1/2036  | 422117 | 378645 |
| Freddie Mac Gold Pool 1.5% 3/1/2041  | 130074 | 108764 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 951109 | 721858 |
| Freddie Mac Gold Pool 1.5% 4/1/2036  | 726604 | 651775 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 1555363 | 1299866 |
| Freddie Mac Gold Pool 1.5% 4/1/2051  | 1803019 | 1368427 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 745272 | 668520 |
| Freddie Mac Gold Pool 1.5% 6/1/2036  | 757003 | 679044 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  | 33463 | 25701 |
| Freddie Mac Gold Pool 1.5% 7/1/2035  | 207305 | 187057 |
| Freddie Mac Gold Pool 1.5% 7/1/2036  | 614110 | 550482 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  | 427479 | 385726 |
| Freddie Mac Gold Pool 1.5% 8/1/2036  | 460112 | 412440 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 741801 | 591691 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 2571318 | 2073489 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 369018 | 298265 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 133349 | 107782 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 521402 | 449383 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 3143113 | 2521811 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 1205085 | 976666 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 15046 | 12081 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 5728538 | 4592593 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 2060178 | 1661311 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 1290233 | 1036401 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 1273958 | 1029697 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 191287 | 154611 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 114446 | 92503 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 644008 | 520530 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 307996 | 248943 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 154464 | 123835 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 135519 | 109197 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 133524 | 107172 |
| Freddie Mac Gold Pool 2% 2/1/2042  | 400748 | 344724 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 2963665 | 2375057 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 1772182 | 1427965 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 833316 | 726640 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 4953157 | 3966323 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 647055 | 523600 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 604767 | 489380 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 523038 | 423245 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 74763 | 60031 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 71799 | 58100 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 45071 | 36472 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 620163 | 494668 |
| Freddie Mac Gold Pool 2% 4/1/2041  | 1199285 | 1038913 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 503487 | 406637 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 8287645 | 6714166 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 4964743 | 3975600 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 571917 | 458866 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 237718 | 190728 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 33620271 | 27006041 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 1856314 | 1502717 |
| Freddie Mac Gold Pool 2% 8/1/2050  | 16205 | 13119 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 251910 | 202115 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 399279 | 322350 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 503857 | 407251 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 85958 | 69477 |
| Freddie Mac Gold Pool 2.5% 10/1/2040  | 2495557 | 2242620 |
| Freddie Mac Gold Pool 2.5% 10/1/2040  | 860506 | 773524 |
| Freddie Mac Gold Pool 2.5% 10/1/2041  | 4264051 | 3825108 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 592501 | 497966 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 202776 | 195834 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 2138633 | 1914474 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 138242 | 123563 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 3685062 | 3114376 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 669316 | 559179 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 1133536 | 951969 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 265712 | 221739 |
| Freddie Mac Gold Pool 2.5% 2/1/2035  | 262413 | 248862 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 406580 | 363742 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 7402021 | 6214073 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 2448851 | 2076498 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 14583 | 12243 |
| Freddie Mac Gold Pool 2.5% 3/1/2050  | 579900 | 488100 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 6929105 | 5817055 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 87701 | 78148 |
| Freddie Mac Gold Pool 2.5% 4/1/2047  | 89088 | 75570 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 389862 | 329974 |
| Freddie Mac Gold Pool 2.5% 5/1/2035  | 506358 | 479420 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 4239083 | 3812860 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 867077 | 781001 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 2313683 | 1935130 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 1060383 | 898818 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 27542 | 26698 |
| Freddie Mac Gold Pool 2.5% 6/1/2040  | 137494 | 124222 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  | 104692 | 93869 |
| Freddie Mac Gold Pool 2.5% 7/1/2036  | 369940 | 349103 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 2023517 | 1717733 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 1180428 | 997622 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 1591835 | 1342331 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 1335367 | 1191199 |
| Freddie Mac Gold Pool 2.5% 8/1/2050  | 1406575 | 1192702 |
| Freddie Mac Gold Pool 2.5% 9/1/2051  | 678138 | 569092 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 44316 | 40726 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 8986812 | 7869823 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 133210 | 116653 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 1106163 | 971787 |
| Freddie Mac Gold Pool 3% 11/1/2032  | 622569 | 606510 |
| Freddie Mac Gold Pool 3% 11/1/2050  | 69365 | 60787 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 3062505 | 2688559 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 1018900 | 893214 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 17842 | 15636 |
| Freddie Mac Gold Pool 3% 12/1/2030  | 53394 | 52271 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 187820 | 183513 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 73328 | 71511 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 229965 | 211560 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 564938 | 495073 |
| Freddie Mac Gold Pool 3% 12/1/2051  | 1058154 | 927295 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 51212 | 50160 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 25102 | 23170 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 12904 | 11871 |
| Freddie Mac Gold Pool 3% 3/1/2043  | 20960 | 19271 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 788573 | 690560 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 91515 | 79912 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 67808 | 59380 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 6045 | 5913 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 88326 | 85668 |
| Freddie Mac Gold Pool 3% 4/1/2037  | 244038 | 233694 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 31839 | 28595 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 28572 | 25660 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 480034 | 431122 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 76346 | 68567 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 964629 | 845035 |
| Freddie Mac Gold Pool 3% 5/1/2052  | 9093938 | 7969318 |
| Freddie Mac Gold Pool 3% 6/1/2035  | 3754399 | 3623413 |
| Freddie Mac Gold Pool 3% 6/1/2046  | 474783 | 426406 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 928276 | 820151 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 221562 | 194023 |
| Freddie Mac Gold Pool 3% 7/1/2032  | 11669 | 11394 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 13273 | 12964 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 9185 | 8967 |
| Freddie Mac Gold Pool 3% 8/1/2052  | 2124450 | 1857079 |
| Freddie Mac Gold Pool 3% 9/1/2048  | 624526 | 553343 |
| Freddie Mac Gold Pool 3% 9/1/2049  | 9803 | 8692 |
| Freddie Mac Gold Pool 3% 9/1/2050  | 16654 | 14595 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 919138 | 805184 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 19056 | 16706 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 46121 | 42812 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 5050 | 4685 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 21357 | 19813 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 264397 | 259641 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 143865 | 133462 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  | 93833 | 92176 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  | 86333 | 79923 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 32535 | 30182 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 225683 | 220653 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 247567 | 233530 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 23538 | 22355 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 163697 | 149315 |
| Freddie Mac Gold Pool 3.5% 3/1/2032  | 118314 | 116575 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 640290 | 596152 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 568154 | 538414 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 269503 | 253919 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 29024 | 27397 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 8156 | 7680 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 435748 | 404212 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 84741 | 78715 |
| Freddie Mac Gold Pool 3.5% 4/1/2052 (i)(j) | 10022678 | 9167175 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  | 109570 | 107314 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 848739 | 792093 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 10354 | 9626 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 946367 | 880539 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 498494 | 463041 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 121131 | 112365 |
| Freddie Mac Gold Pool 3.5% 6/1/2032  | 388942 | 383074 |
| Freddie Mac Gold Pool 3.5% 6/1/2042  | 30640 | 28971 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 1014129 | 947545 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 164907 | 154512 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 381700 | 375847 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 84757 | 83479 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 1232041 | 1162323 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  | 348905 | 324111 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 184122 | 180260 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 536725 | 498585 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 62387 | 57876 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 42408 | 39395 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 1562589 | 1472398 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 349101 | 329134 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 114738 | 106327 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 27572 | 25577 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 11713 | 10866 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 9660 | 8961 |
| Freddie Mac Gold Pool 4% 1/1/2036  | 200480 | 198253 |
| Freddie Mac Gold Pool 4% 1/1/2042  | 96899 | 94201 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 11381 | 10973 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 13103 | 12754 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 7399 | 7182 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 29084 | 28103 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 15223 | 14678 |
| Freddie Mac Gold Pool 4% 10/1/2048  | 190772 | 180741 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 964245 | 912040 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 37118 | 34854 |
| Freddie Mac Gold Pool 4% 11/1/2040  | 459819 | 447969 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 145020 | 140964 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 63749 | 62059 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 25204 | 24469 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 21633 | 20965 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 9953 | 9637 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 969 | 955 |
| Freddie Mac Gold Pool 4% 11/1/2043  | 157799 | 152969 |
| Freddie Mac Gold Pool 4% 11/1/2048  | 38062 | 36144 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 493512 | 469243 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 190337 | 185606 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 27600 | 26885 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 16759 | 16201 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 7223 | 6978 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 15371 | 14848 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 8388 | 8128 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 152273 | 146939 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 226114 | 215419 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 32262 | 31386 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 29511 | 28657 |
| Freddie Mac Gold Pool 4% 3/1/2049  | 535295 | 507150 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 497568 | 483250 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 25812 | 25109 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 10014 | 9744 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 11655 | 11308 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 22123 | 21055 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 19981 | 19018 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 10788 | 10267 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 5016 | 4775 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 4322 | 4114 |
| Freddie Mac Gold Pool 4% 5/1/2042  | 32956 | 32098 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 13236 | 12789 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 5516 | 5324 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 1814 | 1754 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 56758 | 55242 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 338623 | 321877 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 15418 | 15010 |
| Freddie Mac Gold Pool 4% 6/1/2045  | 33903 | 32641 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 144025 | 137663 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 86458 | 82182 |
| Freddie Mac Gold Pool 4% 6/1/2048  | 349607 | 331772 |
| Freddie Mac Gold Pool 4% 7/1/2042  | 280342 | 271874 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 27817 | 26875 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 27140 | 26320 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 9996 | 9648 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 9747 | 9406 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 8671 | 8366 |
| Freddie Mac Gold Pool 4% 7/1/2045  | 96144 | 92524 |
| Freddie Mac Gold Pool 4% 7/1/2048  | 114902 | 110041 |
| Freddie Mac Gold Pool 4% 8/1/2041  | 2919 | 2840 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 4066 | 3947 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 4032 | 3888 |
| Freddie Mac Gold Pool 4% 8/1/2048  | 159916 | 151757 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 27045 | 26329 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 1367226 | 1327926 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 15934 | 15536 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 19735 | 19120 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 15556 | 15009 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 7294 | 7033 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 3166 | 3077 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 2723 | 2636 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 200097 | 190014 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 39348 | 37365 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 125425 | 125455 |
| Freddie Mac Gold Pool 4.5% 1/1/2053  | 291096 | 281167 |
| Freddie Mac Gold Pool 4.5% 10/1/2035  | 5538 | 5551 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 536293 | 536647 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 134988 | 135038 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 9402 | 9404 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 13534 | 13526 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 65918 | 65902 |
| Freddie Mac Gold Pool 4.5% 10/1/2047  | 9034 | 8861 |
| Freddie Mac Gold Pool 4.5% 10/1/2052  | 997267 | 963565 |
| Freddie Mac Gold Pool 4.5% 11/1/2039  | 6463 | 6467 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 2727982 | 2725492 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 67161 | 67169 |
| Freddie Mac Gold Pool 4.5% 11/1/2047  | 19557 | 19115 |
| Freddie Mac Gold Pool 4.5% 12/1/2039  | 5533 | 5533 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 11355 | 11347 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 583213 | 571159 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 20980 | 20989 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 18565 | 18567 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 17939 | 17922 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 14581 | 14564 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 9054 | 9047 |
| Freddie Mac Gold Pool 4.5% 2/1/2047  | 13459 | 13219 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 43769 | 43775 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 17225 | 17225 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 9588 | 9588 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 1802 | 1796 |
| Freddie Mac Gold Pool 4.5% 3/1/2047  | 10590 | 10401 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 16292 | 16272 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 14701 | 14700 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 78663 | 78730 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 34999 | 35035 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 6693 | 6697 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 20956 | 20930 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 19308 | 19295 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 31552 | 31569 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 13567 | 13575 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 3135 | 3140 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 9514 | 9339 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 72440 | 72458 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 2936 | 2936 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 2431 | 2432 |
| Freddie Mac Gold Pool 4.5% 8/1/2055  | 842501 | 811528 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 25073 | 25091 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 1780 | 1782 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 4915 | 4916 |
| Freddie Mac Gold Pool 5% 1/1/2035  | 11725 | 11893 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 719740 | 717635 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 579937 | 579328 |
| Freddie Mac Gold Pool 5% 11/1/2033  | 109809 | 111324 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 1335233 | 1333414 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 573552 | 574204 |
| Freddie Mac Gold Pool 5% 12/1/2034  | 44637 | 45304 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 1355558 | 1353711 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 212730 | 212175 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 170522 | 170289 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 156408 | 155999 |
| Freddie Mac Gold Pool 5% 5/1/2052  | 2129837 | 2126269 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 2737297 | 2732711 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 1474939 | 1477539 |
| Freddie Mac Gold Pool 5% 6/1/2053  | 317547 | 320686 |
| Freddie Mac Gold Pool 5% 7/1/2033  | 5677 | 5681 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 8053 | 8189 |
| Freddie Mac Gold Pool 5% 8/1/2036  | 65398 | 66452 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 1851444 | 1891692 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 737619 | 744664 |
| Freddie Mac Gold Pool 5.5% 3/1/2053 (i) | 2944425 | 3007513 |
| Freddie Mac Gold Pool 5.5% 5/1/2053  | 878544 | 892151 |
| Freddie Mac Gold Pool 5.5% 5/1/2055  | 121804 | 122549 |
| Freddie Mac Gold Pool 5.5% 9/1/2052  | 1959167 | 1990736 |
| Freddie Mac Gold Pool 6% 10/1/2034  | 11345 | 11734 |
| Freddie Mac Gold Pool 6% 10/1/2054  | 2070980 | 2151390 |
| Freddie Mac Gold Pool 6% 11/1/2028  | 632 | 646 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 498456 | 513760 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 550 | 562 |
| Freddie Mac Gold Pool 6% 3/1/2053  | 3431470 | 3562560 |
| Freddie Mac Gold Pool 6% 4/1/2032  | 14896 | 15465 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 3644337 | 3779003 |
| Freddie Mac Gold Pool 6% 5/1/2033  | 11010 | 11387 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 953 | 974 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 213 | 217 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 2487 | 2548 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 31 | 31 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 2995270 | 3092618 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 3500000 | 3635075 |
| Freddie Mac Gold Pool 6% 9/1/2033  | 20396 | 21249 |
| Freddie Mac Gold Pool 6% 9/1/2036  | 49646 | 52411 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 1860024 | 1933406 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 548640 | 567027 |
| Freddie Mac Gold Pool 6.5% 1/1/2032  | 11972 | 12497 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 2038316 | 2137257 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 358093 | 376376 |
| Freddie Mac Gold Pool 6.5% 10/1/2032  | 12638 | 13250 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 506990 | 531481 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 504930 | 529006 |
| Freddie Mac Gold Pool 6.5% 12/1/2053  | 137113 | 144152 |
| Freddie Mac Gold Pool 6.5% 2/1/2037  | 1631 | 1729 |
| Freddie Mac Gold Pool 6.5% 3/1/2032  | 2046 | 2141 |
| Freddie Mac Gold Pool 6.5% 3/1/2032  | 1127 | 1182 |
| Freddie Mac Gold Pool 6.5% 3/1/2037  | 1233 | 1320 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 1007 | 1056 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 880 | 920 |
| Freddie Mac Gold Pool 6.5% 5/1/2031  | 2316 | 2418 |
| Freddie Mac Gold Pool 6.5% 5/1/2033  | 26580 | 27550 |
| Freddie Mac Gold Pool 6.5% 9/1/2039  | 20101 | 21519 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 292771 | 308195 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 279231 | 292545 |
| Freddie Mac Gold Pool 7% 1/1/2036  | 3304 | 3494 |
| Freddie Mac Gold Pool 7% 11/1/2026  | 287 | 288 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 6137 | 6528 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 5425 | 5735 |
| Freddie Mac Gold Pool 7% 12/1/2026  | 815 | 822 |
| Freddie Mac Gold Pool 7% 3/1/2026  | 207 | 206 |
| Freddie Mac Gold Pool 7% 7/1/2026  | 104 | 103 |
| Freddie Mac Gold Pool 7% 7/1/2029  | 8762 | 9212 |
| Freddie Mac Gold Pool 7% 8/1/2026  | 1013 | 1019 |
| Freddie Mac Gold Pool 7% 8/1/2034  | 4612 | 4955 |
| Freddie Mac Gold Pool 7% 9/1/2026  | 1313 | 1322 |
| Freddie Mac Gold Pool 7% 9/1/2035  | 13953 | 14795 |
| Freddie Mac Gold Pool 7.5% 1/1/2027  | 16 | 15 |
| Freddie Mac Gold Pool 7.5% 11/1/2029  | 878 | 917 |
| Freddie Mac Gold Pool 7.5% 11/1/2029  | 176 | 181 |
| Freddie Mac Gold Pool 7.5% 2/1/2032  | 71663 | 76327 |
| Freddie Mac Gold Pool 7.5% 6/1/2027  | 241 | 245 |
| Freddie Mac Gold Pool 7.5% 7/1/2034  | 28806 | 30068 |
| Freddie Mac Gold Pool 7.5% 9/1/2030  | 192 | 201 |
| Freddie Mac Gold Pool 7.5% 9/1/2031  | 1575 | 1669 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 521034 | 549012 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 474079 | 499684 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 149451 | 158328 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 6/1/2055  | 1831993 | 1933372 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.5%, 6.5% 3/1/2036 (d)(f) | 18049 | 18511 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.608% 12/1/2040 (d)(f) | 54387 | 56374 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 7.315% 9/1/2041 (d)(f) | 10607 | 10995 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.932%, 7.003% 10/1/2042 (d)(f) | 6468 | 6721 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.961%, 6.711% 6/1/2033 (d)(f) | 13206 | 13577 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.045%, 6.684% 7/1/2036 (d)(f) | 6453 | 6680 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.2%, 6.825% 12/1/2036 (d)(f) | 14273 | 14881 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.231%, 6.231% 5/1/2034 (d)(f) | 301 | 307 |
| Freddie Mac Non Gold Pool 5% 8/1/2053  | 1039736 | 1033445 |
| Freddie Mac Non Gold Pool 5.5% 5/1/2053  | 5705171 | 5814930 |
| Freddie Mac Non Gold Pool 5.5% 7/1/2053  | 5028786 | 5116104 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 1952997 | 1989349 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 810100 | 825179 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 473455 | 481676 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 2.02%, 6.635% 6/1/2037 (d)(f) | 48415 | 49778 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 3.645%, 8.27% 10/1/2035 (d)(f) | 78 | 82 |
| Freddie Mac Non Gold Pool 6% 11/1/2054  | 1643992 | 1702173 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 319294 | 330394 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 284941 | 294313 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 266736 | 275843 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 256004 | 264904 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 225157 | 232844 |
| Freddie Mac Non Gold Pool 6% 9/1/2053  | 1047122 | 1079271 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 997079 | 1044933 |
| Ginnie Mae I Pool 2.5% 1/20/2052  | 3347091 | 2826878 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 5228934 | 4416241 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 2763391 | 2333899 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 1232059 | 1040569 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 5178265 | 4373447 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 1348689 | 1139073 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 1041775 | 879860 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 2526474 | 2133803 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 1328998 | 1122442 |
| Ginnie Mae I Pool 3% 12/20/2042  | 157440 | 144667 |
| Ginnie Mae I Pool 3% 3/20/2043  | 102617 | 94337 |
| Ginnie Mae I Pool 3% 3/20/2043  | 42356 | 38969 |
| Ginnie Mae I Pool 3% 4/15/2045  | 22358 | 20061 |
| Ginnie Mae I Pool 3% 5/15/2043  | 25028 | 22740 |
| Ginnie Mae I Pool 3% 6/15/2042  | 39550 | 36083 |
| Ginnie Mae I Pool 3% 6/15/2043  | 61891 | 56826 |
| Ginnie Mae I Pool 3% 6/15/2043  | 32667 | 29828 |
| Ginnie Mae I Pool 3% 6/20/2042  | 188407 | 172841 |
| Ginnie Mae I Pool 3% 7/15/2043  | 9513 | 8647 |
| Ginnie Mae I Pool 3.5% 10/20/2052  | 1055514 | 963357 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 206279 | 193214 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 9717 | 9116 |
| Ginnie Mae I Pool 3.5% 3/15/2043  | 140606 | 132026 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 23069 | 21289 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 13034 | 12028 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 12324 | 11373 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 11557 | 10665 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 11272 | 10403 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 6155 | 5672 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 45191 | 41718 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 18110 | 16718 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 15326 | 14144 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 14560 | 13436 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 11166 | 10308 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 7826 | 7222 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 5280 | 4875 |
| Ginnie Mae I Pool 3.5% 7/15/2043  | 16478 | 15468 |
| Ginnie Mae I Pool 3.5% 7/20/2043  | 40265 | 37651 |
| Ginnie Mae I Pool 3.5% 7/20/2046  | 769605 | 710227 |
| Ginnie Mae I Pool 3.5% 7/20/2052  | 5743152 | 5241717 |
| Ginnie Mae I Pool 3.5% 8/20/2052  | 3378448 | 3083476 |
| Ginnie Mae I Pool 3.5% 9/20/2052  | 5178177 | 4726070 |
| Ginnie Mae I Pool 4% 1/15/2042  | 4706 | 4555 |
| Ginnie Mae I Pool 4% 1/15/2043  | 17174 | 16595 |
| Ginnie Mae I Pool 4% 10/15/2040  | 80097 | 77753 |
| Ginnie Mae I Pool 4% 10/15/2040  | 31101 | 30208 |
| Ginnie Mae I Pool 4% 10/15/2040  | 7243 | 7032 |
| Ginnie Mae I Pool 4% 10/15/2040  | 3252 | 3159 |
| Ginnie Mae I Pool 4% 10/15/2041  | 136523 | 132175 |
| Ginnie Mae I Pool 4% 10/15/2041  | 36596 | 35494 |
| Ginnie Mae I Pool 4% 10/15/2041  | 20199 | 19553 |
| Ginnie Mae I Pool 4% 10/15/2041  | 13668 | 13217 |
| Ginnie Mae I Pool 4% 10/15/2041  | 2203 | 2137 |
| Ginnie Mae I Pool 4% 10/20/2052  | 16434686 | 15461467 |
| Ginnie Mae I Pool 4% 11/15/2041  | 95090 | 92160 |
| Ginnie Mae I Pool 4% 11/15/2042  | 5680 | 5491 |
| Ginnie Mae I Pool 4% 12/15/2040  | 8866 | 8614 |
| Ginnie Mae I Pool 4% 12/15/2040  | 3520 | 3416 |
| Ginnie Mae I Pool 4% 12/15/2041  | 44310 | 42975 |
| Ginnie Mae I Pool 4% 12/15/2041  | 30292 | 29322 |
| Ginnie Mae I Pool 4% 12/15/2041  | 1579 | 1530 |
| Ginnie Mae I Pool 4% 12/15/2042  | 6454 | 6246 |
| Ginnie Mae I Pool 4% 2/15/2041  | 12863 | 12486 |
| Ginnie Mae I Pool 4% 2/15/2042  | 72512 | 70228 |
| Ginnie Mae I Pool 4% 2/15/2042  | 15219 | 14734 |
| Ginnie Mae I Pool 4% 3/15/2040  | 13225 | 12831 |
| Ginnie Mae I Pool 4% 3/15/2041  | 55798 | 54474 |
| Ginnie Mae I Pool 4% 3/15/2041  | 5675 | 5509 |
| Ginnie Mae I Pool 4% 3/15/2042  | 48539 | 46968 |
| Ginnie Mae I Pool 4% 3/15/2042  | 13921 | 13480 |
| Ginnie Mae I Pool 4% 3/15/2042  | 7424 | 7176 |
| Ginnie Mae I Pool 4% 4/15/2042  | 10623 | 10276 |
| Ginnie Mae I Pool 4% 4/15/2043  | 3645 | 3531 |
| Ginnie Mae I Pool 4% 5/15/2041  | 64272 | 62787 |
| Ginnie Mae I Pool 4% 5/15/2042  | 2752 | 2706 |
| Ginnie Mae I Pool 4% 5/20/2049  | 168540 | 158230 |
| Ginnie Mae I Pool 4% 6/15/2041  | 87014 | 84348 |
| Ginnie Mae I Pool 4% 6/15/2041  | 9216 | 8933 |
| Ginnie Mae I Pool 4% 6/15/2041  | 6454 | 6286 |
| Ginnie Mae I Pool 4% 6/15/2041  | 6362 | 6156 |
| Ginnie Mae I Pool 4% 6/15/2042  | 2294 | 2216 |
| Ginnie Mae I Pool 4% 7/15/2041  | 6159 | 5984 |
| Ginnie Mae I Pool 4% 7/15/2041  | 3539 | 3423 |
| Ginnie Mae I Pool 4% 8/15/2041  | 8225 | 7987 |
| Ginnie Mae I Pool 4% 8/15/2043  | 5088 | 4900 |
| Ginnie Mae I Pool 4% 8/15/2043  | 3609 | 3488 |
| Ginnie Mae I Pool 4% 9/15/2040  | 3310 | 3215 |
| Ginnie Mae I Pool 4% 9/15/2041  | 44461 | 43068 |
| Ginnie Mae I Pool 4% 9/15/2041  | 4419 | 4272 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 19965 | 19903 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 1291 | 1287 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 174719 | 174132 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 30679 | 30575 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 17089 | 17025 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 50270 | 50047 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 1962 | 1956 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 60645 | 60434 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 104103 | 103736 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 81597 | 81212 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 80862 | 80584 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 80589 | 80315 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 54326 | 54128 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 26491 | 26402 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 17130 | 17068 |
| Ginnie Mae I Pool 4.5% 6/15/2041  | 271812 | 270709 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 83001 | 82712 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 82865 | 82583 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 55088 | 54899 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 41246 | 41109 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 32090 | 31978 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 22954 | 22871 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 4310 | 4292 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 118525 | 118123 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 73365 | 73140 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 32657 | 32541 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 7743 | 7725 |
| Ginnie Mae I Pool 5% 11/15/2039  | 31944 | 32436 |
| Ginnie Mae I Pool 5% 11/15/2039  | 21707 | 22051 |
| Ginnie Mae I Pool 5% 4/15/2040  | 70123 | 71227 |
| Ginnie Mae I Pool 5% 4/15/2040  | 26802 | 27226 |
| Ginnie Mae I Pool 5% 4/20/2048  | 106101 | 107658 |
| Ginnie Mae I Pool 5% 5/15/2039  | 19771 | 20079 |
| Ginnie Mae I Pool 5% 6/15/2040  | 216346 | 219764 |
| Ginnie Mae I Pool 5% 6/15/2040  | 10192 | 10354 |
| Ginnie Mae I Pool 5% 6/15/2041  | 8855 | 8991 |
| Ginnie Mae I Pool 5% 7/15/2039  | 26974 | 27395 |
| Ginnie Mae I Pool 5% 7/15/2040  | 16182 | 16439 |
| Ginnie Mae I Pool 5% 7/15/2040  | 2179 | 2214 |
| Ginnie Mae I Pool 5% 9/15/2039  | 17436 | 17709 |
| Ginnie Mae I Pool 5.5% 12/15/2038  | 1022 | 1051 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 49319 | 50803 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 18629 | 19369 |
| Ginnie Mae I Pool 6.5% 7/15/2036  | 321 | 337 |
| Ginnie Mae I Pool 7% 1/15/2026  | 9 | 8 |
| Ginnie Mae I Pool 7% 1/15/2028  | 20 | 19 |
| Ginnie Mae I Pool 7% 10/15/2028  | 212 | 215 |
| Ginnie Mae I Pool 7% 12/15/2027  | 98 | 99 |
| Ginnie Mae I Pool 7% 12/15/2031  | 1037 | 1072 |
| Ginnie Mae I Pool 7% 2/15/2028  | 97 | 98 |
| Ginnie Mae I Pool 7% 3/15/2028  | 52 | 52 |
| Ginnie Mae I Pool 7% 4/20/2032  | 20901 | 21750 |
| Ginnie Mae I Pool 7% 5/15/2028  | 63 | 64 |
| Ginnie Mae I Pool 7% 5/15/2029  | 1095 | 1118 |
| Ginnie Mae I Pool 7% 7/15/2028  | 513 | 520 |
| Ginnie Mae I Pool 7% 7/15/2028  | 222 | 226 |
| Ginnie Mae I Pool 7% 7/15/2029  | 85 | 87 |
| Ginnie Mae I Pool 7% 7/15/2029  | 15 | 14 |
| Ginnie Mae I Pool 7% 8/15/2028  | 169 | 171 |
| Ginnie Mae I Pool 7% 8/15/2029  | 112 | 115 |
| Ginnie Mae I Pool 7% 9/15/2028  | 4663 | 4741 |
| Ginnie Mae I Pool 7% 9/15/2028  | 939 | 947 |
| Ginnie Mae I Pool 7% 9/15/2028  | 57 | 58 |
| Ginnie Mae I Pool 7% 9/15/2028  | 8 | 7 |
| Ginnie Mae I Pool 7.5% 10/15/2028  | 487 | 500 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 59 | 60 |
| Ginnie Mae I Pool 7.5% 11/15/2029  | 667 | 692 |
| Ginnie Mae I Pool 7.5% 12/15/2026  | 10 | 9 |
| Ginnie Mae I Pool 7.5% 12/15/2028  | 442 | 448 |
| Ginnie Mae I Pool 7.5% 3/15/2028  | 262 | 266 |
| Ginnie Mae I Pool 7.5% 4/15/2028  | 255 | 261 |
| Ginnie Mae I Pool 7.5% 4/15/2028  | 40 | 40 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 4451 | 4607 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 22 | 22 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 288 | 295 |
| Ginnie Mae I Pool 8% 10/15/2025  | 4 | 3 |
| Ginnie Mae I Pool 8.5% 10/15/2028  | 708 | 719 |
| Ginnie Mae I Pool 8.5% 11/15/2027  | 382 | 387 |
| Ginnie Mae II Pool 2% 1/20/2051  | 8822480 | 7226761 |
| Ginnie Mae II Pool 2% 10/1/2055 (k) | 29200000 | 23898025 |
| Ginnie Mae II Pool 2% 10/20/2050  | 13869640 | 11358876 |
| Ginnie Mae II Pool 2% 11/20/2050  | 4700770 | 3850543 |
| Ginnie Mae II Pool 2% 12/20/2050  | 7698007 | 6303867 |
| Ginnie Mae II Pool 2% 2/20/2051  | 1393824 | 1141724 |
| Ginnie Mae II Pool 2% 4/20/2051  | 214852 | 175992 |
| Ginnie Mae II Pool 2% 8/20/2051  | 436219 | 357184 |
| Ginnie Mae II Pool 2% 9/1/2055 (k) | 79350000 | 64957561 |
| Ginnie Mae II Pool 2% 9/20/2050  | 1404955 | 1151280 |
| Ginnie Mae II Pool 2% 9/20/2051  | 38060 | 31182 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 89966 | 76658 |
| Ginnie Mae II Pool 2.5% 9/1/2055 (k) | 41950000 | 35732960 |
| Ginnie Mae II Pool 3% 1/20/2032  | 540161 | 527071 |
| Ginnie Mae II Pool 3% 10/1/2055 (k) | 15350000 | 13591851 |
| Ginnie Mae II Pool 3% 10/20/2031  | 177873 | 173645 |
| Ginnie Mae II Pool 3% 11/20/2031  | 189691 | 185094 |
| Ginnie Mae II Pool 3% 12/20/2031  | 288002 | 281090 |
| Ginnie Mae II Pool 3% 12/20/2046  | 1150226 | 1033138 |
| Ginnie Mae II Pool 3% 2/20/2031  | 23118 | 22619 |
| Ginnie Mae II Pool 3% 3/20/2031  | 46649 | 45619 |
| Ginnie Mae II Pool 3% 3/20/2050  | 800961 | 711667 |
| Ginnie Mae II Pool 3% 4/20/2031  | 174017 | 170177 |
| Ginnie Mae II Pool 3% 4/20/2052  | 4959803 | 4395632 |
| Ginnie Mae II Pool 3% 5/20/2031  | 371860 | 363562 |
| Ginnie Mae II Pool 3% 5/20/2052  | 14316516 | 12688029 |
| Ginnie Mae II Pool 3% 7/20/2031  | 4846 | 4734 |
| Ginnie Mae II Pool 3% 8/20/2031  | 56826 | 55516 |
| Ginnie Mae II Pool 3% 9/1/2055 (k) | 30700000 | 27194496 |
| Ginnie Mae II Pool 3% 9/20/2031  | 22832 | 22300 |
| Ginnie Mae II Pool 3.5% 1/20/2044  | 11028 | 10265 |
| Ginnie Mae II Pool 3.5% 10/20/2041  | 4642 | 4356 |
| Ginnie Mae II Pool 3.5% 11/20/2041  | 176634 | 165776 |
| Ginnie Mae II Pool 3.5% 11/20/2043  | 4185 | 3902 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 145661 | 136177 |
| Ginnie Mae II Pool 3.5% 3/20/2043  | 110924 | 103674 |
| Ginnie Mae II Pool 3.5% 4/20/2043  | 177489 | 165846 |
| Ginnie Mae II Pool 3.5% 4/20/2044  | 2098 | 1950 |
| Ginnie Mae II Pool 3.5% 4/20/2046  | 12058 | 11128 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 29515 | 27454 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 22721 | 20968 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 5764 | 5319 |
| Ginnie Mae II Pool 3.5% 8/20/2043  | 10318 | 9630 |
| Ginnie Mae II Pool 3.5% 9/20/2040  | 4950 | 4655 |
| Ginnie Mae II Pool 3.5% 9/20/2043  | 28390 | 26480 |
| Ginnie Mae II Pool 4% 1/20/2041  | 731265 | 708781 |
| Ginnie Mae II Pool 4% 1/20/2046  | 18888 | 18064 |
| Ginnie Mae II Pool 4% 10/20/2040  | 296338 | 287291 |
| Ginnie Mae II Pool 4% 10/20/2041  | 346110 | 334969 |
| Ginnie Mae II Pool 4% 11/20/2040  | 166725 | 161617 |
| Ginnie Mae II Pool 4% 11/20/2044  | 403461 | 387396 |
| Ginnie Mae II Pool 4% 12/20/2040  | 2274 | 2204 |
| Ginnie Mae II Pool 4% 12/20/2044  | 10957 | 10520 |
| Ginnie Mae II Pool 4% 12/20/2045  | 24341 | 23278 |
| Ginnie Mae II Pool 4% 2/20/2041  | 49575 | 48043 |
| Ginnie Mae II Pool 4% 3/20/2041  | 39259 | 38045 |
| Ginnie Mae II Pool 4% 6/20/2045  | 1065527 | 1021909 |
| Ginnie Mae II Pool 4% 7/20/2033  | 5671 | 5575 |
| Ginnie Mae II Pool 4% 7/20/2044  | 59179 | 56869 |
| Ginnie Mae II Pool 4% 8/20/2041  | 7319 | 7084 |
| Ginnie Mae II Pool 4% 8/20/2043  | 21788 | 21005 |
| Ginnie Mae II Pool 4% 8/20/2044  | 26246 | 25217 |
| Ginnie Mae II Pool 4% 8/20/2045  | 260438 | 249581 |
| Ginnie Mae II Pool 4% 8/20/2048  | 1094819 | 1039823 |
| Ginnie Mae II Pool 4% 9/20/2040  | 230996 | 223934 |
| Ginnie Mae II Pool 4.5% 10/1/2055 (k) | 17775000 | 17105785 |
| Ginnie Mae II Pool 4.5% 11/20/2039  | 1526 | 1519 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 118607 | 117996 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 94545 | 94049 |
| Ginnie Mae II Pool 4.5% 3/20/2041  | 9355 | 9306 |
| Ginnie Mae II Pool 4.5% 3/20/2046  | 3456 | 3429 |
| Ginnie Mae II Pool 4.5% 4/20/2035  | 6173 | 6158 |
| Ginnie Mae II Pool 4.5% 4/20/2055  | 11157596 | 10743674 |
| Ginnie Mae II Pool 4.5% 5/20/2040  | 10158 | 10109 |
| Ginnie Mae II Pool 4.5% 5/20/2041  | 125881 | 125209 |
| Ginnie Mae II Pool 4.5% 5/20/2042  | 8801 | 8754 |
| Ginnie Mae II Pool 4.5% 6/20/2041  | 5289 | 5260 |
| Ginnie Mae II Pool 4.5% 9/1/2055 (k) | 7000000 | 6739737 |
| Ginnie Mae II Pool 4.5% 9/20/2039  | 2867 | 2854 |
| Ginnie Mae II Pool 4.5% 9/20/2040  | 51427 | 51166 |
| Ginnie Mae II Pool 5% 10/1/2055 (k) | 20000000 | 19770998 |
| Ginnie Mae II Pool 5% 12/20/2054  | 1854432 | 1835144 |
| Ginnie Mae II Pool 5% 12/20/2054  | 1643693 | 1628779 |
| Ginnie Mae II Pool 5% 5/20/2055  | 15828439 | 15663804 |
| Ginnie Mae II Pool 5% 9/1/2055 (k) | 40000000 | 39573248 |
| Ginnie Mae II Pool 5.5% 10/1/2055 (k) | 35000000 | 35226762 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 1467048 | 1478615 |
| Ginnie Mae II Pool 5.5% 9/1/2055 (k) | 70000000 | 70516412 |
| Ginnie Mae II Pool 6% 10/1/2055 (k) | 24175000 | 24634695 |
| Ginnie Mae II Pool 6% 12/20/2054  | 1824825 | 1860716 |
| Ginnie Mae II Pool 6% 9/1/2055 (k) | 56325000 | 57448847 |
| Ginnie Mae II Pool 6.5% 5/20/2055  | 7185584 | 7401246 |
| Ginnie Mae II Pool 7% 2/20/2032  | 6420 | 6690 |
| Ginnie Mae II Pool 7% 3/20/2032  | 3134 | 3268 |
| Uniform Mortgage Backed Securities 2% 10/1/2055 (k) | 93075000 | 73914646 |
| Uniform Mortgage Backed Securities 2% 9/1/2055 (k) | 144875000 | 115028490 |
| Uniform Mortgage Backed Securities 2.5% 10/1/2055 (k) | 19100000 | 15858969 |
| Uniform Mortgage Backed Securities 2.5% 9/1/2055 (k) | 27850000 | 23120939 |
| Uniform Mortgage Backed Securities 3.5% 10/1/2055 (k) | 1050000 | 948322 |
| Uniform Mortgage Backed Securities 3.5% 9/1/2055 (k) | 3150000 | 2846197 |
| Uniform Mortgage Backed Securities 4% 9/1/2055 (k) | 5600000 | 5226594 |
| Uniform Mortgage Backed Securities 4.5% 9/1/2055 (k) | 5450000 | 5242219 |
| Uniform Mortgage Backed Securities 5.5% 9/1/2055 (k) | 27600000 | 27761719 |
| Uniform Mortgage Backed Securities 6% 10/1/2055 (k) | 2600000 | 2654234 |
| Uniform Mortgage Backed Securities 6% 9/1/2055 (k) | 8325000 | 8505809 |
| Uniform Mortgage Backed Securities 6.5% 9/1/2055 (k) | 30100000 | 31189948 |
| TOTAL UNITED STATES |  | 1598989048 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $1,589,054,779) |  | <br> **1598989048** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 3.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 3.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 3.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 3.4%** |
|  | Yield (%) (l) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 4.625% 11/15/2044  | 4.61 to 5.12 | 17450000 | 16927863 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.58 to 2.66 | 3863992 | 3657156 |
| US Treasury Notes 3.875% 8/15/2034  | 3.66 to 3.85 | 10000000 | 9804688 |
| US Treasury Notes 4.75% 2/15/2045  | 4.78 to 4.96 | 13580000 | 13378422 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $44,259,661) |  |  | **43768129** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 2.8%** | &nbsp;&nbsp;**Money Market Funds - 2.8%** | &nbsp;&nbsp;**Money Market Funds - 2.8%** | &nbsp;&nbsp;**Money Market Funds - 2.8%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (m)<br>(Cost $36,308,947)<br>| 4.36 | 36301687 | **36308947** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.3%** | &nbsp;&nbsp;**Purchased Swaptions - 0.3%** | &nbsp;&nbsp;**Purchased Swaptions - 0.3%** | &nbsp;&nbsp;**Purchased Swaptions - 0.3%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.1% |  |  |  |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.94% and receive annually a floating rate based on US SOFR Index, expiring March 2035 | 3/21/2030 | 4900000 | 176354 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.9025% and receive annually a floating rate based on US SOFR Index, expiring April 2036 | 4/14/2026 | 2050000 | 31865 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.025% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/23/2030 | 4350000 | 153348 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 4.075% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/2030 | 5670000 | 194956 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.08% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/2030 | 5240000 | 179618 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.03% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/25/2030 | 7400000 | 260051 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.95% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 4/29/2030 | 5370000 | 196889 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.065% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2/2030 | 1810000 | 62898 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/7/2030 | 3550000 | 127108 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.9% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/8/2026 | 11000000 | 223373 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.8% and receive annually a floating rate based on US SOFR Index, expiring August 2036 | 8/10/2026 | 3370000 | 85775 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.804% and receive annually a floating rate based on US SOFR Index, expiring August 2036 | 8/25/2026 | 6760000 | 176113 |
| TOTAL PUT SWAPTIONS |  |  | 1868348 |
| Call Swaptions - 0.2% |  |  |  |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.94% and pay annually a floating rate based on US SOFR Index, expiring March 2035 | 3/21/2030 | 4900000 | 157980 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.9025% and pay annually a floating rate based on US SOFR Index, expiring April 2036 | 4/14/2026 | 2050000 | 63733 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.025% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/23/2030 | 4350000 | 148768 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 4.075% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/2030 | 5670000 | 199880 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.08% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/2030 | 5240000 | 185186 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.03% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/25/2030 | 7400000 | 253027 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.95% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 4/29/2030 | 5370000 | 174965 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.065% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2/2030 | 1810000 | 63385 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/7/2030 | 3550000 | 120315 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.9% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/8/2026 | 11000000 | 369093 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.8% and pay annually a floating rate based on US SOFR Index, expiring August 2036 | 8/10/2026 | 3370000 | 99721 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.804% and pay annually a floating rate based on US SOFR Index, expiring August 2036 | 8/25/2026 | 6760000 | 203188 |
| TOTAL CALL SWAPTIONS |  |  | 2039241 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $4,448,026) |  |  | <br> **3907589** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 158.0%**<br> (Cost $2,025,752,592)<br>| <br>**2040600211** |
| **NET OTHER ASSETS (LIABILITIES) - (58.0)%**  | **(748611372)** |
| **NET ASSETS - 100.0%** | **1291988839** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 2% 9/1/2055 | (58400000) | (47807455) |
| Ginnie Mae II Pool 3% 9/1/2055 | (30700000) | (27194496) |
| Ginnie Mae II Pool 4.5% 9/1/2055 | (17775000) | (17114117) |
| Ginnie Mae II Pool 5% 9/1/2055 | (40000000) | (39573248) |
| Ginnie Mae II Pool 5.5% 9/1/2055 | (70000000) | (70516411) |
| Ginnie Mae II Pool 6% 9/1/2055 | (46900000) | (47835791) |
| Uniform Mortgage Backed Securities 2% 9/1/2055 | (143850000) | (114214656) |
| Uniform Mortgage Backed Securities 2.5% 9/1/2055 | (27850000) | (23120939) |
| Uniform Mortgage Backed Securities 3% 9/1/2055 | (2500000) | (2166016) |
| Uniform Mortgage Backed Securities 3.5% 9/1/2055 | (2750000) | (2484775) |
| Uniform Mortgage Backed Securities 4% 10/1/2055 | (1400000) | (1306156) |
| Uniform Mortgage Backed Securities 4% 9/1/2055 | (5600000) | (5226594) |
| Uniform Mortgage Backed Securities 4.5% 9/1/2055 | (5450000) | (5242219) |
| Uniform Mortgage Backed Securities 5% 9/1/2055 | (1400000) | (1380695) |
| Uniform Mortgage Backed Securities 5.5% 9/1/2055 | (6000000) | (6035156) |
| Uniform Mortgage Backed Securities 6% 9/1/2055 | (5200000) | (5312938) |
| Uniform Mortgage Backed Securities 6.5% 9/1/2055 | (7200000) | (7460718) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (423992380) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $421,655,832) |  | <br> **(423992380)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 2Y US Treasury Notes Contracts (United States) | 629 | 12/31/2025 | 131200555 | 240504 | 240504 |
| CBOT US Treasury Long Bond Contracts (United States) | 131 | 12/19/2025 | 14974938 | 73170 | 73170 |
| CBOT US Treasury Ultra Bond Contracts (United States) | 8 | 12/19/2025 | 931500 | (3562) | (3562) |
| TOTAL PURCHASED |  |  |  |  | 310112 |
| Sold |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | 355 | 12/19/2025 | 39943047 | (228086) | (228086) |
| CBOT 5Y US Treasury Notes Contracts (United States) | 324 | 12/31/2025 | 35478000 | (175213) | (175213) |
| TOTAL SOLD |  |  |  |  | (403299) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **(93187)** |
| The notional amount of futures purchased as a percentage of Net Assets is 11.5% | The notional amount of futures purchased as a percentage of Net Assets is 11.5% | The notional amount of futures purchased as a percentage of Net Assets is 11.5% | The notional amount of futures purchased as a percentage of Net Assets is 11.5% | The notional amount of futures purchased as a percentage of Net Assets is 11.5% | The notional amount of futures purchased as a percentage of Net Assets is 11.5% |
| The notional amount of futures sold as a percentage of Net Assets is 5.8% | The notional amount of futures sold as a percentage of Net Assets is 5.8% | The notional amount of futures sold as a percentage of Net Assets is 5.8% | The notional amount of futures sold as a percentage of Net Assets is 5.8% | The notional amount of futures sold as a percentage of Net Assets is 5.8% | The notional amount of futures sold as a percentage of Net Assets is 5.8% |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Rating(2) | Maturity <br> Date | Clearinghouse / <br> Counterparty | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(3)(1) | Value ($)(2) | Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 550000 | 87950 | (152415) | (64465) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | JPMorgan Securities LLC | (3%) | Monthly | 360000 | 57567 | (98615) | (41048) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 180000 | 28784 | (41897) | (13113) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 710000 | 113535 | (165020) | (51485) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 50000 | 7995 | (10822) | (2827) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 120000 | 19189 | (31992) | (12803) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 120000 | 19189 | (27522) | (8333) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 80000 | 12793 | (17856) | (5063) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 200000 | 31982 | (37638) | (5656) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 145000 | 23187 | (23694) | (507) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 35000 | 5597 | (5601) | (4) |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 200000 | 13293 | (7602) | 5691 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Citigroup Global Markets Ltd | (3%) | Monthly | 300000 | 19940 | (11732) | 8208 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 300000 | 19940 | (11558) | 8382 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 100000 | 6647 | (3853) | 2794 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Citigroup Global Markets Ltd | (3%) | Monthly | 600000 | 39880 | (21718) | 18162 |
| CMBX BB Series 18 Index |  | 12/17/2057 | JPMorgan Securities LLC | (5%) | Monthly | 100000 | 11793 | (6625) | 5168 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | JPMorgan Securities LLC | (3%) | Monthly | 200000 | 13293 | (9864) | 3429 |
| CMBX BBB Series 15 Index |  | 11/18/2064 | Citigroup Global Markets Ltd | (3%) | Monthly | 100000 | 14122 | (15942) | (1820) |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 800000 | 53173 | (85003) | (31830) |
| CMBX BB Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (5%) | Monthly | 100000 | 11793 | (14834) | (3041) |
| CMBX BB Series 18 Index |  | 12/17/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly | 100000 | 11793 | (14647) | (2854) |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  | 623435 | (816450) | (193015) |
| Sell Protection |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 700000 | (9395) | 17041 | 7646 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 1300000 | (17449) | 20727 | 3278 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 1800000 | (24160) | 23082 | (1078) |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 2400000 | (32213) | 31777 | (436) |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 3000000 | (40266) | 44968 | 4702 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 1800000 | (24160) | 33452 | 9292 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 1200000 | (16106) | 21668 | 5562 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 800000 | (10738) | 21671 | 10933 |
| CMBX AAA Series 16 Index | NR | 4/17/2065 | Goldman Sachs & Co LLC | 0.5% | Monthly | 9999 | (83) | 122 | 39 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 4600000 | (61741) | 78787 | 17046 |
| CMBX BBB- Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 3% | Monthly | 100000 | (12610) | 12689 | 79 |
| CMBX BBB- Series 17 Index | NR | 12/15/2056 | JPMorgan Securities LLC | 3% | Monthly | 100000 | (12732) | 12765 | 33 |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  | (261653) | 318749 | 57096 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  | **361782** | **(497701)** | **(135919)** |

---

(1)Notional amount is stated in U.S. Dollars unless otherwise noted.

(2)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(3)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(2) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| U.S. SOFR Index(3) | Annual | 3.75% | Annual | LCH | 9/17/2032 | 12290000 | (214433) | 93723 | (120710) |
| U.S. SOFR Index(3) | Annual | 3.75% | Annual | LCH | 9/17/2028 | 93495000 | (1264570) | 431987 | (832583) |
| U.S. SOFR Index(3) | Annual | 3.75% | Annual | LCH | 9/17/2027 | 60087000 | (454276) | 171483 | (282793) |
| U.S. SOFR Index(3) | Annual | 3.75% | Annual | LCH | 9/17/2029 | 43600000 | (765630) | 250801 | (514829) |
| U.S. SOFR Index(3) | Annual | 3.75% | Annual | LCH | 9/17/2045 | 16481000 | 749787 | (853402) | (103615) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **(1949122)** | **94592** | **(1854530)** |

---

(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.

(2)Notional amount is stated in U.S. Dollars unless otherwise noted.

(3)Represents floating rate.

**Legend**

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $122,186,687 or 9.5% of net assets.

(c) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

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

(e) Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

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

(g) 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.

(h) Level 3 security

(i) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $5,687,238.

(j) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,104,443.

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

(l) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(m) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 10101950 | 806583547 | 780376550 | 1626498 | - | - | 36308947 | 36301687 | 0.1% |
| Total | 10101950 | 806583547 | 780376550 | 1626498 | - | - | 36308947 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

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

**Investment Valuation**

The following is a summary of the inputs used, as of August 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 36958662 | - | 36958662 | - |
|  **Collateralized Mortgage Obligations** | 149815629 | - | 149815623 | 6 |
|  **Commercial Mortgage Securities** | 170852207 | - | 168502407 | 2349800 |
|  **U.S. Government Agency - Mortgage Securities** | 1598989048 | - | 1598989048 | - |
|  **U.S. Treasury Obligations** | 43768129 | - | 43768129 | - |
|  **Money Market Funds** | 36308947 | 36308947 | - | - |
|  **Purchased Swaptions** | 3907589 | - | 3907589 | - |
| **Total Investments in Securities:** | 2040600211 | 36308947 | 2001941458 | 2349806 |
|  **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 313674 | 313674 | - | - |
| Swaps | 1373222 | - | 1373222 | - |
| Total Assets | 1686896 | 313674 | 1373222 | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (406861) | (406861) | - | - |
| Swaps | (2960562) | - | (2960562) | - |
| Total Liabilities | (3367423) | (406861) | (2960562) | - |
| **Total Derivative Instruments:** | (1680527) | (93187) | (1587340) | - |
|  **<u>Other Financial Instruments:</u>** |  |  |  |  |
|  **TBA Sale Commitments** | (423992380) | - | (423992380) | - |
| **Total Other Financial Instruments:** | (423992380) | - | (423992380) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2025. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Credit Risk** |  |  |
| Swaps (a)  | 623435 | (261653) |
| **Total Credit Risk**  | 623435 | (261653) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (b)  | 313674 | (406861) |
| Purchased Swaptions (c)  | 3907589 | - |
| Swaps (d)  | 749787 | (2698909) |
| **Total Interest Rate Risk**  | 4971050 | (3105770) |
| **Total Value of Derivatives** | 5594485 | (3367423) |

---

(a)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-item(s).

(b)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

(c)Gross value is included in the Statement of Assets and Liabilities in the investments in securities, at value line-item.

(d)For centrally cleared swaps, reflects gross value as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of August 31, 2025** | **As of August 31, 2025** | **As of August 31, 2025** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $1,989,443,645) | $2004291264 |  |
| Fidelity Central Funds (cost $36,308,947) | 36308947 |  |
| Total Investment in Securities (cost $2,025,752,592) |  | $2040600211 |
| Cash |  | 2369 |
| Receivable for investments sold |  | 50278 |
| Receivable for TBA sale commitments |  | 421655832 |
| Receivable for swaps |  | 12766 |
| Receivable for fund shares sold |  | 565207 |
| Interest receivable |  | 4071474 |
| Distributions receivable from Fidelity Central Funds |  | 69789 |
| Receivable for daily variation margin on futures contracts |  | 12965 |
| Receivable for daily variation margin on centrally cleared swaps |  | 36831 |
| Bi-lateral OTC swaps, at value |  | 623435 |
| Prepaid expenses |  | 1538 |
| **Total assets** |  | 2467702695 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $4448027 |  |
| Delayed delivery | 744918824 |  |
| TBA sale commitments, at value | 423992380 |  |
| Payable for fund shares redeemed | 1013129 |  |
| Distributions payable | 622156 |  |
| Bi-lateral OTC swaps, at value | 261653 |  |
| Accrued management fee | 301009 |  |
| Other payables and accrued expenses | 156678 |  |
| **Total liabilities** |  | 1175713856 |
| **Net Assets**  |  | $1291988839 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $1295118690 |
| Total accumulated earnings (loss) |  | (3129851) |
| **Net Assets** |  | $1291988839 |
| **Net Asset Value**, offering price and redemption price per share ($1,291,988,839 ÷ 130,794,554 shares) |  | $9.88 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** |
| **Investment Income** |  |  |
| Interest  |  | $64248272 |
| Income from Fidelity Central Funds  |  | 1626498 |
| **Total income** |  | 65874770 |
| **Expenses** |  |  |
| Management fee | $3691783 |  |
| Custodian fees and expenses | 54527 |  |
| Independent trustees' fees and expenses | 3344 |  |
| Registration fees | 101127 |  |
| Audit fees | 102522 |  |
| Legal | 1136 |  |
| Miscellaneous | 54440 |  |
| Total expenses before reductions | 4008879 |  |
| Expense reductions | (3106) |  |
| Total expenses after reductions |  | 4005773 |
| **Net Investment income (loss)** |  | 61868997 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (694983) |  |
| Futures contracts | (1811353) |  |
| Swaps | 3662839 |  |
| Written options | 121136 |  |
| Total net realized gain (loss) |  | 1277639 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (25588170) |  |
| Futures contracts | (592829) |  |
| Swaps | 1217488 |  |
| TBA sale commitments | (36113) |  |
| Total change in net unrealized appreciation (depreciation) |  | (24999624) |
| **Net gain (loss)** |  | (23721985) |
| **Net increase (decrease) in net assets resulting from operations** |  | $38147012 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **August 31, 2025** | **Year ended**<br> **August 31, 2024** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $61868997 | $60820298 |
| &nbsp;&nbsp;Net realized gain (loss) | 1277639<br>| (12612994)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | (24999624) | 47378283<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 38147012<br>| 95585587<br>|
| Distributions to shareholders | (65330459)<br>| (59865698)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 379402565 | 1111502202 |
| Reinvestment of distributions | 58347333<br>| 56946077<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (689998764) | (484591556) |
| **Net increase (decrease) in net assets resulting from share transactions** | (252248866)<br>| 683856723<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | (279432313)<br>| 719576612<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 1571421152 | 851844540<br>|
| &nbsp;&nbsp;End of period | $1291988839 | $1571421152 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 38649602 | 113165584 |
| Issued in reinvestment of distributions | 5948822<br>| 5863968<br>|
| &nbsp;&nbsp;Redeemed | (70459693) | (49852837) |
| &nbsp;&nbsp;Net increase (decrease) | (25861269) | 69176715 |

---

**Financial Highlights** 

**Fidelity® SAI Investment Grade Securitized Fund** <br>

---

| | | | |
|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023** A  |
| **Selected Per-Share Data**  |  |  |  |
| Net asset value, beginning of period  | $10.03 | $9.74 | $10.00 |
| Income from Investment Operations  |  |  |  |
| Net investment income (loss) B,C | .463  | .452  | .126  |
| Net realized and unrealized gain (loss)  | (.123)  | .287  | (.267)  |
| Total from investment operations  | .340  | .739  | (.141)  |
| Distributions from net investment income  | (.490)  | (.449)  | (.119)  |
| Total distributions  | (.490)  | (.449)  | (.119)  |
| Net asset value, end of period  | $9.88 | $10.03 | $9.74 |
| **Total Return** D,E | 3.55% <br>| 7.85%  | (1.42)%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |
| Expenses before reductions  | .31%  | .32%  | .39% H,I,J |
| Expenses net of fee waivers, if any  | .31% <br>| .31%  | .35% J |
| Expenses net of all reductions, if any  | .31%  | .31%  | .35% J |
| Net investment income (loss)  | 4.72%  | 4.67%  | 4.51% J |
| **Supplemental Data** |  |  |  |
| Net assets, end of period (000 omitted) | $1291989 | $1571421 | $851845 |
| Portfolio turnover rate K | 715% <br>| 848%  | 280% L,M |

---

A*For the period May 17, 2023 (commencement of operations) through August 31, 2023.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

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

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Audit fees are not annualized.*

I*Proxy expenses are not annualized.*

J*Annualized.*

K*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

L*Portfolio turnover rate excludes securities received or delivered in-kind.*

M*Amount not annualized.*

**Notes to Financial Statements**

For the period ended August 31, 2025

**1. Organization.**

Fidelity SAI Investment Grade Securitized Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

**2. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**3. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

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

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2025 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2025, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

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

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

Book-tax differences are primarily due to futures contracts, swaps, capital loss carryforwards and losses deferred due to wash sales.

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

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $14840934 |
| **Gross unrealized depreciation**  | <u>(6366177)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$8474757</u> |
| **Tax Cost**  | <u>$2028202873</u> |

---

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

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$-</u> |
| **Capital loss carryforward**  | <u>$(11436596)</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$8474757</u> |

---

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | $(8280718) |
| Long-term | <u>(3155878)</u> |
| **Total capital loss carryforward** | <u>$(11436596)</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **August 31, 2025** | **August 31, 2024** |
| **Ordinary Income**  | $65330459 | $59865698 |

---

**Delayed Delivery Transactions and When-Issued Securities.** During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

**To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls.** TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The value of these commitments and proceeds to be received at contractual settlement date are reflected in the Statement of Assets and Liabilities as "TBA sale commitments, at value" and "Receivable for TBA sale commitments," respectively. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, a fund realizes a gain or loss. If a fund delivers securities under the commitment, a fund realizes a gain or loss from the sale of the securities based upon the price established at the date the commitment was entered into.

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**New Accounting Pronouncements.** FASB Accounting Standards Update (ASU) 2023-07 Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures became effective in this reporting period. ASU 2023-07 enhances segment information disclosure in the notes to financial statements.

In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, swaps and options. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

---

| | |
|:---|:---|
| Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund.<br>|
| Interest Rate Risk  | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options and bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. For OTC written options with upfront premiums received, a fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

**Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives.** The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity SAI Investment Grade Securitized Fund** |  |  |
| **Credit Risk** |  |  |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(370161)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>464688</u> |
| **Total Credit Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(370161)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>464688</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | (1811353) | (592829) |
| Purchased Options | (1368749) | (244372) |
| Written Options | 121136 | - |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>4033000</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>752800</u> |
| **Total Interest Rate Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>974034</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(84401)</u> |
| Totals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>603873</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>380287</u> |

---

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.

**Futures Contracts.** A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period, unless an average notional amount is presented in the table below.

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity SAI Investment Grade Securitized Fund** | 167310526 |

---

Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.

**Options.** Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. OTC options, such as swaptions, which are options where the underlying instrument is a swap, were used to manage exposure to fluctuations in interest rates.

Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.

Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period, unless an average notional amount is presented in the table below.

---

| | | |
|:---|:---|:---|
|  | **Type** | **Average Notional Amount ($)** |
| **Fidelity SAI Investment Grade Securitized Fund** | Purchased Swaptions | 133156667 |

---

Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

**Swaps.** A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in total accumulated earnings (loss) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

Centrally cleared swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities. Centrally cleared swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in total accumulated earnings (loss) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

For both bi-lateral and centrally cleared swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period, unless an average notional amount is presented in the table below.

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity SAI Investment Grade Securitized Fund** | 234521163 |

---

**Credit Default Swaps.** Credit default swaps enable a fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. A fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

**Interest Rate Swaps.** Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. A fund enters into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

**5. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity SAI Investment Grade Securitized Fund** | 5502126097 | 5730720090 |

---

**6. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .282% of the Fund's average net assets.

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

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

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Fidelity SAI Investment Grade Securitized Fund** | 2408 |

---

**7. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2026 unless extended or renewed.

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Fidelity SAI Investment Grade Securitized Fund** | 1925 |

---

**8. Expense Reductions.** 

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $3,106.

**9. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

**10. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Salem Street Trust and the Shareholders of Fidelity SAI Investment Grade Securitized Fund:

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statement of assets and liabilities of Fidelity SAI Investment Grade Securitized Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of August 31, 2025, the related statement of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the two years in the period then ended and for the period from May 17, 2023 (commencement of operations) through August 31, 2023, and the related notes (collectively referred to as the "financial statements and financial highlights"). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of August 31, 2025, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the two years in the period then ended and for the period from May 17, 2023 (commencement of operations) through August 31, 2023, in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

October 16, 2025

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

**Distributions** **(Unaudited)**

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

A total of 3.59% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $62,802,690 of distributions paid during the fiscal year ended 2025 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2026 of amounts for use in preparing 2025 income tax returns.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img113744_4.jpg)<br>

1.9908921.102 IVG-ANN-1025

Item 8.

<u>Changes in and Disagreements with Accountants for Open-End Management Investment Companies</u>

See Item 7.

Item 9.

<u>Proxy Disclosures for Open-End Management Investment Companies</u>

See Item 7.

Item 10.

<u>Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies</u>

See Item 7.

Item 11.

<u>Statement Regarding Basis for Approval of Investment Advisory Contract</u>

See Item 7.

Item 12.

<u>Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies</u>

Not applicable.

Item 13.

<u>Portfolio Managers of Closed-End Management Investment Companies</u>

Not applicable.

Item 14.

<u>Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers</u>

Not applicable.

Item 15.

<u>Submission of Matters to a Vote of Security Holders</u>

There were no material changes to the procedures by which shareholders may recommend nominees to the trust's Board of Trustees.

Item 16.

<u>Controls and Procedures</u>

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust's internal control over financial reporting.

Item 17.

<u>Disclosure of Securities Lending Activities for Closed-End Management Investment Companies</u>

Not applicable.

Item 18.

<u>Recovery of Erroneously Awarded Compensation</u>

(a) Not applicable.

(b) Not applicable.

Item 19.

<u>Exhibits</u>

(a) (1) [Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH](code.htm) .

(a) (2) [Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT](ex99cert.htm) .

(a) (3) Not applicable.

(b) [Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.](ex99906cert.htm)

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 Salem Street Trust

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Laura M. Del Prato</u> |
|  | &nbsp;&nbsp; Laura M. Del Prato |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; October 23, 2025 |

---

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

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Laura M. Del Prato</u> |
|  | &nbsp;&nbsp; Laura M. Del Prato |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; October 23, 2025 |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Stephanie Caron</u> |
|  | &nbsp;&nbsp; Stephanie Caron |
|  | &nbsp;&nbsp; Chief Financial Officer (Principal Financial Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; October 23, 2025 |

---

## Ex-99.Code

**Fidelity Investments**

**FIDELITY FUNDS'**

**CODE OF ETHICS**

**FOR PRESIDENT, TREASURER**

**AND PRINCIPAL ACCOUNTING OFFICER**

2023

**FIDELITY FUNDS' CODE OF ETHICS FOR**

**PRESIDENT, TREASURER AND PRINCIPAL ACCOUNTING OFFICER**

**I. Purposes of the Code/Covered Officers**

This document constitutes the Code of Ethics (Code) adopted by the Fidelity Funds (Funds) pursuant to Section 406 of the Sarbanes-Oxley Act of 2002. The Code applies to the Fidelity Funds' President and Treasurer, and Chief Financial Officer (Covered Officers). Fidelity's Ethics Office, within Enterprise Compliance, administers the Code.

The purposes of the Code are to deter wrongdoing and to promote, on the part of the Covered Officers:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· full, fair, accurate, timely and understandable disclosure in reports and documents that the Fidelity Funds submit to the Securities and Exchange Commission (SEC), and in other public communications by a Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· compliance with applicable laws and governmental rules and regulations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· accountability for adherence to the Code.

Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.

**II.** **Covered Officers Should Handle Ethically** 

**Actual and Apparent Conflicts of Interest**

**Overview.** A "conflict of interest" occurs when a Covered Officer's private interest interferes with the interests of, or their service to, the Fidelity Funds. For example, a conflict of interest would arise if a Covered Officer, or a member of their family, receives improper personal benefits as a result of their position with the Fidelity Funds.

Certain conflicts of interest arise out of the relationships between Covered Officers and the Fidelity Funds and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (Investment Company Act) and the Investment Advisers Act of 1940 (Investment Advisers Act). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with a Fidelity Fund because of their status as "affiliated persons" of the Fund. Separate compliance programs and procedures of the Fidelity Funds, Fidelity Management & Research Company (FMR) and the other Fidelity companies are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code.

Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company) of which the Covered Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Fidelity Funds, FMR or another Fidelity company), be involved in establishing policies and implementing decisions that have different effects on the Fidelity Funds, FMR and other Fidelity companies. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company) and is consistent with the performance by the Covered Officers of their duties as officers of the Fidelity Funds. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Funds' Board of Trustees (Board) that the Covered Officers also may be officers or employees of one or more other Fidelity Funds covered by this Code.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of a Fidelity Fund.

\* \* \*

Each Covered Officer must:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not use their personal influence or personal relationships improperly to influence investment decisions or financial reporting by any Fidelity Fund whereby the Covered Officer would benefit personally to the detriment of any Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not cause a Fidelity Fund to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not engage in any outside business activity, including serving as a director or trustee, that prevents the Covered Officer from devoting appropriate time and attention to the Covered Officer's responsibilities with the Fidelity Funds;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not have a consulting or employment relationship with any of the Fidelity Funds' service providers that are not affiliated with Fidelity; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not retaliate against any employee or Covered Officer for reports of actual or potential misconduct, which are made in good faith.

With respect to other fact patterns, if a Covered Officer is in doubt, other potential conflict of interest situations should be described immediately to the Fidelity Ethics Office for resolution. Similarly, any questions a Covered Officer has generally regarding the application or interpretation of the Code should be directed to the Fidelity Ethics Office immediately.

**III. Disclosure and Compliance**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Each Covered Officer should familiarize themself with the disclosure requirements generally applicable to the Fidelity Funds.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about any Fidelity Fund to others, whether within or outside Fidelity, including to the Board and auditors, and to governmental regulators and self-regulatory organizations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Each Covered Officer should, to the extent appropriate within their area of responsibility, consult with other officers and employees of the Fidelity Funds, FMR and the Fidelity service providers, and with the Board's Compliance Committee, with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Fidelity Funds file with, or submit to, the SEC and in other public communications made by the Fidelity Funds; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

**IV. Reporting and Accountability**

Each Covered Officer must:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· upon receipt of the Code, and annually thereafter, submit to the Fidelity Ethics Office an acknowledgement stating that they have received, read, and understand the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· notify the Fidelity Ethics Office promptly if they know of any violation of the Code. <u>Failure to do so is itself a violation of this Code</u>.

The Fidelity Ethics Office shall take all action it considers appropriate to investigate any actual or potential violations reported to it. Upon completion of the investigation, if necessary, the matter will be reviewed with senior management or other appropriate parties, and a determination will be made as to whether any action should be taken as detailed below. The Covered Officer will be informed of any action determined to be appropriate. The Fidelity Ethics Office will inform the Personal Trading Committee of all Code violations and actions taken in response. Without implied limitation, appropriate remedial, disciplinary or preventive action may include a written warning, a letter of censure, suspension, dismissal or, in the event of criminal or other serious violations of law, notification of the SEC or other appropriate law enforcement authorities. Additionally, other legal remedies may be pursued.

The policies and procedures described in the Code do not create any obligations to any person or entity other than the Fidelity Funds. The Code is intended solely for the internal use by the Fidelity Funds and does not constitute a promise, contract or an admission by or on behalf of any Fidelity Fund as to any fact, circumstance, or legal conclusion. The Fidelity Funds, the Fidelity companies and the Fidelity Head of Ethics retain the discretion to decide whether the Code applies to a specific situation, and how it should be interpreted.

**V. Oversight**

Material violations of this Code will be reported promptly by FMR (or another Fidelity company) to the Board's Compliance Committee. In addition, at least once each year, FMR (or another Fidelity company) will provide a written report to the Board, which describes any issues arising under the Code since the last report to the Board, including, but not limited to, information about material violations of the Code and action taken in response to the material violations.

**VI. Other Policies and Procedures** 

This Code shall be the sole code of ethics adopted by the Fidelity Funds for purposes of Section 406 of the Sarbanes-Oxley Act. Other Fidelity policies or procedures that cover the behavior or activities of Covered Officers are separate requirements applying to the Covered Officers (and others) and are not part of this Code.

**VII. Amendments**

Any material amendments or changes to this Code must be approved or ratified by a majority vote of the Board, including a majority of the Trustees who are not interested persons of the Fidelity Funds.

**VIII. Records and Confidentiality**

Records of any violation of the Code and of the actions taken as a result of such violations will be kept by the Fidelity Ethics Office. All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Fidelity Ethics Office, the Personal Trading Committee, the Board, appropriate personnel at the relevant Fidelity company or companies and the legal counsel of any or all of the foregoing.

2023

## Ex-99.Cert

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>Exhibit EX-99.CERT</u>

I, Laura M. Del Prato, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Salem Street Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

October 23, 2025

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| |
|:---|
| &nbsp;&nbsp; <u>/s/Laura M. Del Prato</u> |
| &nbsp;&nbsp; Laura M. Del Prato |
| &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |

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I, Stephanie Caron, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Salem Street Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

October 23, 2025

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| |
|:---|
| &nbsp;&nbsp; <u>/s/Stephanie Caron</u> |
| &nbsp;&nbsp; Stephanie Caron |
| &nbsp;&nbsp; Chief Financial Officer (Principal Financial Officer) |

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## Exhibit 99.906

<u>Exhibit EX-99.906CERT</u>

**Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)**

In connection with the attached Report of Fidelity Salem Street Trust (the "Trust") on Form N-CSR to be filed with the Securities and Exchange Commission (the "Report"), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer's knowledge:

&nbsp;&nbsp;&nbsp;&nbsp;1. The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.

Dated: October 23, 2025

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| |
|:---|
| &nbsp;&nbsp; <u>/s/Laura M. Del Prato</u> |
| &nbsp;&nbsp; Laura M. Del Prato |
| &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |

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Dated: October 23, 2025

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| |
|:---|
| &nbsp;&nbsp; <u>/s/Stephanie Caron</u> |
| &nbsp;&nbsp; Stephanie Caron |
| &nbsp;&nbsp; Chief Financial Officer (Principal Financial Officer) |

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A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.

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